Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

  
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      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Growth and Income Strategy Portfolio
      S000009325
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      2021-12-31
      2021-03-31
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        MORGAN STANLEY & CO. LLC
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            6840000.00000000
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        Goldman Sachs International Small Cap Insights Fund
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        Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF
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        MORGAN STANLEY & CO. LLC
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              MORGAN STANLEY & CO. LLC
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            9870000.00000000
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        Goldman Sachs Global Core Fixed Income
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        Chicago Mercantile Exchange
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              Chicago Mercantile Exchange
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            Purchased
            
              
                
                  
                    Chicago Mercantile Exchange
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                    Chicago Mercantile Exchange
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                      Eurodollar Time Deposit
                      EDM3 Comdty
                    
                  
                  2023-06-19
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            2023-06-19
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        1
        
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        Chicago Mercantile Exchange
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        000000000
        
          
        
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        NC
        USD
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        N/A
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        US
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        1
        
          
            
              Chicago Mercantile Exchange
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            Long
            
              
                E-mini S&P 500 Index
                ESM1 Index
              
            
            2021-06-18
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            USD
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        Chicago Board of Trade
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        1
        
          
            
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            Long
            
              
                10 Year US Treasury Note
                TYM1 Comdty
              
            
            2021-06-21
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        Chicago Mercantile Exchange
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        US
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        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    Chicago Mercantile Exchange
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                    N/A
                    
                      
                    
                    149.00000000
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                    N/A
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                    DIR
                    
                    US
                  
                  Long
                  
                    
                      Eurodollar Time Deposit
                      EDH3 Comdty
                    
                  
                  2023-03-13
                  149.00000000
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            2500.00000000
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            2023-03-13
            XXXX
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        MORGAN STANLEY & CO. LLC
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              MORGAN STANLEY & CO. LLC
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            950000.00000000
            SGD
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          N
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        381430479
        
          
        
        1576107.00000000
        NS
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        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Dynamic Global Equity Fund
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        38148U403
        
          
        
        8871470.64900000
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        203422821.98000000
        21.82807791170
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        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International Equity Insights Fund
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        38147X242
        
          
        
        5970920.55900000
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        85861837.64000000
        9.213316693798
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs High Yield Floating Rate Fund
        20OHG0KU8S4HBIU77D72
        
        38145L166
        
          
        
        971174.48500000
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        0.975413884411
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        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
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        000000000
        
          
        
        1.00000000
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        117939.43000000
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        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6220000.00000000
            AUD
            4843912.08000000
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            2021-06-16
            117939.43000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS TR MUTUAL FUND
        S2FHCT8U6D2VORP0J605
        
        38150C879
        
          
        
        2217966.61500000
        NS
        USD
        23820961.45000000
        2.556083911339
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
    
    
      2021-04-30
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  
  XXXX

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2021 (Unaudited)

 

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2021, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty		Currency Purchased				Currency Sold								Settlement Date				Unrealized Gain
MS & Co. Int. PLC		USD		101,605			NZD				140,000				06/16/21			$	3,847
		USD		1,294,563			HKD				10,040,000				06/16/21				2,861
		USD		121,639			ILS				400,000				06/16/21				1,859
		USD		413,087			SGD				550,000				06/16/21				4,370
		USD		5,600,593			GBP				4,010,000				06/16/21				71,087
		USD		3,506,108			CHF				3,210,000				06/16/21				102,615
		USD		2,826,913			AUD				3,630,000				06/16/21				68,830
		USD		12,441,113			EUR				10,300,000				06/16/21				342,473
		USD		9,958,407			JPY				1,064,000,000				06/16/21				342,004
		USD		241,132			NOK				2,050,000				06/16/21				1,464
		USD		925,445			DKK				5,700,000				06/16/21				25,627
		USD		1,357,141			SEK				11,400,000				06/16/21				50,876
TOTAL																		$	1,017,913

FUTURES CONTRACTS — At March 31, 2021, the Portfolio had the following futures contracts:

 

Description		Number of Contracts		Expiration Date		Notional Amount				Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P Mini 500 Index		134		06/18/21		$	26,581,580			$	295,545
10 Year U.S. Treasury Notes		214		06/21/21			28,020,625				(725,386	)
TOTAL FUTURES CONTRACTS										$	(429,841	)

