Back to mobile site

Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 24, 2020 5:09 PM EST

Get instant alerts when news breaks on your stocks. Claim your 1-week free trial to StreetInsider Premium here.

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000015787
        C000058992
        C000201770
        C000161523
        C000043360
        C000043359
        C000058993
        C000043358
      
      
      
    
  
  
    
      Goldman Sachs Trust
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71 South Wacker Drive
      Chicago
      
      60606
      312-655-4400
      Goldman Sachs Commodity Strategy Fund
      S000015787
      KSLHF8U0UKNUMV03EB51
      2020-12-31
      2020-09-30
      N
    
    
      218751907.64
      8314357.18
      210437550.46
      0.00000000
      41170277.59000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      14373770.59000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M9NT5
        
          
        
        243928.11960000
        PA
        USD
        279484.58000000
        0.132811173380
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128P7A86
        
          
        
        24652.85480000
        PA
        USD
        27016.15000000
        0.012838084239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296PKS0
        
          
        
        1516.29360000
        PA
        USD
        1737.32000000
        0.000825575091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        9000000.00000000
        PA
        USD
        57115.57000000
        0.027141339497
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Merrill Lynch International
              AHYI0DDQ2LCHPGHJC422
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2020-10-26
            0.00000000
            USD
            0.00000000
            USD
            9000000.00000000
            USD
            57115.57000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31402DF70
        
          
        
        6998.95220000
        PA
        USD
        8239.96000000
        0.003915631968
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M7HT6
        
          
        
        149535.11360000
        PA
        USD
        171370.30000000
        0.081435228468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31414FUQ2
        
          
        
        270.53540000
        PA
        USD
        325.37000000
        0.000154615941
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Funds - Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund - Institutional Shares
        38141W273
        
          
        
        148434166.73000000
        NS
        USD
        148434166.73000000
        70.53596965253
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M5CH1
        
          
        
        64513.51700000
        PA
        USD
        73917.31000000
        0.035125532414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413FJ29
        
          
        
        43252.79320000
        PA
        USD
        51862.45000000
        0.024645054975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31415VDT9
        
          
        
        213.42720000
        PA
        USD
        257.30000000
        0.000122269052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413QRP5
        
          
        
        2528.09000000
        PA
        USD
        3039.96000000
        0.001444590090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296NDW4
        
          
        
        917.44290000
        PA
        USD
        1051.17000000
        0.000499516363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31414AVP4
        
          
        
        16885.16590000
        PA
        USD
        20239.68000000
        0.009617903247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31416VJ39
        
          
        
        1485.65810000
        PA
        USD
        1773.74000000
        0.000842881888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31292HXB5
        
          
        
        1020.44260000
        PA
        USD
        1169.19000000
        0.000555599510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bonds
        912810RG5
        
          
        
        20000.00000000
        PA
        USD
        28225.00000000
        0.013412530196
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 2 Year Note
        N/A
        
          
          
        
        -49.00000000
        NC
        USD
        -4765.48000000
        -0.00226455781
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                United States of America
                U.S. Treasury 2 Year Note
                
                  
                
              
            
            2020-12-31
            -10825937.50000000
            USD
            -4765.48000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31407HTD8
        
          
        
        256815.53410000
        PA
        USD
        306224.71000000
        0.145518092816
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        3138EHGD8
        
          
        
        2151.36470000
        PA
        USD
        2576.76000000
        0.001224477282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296LK75
        
          
        
        4924.69560000
        PA
        USD
        5642.57000000
        0.002681351302
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31402CVV1
        
          
        
        3860.13950000
        PA
        USD
        4517.47000000
        0.002146703375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, Series 2755, Class ZA
        31394PP72
        
          
        
        337684.30700000
        PA
        USD
        381580.90000000
        0.181327381527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31414UW79
        
          
        
        714709.67290000
        PA
        USD
        816432.23000000
        0.387968890635
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, Series 3371, Class FA
        31397KNW7
        
          
        
        140556.77000000
        PA
        USD
        142855.49000000
        0.067884980455
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-15
          Floating
          0.75237800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31416B6S2
        
          
        
        1896.64860000
        PA
        USD
        2271.79000000
        0.001079555428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31402DGM6
        
          
        
        7244.22200000
        PA
        USD
        8508.65000000
        0.004043313553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31410X6R2
        
          
        
        6508.16100000
        PA
        USD
        7817.23000000
        0.003714750520
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 10 Year Ultra Note
        N/A
        
          
          
        
        -16.00000000
        NC
        USD
        4006.72000000
        0.001903994791
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                United States of America
                U.S. Treasury 10 Year Ultra Note
                
                  
                
              
            
            2020-12-21
            -2556750.00000000
            USD
            4006.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        49100237.53000000
        PA
        USD
        -1796386.11000000
        -0.85364332842
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2021-04-08
            0.00000000
            USD
            0.00000000
            USD
            49100237.53000000
            USD
            -1796386.11000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288JY67
        
          
        
        5627.58450000
        PA
        USD
        6447.67000000
        0.003063935113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        3138EKWH4
        
          
        
        90091.96600000
        PA
        USD
        107938.22000000
        0.051292281137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bonds
        912810RD2
        
          
        
        1990000.00000000
        PA
        USD
        2956082.81000000
        1.404731619208
        Long
        DBT
        UST
        US
        N
        
        1
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 10 Year Note
        N/A
        
          
          
        
        8.00000000
        NC
        USD
        -1013.28000000
        -0.00048151102
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury 10 Year Note
                
                  
                
              
            
            2020-12-21
            1116000.00000000
            USD
            -1013.28000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31292H4H4
        
          
        
        4699.85370000
        PA
        USD
        5384.95000000
        0.002558930185
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31412SZE8
        
          
        
        1896.07280000
        PA
        USD
        2275.27000000
        0.001081209125
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31376KS31
        
          
        
        64077.39620000
        PA
        USD
        76402.17000000
        0.036306338784
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128KRY73
        
          
        
        20719.17730000
        PA
        USD
        23863.20000000
        0.011339801260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        312930J43
        
          
        
        3979.90070000
        PA
        USD
        4583.81000000
        0.002178228167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31297CWV8
        
          
        
        219223.28690000
        PA
        USD
        251178.31000000
        0.119360023651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31416WMD1
        
          
        
        24812.34750000
        PA
        USD
        27737.34000000
        0.013180793988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        3 Month Eurodollar
        N/A
        
          
          
        
        1.00000000
        NC
        USD
        4305.37000000
        0.002045913379
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                3 Month Eurodollar
                
                  
                
              
            
            2020-12-14
            249387.50000000
            USD
            4305.37000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128MJH94
        
          
        
        169646.14840000
        PA
        USD
        194418.75000000
        0.092387860234
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, Series 4273, Class PD
        3137B66C0
        
          
        
        880371.26000000
        PA
        USD
        1067757.14000000
        0.507398578659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BSWP
        N/A
        
          
        
        9100000.00000000
        PA
        USD
        5394.32000000
        0.002563382812
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            229.25000000
            USD
            0.00000000
            USD
            9100000.00000000
            USD
            5394.32000000
          
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bonds
        912810RX8
        
          
        
        4780000.00000000
        PA
        USD
        6476153.13000000
        3.077470306912
        Long
        DBT
        UST
        US
        N
        
        1
        
          2047-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M6UY2
        
          
        
        16170.97310000
        PA
        USD
        18528.13000000
        0.008804574069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288H6W5
        
          
        
        393.81330000
        PA
        USD
        451.22000000
        0.000214419907
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296XES0
        
          
        
        2934.63650000
        PA
        USD
        3379.84000000
        0.001606101188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413CZK8
        
          
        
        31314.06830000
        PA
        USD
        37581.63000000
        0.017858804152
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31283HZY4
        
          
        
        386.26480000
        PA
        USD
        442.57000000
        0.000210309423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M6JM1
        
          
        
