Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2022 12:37 PM EDT

News and research before you hear about it on CNBC and others. Claim your 1-week free trial to StreetInsider Premium here.

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000015982
        C000043944
        C000058997
        C000065655
        C000070486
        C000043943
        C000058996
        C000201787
        C000161535
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Satellite Strategies Portfolio
      S000015982
      549300RZVRT1EE3LIJ27
      2022-12-31
      2022-03-31
      N
    
    
      118138796.13
      178725.52
      117960070.61
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      954391.74000000
      N
      
        
          
          
          
          
          
          
          
          
        
        
        
        
      
      
      
      
      
    
    
      
        Goldman Sachs Emerging Markets Equity Insights Fund
        549300UHNMO4HOGWYU58
        Goldman Sachs Emerging Markets Equity Insights Fund
        38147X259
        
          
        
        697714.23300000
        NS
        USD
        6460833.80000000
        5.477136260252
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Real Estate Securities Fund
        549300IV19H0UGZG5L86
        Goldman Sachs Global Real Estate Securities Fund
        38148U718
        
          
        
        756744.78400000
        NS
        USD
        9035532.72000000
        7.659823085282
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Emerging Markets Equity Fund
        BWG4TKY1KCT8ICDTBC46
        Goldman Sachs Emerging Markets Equity Fund
        38147X226
        
          
        
        185114.16000000
        NS
        USD
        4672281.40000000
        3.960900816554
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs High Yield Fund
        VJJ3YDJ4UOKOJN1I8J86
        Goldman Sachs High Yield Fund
        38148U874
        
          
        
        1345095.36600000
        NS
        USD
        8110925.06000000
        6.875992035318
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Infrastructure Fund
        54930073G57DO7G34278
        Goldman Sachs Global Infrastructure Fund
        38148U775
        
          
        
        1805374.24200000
        NS
        USD
        24878057.05000000
        21.09023580720
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Inflation Protected Securities Fund
        4OEORIROX7OTX3PIXA40
        Goldman Sachs Inflation Protected Securities Fund
        38147X580
        
          
        
        612305.71400000
        NS
        USD
        6919054.57000000
        5.865590393613
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Local Emerging Markets Debt Fund
        58SWL44ZGT3G71LAHX23
        Goldman Sachs Local Emerging Markets Debt Fund
        38145L174
        
          
        
        221604.23500000
        NS
        USD
        1105805.13000000
        0.937440206912
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International Small Cap Insights Fund
        549300VMLASEOM8ZWE07
        Goldman Sachs International Small Cap Insights Fund
        38147X234
        
          
        
        1954002.18400000
        NS
        USD
        25128468.09000000
        21.30252038681
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs MLP Energy Infrastructure Fund
        549300QNI1STTSJRLK10
        Goldman Sachs MLP Energy Infrastructure Fund
        38150C887
        
          
        
        135802.84000000
        NS
        USD
        3915195.88000000
        3.319085737871
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Emerging Markets Debt Fund
        XC6LIVZDLLKYZ7FKO621
        Goldman Sachs Emerging Markets Debt Fund
        38148U882
        
          
        
        1412963.87600000
        NS
        USD
        15062194.92000000
        12.76889276355
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs ActiveBeta Emerging Markets Equity ETF
        549300PZDHNP7HDURN13
        Goldman Sachs ActiveBeta Emerging Markets Equity ETF
        381430206
        
          
        
        105925.00000000
        NS
        USD
        3588739.00000000
        3.042333716351
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs High Yield Floating Rate Fund
        20OHG0KU8S4HBIU77D72
        Goldman Sachs High Yield Floating Rate Fund
        38145L166
        
          
        
        860775.25400000
        NS
        USD
        7953563.35000000
        6.742589512595
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2022-04-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  
  XXXX



GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

Shares      Description   Value
  Underlying Funds – 83.6%
 

Dynamic(a) – 3.3%

  1,647,985      Goldman Sachs Managed Futures Strategy Fund - Class R6   $  19,199,029

 

 

 

Equity – 17.8%

  2,928,169      Goldman Sachs International Equity Insights Fund - Class R6(a)   39,852,375
  2,150,785      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6(a)   19,916,265
  1,019,618      Goldman Sachs International Small Cap Insights Fund - Class R6(a)   13,112,288
  923,177      Goldman Sachs Global Infrastructure Fund - Class R6(a)   12,721,383
  669,829      Goldman Sachs Global Real Estate Securities Fund - Class R6(a)   7,997,759
  263,027      Goldman Sachs Large Cap Value Insights Fund - Class R6(a)   6,204,812
  71,776      Goldman Sachs Small Cap Equity Insights Fund - Class R6(a)   1,846,797
  7,372      Health Care Select Sector SPDR Fund   1,009,890
  8,835      Energy Select Sector SPDR Fund   675,347
    