PURCHASED OPTIONS CONTRACTS — At March 31, 2021, the Fund had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

Description		Exercise Price				Expiration Date				Number of Contracts				Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Eurodollar Futures		$	97.750				03/13/2023				89			$	222,500			$	377,137			$	392,012			$	(14,875	)
Eurodollar Futures			97.750				06/19/2023				96				240,000				372,000				391,501				(19,501	)
TOTAL											185			$	—			$	749,138			$	783,513			$	(34,376	)

Additional information regarding the Portfolio is available in the Portfolio’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

 

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2021 (Unaudited)

 

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2021, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty		Currency Purchased				Currency Sold						Settlement Date				Unrealized Gain
MS & Co. Int. PLC		USD		1,602,480		DKK			9,870,000				06/16/21			$	44,375
		USD		181,437		NZD			250,000				06/16/21				6,870
		USD		713,514		SGD			950,000				06/16/21				7,547
		USD		2,182,964		HKD			16,930,000				06/16/21				4,824
		USD		206,787		ILS			680,000				06/16/21				3,161
		USD		9,553,132		GBP			6,840,000				06/16/21				121,256
		USD		6,116,575		CHF			5,600,000				06/16/21				179,017
		USD		4,843,912		AUD			6,220,000				06/16/21				117,939
		USD		21,572,648		EUR			17,860,000				06/16/21				593,841
		USD		16,912,445		JPY			1,807,000,000				06/16/21				580,828
		USD		411,688		NOK			3,500,000				06/16/21				2,499
		USD		2,357,140		SEK			19,800,000				06/16/21				88,365
TOTAL																$	1,750,522

FUTURES CONTRACTS — At March 31, 2021, the Portfolio had the following futures contracts:

 

Description		Number of Contracts		Expiration Date		Notional Amount				Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P Mini 500 Index		169		06/18/21		$	33,524,530			$	372,160
10 Year U.S. Treasury Notes		353		06/21/21			46,220,938				(1,196,437	)
TOTAL FUTURES CONTRACTS										$	(824,277	)

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2021, the Fund had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

Description		Exercise Price				Expiration Date				Number of Contracts				Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Eurodollar Futures		$	97.750				06/19/2023				161			$	402,500			$	623,875			$	656,580			$	(32,705	)
Eurodollar Futures			97.750				03/13/2023				149				372,500				631,388				656,290				(24,902	)
TOTAL											310			$	775,000			$	1,255,263			$	1,312,870			$	(57,607	)

 

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2021 (Unaudited)

 

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2021, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty		Currency Purchased				Currency Sold						Settlement Date				Unrealized Gain
MS & Co. Int. PLC		USD		145,150		NZD			200,000				06/16/21			$	5,496
		USD		578,322		SGD			770,000				06/16/21				6,118
		USD		1,762,618		HKD			13,670,000				06/16/21				3,896
		USD		170,295		ILS			560,000				06/16/21				2,603
		USD		7,716,528		GBP			5,525,000				06/16/21				97,944
		USD		4,936,950		CHF			4,520,000				06/16/21				144,492
		USD		3,917,183		AUD			5,030,000				06/16/21				95,376
		USD		17,429,636		EUR			14,430,000				06/16/21				479,794
		USD		13,664,731		JPY			1,460,000,000				06/16/21				469,291
		USD		329,351		NOK			2,800,000				06/16/21				2,000
		USD		1,295,622		DKK			7,980,000				06/16/21				35,877
		USD		1,901,783		SEK			15,975,000				06/16/21				71,293
TOTAL																$	1,414,180

FUTURES CONTRACTS — At March 31, 2021, the Portfolio had the following futures contracts:

 

Description		Number of Contracts		Expiration Date		Notional Amount				Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P Mini 500 Index		220		06/18/21		$	43,641,400			$	485,500
10 Year U.S. Treasury Notes		259		06/21/21			33,912,813				(877,885	)
TOTAL FUTURES CONTRACTS										$	(392,385	)

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2021, the Fund had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

Description		Exercise Price				Expiration Date				Number of Contracts				Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Eurodollar Futures		$	97.750				03/13/2023				151			$	377,500			$	639,862			$	665,099			$	(25,237	)
Eurodollar Futures			97.750				06/19/2023				163				407,500				631,625				664,736				(33,111	)
TOTAL											314			$	785,000			$	1,271,487			$	1,329,835			$	(58,348	)

 

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Schedule of Investments

March 31, 2021 (Unaudited)

 

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS

 

 

A. Investment Valuation — The valuation policy of the Portfolios and underlying funds (“Underlying Funds”) is to value investments at fair value.