        122471.95960000
        PA
        USD
        140355.95000000
        0.066697198144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        1000000.00000000
        PA
        USD
        22387.29000000
        0.010638448295
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Merrill Lynch International
              AHYI0DDQ2LCHPGHJC422
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2020-10-26
            0.00000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            22387.29000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296TQ72
        
          
        
        924.04480000
        PA
        USD
        1058.74000000
        0.000503113630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        4946321.00000000
        PA
        USD
        -180925.92000000
        -0.08597606254
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Merrill Lynch International
              AHYI0DDQ2LCHPGHJC422
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2020-10-26
            0.00000000
            USD
            0.00000000
            USD
            4946321.00000000
            USD
            -180925.92000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288EK97
        
          
        
        10390.17840000
        PA
        USD
        11883.34000000
        0.005646967460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128L7L96
        
          
        
        8739.51960000
        PA
        USD
        10015.71000000
        0.004759469010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128L8KE4
        
          
        
        77061.15830000
        PA
        USD
        88314.03000000
        0.041966858959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M7LA2
        
          
        
        2292.37330000
        PA
        USD
        2626.52000000
        0.001248123252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296NRM1
        
          
        
        181.79170000
        PA
        USD
        208.28000000
        0.000098974731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        312930J76
        
          
        
        2881.97310000
        PA
        USD
        3302.06000000
        0.001569140104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31411GSQ6
        
          
        
        1246.53080000
        PA
        USD
        1492.75000000
        0.000709355339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31416BMS4
        
          
        
        46191.75260000
        PA
        USD
        55412.86000000
        0.026332211090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296XSF3
        
          
        
        471.91540000
        PA
        USD
        543.53000000
        0.000258285652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128LXBF6
        
          
        
        1141290.98600000
        PA
        USD
        1314475.64000000
        0.624639298987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413QKA5
        
          
        
        10250.05490000
        PA
        USD
        12326.71000000
        0.005857657045
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury Ultra Bond
        N/A
        
          
          
        
        -50.00000000
        NC
        USD
        -52964.12000000
        -0.02516856895
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                United States of America
                U.S. Treasury Ultra Bond
                
                  
                
              
            
            2020-12-21
            -11070312.50000000
            USD
            -52964.12000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC, Series 4246, Class PT
        3137B4PT7
        
          
        
        171986.05000000
        PA
        USD
        204695.10000000
        0.097271185466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296UXF3
        
          
        
        2576.95230000
        PA
        USD
        2967.99000000
        0.001410389920
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2012-153, Class B
        3136ABDT7
        
          
        
        846654.30000000
        PA
        USD
        1069636.54000000
        0.508291670218
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296TGJ7
        
          
        
        3110.59520000
        PA
        USD
        3582.60000000
        0.001702452814
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31410WS82
        
          
        
        2480.95040000
        PA
        USD
        2976.75000000
        0.001414552675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Multifamily Structured Pass-Through Certificates, Series K011, Class A2
        3137A7NU0
        
          
        
        3136755.16000000
        PA
        USD
        3144559.09000000
        1.494295615552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2020-11-25
          Variable
          4.08399800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31416VJ62
        
          
        
        5829.19030000
        PA
        USD
        6944.32000000
        0.003299943372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC Multifamily Structured Pass-Through Certificates, Series K714, Class A2
        3137B6ZM6
        
          
        
        44195.91000000
        PA
        USD
        44210.63000000
        0.021008907347
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2020-10-25
          Variable
          3.03400100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31415BPD5
        
          
        
        511.11460000
        PA
        USD
        576.88000000
        0.000274133584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413LLL1
        
          
        
        52735.09880000
        PA
        USD
        63087.54000000
        0.029979221798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Bonds
        912810QY7
        
          
        
        1100000.00000000
        PA
        USD
        1408515.63000000
        0.669327136207
        Long
        DBT
        UST
        US
        N
        
        1
        
          2042-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296KES8
        
          
        
        428.86030000
        PA
        USD
        491.38000000
        0.000233503953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296MF38
        
          
        
        807.61260000
        PA
        USD
        918.48000000
        0.000436462027
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31414LHR2
        
          
        
        1828.29510000
        PA
        USD
        2147.08000000
        0.001020293191
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31411ELR6
        
          
        
        142620.26920000
        PA
        USD
        171495.17000000
        0.081494566737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        312929MQ2
        
          
        
        97606.21980000
        PA
        USD
        111859.18000000
        0.053155522745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296LQG9
        
          
        
        751.14620000
        PA
        USD
        856.57000000
        0.000407042373
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413A3U5
        
          
        
        28856.54530000
        PA
        USD
        34696.73000000
        0.016487898630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413HL89
        
          
        
        3730.38910000
        PA
        USD
        4463.87000000
        0.002121232636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128KLZG5
        
          
        
        17382.46110000
        PA
        USD
        19916.32000000
        0.009464242458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296USS1
        
          
        
        3375.91700000
        PA
        USD
        3888.18000000
        0.001847664540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31297BBH4
        
          
        
        5723.37610000
        PA
        USD
        6591.87000000
        0.003132459005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        56091704.76000000
        PA
        USD
        -2314172.75000000
        -1.09969572680
        N/A
        DCO
        
        AU
        N
        
        2
        
          
            
              Macquarie Bank
              4ZHCHI4KYZG2WVRT8631
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2021-04-16
            0.00000000
            USD
            0.00000000
            USD
            56091704.76000000
            USD
            -2314172.75000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296XPM1
        
          
        
        8692.57320000
        PA
        USD
        10011.62000000
        0.004757525440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31410KHE7
        
          
        
        34185.96460000
        PA
        USD
        41090.21000000
        0.019526082636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296XLG8
        
          
        
        907.13970000
        PA
        USD
        1044.79000000
        0.000496484585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296MGU7
        
          
        
        823.01820000
        PA
        USD
        942.99000000
        0.000448109188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M7A97
        
          
        
        266322.93300000
        PA
        USD
        305145.05000000
        0.145005037994
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31417KUM7
        
          
        
        6980.50000000
        PA
        USD
        7693.18000000
        0.003655801915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCUA Guaranteed Notes Trust
        N/A
        NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A
        62888VAA6
        
          
        
        112928.81000000
        PA
        USD
        112953.34000000
        0.053675467972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2020-10-07
          Floating
          0.60475000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296PBX9
        
          
        
        8314.62700000
        PA
        USD
        9526.28000000
        0.004526891697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        912828YD6
        
          
        
        40000.00000000
        PA
        USD
        42353.13000000
        0.020126222676
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-08-31
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296YUA9
        
          
        
        381.92700000
        PA
        USD
        439.88000000
        0.000209031134
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury 5 Year Note
        N/A
        
          
          
        
        -22.00000000
        NC
        USD
        -4633.37000000
        -0.00220177909
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                United States of America
                U.S. Treasury 5 Year Note
                
                  
                
              
            
            2020-12-31
            -2772171.86000000
            USD
            -4633.37000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296XB38
        
          
        
        1044.77020000
        PA
        USD
        1203.31000000
        0.000571813346
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        3138ANZG1
        
          
        
        80765.06000000
        PA
        USD
        90213.72000000
        0.042869592334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31292HX33
        
          
        
        15572.81980000
        PA
        USD
        17842.86000000
        0.008478933517
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        87225833.00000000
        PA
        USD
        -3190535.94000000
        -1.51614383128
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Merrill Lynch International
              AHYI0DDQ2LCHPGHJC422
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2020-10-22
            0.00000000
            USD
            0.00000000
            USD
            87225833.00000000
            USD
            -3190535.94000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296UCR0
        
          
        
        383.74020000
        PA
        USD
        441.96000000
        0.000210019551
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        312933JV7
        
          
        
        1400.82700000
        PA
        USD
        1605.02000000
        0.000762706083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296LST9
        
          
        
        490.35180000
        PA
        USD
        561.83000000
        0.000266981818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296TXJ8
        
          
        
        1075.10120000
        PA
        USD
        1231.81000000
        0.000585356556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31292HXN9
        
          
        
        15653.41600000
        PA
        USD
        17935.20000000
        0.008522813519
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        3508025.37000000
        PA
        USD
        -128316.10000000
        -0.06097585707
        N/A
        DCO
        