 

  103,336,916

 

 

 

Exchange Traded Funds(a) – 27.4%

  891,130      Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF   79,346,215
  1,022,389      Goldman Sachs Access Investment Grade Corporate Bond ETF   50,945,644
  444,738      Goldman Sachs ActiveBeta International Equity ETF   14,556,275
  109,928      Goldman Sachs MarketBeta International Equity ETF   5,782,026
  167,262      Goldman Sachs ActiveBeta Emerging Markets Equity ETF   5,666,836
  58,442      Goldman Sachs MarketBeta Emerging Markets Equity ETF   2,703,474
    

 

  159,000,470

 

 

 

Fixed Income(a) – 35.1%

  12,712,717      Goldman Sachs Global Income Fund - Class R6   152,298,349
  1,581,414      Goldman Sachs Core Fixed Income Fund - Class R6   16,067,161
  1,160,083      Goldman Sachs Emerging Markets Debt Fund - Class R6   12,366,489
  1,927,767      Goldman Sachs High Yield Fund - Class R6   11,624,436
  1,159,847      Goldman Sachs Short Duration Bond Fund - Class R6   11,285,311
  21,506      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   107,316
    

 

  203,749,062

 

 

 

TOTAL UNDERLYING FUNDS – 83.6%

(Cost $471,871,611)

  $485,285,477

 

 

Shares     

Distribution

Rate

  Value
  Investment Companies(a) – 14.5%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  57,703,027      0.253%   $  57,703,027
 

Goldman Sachs High Yield Floating Rate Fund - Class R6

  1,861,317      3.409   17,198,565
 

Goldman Sachs MLP & Energy Fund-Class R6

  803,026      4.271   9,034,045

 

 

 

TOTAL INVESTMENT COMPANIES

(Cost $83,478,839)

  $  83,935,637

 

 

 

TOTAL INVESTMENTS – 98.1%

(Cost $555,350,450)

  $569,221,114

 

 

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 1.9%

  11,199,569

 

 

  NET ASSETS – 100.0%   $580,420,683

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)   Represents an Affiliated issuer.

 

 

Investment Abbreviation:
ETF  

— Exchange Traded Fund

 

 


GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2022, 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

     14,337,170        EUR      12,880,000          06/15/22        $ 46,241  
    

USD

     4,470,541        CHF      4,100,000          06/15/22          18,812  
    

USD

     1,079,029        DKK      7,210,000          06/15/22          3,616  
    

USD

     1,178,139        HKD      9,200,000          06/15/22          2,338  
    

USD

     6,524,492        GBP      4,890,000          06/15/22          102,579  
    

USD

     9,997,004        JPY      1,151,000,000          06/15/22          522,884  

 

 

TOTAL

 

          $ 696,470  

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty     

Currency

Purchased

      

Currency

Sold

      

Settlement

Date

      

Unrealized

Loss

 

 

 

MS & Co. Int. PLC

    

USD

       197,887        ILS        640,000          06/15/22        $ (3,146
    

USD

       297,657        NOK        2,650,000          06/15/22          (3,204
    

USD

       87,866        NZD        130,000          06/15/22          (2,112
    

USD

       3,074,590        AUD        4,220,000          06/15/22          (87,439
    

USD

       471,689        SGD        640,000          06/15/22          (515
    

USD

       1,602,111        SEK        15,525,000          06/15/22          (52,324

 

 

TOTAL

 

          $ (148,740

 

 

TOTAL

 

          $ 547,730  

 

 

FUTURES CONTRACTS — At March 31, 2022, the Portfolio had the following futures contracts:

 

Description     

Number of

Contracts

    

Expiration

Date

    

Notional

Amount

      

Unrealized

Appreciation/

(Depreciation)

 

 

 

Long position contracts:

                   

Euro Stoxx 50 Index

     187      06/17/22      $ 907,119        $ 40,488  

S&P 500 E-Mini Index

     152      06/17/22        34,433,700          2,695,739  

10 Year U.S. Treasury Notes

     352      06/21/22            43,252,000          (1,388,972

 

 

TOTAL FUTURES CONTRACTS

                    $ 1,347,255  

 

 


GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2022, the Portfolio 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     172   $ 430,000     $ 105,350     $ 620,238     $ (514,888

Eurodollar Futures

     97.750       06/19/2023     96     240,000       65,400       391,501       (326,101