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Portfolios’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolios, investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

B. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Portfolios invest in Underlying Funds that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Portfolio and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Portfolio, if any, is noted in the Schedules of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

A forward foreign currency exchange contract is a forward contract in which the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

iii. Options — When a Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.

Upon the purchase of a call option or a put option by a Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

C. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolios’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investment are classified as Level 3 investments.

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

D. Fair Value Hierarchy — The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of March 31, 2021:

 

BALANCED STRATEGY PORTFOLIO
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic		$	55,093,796			$	—			$	—
Equity			169,545,478				—				—
Exchange Traded Funds			106,885,225				—				—
Fixed Income			193,812,826				—				—
Investment Companies			13,779,306				—				—
Total		$	539,116,631			$	—			$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)		$	—			$	1,017,913			$	—
Futures Contracts(a)			295,545				—				—
Options Purchased			749,138				—				—
Total		$	1,044,683			$	1,017,913			$	—
Liabilities
Futures Contracts		$	(725,386	)		$	—			$	—
GROWTH AND INCOME STRATEGY PORTFOLIO
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic		$	70,630,700			$	—			$	—
Equity			397,081,796				—				—
Exchange Traded Funds			274,557,547				—				—
Fixed Income			150,224,408				—				—
Investment Companies			22,725,521				—				—
Total		$	915,219,972			$	—			$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)		$	—			$	1,750,522			$	—
Futures Contracts(a)			372,160				—				—
Options Purchased			1,255,263				—				—
Total		$	1,627,423			$	1,750,522			$	—
Liabilities(a)
Futures Contracts		$	(1,196,437	)		$	—			$	—
GROWTH STRATEGY PORTFOLIO
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic		$	36,575,378			$	—			$	—
Equity			441,432,919				—				—
Exchange Traded Funds			251,051,315				—				—
Fixed Income			45,702,827				—				—
Investment Companies			38,062,998				—				—
Total		$	812,825,437			$	—			$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)		$	—			$	1,414,180			$	—
Futures Contracts(a)			485,500				—				—
Options Purchased			1,271,487				—				—
Total		$	1,756,987			$	1,414,180			$	—
Liabilities
Futures Contracts(a)		$	(877,885	)		$	—			$	—

 

(a)

Amount shown represents unrealized gain (loss) at period end.

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

SATELLITE STRATEGIES PORTFOLIO
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Equity		$	93,994,003			$	—			$	—
Exchange Traded Funds			4,182,978				—				—
Fixed Income			48,533,744				—				—
Total		$	146,710,725			$	—			$	—

For further information regarding security characteristics, see the Schedules of Investments.

The Portfolios’ risks include, but are not limited to, the following:

Derivatives Risk —The Portfolios’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolios. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Dividend-Paying Investments Risk — A Portfolio’s investments in dividend-paying securities could cause a Portfolio to underperform other Portfolios. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Portfolio’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Portfolio to produce current income

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Portfolio invests. The imposition of exchange controls, confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or problems with registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Portfolio has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Portfolios also invest in securities of issuers located in emerging markets, these risks may be more pronounced.

Investments in the Underlying Funds Risk — The investments of a Portfolio are concentrated in the Underlying Funds, and the Portfolio’s investment performance is directly related to the investment performance of the Underlying Funds it holds. A Portfolio is subject to the risk factors associated with the investments of the Underlying Funds in direct proportion to the amount of assets allocated to each. A Portfolio that has a relative concentration of its portfolio in a single Underlying Fund may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments.

Large Shareholder Transactions Risk — A Portfolio or an Underlying Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Portfolio or an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may

Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s or the Underlying Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the expense ratio of the Portfolio or the Underlying Fund. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect a Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio or the Underlying Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.

Liquidity Risk — A Portfolio or an Underlying Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Portfolio or Underlying Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio or Underlying Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Portfolio or Underlying Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s or Underlying Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with a Portfolio investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Portfolio’s or Underlying Fund’s liquidity.

Market and Credit Risks — In the normal course of business, a Portfolio trades financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Portfolio invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Portfolio and its investments. Additionally, a Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

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