        US
        N
        
        2
        
          
            
              Merrill Lynch International
              AHYI0DDQ2LCHPGHJC422
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2020-10-26
            0.00000000
            USD
            0.00000000
            USD
            3508025.37000000
            USD
            -128316.10000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31412AFH2
        
          
        
        1215.21080000
        PA
        USD
        1442.81000000
        0.000685623833
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31411NJT5
        
          
        
        935.92560000
        PA
        USD
        1120.79000000
        0.000532599812
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31407Y7B9
        
          
        
        182425.33420000
        PA
        USD
        218262.63000000
        0.103718480624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CTRSI
        N/A
        
          
        
        6516482.03000000
        PA
        USD
        -238412.63000000
        -0.11329376790
        N/A
        DCO
        
        FR
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            
              
                S&P GSCI Official Close Excess Return Index
                S&P GSCI Official Close Excess Return Index
              
            
            Y
            
              
                
              
            
            
            2021-04-08
            0.00000000
            USD
            0.00000000
            USD
            6516482.03000000
            USD
            -238412.63000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31412ANS9
        
          
        
        87998.17610000
        PA
        USD
        105506.80000000
        0.050136869474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128L5AG6
        
          
        
        43494.43630000
        PA
        USD
        49834.66000000
        0.023681448434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128P7K36
        
          
        
        22611.50710000
        PA
        USD
        24964.37000000
        0.011863077642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128L6YE3
        
          
        
        49980.41520000
        PA
        USD
        57266.10000000
        0.027212871407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31283HZN8
        
          
        
        12049.27220000
        PA
        USD
        13805.69000000
        0.006560468875
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296JQB5
        
          
        
        974.30120000
        PA
        USD
        1116.32000000
        0.000530475667
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128LXB90
        
          
        
        3273.28850000
        PA
        USD
        3750.43000000
        0.001782205690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31410F5Y7
        
          
        
        1789.21090000
        PA
        USD
        2145.13000000
        0.001019366550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128K4H40
        
          
        
        53915.75720000
        PA
        USD
        62030.55000000
        0.029476939768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31410WSJ8
        
          
        
        23047.81320000
        PA
        USD
        27714.92000000
        0.013170139996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31416ANN6
        
          
        
        2037.71300000
        PA
        USD
        2445.56000000
        0.001162130995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        3138ELCH4
        
          
        
        21500.35860000
        PA
        USD
        25805.01000000
        0.012262550074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCUA Guaranteed Notes Trust
        N/A
        NCUA Guaranteed Notes Trust, Series 2010-A1, Class A
        62889AAA1
        
          
        
        162918.88000000
        PA
        USD
        162527.57000000
        0.077233159977
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2020-12-07
          Floating
          0.50550100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31409JVL1
        
          
        
        561.68340000
        PA
        USD
        674.04000000
        0.000320304051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296NV61
        
          
        
        3341.15360000
        PA
        USD
        3828.19000000
        0.001819157270
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31296RH27
        
          
        
        413.90720000
        PA
        USD
        474.24000000
        0.000225359019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31413D7A9
        
          
        
        36002.96600000
        PA
        USD
        41712.51000000
        0.019821799820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31407E4J9
        
          
        
        102739.06580000
        PA
        USD
        122962.31000000
        0.058431734132
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States of America
        254900HROIFWPRGM1V77
        U.S. Treasury Notes
        9128285T3
        
          
        
        2490000.00000000
        PA
        USD
        2790550.79000000
        1.326070743505
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-12-31
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31415XER8
        
          
        
        7534.97380000
        PA
        USD
        9047.23000000
        0.004299246964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31414H5C7
        
          
        
        257319.48240000
        PA
        USD
        309315.77000000
        0.146986965645
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31414AG97
        
          
        
        30900.71970000
        PA
        USD
        37176.43000000
        0.017666252966
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31403DA41
        
          
        
        123227.76460000
        PA
        USD
        146551.35000000
        0.069641254462
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMACM Home Equity Loan Trust
        N/A
        GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1
        36186MAC5
        
          
        
        50969.60000000
        PA
        USD
        51859.74000000
        0.024643767182
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          6.99999800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31415RL36
        
          
        
        352.95370000
        PA
        USD
        425.37000000
        0.000202135977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        U.S. Treasury Long Bond
        N/A
        
          
          
        
        18.00000000
        NC
        USD
        23488.00000000
        0.011161506085
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                United States of America
                U.S. Treasury Long Bond
                
                  
                
              
            
            2020-12-21
            3170812.50000000
            USD
            23488.00000000
          
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        FNMA, Series 2012-111, Class B
        3136A9EA2
        
          
        
        235196.65000000
        PA
        USD
        290758.38000000
        0.138168487213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        31410MTC4
        
          
        
        3078.25610000
        PA
        USD
        3663.80000000
        0.001741039083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128M7PB6
        
          
        
        37220.04360000
        PA
        USD
        42654.93000000
        0.020269638145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        31288GH39
        
          
        
        261.58550000
        PA
        USD
        299.71000000
        0.000142422300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FNMA
        B1V7KEBTPIMZEU4LTD58
        UMBS
        3138EQ3N0
        
          
        
        187056.36410000
        PA
        USD
        224508.43000000
        0.106686487040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC
        S6XOOCT0IEG5ABCC6L87
        FHLMC
        3128LC4Y9
        
          
        
        56217.45790000
        PA
        USD
        64412.06000000
        0.030608634181
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      2020-10-30
      Goldman Sachs Trust
      Peter Fortner
      Peter Fortner
      Assistant Treasurer
    
  
  XXXX



GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – 22.1%
 

Automobiles & Components – 0.2%

  600      Aptiv plc   $            55,008
  2,400      Bayerische Motoren Werke AG   174,185
  4,000      BorgWarner, Inc.   154,960
  700      Bridgestone Corp.   22,126
  1,800      Cie Generale des Etablissements Michelin SCA   193,226
  1,000      Continental AG   108,368
  5,300      Daimler AG (Registered)   285,909
  800      Faurecia SE*   34,484
  8,100      Fiat Chrysler Automobiles NV*   99,427
  35,900      Ford Motor Co.   239,094
  202,302      General Motors Co.   5,986,116
  1,600      Honda Motor Co. Ltd.   37,996
  300      Nissan Motor Co. Ltd.   1,061
  2,500      NOK Corp.   26,082
  300      Nokian Renkaat OYJ   8,480
  2,700      Renault SA*   70,040
  1,700      Sumitomo Electric Industries Ltd.   19,138
  2,800      Sumitomo Rubber Industries Ltd.   26,010
  2,600      TI Fluid Systems plc   5,164
  900      Tokai Rika Co. Ltd.   13,457
  200      TS Tech Co. Ltd.   5,655
  1,000      Valeo SA   30,708
  1,300      Yokohama Rubber Co. Ltd. (The)   18,506
    

 

     7,615,200

 

 

 

Banks – 0.7%

  500      77 Bank Ltd. (The)   7,720
  52,800      Banco BPM SpA   89,311
  284,100      Banco de Sabadell SA   98,606
  405,189      Bank of America Corp.   9,761,003
  1,300      Bank of Georgia Group plc*   14,950
  47,200      Barclays plc   59,546
  300      BAWAG Group AG   10,846
  4,100      BNP Paribas SA*   148,316
  20,800      CaixaBank SA   44,156
  9,000      Citigroup, Inc.   387,990
  9,762      Citizens Financial Group, Inc.   246,783
  1,200      Close Brothers Group plc   15,784
  5,400      Comerica, Inc.   206,550
  11,600      Credit Agricole SA*   101,209
  800      Daishi Hokuetsu Financial Group, Inc.   16,551
  2,200      Erste Group Bank AG   46,069
  10,500      Fifth Third Bancorp   223,860
  1,400      FinecoBank Banca Fineco SpA*   19,283
  1,000      Gunma Bank Ltd. (The)   3,334
  1,700      Hokuhoku Financial Group, Inc.   17,112
  1,200      HSBC Holdings plc   4,695
  16,500      Huntington Bancshares, Inc.   151,305
  14,100      ING Groep NV   100,630
  55,600      Intesa Sanpaolo SpA   104,607
  400      Iyo Bank Ltd. (The)   2,652
  121,100      JPMorgan Chase & Co.   11,658,297
  15,400      KeyCorp   183,722
  123,100      Lloyds Banking Group plc   41,790
  1,700      M&T Bank Corp.   156,553
  1,100      Mebuki Financial Group, Inc.   2,496
  2,220      Mizuho Financial Group, Inc.   27,709
  10,700      Natwest Group plc   14,653