Eurodollar Futures

     98.000       12/19/2022     46     115,000       20,700       114,531       (93,831

Eurodollar Futures

     98.250       09/19/2022     48     120,000       16,800       114,711       (97,911

Eurodollar Futures

     98.750       12/19/2022     128     320,000       17,600       118,697       (101,097

Eurodollar Futures

     99.000       06/13/2022     94     235,000       5,288       98,918       (93,630

Eurodollar Futures

     99.000       09/19/2022     132     330,000       9,074       100,956       (91,882

Eurodollar Futures

     99.000       12/19/2022     384     960,000       36,000       546,824       (510,824

 

 

TOTAL

       1,100   $     2,750,000     $     276,212     $     2,106,376     $     (1,830,164

 

 

OVER-THE-COUNTER OPTIONS ON EQUITIES

 

Description    Counterparty  

Exercise

Rate

   

Expiration

Date

   

Number of

Contracts

 

Notional

Amount

    Market
Value
   

Premiums Paid

(Received)

by Portfolio

   

Unrealized

Appreciation/

(Depreciation)

 

 

 

Purchased option contracts

 

Calls

 

KOSPI 200 Index

   JPMorgan Securities, Inc.   $ 388.330       04/14/2022     2,977,550   $ 2,977,550     $ 99     $ 17,876     $ (17,777

 

 

Written option contracts

 

Puts

 

SPX Index

   Citibank NA     3,877.570       12/30/2022     (415)     (415     (60,217     (74,451     14,234  

SPX Index

   Citibank NA     4,119.400       12/30/2022     (415)     (415     (81,338     (96,492     15,154  

XLV Index

   Citibank NA     127.250       12/30/2022     (7,213)     (7,213     (37,496     (59,147     21,651  

KOSPI 200 Index

   JPMorgan Securities, Inc.     339.320       04/14/2022     (2,977,550)     (2,977,550     (534     (8,467     7,933  

SPX Index

   MS & Co. Int. PLC     3,998.210       12/30/2022     (221)     (221     (37,295     (65,557     28,262  

 

 

Total written option contracts

      (2,985,814)   $ (2,985,814   $ (216,880   $ (304,114   $ 87,234  

 

 

TOTAL

         (8,264)   $ (8,264   $ (216,781   $ (286,238   $ 69,457  

 

 


GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

 

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

 

Description    Counterparty  

Exercise

Rate

   

Expiration

Date

   

Number of

Contracts

 

Notional

Amount

    Market
Value
   

Premiums Paid

(Received)

by Portfolio

   

Unrealized

Appreciation/

(Depreciation)

 

 

 

Purchased option contracts

 

Calls

 

Call USD/Put CHF

   MS & Co. Int. PLC   $ 0.930       03/07/2023     390,000   $ 390,000     $ 6,039     $ 6,408     $ (369

Put EUR/Call USD

   MS & Co. Int. PLC     1.192       03/07/2023     344,000     344,000       24,384       19,475       4,909  

 

 

Total purchased option contracts

      734,000   $ 734,000     $ 30,423     $ 25,883     $ 4,540  

 

 

Written option contracts

 

Puts

  

Put EUR/Call USD

   MS & Co. Int. PLC     1.192       03/07/2023     (344,000)     (344,000     (24,384     (16,700     (7,684

 

 

TOTAL

         390,000   $ 390,000     $ 6,039     $ 9,183     $ (3,144

 

 

 

 

Abbreviation:
MS & Co. Int. PLC   — Morgan Stanley & Co. International PLC

 

 


GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

Shares      Description   Value
  Underlying Funds – 89.6%
 

Dynamic(a) – 2.9%

  2,383,714      Goldman Sachs Managed Futures Strategy Fund - Class R6   $  27,770,271

 

 

 

Equity – 25.8%

  7,055,993      Goldman Sachs International Equity Insights Fund - Class R6(a)   96,032,065
  5,400,657      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6(a)   50,010,087
  2,211,849      Goldman Sachs International Small Cap Insights Fund - Class R6(a)   28,444,374
  1,645,453      Goldman Sachs Global Infrastructure Fund – Class R6(a)   22,674,345
  1,660,198      Goldman Sachs MLP & Energy Fund - Class R6(a)   18,677,225
  601,850      Goldman Sachs Large Cap Value Insights Fund - Class R6(a)   14,197,637
  1,156,283      Goldman Sachs Global Real Estate Securities Fund - Class R6(a)   13,806,023
  164,235      Goldman Sachs Small Cap Equity Insights Fund - Class R6(a)   4,225,767
  9,851      Health Care Select Sector SPDR Fund   1,349,489
  11,302      Energy Select Sector SPDR Fund   863,925
    

 

     250,280,937

 

 

 

Exchange Traded Funds(a) – 41.8%

  2,873,903      Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF   255,892,323
  1,667,374      Goldman Sachs Access Investment Grade Corporate Bond ETF   83,085,247
  1,017,634      Goldman Sachs ActiveBeta International Equity ETF   33,307,161
  251,534      Goldman Sachs MarketBeta International Equity ETF   13,230,261
  382,723      Goldman Sachs ActiveBeta Emerging Markets Equity ETF   12,966,655
  133,725      Goldman Sachs MarketBeta Emerging Markets Equity ETF   6,185,998
    

 

     404,667,645

 

 

 

Fixed Income(a) – 19.1%

  7,415,928      Goldman Sachs Global Income Fund - Class R6   88,842,819
  3,002,959      Goldman Sachs High Yield Floating Rate Fund - Class R6   27,747,342
  2,535,444      Goldman Sachs Emerging Markets Debt Fund - Class R6   27,027,837
  1,978,627      Goldman Sachs Short Duration Bond Fund - Class R6   19,252,039
  3,143,459      Goldman Sachs High Yield Fund - Class R6   18,955,059

 

 

Shares      Description   Value
  Underlying Funds – (continued)
 

Fixed Income(a) – (continued)

  682,182      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   $    3,404,087
    

 

     185,229,183

 

 

 

TOTAL UNDERLYING FUNDS – 89.6%

(Cost $782,406,348)

  $867,948,036

 

 

    
Shares     

Dividend

Rate

  Value
  Investment Company(a) – 8.1%
 

Goldman Sachs Financial Square Government Fund – Institutional
Shares

  78,502,632      0.253%   $  78,502,632
  (Cost $78,502,632)

 

 

 

TOTAL INVESTMENTS – 97.7%

(Cost $860,908,980)

  $946,450,668

 

 

 

OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.3%

  22,618,758

 

 

  NET ASSETS – 100.0%   $969,069,426

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.  
(a)    Represents an Affiliated Issuer.  

 

 

Currency Abbrevations:
AUD  

— Australian Dollar

CHF  

— Swiss Franc

DKK  

— Danish Krone

EUR  

— Euro

GBP  

— British Pound

HKD  

— Hong Kong Dollar

ILS  

— Israeli Shekel

JPY  

— Japanese Yen

KRW  

— South Korean Won

NOK  

— Norwegian Krone

NZD  

— New Zealand Dollar

SEK  

— Swedish Krona

SGD  

— Singapore Dollar

USD  

— U.S. Dollar

Investment Abbreviation:
ETF  

— Exchange Traded Fund

 

For information on the mutual funds, please call our tollfree Shareholder Services Line at 1-800-526-7384 or visitus on the web at www.GSAMFUNDS.com.

 

 


GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2022, 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

     16,285,303          JPY        1,875,000,000          06/15/22        $ 851,787  
    

USD

     10,633,988          GBP        7,970,000          06/15/22          167,190  
    

USD

     1,919,598          HKD        14,990,000          06/15/22          3,809  
    

USD

     1,759,969          DKK        11,760,000          06/15/22          5,897  
    

USD

     7,272,807          CHF        6,670,000          06/15/22          30,604  
    

USD

     23,375,820          EUR        21,000,000          06/15/22          75,393  

 

 

TOTAL

                          $ 1,134,680  

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty     

Currency

Purchased

      

Currency

Sold

      

Settlement

Date

      

Unrealized

Loss

 

 

 

MS & Co. Int. PLC

    

USD

       2,608,268          SEK             25,275,000          06/15/22        $ (85,184
    

USD

     766,494          SGD        1,040,000          06/15/22          (837
    

USD

     5,019,888          AUD        6,890,000          06/15/22          (142,763
    

USD

     148,696          NZD        220,000          06/15/22          (3,573
    

USD

     482,991          NOK        4,300,000          06/15/22          (5,199
    

USD

     321,567          ILS        1,040,000          06/15/22          (5,112

 

 

TOTAL

                          $   (242,668

 

 

FUTURES CONTRACTS — At March 31, 2022, the Portfolio had the following futures contracts:

 

Description     

Number of

Contracts

    

Expiration

Date

      

Notional

Amount

      

Unrealized

Appreciation/

(Depreciation)

 

 

 

Long position contracts:

                 

Euro Stoxx 50 Index

       243        06/17/22        $ 1,178,770        $ 52,612  

S&P 500 E-Mini Index

       290        06/17/22          65,695,875          4,958,424  

10 Year U.S. Treasury Notes

       533        06/21/22          65,492,375          (2,131,311

 