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Banks – (continued)

  1,900      Nishi-Nippon Financial Holdings, Inc.   $            13,254
  8,900      OneSavings Bank plc   32,003
  4,000      Paragon Banking Group plc   17,149
  4,700      Raiffeisen Bank International AG*   71,938
  5,400      Regions Financial Corp.   62,262
  3,600      Resona Holdings, Inc.   12,264
  600      Seven Bank Ltd.   1,454
  800      Shinsei Bank Ltd.   9,878
  10,800      Standard Chartered plc   49,697
  600      Sumitomo Mitsui Trust Holdings, Inc.   15,962
  100      SVB Financial Group*   24,062
  700      TBC Bank Group plc*   9,163
  4,800      US Bancorp   172,080
  10,330      Wells Fargo & Co.   242,858
  5,000      Zions Bancorp NA   146,100
    

 

     24,848,212

 

 

 

Capital Goods – 0.4%

  189      3M Co.   30,274
  1,600      A O Smith Corp.   84,480
  700      Aalberts NV   25,172
  2,888      ACS Actividades de Construccion y Servicios SA   65,282
  100      Aica Kogyo Co. Ltd.   3,565
  100      Amada Co. Ltd.   935
  1,000      AMETEK, Inc.   99,400
  1,600      ANDRITZ AG   49,385
  1,100      Ashtead Group plc   39,613
  100      Avon Rubber plc   5,458
  1,300      Bodycote plc   9,736
  1,900      Bouygues SA   65,657
  1,400      Brenntag AG   89,015
  700      Bunzl plc   22,600
  5,800      Carrier Global Corp.   177,132
  200      Central Glass Co. Ltd.   4,160
  1,916      Chemring Group plc   5,951
  3,300      Cie de Saint-Gobain*   138,228
  300      COMSYS Holdings Corp.   8,371
  600      Cummins, Inc.   126,696
  100      Daifuku Co. Ltd.   10,094
  100      Daikin Industries Ltd.   18,477
  200      DCC plc   15,483
  18,900      Deere & Co.   4,188,807
  400      Diploma plc   11,342
  800      DMG Mori Co. Ltd.   11,090
  1,000      Dover Corp.   108,340
  1,700      Eaton Corp. plc   173,451
  400      Ebara Corp.   10,846
  1,100      Eiffage SA*   89,776
  1,000      Electrocomponents plc   9,166
  2,100      Emerson Electric Co.   137,697
  500      Ferguson plc   50,315
  3,700      Flowserve Corp.   100,973
  2,100      Fortive Corp.   160,041
  1,400      Fortune Brands Home & Security, Inc.   121,128
  200      Fuji Electric Co. Ltd.   6,340
  5,200      Fujikura Ltd.   14,416
  1,900      GEA Group AG   66,573
  1,100      General Dynamics Corp.   152,273
  43,700      General Electric Co.   272,251

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Capital Goods – (continued)

  300      Glory Ltd.   $              6,726
  600      GS Yuasa Corp.   10,368
  900      Hanwa Co. Ltd.   18,016
  107,635      HD Supply Holdings, Inc.*   4,438,867
  1,700      Hino Motors Ltd.   11,031
  100      Hitachi Construction Machinery Co. Ltd.   3,624
  100      HOCHTIEF AG   7,763
  100      Honeywell International, Inc.   16,461
  300      Howden Joinery Group plc   2,283
  1,100      Huntington Ingalls Industries, Inc.   154,825
  100      IDEX Corp.   18,241
  100      Illinois Tool Works, Inc.   19,321
  400      IMCD NV   47,574
  1,200      IMI plc   16,188
  2,900      Ingersoll Rand, Inc.*   103,240
  100      Interpump Group SpA   3,708
  1,700      ITOCHU Corp.   43,530
  600      Jacobs Engineering Group, Inc.   55,662
  300      Japan Steel Works Ltd. (The)   5,278
  1,200      JGC Holdings Corp.   12,447
  400      John Laing Group plc   1,614
  1,900      Johnson Controls International plc   77,615
  800      Kinden Corp.   14,129
  300      Kingspan Group plc   27,302
  500      KION Group AG   42,695
  100      Knorr-Bremse AG   11,776
  100      Komatsu Ltd.   2,196
  300      Kone OYJ Class B   26,341
  400      Kyudenko Corp.   11,528
  100      Legrand SA   7,965
  1,000      LIXIL Group Corp.   20,212
  2,100      Maeda Corp.   15,391
  100      Makita Corp.   4,786
  4,400      Marubeni Corp.   24,981
  500      Masco Corp.   27,565
  5,100      Meggitt plc   16,924
  14,800      Melrose Industries plc*   21,946
  400      MINEBEA MITSUMI, Inc.   7,619
  100      MISUMI Group, Inc.   2,804
  1,600      Mitsubishi Corp.   38,297
  1,800      Mitsubishi Electric Corp.   24,425
  700      Mitsubishi Heavy Industries Ltd.   15,498
  1,600      Mitsui & Co. Ltd.   27,493
  100      Miura Co. Ltd.   4,905
  200      MonotaRO Co. Ltd.   9,934
  4,200      Morgan Advanced Materials plc   12,880
  1,605      Morgan Sindall Group plc   23,559
  100      Nabtesco Corp.   3,631
  100      Nachi-Fujikoshi Corp.   3,519
  500      Nagase & Co. Ltd.   7,003
  1,600      Nisshinbo Holdings, Inc.   10,914
  1,800      Obayashi Corp.   16,433
  792      Parker-Hannifin Corp.   160,253
  2,300      Pentair plc   105,271
  668      Polypipe Group plc*   3,727
  2,100      Prysmian SpA   60,958
  3,913      Quanta Services, Inc.   206,841
  11,387      Rexel SA*   142,771
  500      Rockwell Automation, Inc.   110,340
  6,000      Rolls-Royce Holdings plc*   9,962

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Capital Goods – (continued)

  500      Rotork plc   $              1,813
  1,100      Sanwa Holdings Corp.   11,664
  600      Schneider Electric SE   74,579
  1,200      Shimizu Corp.   9,034
  2,100      Siemens AG (Registered)   265,207
  1,200      Siemens Gamesa Renewable Energy SA   32,475
  2,300      Signify NV*   85,070
  900      Snap-on, Inc.   132,417
  3,700      Sojitz Corp.   8,397
  100      Spirax-Sarco Engineering plc   14,240
  500      Stanley Black & Decker, Inc.   81,100
  2,000      Sumitomo Corp.   24,109
  400      Taisei Corp.   13,539
  300      Teledyne Technologies, Inc.*   93,063
  400      Thales SA   29,979
  2,600      Toda Corp.   17,845
  600      Toyota Tsusho Corp.   16,876
  500      Trane Technologies plc   60,625
  1,000      Travis Perkins plc   13,991
  200      Ultra Electronics Holdings plc   5,375
  960      United Rentals, Inc.*   167,520
  1,300      Valmet OYJ   32,067
  3,200      Vesuvius plc   16,310
  1,459      Vinci SA   121,909
  900      Weir Group plc (The)   14,488
  2,400      Westinghouse Air Brake Technologies Corp.   148,512
  500      Xylem, Inc.   42,060
    

 

     14,673,409

 

 

 