 

TOTAL FUTURES CONTRACTS

                  $ 2,879,725  

 

 

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2022, the Portfolio 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     $ 109,681     $ 656,580     $ (546,899

Eurodollar Futures

     97.750       03/13/2023     285     712,500       174,562       1,030,250       (855,688

Eurodollar Futures

     98.000       12/19/2022     76     190,000       34,200       189,226       (155,026

Eurodollar Futures

     98.250       09/19/2022     78     195,000       27,300       186,406       (159,106

Eurodollar Futures

     98.750       12/19/2022     209     522,500       28,738       193,810       (165,072

Eurodollar Futures

     99.000       06/13/2022     153     382,500       8,606       161,005       (152,399

Eurodollar Futures

     99.000       09/19/2022     216     540,000       14,850       165,201       (150,351

Eurodollar Futures

     99.000       12/19/2022     698     1,745,000       65,438       993,966       (928,528

 

 

TOTAL

       1,876   $ 4,690,000     $ 463,375     $ 3,576,444     $ (3,113,069

 

 


GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON EQUITIES

 

Description    Counterparty  

Exercise

Rate

   

Expiration

Date

   

Number of

Contracts

   

Notional

Amount

    Market
Value
   

Premiums Paid

(Received)

by Portfolio

   

Unrealized

Appreciation/

(Depreciation)

 

 

 

Purchased option contracts

             

Calls

                

KOSPI 200 Index

   JPMorgan Securities, Inc.   $ 388.330     04/14/2022       3,913,060     $ 3,913,060     $ 130     $ 23,492     $ (23,362

 

 

Written option contracts

             

Puts

             

SPX Index

   MS & Co. Int. PLC     3,998.210       12/30/2022       (288)       (288     (48,602     (85,432     36,830  

KOSPI 200 Index

   JPMorgan Securities, Inc.     339.320       04/14/2022       (3,913,060)       (3,913,060     (702     (11,128     10,426  

SPX Index

   Citibank NA     3,877.570       12/30/2022       (546)       (546     (79,225     (97,952     18,727  

XLV Index

   Citibank NA     127.250       12/30/2022       (9,490)       (9,490     (49,332     (77,818     28,486  

SPX Index

   Citibank NA     4,119.400       12/30/2022       (546)       (546     (107,014     (126,951     19,937  

 

 

Total written option contracts

 

    (3,923,930)     $ (3,923,930   $ (284,875   $ (399,281   $ 114,406  

 

 

TOTAL

           (10,870)     $ (10,870   $ (284,745   $ (375,789   $ 91,044  

 

 


GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

 

Description    Counterparty  

Exercise

Rate

   

Expiration

Date

   

Number of

Contracts

 

Notional

Amount

    Market
Value
   

Premiums Paid

(Received)

by Portfolio

   

Unrealized

Appreciation/

(Depreciation)

 

 

 

Purchased option contracts

 

Calls

 

Call USD/Put CHF

   MS & Co. Int. PLC     $0.930       03/07/2023     520,000   $ 520,000     $ 8,052     $ 8,543     $ (491

 

 

Puts

 

Put EUR/Call USD

   MS & Co. Int. PLC     $1.192       03/07/2023     459,000     459,000       32,536       25,986       6,550  

 

 

Total purchased option contracts

      979,000   $ 979,000     $ 40,588     $ 34,529     $ 6,059  

 

 

Written option contracts

 

Puts

 

Put EUR/Call USD

   MS & Co. Int. PLC     1.192       03/07/2023     (459,000)     (459,000     (32,536     (22,283     (10,253

 

 

TOTAL

 

  520,000   $ 520,000     $ 8,052     $ 12,246     $ (4,194

 

 

 

 

Abbreviation:
MS & Co. Int. PLC  

— Morgan Stanley & Co. International PLC

 

 


GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

Shares      Description   Value
  Underlying Funds – 85.8%
 

Dynamic(a) – 1.7%

  1,353,981      Goldman Sachs Managed Futures Strategy Fund - Class R6   $  15,773,882

 

 

 

Equity – 31.9%

  8,971,049      Goldman Sachs International Equity Insights Fund - Class R6(a)   122,095,978
  7,505,681      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6(a)   69,502,604
  3,496,864      Goldman Sachs International Small Cap Insights Fund - Class R6(a)   44,969,674
  1,611,916      Goldman Sachs Global Infrastructure Fund - Class R6(a)   22,212,205
  657,382      Goldman Sachs Large Cap Value Insights Fund - Class R6(a)   15,507,644
  1,037,661      Goldman Sachs Global Real Estate Securities Fund - Class R6(a)   12,389,669
  179,389      Goldman Sachs Small Cap Equity Insights Fund - Class R6(a)   4,615,679
  6,405      Health Care Select Sector SPDR Fund   877,421
  9,099      Energy Select Sector SPDR Fund   695,527
    