Commercial & Professional Services – 0.3%

  3,500      Aggreko plc   16,643
  6,400      Biffa plc   17,914
  100      Bureau Veritas SA*   2,254
  50,200      Copart, Inc.*   5,279,032
  4,900      CoStar Group, Inc.*   4,157,699
  600      Dai Nippon Printing Co. Ltd.   12,162
  4,800      Elis SA*   60,595
  300      Experian plc   11,272
  9,900      G4S plc*   25,534
  300      HomeServe plc   4,780
  100      Kokuyo Co. Ltd.   1,261
  10,900      Nielsen Holdings plc   154,562
  100      Nihon M&A Center, Inc.   5,721
  2,400      Pagegroup plc   11,570
  100      PayPoint plc   650
  400      Persol Holdings Co. Ltd.   6,534
  100      Pilot Corp.   2,940
  1,900      Randstad NV*   99,076
  100      Recruit Holdings Co. Ltd.   3,972
  1,400      Rentokil Initial plc   9,677
  900      Republic Services, Inc.   84,015
  2,825      Robert Half International, Inc.   149,555
  3,100      Rollins, Inc.   167,989
  9,700      Serco Group plc   15,880
  100      Sohgo Security Services Co. Ltd.   4,764
  5,700      SPIE SA   102,150
  500      Toppan Printing Co. Ltd.   7,067
  84      Verisk Analytics, Inc.   15,566
  200      Waste Management, Inc.   22,634

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Commercial & Professional Services – (continued)

  100      Wolters Kluwer NV   $              8,530
    

 

     10,461,998

 

 

 

Consumer Durables & Apparel – 0.5%

  100      Asics Corp.   1,398
  200      Bellway plc   6,062
  200      Berkeley Group Holdings plc   10,903
  100      Burberry Group plc   2,004
  200      Casio Computer Co. Ltd.   3,238
  8,300      Coats Group plc   5,973
  1,200      Countryside Properties plc   5,204
  1,700      Crest Nicholson Holdings plc   4,331
  2,200      DR Horton, Inc.   166,386
  1,400      EssilorLuxottica SA*   190,591
  200      Fujitsu General Ltd.   5,820
  100      Games Workshop Group plc   13,120
  11,262      Hanesbrands, Inc.   177,377
  200      Haseko Corp.   2,634
  1,300      Iida Group Holdings Co. Ltd.   26,312
  3,600      Leggett & Platt, Inc.   148,212
  2,867      Lennar Corp. Class A   234,177
  2,300      Mohawk Industries, Inc.*   224,457
  11,978      Newell Brands, Inc.   205,542
  65,100      NIKE, Inc. Class B   8,172,654
  700      Panasonic Corp.   5,963
  400      Persimmon plc   12,747
  63,630      PulteGroup, Inc.   2,945,433
  200      Puma SE*   17,979
  4,400      PVH Corp.   262,416
  1,100      Ralph Lauren Corp.   74,767
  100      Rinnai Corp.   9,754
  200      Sangetsu Corp.   3,083
  500      SEB SA   81,336
  600      Sega Sammy Holdings, Inc.   7,313
  1,500      Sekisui House Ltd.   26,581
  1,200      Sony Corp.   91,970
  2,600      Tapestry, Inc.   40,638
  1,670      Under Armour, Inc. Class A*   18,754
  1,761      Under Armour, Inc. Class C*   17,328
  1,577      Vistry Group plc   11,557
  23,900      Whirlpool Corp.   4,394,971
    

 

     17,628,985

 

 

 

Consumer Services – 0.2%

  600      888 Holdings plc   1,945
  100      Accor SA*   2,799
  500      Benesse Holdings, Inc.   12,869
  4,000      Carnival Corp.   60,720
  2,600      Compass Group plc   39,057
  1,700      Domino’s Pizza Group plc   8,000
  400      Domino’s Pizza, Inc.   170,112
  300      Flutter Entertainment plc   47,494
  2,900      GVC Holdings plc   36,320
  1,300      Hilton Worldwide Holdings, Inc.   110,916
  700      J D Wetherspoon plc   7,536
  400      Las Vegas Sands Corp.   18,664
  1,200      Marriott International, Inc. Class A   111,096
  28,300      McDonald’s Corp.   6,211,567
  1,200      MGM Resorts International   26,100
  4,400      Mitchells & Butlers plc*   7,673

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Consumer Services – (continued)

  2,100      Norwegian Cruise Line Holdings Ltd.*   $            35,931
  2,800      Playtech plc   13,073
  1,100      Rank Group plc   1,318
  300      Skylark Holdings Co. Ltd.   4,286
  2,000      Sodexo SA   142,568
  400      SSP Group plc   928
  4,400      William Hill plc   15,641
  100      Yoshinoya Holdings Co. Ltd.   1,873
  300      Yum! Brands, Inc.   27,390
    

 

     7,115,876

 

 

 

Diversified Financials – 0.4%

  100      Acom Co. Ltd.   435
  2,200      AEON Financial Service Co. Ltd.   20,055
  300      AJ Bell plc   1,742
  200      American Express Co.   20,050
  500      Ameriprise Financial, Inc.   77,055
  300      Ashmore Group plc   1,385
  6,900      Bank of New York Mellon Corp. (The)   236,946
  233      Berkshire Hathaway, Inc. Class B*   49,615
  100      BlackRock, Inc.   56,355
  300      Brewin Dolphin Holdings plc   903
  200      Cboe Global Markets, Inc.   17,548
  100      CME Group, Inc.   16,731
  1,100      Credit Saison Co. Ltd.   11,687
  200      Deutsche Boerse AG   35,064
  100      Euronext NV   12,527
  2,000      EXOR NV   108,565
  5,000      Franklin Resources, Inc.   101,750
  100      Hargreaves Lansdown plc   2,012
  100      Hitachi Capital Corp.   2,351
  1,600      IG Group Holdings plc   16,344
  1,200      IntegraFin Holdings plc   7,860
  200      Intercontinental Exchange, Inc.   20,010
  800      Intermediate Capital Group plc   12,304
  28,065      Invesco Ltd.   320,222
  24,400      Investec plc   44,905
  400      Japan Exchange Group, Inc.   11,211
  1,900      Jupiter Fund Management plc   5,485
  300      Liontrust Asset Management plc   4,800
  22,300      M&G plc   45,836
  8,300      Man Group plc   12,304
  100      MarketAxess Holdings, Inc.   48,159
  3,500      Mitsubishi UFJ Lease & Finance Co. Ltd.   16,262
  85      Moody’s Corp.   24,637
  122,100      Morgan Stanley   5,903,535
  400      MSCI, Inc.   142,712
  8,400      Natixis SA*   18,877
  500      Ninety One plc*   1,311
  4,400      Nomura Holdings, Inc.   20,108
  1,900      ORIX Corp.   23,731
  1,000      Plus500 Ltd.   20,214
  4,200      Quilter plc   6,945
  1,700      Raymond James Financial, Inc.   123,692
  16,400      S&P Global, Inc.   5,913,840
  200      Schroders plc   6,946
  100      Sofina SA   27,301
  900      St James’s Place plc   10,827

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Diversified Financials – (continued)

  2,312      Standard Life Aberdeen plc   $              6,733
  2,400      State Street Corp.   142,392
  10,826      Synchrony Financial   283,316
  200      T. Rowe Price Group, Inc.   25,644
    

 

     14,041,239

 

 

 

Energy – 0.2%

  7,300      Baker Hughes Co.   97,017
  500      Cabot Oil & Gas Corp.   8,680
  20,900      Cairn Energy plc*   38,787
  76,400      Chevron Corp.   5,500,800
  1,600      Concho Resources, Inc.   70,592
  2,600      ConocoPhillips   85,384
  1,700      Devon Energy Corp.   16,082
  4,600      ENEOS Holdings, Inc.   16,412
  3,171      EOG Resources, Inc.   113,966
  9,000      Halliburton Co.   108,450
  4,700      HollyFrontier Corp.   92,637
  27,500      John Wood Group plc   75,503
  6,600      Kinder Morgan, Inc.   81,378
  277      Koninklijke Vopak NV   15,608
  5,500      Marathon Oil Corp.   22,495
  2,700      Marathon Petroleum Corp.   79,218
  11,500      National Oilwell Varco, Inc.   104,190
  3,700      OMV AG*   101,236
  1,400      Petrofac Ltd.   2,010
  1,500      Phillips 66   77,760
  8,400      Royal Dutch Shell plc Class A   104,860
  600      Royal Dutch Shell plc Class B   7,276
  7,700      Schlumberger NV   119,812
  11,300      Tenaris SA   56,298
  6,151      TOTAL SE   211,241
  2,100      Valero Energy Corp.   90,972
    

 

     7,298,664

 

 

 

Food & Staples Retailing – 0.7%

  1,200      Aeon Co. Ltd.   32,281
  200      Ain Holdings, Inc.   14,012
  11,437      Carrefour SA   182,753
  300      Colruyt SA*   19,469
  100      Cosmos Pharmaceutical Corp.   17,427
  20,200      Costco Wholesale Corp.   7,171,000
  29,000      J Sainsbury plc   71,402
  6,200      Jeronimo Martins SGPS SA   99,698
  4,400      Kesko OYJ Class B   113,366
  100      Kobe Bussan Co. Ltd.   5,507
  8,200      Koninklijke Ahold Delhaize NV   242,375
  136,200      Kroger Co. (The)   4,618,542
  300      Lawson, Inc.   14,305
  1,000      Seven & i Holdings Co. Ltd.   31,070
  200      Sugi Holdings Co. Ltd.   14,141
  200      Sysco Corp.   12,444
  1,300      Tesco plc   3,566
  8,800      Walgreens Boots Alliance, Inc.   316,096
  64,500      Walmart, Inc.   9,024,195
  200      Welcia Holdings Co. Ltd.   8,771
  19,800      Wm Morrison Supermarkets plc   43,460
    

 

     22,055,880

 

 

 

Food, Beverage & Tobacco – 0.5%

  2,400      AG Barr plc   15,073
  400      Ajinomoto Co., Inc.   8,198
  4,700      Altria Group, Inc.   181,608

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Food, Beverage & Tobacco – (continued)

  1,900      Anheuser-Busch InBev SA/NV   $          102,297
  500      Asahi Group Holdings Ltd.   17,426
  1,600      Associated British Foods plc   38,521
  5,700      British American Tobacco plc   204,467
  97,300      Bunge Ltd.   4,446,610
  6,760      C&C Group plc   17,095
  100      Calbee, Inc.   3,294
  2,800      Campbell Soup Co.   135,436
  900      Coca-Cola Co. (The)   44,433
  5,912      Conagra Brands, Inc.   211,118
  800      Constellation Brands, Inc. Class A   151,608
  227      Cranswick plc   10,623
  2,400      Danone SA   155,460
  100      Davide Campari-Milano NV   1,091
  100      Diageo plc   3,435
  400      Fuji Oil Holdings, Inc.   12,591
  4,055      General Mills, Inc.   250,112
  5,700      Glanbia plc   58,854
  32,000      Greencore Group plc   40,495
  400      Hershey Co. (The)   57,336
  500      Hormel Foods Corp.   24,445
  3,800      Imperial Brands plc   67,121
  100      Ito En Ltd.   7,132
  1,800      J M Smucker Co. (The)   207,936
  100      Japan Tobacco, Inc.   1,824
  300      Kellogg Co.   19,377
  100      Kerry Group plc Class A   12,809
  700      Kewpie Corp.   14,397
  100      Kirin Holdings Co. Ltd.   1,878
  103,200      Kraft Heinz Co. (The)   3,090,840
  800      Maruha Nichiro Corp.   18,356
  245      McCormick & Co., Inc. (Non-Voting)   47,554
  200      MEIJI Holdings Co. Ltd.   15,277
  9,532      Molson Coors Beverage Co. Class B   319,894
  3,400      Mondelez International, Inc. Class A   195,330
  200      NH Foods Ltd.   8,940
  400      Nichirei Corp.   10,578
  100      Nissin Foods Holdings Co. Ltd.   9,395
  49,200      PepsiCo, Inc.   6,819,120
  300      Philip Morris International, Inc.   22,497
  900      Sapporo Holdings Ltd.   16,187
  300      Suntory Beverage & Food Ltd.   11,266
  3,200      Tate & Lyle plc   27,463
  100      Toyo Suisan Kaisha Ltd.   5,281
  5,700      Tyson Foods, Inc. Class A   339,036
  1,000      Yamazaki Baking Co. Ltd.   17,431
    

 

     17,498,545

 

 

 

Health Care Equipment & Services – 1.7%

  63,100      Abbott Laboratories   6,867,173
  500      ABIOMED, Inc.*   138,530
  800      Alfresa Holdings Corp.   17,522
  300      Align Technology, Inc.*   98,208
  1,753      AmerisourceBergen Corp.   169,901
  100      Amplifon SpA*   3,576
  1,607      Anthem, Inc.   431,624
  100      Asahi Intecc Co. Ltd.   3,143
  200      Baxter International, Inc.   16,084
  100      Becton Dickinson and Co.   23,268
  300      BioMerieux   46,959

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Health Care Equipment & Services – (continued)

  5,000      Cardinal Health, Inc.   $          234,750
  100      Carl Zeiss Meditec AG   12,630
  5,800      Centene Corp.*   338,314
  2,000      Cerner Corp.   144,580
  2,600      Cigna Corp.   440,466
  27,218      ConvaTec Group plc   62,702
  96,000      CVS Health Corp.   5,606,400
  31,821      Danaher Corp.   6,852,016
  3,200      DaVita, Inc.*   274,080
  4,100      Dentsply Sirona, Inc.   179,293
  11,600      DexCom, Inc.*   4,781,868
  200      DiaSorin SpA   40,238
  600      Edwards Lifesciences Corp.*   47,892
  1,900      Fresenius Medical Care AG & Co. KGaA   160,620
  4,000      Fresenius SE & Co. KGaA   181,897
  33,900      HCA Healthcare, Inc.   4,226,652
  3,300      Henry Schein, Inc.*   193,974
  1,000      Hologic, Inc.*   66,470
  100      Hoya Corp.   11,292
  12,200      Humana, Inc.   5,049,458
  18,587      Laboratory Corp. of America Holdings*   3,499,374
  200      M3, Inc.   12,371
  2,114      McKesson Corp.   314,838
  11,472      Mediclinic International plc   42,112
  1,200      Medipal Holdings Corp.   24,063
  300      Medtronic plc   31,176
  300      Olympus Corp.   6,239
  23,500      Quest Diagnostics, Inc.   2,690,515
  500      ResMed, Inc.   85,715
  400      Ship Healthcare Holdings, Inc.   19,587
  100      Siemens Healthineers AG   4,489
  100      Suzuken Co. Ltd.   3,814
  600      Toho Holdings Co. Ltd.   12,939
  9,700      UDG Healthcare plc   96,486
  34,600      UnitedHealth Group, Inc.   10,787,242
  3,000      Universal Health Services, Inc. Class B   321,060
  800      West Pharmaceutical Services, Inc.   219,920
  700      Zimmer Biomet Holdings, Inc.   95,298
    

 

     54,988,818

 

 

 

Household & Personal Products – 0.3%

  100      Beiersdorf AG   11,354
  300      Church & Dwight Co., Inc.   28,113
  700      Clorox Co. (The)   147,119
  300      Colgate-Palmolive Co.   23,145
  100      Fancl Corp.   3,265
  100      Kimberly-Clark Corp.   14,766
  200      Lion Corp.   4,106
  100      L’Oreal SA   32,543
  100      Pigeon Corp.   4,468
  64,200      Procter & Gamble Co. (The)   8,923,158
  800      PZ Cussons plc   2,427
  500      Reckitt Benckiser Group plc   48,753
  100      Rohto Pharmaceutical Co. Ltd.   3,288
  200      Unicharm Corp.   8,945
  200      Unilever NV   12,145
  2,300      Unilever plc   141,802
    