 

     292,866,402

 

 

 

Exchange Traded Funds(a) – 44.9%

  3,721,922      Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF   331,399,935
  1,111,530      Goldman Sachs ActiveBeta International Equity ETF   36,380,377
  274,742      Goldman Sachs MarketBeta International Equity ETF   14,450,962
  418,037      Goldman Sachs ActiveBeta Emerging Markets Equity ETF   14,163,094
  171,088      Goldman Sachs Access Investment Grade Corporate Bond ETF   8,525,315
  146,063      Goldman Sachs MarketBeta Emerging Markets Equity ETF   6,756,743
    

 

     411,676,426

 

 

 

Fixed Income(a) – 7.3%

  2,874,128      Goldman Sachs Emerging Markets Debt Fund - Class R6   30,638,202
  3,045,858      Goldman Sachs High Yield Fund - Class R6   18,366,521
  1,859,171      Goldman Sachs Short Duration Bond Fund - Class R6   18,089,737
  8,724      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   43,534
    

 

     67,137,993

 

 

 
TOTAL UNDERLYING FUNDS – 85.8%
(Cost $671,474,492)
  $787,454,703

 

 

Shares     

Dividend

Rate

  Value
  Investment Companies(a) – 12.0%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  74,967,498      0.253%   $  74,967,498
 

Goldman Sachs High Yield Floating Rate Fund - Class R6

  1,732,252      3.409   16,006,007
 

Goldman Sachs MLP & Energy Fund-Class R6

  1,698,665      4.271   19,109,976

 

 

 
TOTAL INVESTMENT COMPANIES
(Cost $108,852,122)
  $110,083,481

 

 

 
TOTAL INVESTMENTS – 97.8%
(Cost $780,326,614)
  $897,538,184

 

 

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 2.2%

  20,383,890

 

 

  NET ASSETS – 100.0%   $917,922,074

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)   Represents an Affiliated issuer.

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

CHF  

— Swiss Franc

DKK  

— Danish Krone

EUR  

— Euro

GBP  

— British Pound

HKD  

— Hong Kong Dollar

ILS  

— Israeli Shekel

JPY  

— Japanese Yen

NOK  

— Norwegian Krone

NZD  

— New Zealand Dollar

SEK  

— Swedish Krona

SGD  

— Singapore Dollar

USD  

— U.S. Dollar

Investment Abbreviation:
ETF  

— Exchange Traded Fund

 

 


GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2022, 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

     1,659,699          DKK        11,090,000          06/15/22        $ 5,561  
    

USD

     1,810,749          HKD        14,140,000          06/15/22          3,593  
    

USD

     6,869,368          CHF        6,300,000          06/15/22          28,906  
    

USD

     22,051,190          EUR        19,810,000          06/15/22          71,121  
    

USD

     15,364,640          JPY        1,769,000,000          06/15/22          803,633  
    

USD

     10,033,575          GBP        7,520,000          06/15/22          157,750  

 

 

TOTAL

                          $ 1,070,564  

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

                                                                                                     
Counterparty     

Currency

Purchased

      

Currency

Sold

      

Settlement

Date

      

Unrealized

Loss

 

 

 

MS & Co. Int. PLC

    

USD

       454,910          NOK          4,050,000          06/15/22        $ (4,897
    

USD

       296,831          ILS          960,000          06/15/22          (4,719
    

USD

       2,461,214          SEK          23,850,000          06/15/22          (80,381
    

USD

       135,179          NZD          200,000          06/15/22          (3,249
    

USD

       722,273          SGD          980,000          06/15/22          (788
    

USD

       4,728,458          AUD          6,490,000          06/15/22          (134,475

 

 

TOTAL

                              $ (228,509

 

 

FUTURES CONTRACTS — At March 31, 2022, the Portfolio had the following futures contracts:

 

Description      Number of
Contracts
    

Expiration

Date

      

Notional

Amount

      

Unrealized

Appreciation/

(Depreciation)

 

 

 

Long position contracts:

                   

Euro Stoxx 50 Index

    

167

       06/17/22        $ 810,101        $ 36,172  

S&P 500 E-Mini Index

    

319

       06/17/22          72,265,463          5,455,109  

10 Year U.S. Treasury Notes

    

533

       06/21/22          65,492,375          (2,111,099

 

 

TOTAL FUTURES CONTRACTS

                    $ 3,380,182  

 

 

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2022, the Portfolio 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       310     $ 775,000     $ 189,875     $ 1,102,302     $ (912,427

Eurodollar Futures

     97.750       06/19/2023       163       407,500       111,044       664,736       (553,692

Eurodollar Futures

     98.000       12/19/2022       88       220,000       39,600       219,104       (179,504

Eurodollar Futures

     98.250       09/19/2022       91       227,500       31,850       217,474       (185,624

Eurodollar Futures

     98.750       12/19/2022       243       607,500       33,413       225,339       (191,926

Eurodollar Futures

     99.000       06/13/2022       178       445,000       10,012       187,313       (177,301

Eurodollar Futures

     99.000       09/19/2022       251       627,500       17,256       191,970       (174,714

Eurodollar Futures

     99.000       12/19/2022       741       1,852,500       69,469       1,055,199       (985,730

 

 

TOTAL

         2,065     $ 5,162,500     $ 502,519     $ 3,863,437     $ (3,360,918

 

 


GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON EQUITIES

 

Description    Counterparty  

Exercise

Rate

   

Expiration

Date

   

Number of

Contracts

 

Notional

Amount

    Market
Value
   

Premiums Paid

(Received)

by Portfolio

   

Unrealized

Appreciation/

(Depreciation)

 

 

 

Purchased option contracts

 

Calls

 

KOSPI 200 Index

   JPMorgan Securities, Inc.   $ 388.330       04/14/2022     2,753,605   $ 2,753,605     $ 91     $ 16,531     $ (16,440

 

 

Written option contracts

 

Puts

 

SPX Index

   Citibank NA     3,877.570       12/30/2022     (384)     (384     (55,718     (68,889     13,171  

SPX Index

   Citibank NA     4,119.400       12/30/2022     (384)     (384     (75,262     (89,284     14,022  

XLV Index

   Citibank NA     127.250       12/30/2022     (6,685)     (6,685     (34,751     (54,817     20,066  

KOSPI 200 Index

   JPMorgan Securities, Inc.     339.320       04/14/2022     (2,753,605)     (2,753,605     (494     (7,831     7,337  

SPX Index

   MS & Co. Int. PLC     3,998.210       12/30/2022     (201)     (201     (33,921     (59,625     25,704  

 

 

Total written option contracts

      (2,761,259)   $ (2,761,259   $ (200,146   $ (280,446   $ 80,300  

 

 

TOTAL

         (7,654)   $ (7,654   $ (200,055   $ (263,915   $ 63,860  

 

 


GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

 

Description    Counterparty  

Exercise

Rate

   

Expiration

Date

   

Number of

Contracts

 

Notional

Amount

    Market
Value
   

Premiums Paid

(Received)

by Portfolio

   

Unrealized

Appreciation/

(Depreciation)

 

 

 

Purchased option contracts

 

Calls

  

Call USD/Put CHF

   MS & Co. Int. PLC   $ 0.930       03/07/2023     360,000   $ 360,000     $ 5,574     $ 5,915     $ (341

 

 

Puts

  

Put EUR/Call USD

   MS & Co. Int. PLC   $ 1.192       03/07/2023     318,000     318,000       22,541       18,003       4,538  

 

 

Total purchased option contracts

 

    678,000   $ 678,000     $ 28,115     $ 23,918     $ 4,197  

 

 

Written option contracts

 

Puts

 

Put EUR/Call USD

   MS & Co. Int. PLC     1.192       03/07/2023     (318,000)     (318,000     (22,541     (15,438     (7,103

 

 

TOTAL

         360,000   $ 360,000     $ 5,574     $ 8,480     $ (2,906

 

 

 

 

Abbreviation:
MS & Co. Int. PLC  

— Morgan Stanley & Co. International PLC

 

 

 


GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

Shares      Description   Value
  Underlying Funds(a) – 99.3%
 

Equity – 62.9%

  1,954,002      Goldman Sachs International Small Cap Insights Fund - Class R6   $  25,128,468
  1,808,873      Goldman Sachs Global Infrastructure Fund - Class R6   24,926,272
  758,432      Goldman Sachs Global Real Estate Securities Fund - Class R6   9,055,678
  697,714      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6   6,460,834
  185,114      Goldman Sachs Emerging Markets Equity Fund - Class R6   4,672,281
  135,803      Goldman Sachs MLP Energy Infrastructure Fund - Class R6   3,915,196
    

 

     74,158,729

 

 

 