 

     9,409,397

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Insurance – 0.6%

  300      Admiral Group plc   $            10,118
  45,400      Aegon NV   117,509
  7,100      Aflac, Inc.   258,085
  1,800      Ageas SA/NV   73,654
  100      Allianz SE (Registered)   19,193
  3,600      Allstate Corp. (The)   338,904
  32,512      Aon plc Class A   6,707,226
  200      Arthur J Gallagher & Co.   21,116
  2,000      ASR Nederland NV   67,267
  3,600      Assicurazioni Generali SpA   50,740
  300      Assurant, Inc.   36,393
  18,200      Aviva plc   67,335
  4,700      AXA SA   86,987
  84,300      Brown & Brown, Inc.   3,816,261
  8,200      CNP Assurances*   102,838
  5,400      Direct Line Insurance Group plc   18,834
  300      Everest Re Group Ltd.   59,262
  75,200      Fidelity National Financial, Inc.   2,354,512
  500      Globe Life, Inc.   39,950
  100      Hannover Rueck SE   15,481
  7,300      Hartford Financial Services Group, Inc. (The)   269,078
  4,000      Japan Post Holdings Co. Ltd.   27,276
  1,500      Japan Post Insurance Co. Ltd.   23,618
  22,800      Just Group plc*   13,229
  100      Lancashire Holdings Ltd.   894
  18,400      Legal & General Group plc   44,886
  34,500      Mapfre SA   54,126
  400      Marsh & McLennan Cos., Inc.   45,880
  2,800      Phoenix Group Holdings plc   24,901
  6,800      Poste Italiane SpA   60,260
  6,200      Principal Financial Group, Inc.   249,674
  600      Progressive Corp. (The)   56,802
  1,000      Prudential plc   14,348
  17,000      RenaissanceRe Holdings Ltd.   2,885,580
  4,300      RSA Insurance Group plc   25,107
  200      Sabre Insurance Group plc   659
  100      Sompo Holdings, Inc.   3,452
  2,400      T&D Holdings, Inc.   23,660
  100      Tokio Marine Holdings, Inc.   4,375
  1,300      Travelers Cos., Inc. (The)   140,647
  16,100      Unum Group   270,963
    

 

     18,501,080

 

 

 

Materials – 1.0%

  200      ADEKA Corp.   2,880
  420      Air Liquide SA   66,574
  13,400      Air Products and Chemicals, Inc.   3,991,324
  500      Anglo American plc   12,097
  1,800      Antofagasta plc   23,755
  10,200      ArcelorMittal SA*   135,694
  500      Arkema SA   53,012
  200      Avery Dennison Corp.   25,568
  2,200      BASF SE   133,971
  800      BHP Group plc   17,067
  700      Celanese Corp.   75,215
  13,800      Centamin plc   36,028
  2,300      CF Industries Holdings, Inc.   70,633
  2,500      Corteva, Inc.   72,025
  1,600      Covestro AG   79,344
  5,700      CRH plc   206,138
  200      Croda International plc   16,133
  100      Daicel Corp.   721

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Materials – (continued)

  400      DIC Corp.   $            10,000
  3,200      Dow, Inc.   150,560
  200      Dowa Holdings Co. Ltd.   5,870
  6,400      DS Smith plc   24,314
  1,400      DuPont de Nemours, Inc.   77,672
  1,385      Eastman Chemical Co.   108,196
  100      Ecolab, Inc.   19,984
  700      Evonik Industries AG   18,108
  1,500      Evraz plc   6,679
  9,100      Ferrexpo plc   20,723
  34,500      FMC Corp.   3,653,895
  200      FP Corp.   8,424
  600      Fresnillo plc   9,268
  43,400      Glencore plc*   89,976
  1,800      HeidelbergCement AG   109,991
  200      Hill & Smith Holdings plc   3,072
  100      Hitachi Metals Ltd.   1,542
  500      Huhtamaki OYJ   24,641
  3,300      International Paper Co.   133,782
  300      Johnson Matthey plc   9,116
  100      JSR Corp.   2,377
  1,100      KAZ Minerals plc   7,438
  1,400      LANXESS AG   80,103
  25,247      Linde plc   6,011,728
  200      Lintec Corp.   4,657
  1,500      LyondellBasell Industries NV Class A   105,735
  300      Martin Marietta Materials, Inc.   70,608
  100      Maruichi Steel Tube Ltd.   2,504
  2,200      Mitsubishi Chemical Holdings Corp.   12,699
  400      Mitsubishi Gas Chemical Co., Inc.   7,441
  300      Mitsui Chemicals, Inc.   7,251
  1,900      Mondi plc   40,175
  6,000      Mosaic Co. (The)   109,620
  89,900      Newmont Corp.   5,704,155
  420      Nippon Light Metal Holdings Co. Ltd.   6,661
  100      Nippon Paint Holdings Co. Ltd.   10,295
  100      Nippon Sanso Holdings Corp.   1,538
  100      Nitto Denko Corp.   6,515
  2,600      Nucor Corp.   116,636
  1,400      Oji Holdings Corp.   6,433
  900      Packaging Corp. of America   98,145
  37,800      Petropavlovsk plc*   16,044
  600      Polymetal International plc   13,074
  800      PPG Industries, Inc.   97,664
  1,000      Rengo Co. Ltd.   7,559
  928      RHI Magnesita NV   30,308
  600      Rio Tinto plc   36,103
  17,900      Scotts Miracle-Gro Co. (The)   2,737,089
  600      Sealed Air Corp.   23,286
  8,800      Sherwin-Williams Co. (The)   6,131,312
  3,700      Smurfit Kappa Group plc   145,073
  500      Solvay SA   43,016
  5,700      Stora Enso OYJ Class R   89,217
  200      Sumitomo Bakelite Co. Ltd.   5,510
  1,900      Sumitomo Chemical Co. Ltd.   6,289
  200      Sumitomo Metal Mining Co. Ltd.   6,203
  100      Sumitomo Osaka Cement Co. Ltd.   3,234
  200      Symrise AG   27,624

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Materials – (continued)

  8,000      Synthomer plc   $            32,641
  300      Taiheiyo Cement Corp.   7,660
  300      Teijin Ltd.   4,653
  300      Tokai Carbon Co. Ltd.   3,208
  200      Tokuyama Corp.   4,821
  100      Tokyo Ohka Kogyo Co. Ltd.   5,178
  2,300      Toray Industries, Inc.   10,522
  300      Tosoh Corp.   4,871
  800      Toyo Seikan Group Holdings Ltd.   7,914
  400      Toyobo Co. Ltd.   5,510
  500      Ube Industries Ltd.   8,444
  600      Umicore SA   24,957
  100      UPM-Kymmene OYJ   3,044
  3,800      voestalpine AG   100,152
  400      Vulcan Materials Co.   54,216
  4,000      Westrock Co.   138,960
  2,900      Wienerberger AG*   76,638
  200      Yamato Kogyo Co. Ltd.   4,898
    

 

     31,833,598

 

 

 