Exchange Traded Funds – 3.0%

  105,925      Goldman Sachs ActiveBeta Emerging Markets Equity ETF   3,588,739

 

 

 

Fixed Income – 33.4%

  1,418,748      Goldman Sachs Emerging Markets Debt Fund - Class R6   15,123,852
  1,350,810      Goldman Sachs High Yield Fund - Class R6   8,145,385
  863,540      Goldman Sachs High Yield Floating Rate Fund - Class R6   7,979,107
  616,172      Goldman Sachs Inflation Protected Securities Fund - Class R6   6,962,741
  222,193      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   1,108,743
    

 

     39,319,828

 

 

 

TOTAL UNDERLYING FUNDS – 99.3%

(Cost $94,319,963)

  $117,067,296

 

 

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 0.7%

  852,363

 

 

  NET ASSETS – 100.0%   $117,919,659

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)    Represents an Affiliated issuer.

 

 

Investment Abbreviation:
ETF  

— Exchange Traded Fund

 

 


GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO 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 Fund invest in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs 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 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.


GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

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 investments are classified as Level 3 investments.

D. Fair Value Hierarchy — The following is a summary of Portfolios’ investments and derivatives classified in the fair value hierarchy as of March 31, 2022:

 

                                                                    
BALANCED STRATEGY           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Underlying Funds

          

Dynamic

     $ 19,199,029      $      $         —  

Equity

       103,336,916                

Exchange Traded Funds

       159,000,470                

Fixed Income

       203,749,062                

Investment Companies

       83,935,637                
Total      $ 569,221,114      $      $  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(a)

     $      $ 696,470      $  

Futures Contracts(a)

       2,736,227                

Purchased Option Contracts

       276,212        30,522         
Total      $ 3,012,439      $ 726,992      $  
Liabilities

 

Forward Foreign Currency Exchange Contracts(a)

     $      $ (148,740    $  

Futures Contracts(a)

       (1,388,972              

Written option contracts

              (241,264       
Total      $ (1,388,972    $ (390,004    $  

 

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


GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

GROWTH AND INCOME STRATEGY           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Underlying Funds

          

Dynamic

     $ 27,770,271      $      $         —  

Equity

       250,280,937                

Exchange Traded Funds

       404,667,645                

Fixed Income

       185,229,183                

Investment Companies

       78,502,632                
Total      $ 946,450,668      $      $  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(a)

     $      $ 1,134,680      $  

Futures Contracts(a)

       5,011,036                

Purchased Option Contracts

       463,375        40,718         
Total      $ 5,474,411      $ 1,175,398      $  
Liabilities           

Forward Foreign Currency Exchange Contracts(a)

     $      $ (242,668    $  

Futures Contracts(a)

       (2,131,311              

Written Option Contracts

              (317,411       
Total      $ (2,131,311    $ (560,079    $  

 

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

 

GROWTH STRATEGY           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Underlying Funds

          

Dynamic

     $ 15,773,882      $      $         —  

Equity

       292,866,402                

Exchange Traded Funds

       411,676,426                

Fixed Income

       67,137,993                

Investment Companies

       110,083,481                
Total      $ 897,538,184      $      $  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(a)

     $      $ 1,070,564      $  

Futures Contracts(a)

       5,491,281                

Purchased Option Contracts

       502,519        28,206         
Total      $ 5,993,800      $ 1,098,770      $  
Liabilities           

Forward Foreign Currency Exchange Contracts(a)

     $      $ (228,509    $  

Futures Contracts(a)

       (2,111,099              

Written option contracts

              (222,687       
Total      $ (2,111,099    $ (451,196    $  

 

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


GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

SATELLITE STRATEGIES               
Investment Type      Level 1        Level 2        Level 3  
Assets               

Underlying Funds

              

Equity

     $ 74,158,729        $         —        $         —  

Exchange Traded Funds

       3,588,739                    

Fixed Income

       39,319,828                    
Total      $ 117,067,296        $        $  

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 funds. 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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Portfolio or an Underlying Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscations of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share 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 a Portfolio or an Underlying Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Portfolio or an Underlying Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

Investments in the Underlying Funds Risk — The investments of the Portfolios may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Portfolios’ investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolios are subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Portfolios have a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.

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 cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not


GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

otherwise do so, which may negatively impact a Portfolio’s or an 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 Portfolio’s or the Underlying Fund’s expense ratio. 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 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 and an Underlying Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of securities in which a Portfolio and/or an Underlying Fund 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/or an Underlying Fund and their investments. Additionally, a Portfolio and/or an Underlying Fund 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 and the Underlying Fund have unsettled or open transactions defaults.



Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings

Related Entities

Goldman Sachs