Media & Entertainment – 2.7%

  63,412      Activision Blizzard, Inc.   5,133,201
  11,836      Alphabet, Inc. Class A*   17,346,842
  10,035      Alphabet, Inc. Class C*   14,747,436
  400      Auto Trader Group plc   2,904
  21,027      Bollore SA   78,321
  100      Capcom Co. Ltd.   5,581
  800      Charter Communications, Inc. Class A*   499,472
  168,000      Cineworld Group plc(a)   87,853
  214,460      Comcast Corp. Class A   9,920,920
  100      CTS Eventim AG & Co. KGaA*   4,833
  100      CyberAgent, Inc.   6,175
  200      Daiichikosho Co. Ltd.   6,424
  1,400      Dentsu Group, Inc.   41,323
  18,400      Discovery, Inc. Class A*   400,568
  20,400      Discovery, Inc. Class C*   399,840
  2,300      Electronic Arts, Inc.*   299,943
  72,581      Facebook, Inc. Class A*   19,008,964
  12,200      Fox Corp. Class A   339,526
  11,800      Fox Corp. Class B   330,046
  1,000      Hakuhodo DY Holdings, Inc.   12,931
  12,800      Interpublic Group of Cos., Inc. (The)   213,376
  200      Kakaku.com, Inc.   5,273
  36,100      Liberty Broadband Corp. Class C*   5,157,607
  738      Live Nation Entertainment, Inc.*   39,763
  24,400      Netflix, Inc.*   12,200,732
  9,300      News Corp. Class A   130,386
  5,509      News Corp. Class B   77,016
  300      Nexon Co. Ltd.   7,483
  3,200      Nippon Television Holdings, Inc.   34,407
  4,000      Omnicom Group, Inc.   198,000
  400      Pearson plc   2,837
  3,700      ProSiebenSat.1 Media SE*   48,489
  2,448      Publicis Groupe SA   78,899
  800      Rightmove plc   6,468
  200      Scout24 AG   17,445
  100      Square Enix Holdings Co. Ltd.   6,618
  26,700      Take-Two Interactive Software, Inc.*   4,411,374

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Media & Entertainment – (continued)

  1,300      TV Asahi Holdings Corp.   $            20,645
  100      Ubisoft Entertainment SA*   9,013
  10,900      ViacomCBS, Inc.   305,309
    

 

     91,644,243

 

 

 

Pharmaceuticals, Biotechnology & Life Sciences – 1.8%

  84,600      AbbVie, Inc.   7,410,114
  400      Agilent Technologies, Inc.   40,376
  2,500      Alexion Pharmaceuticals, Inc.*   286,075
  1,200      Amgen, Inc.   304,992
  100      Argenx SE*   26,417
  1,400      Astellas Pharma, Inc.   20,869
  500      AstraZeneca plc   54,632
  2,800      Bayer AG (Registered)   172,743
  1,000      Biogen, Inc.*   283,680
  42,200      BioMarin Pharmaceutical, Inc.*   3,210,576
  200      Bio-Rad Laboratories, Inc. Class A*   103,092
  9,700      Bristol-Myers Squibb Co.   584,813
  38,000      Charles River Laboratories International, Inc.*   8,605,100
  300      Chugai Pharmaceutical Co. Ltd.   13,463
  100      Dechra Pharmaceuticals plc   4,158
  100      Eisai Co. Ltd.   9,133
  600      Eli Lilly and Co.   88,812
  39,100      Exact Sciences Corp.*   3,986,245
  700      Galapagos NV*   99,239
  100      Genus plc   4,959
  300      Gerresheimer AG   33,573
  4,832      Gilead Sciences, Inc.   305,334
  10,100      GlaxoSmithKline plc   189,350
  200      Grifols SA   5,751
  100      Hikma Pharmaceuticals plc   3,352
  200      Hisamitsu Pharmaceutical Co., Inc.   10,225
  100      Illumina, Inc.*   30,908
  400      Ipsen SA   41,814
  27,500      IQVIA Holdings, Inc.*   4,334,825
  74,049      Johnson & Johnson   11,024,415
  300      Kaken Pharmaceutical Co. Ltd.   13,748
  800      Kissei Pharmaceutical Co. Ltd.   18,090
  200      Kyowa Kirin Co. Ltd.   5,691
  800      Merck & Co., Inc.   66,360
  100      Merck KGaA   14,579
  3,700      Mettler-Toledo International, Inc.*   3,573,275
  100      Mochida Pharmaceutical Co. Ltd.   3,952
  100      MorphoSys AG*   12,654
  23,066      Mylan NV*   342,069
  200      Ono Pharmaceutical Co. Ltd.   6,291
  300      Orion OYJ Class B   13,592
  400      Otsuka Holdings Co. Ltd.   16,946
  900      PerkinElmer, Inc.   112,959
  5,200      Perrigo Co. plc   238,732
  600      Pfizer, Inc.   22,020
  254      PureTech Health plc*   832
  1,000      QIAGEN NV*   51,940
  200      Recordati Industria Chimica e Farmaceutica SpA   10,245
  500      Regeneron Pharmaceuticals, Inc.*   279,890
  3,200      Sanofi   320,678
  100      Sartorius Stedim Biotech   34,540

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Pharmaceuticals, Biotechnology & Life Sciences – (continued)

  300      Sawai Pharmaceutical Co. Ltd.   $            15,137
  300      Shionogi & Co. Ltd.   16,057
  1,100      Sumitomo Dainippon Pharma Co. Ltd.   14,495
  300      Taisho Pharmaceutical Holdings Co. Ltd.   19,757
  1,100      Takeda Pharmaceutical Co. Ltd.   39,317
  17,450      Thermo Fisher Scientific, Inc.   7,704,524
  400      Tsumura & Co.   12,466
  300      UCB SA   34,072
  19,900      Vertex Pharmaceuticals, Inc.*   5,415,188
  200      Waters Corp.*   39,136
    

 

     59,758,267

 

 

 

Real Estate – 0.6%

  200      alstria office REIT-AG (REIT)   2,781
  23,947      American Tower Corp. (REIT)   5,788,708
  8,128      Assura plc (REIT)   8,091
  100      Big Yellow Group plc (REIT)   1,340
  200      BMO Commercial Property Trust Ltd. (REIT)   167
  3,500      CBRE Group, Inc. Class A*   164,395
  5,300      Civitas Social Housing plc (REIT)   7,219
  100      CLS Holdings plc   274
  35,900      Crown Castle International Corp. (REIT)   5,977,350
  100      Deutsche Wohnen SE   4,998
  100      Digital Realty Trust, Inc. (REIT)   14,676
  200      Duke Realty Corp. (REIT)   7,380
  7,390      Equinix, Inc. (REIT)   5,617,361
  100      GCP Student Living plc (REIT)   159
  1,700      Grainger plc   6,505
  1,000      Host Hotels & Resorts, Inc. (REIT)   10,790
  200      Hulic Co. Ltd.   1,877
  400      Inmobiliaria Colonial SOCIMI SA (REIT)   3,301
  6,700      IWG plc*   22,418
  1,300      Kojamo OYJ   27,921
  100      Land Securities Group plc (REIT)   673
  1,215      LondonMetric Property plc (REIT)   3,475
  500      LXI REIT plc (REIT)   695
  300      Merlin Properties Socimi SA (REIT)   2,502
  100      Mitsubishi Estate Co. Ltd.   1,515
  2,920      Primary Health Properties plc (REIT)   5,588
  100      Public Storage (REIT)   22,272
  100      Relo Group, Inc.   2,402
  800      Safestore Holdings plc (REIT)   8,035
  1,600      Savills plc   16,082
  56      SBA Communications Corp. (REIT)   17,835
  1,235      Segro plc (REIT)   14,842
  100      Sirius Real Estate Ltd.   94
  23,800      Sun Communities, Inc. (REIT)   3,346,518
  100      TAG Immobilien AG*   3,015
  500      Tritax Big Box REIT plc (REIT)   999
  700      Vonovia SE   47,987

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Real Estate – (continued)

  123      Warehouses De Pauw CVA (REIT)   $              4,476
  100      Workspace Group plc (REIT)   694
    

 

     21,167,410

 

 

 

Retailing – 1.6%

  1,000      Advance Auto Parts, Inc.   153,500
  6,576      Amazon.com, Inc.*   20,706,048
  2,900      AO World plc*   8,075
  300      Autobacs Seven Co. Ltd.   3,907
  100      AutoZone, Inc.*   117,764
  2,700      B&M European Value Retail SA   17,213
  1,800      Best Buy Co., Inc.   200,322
  3,200      Booking Holdings, Inc.*   5,474,176
  16,400      Burlington Stores, Inc.*   3,379,876
  1,313      CarMax, Inc.*   120,678
  300      Delivery Hero SE*   34,422
  13,700      Dixons Carphone plc   16,499
  20,400      Dollar General Corp.   4,276,248
  39,160      Dollar Tree, Inc.*   3,576,874
  600      Dunelm Group plc   10,803
  5,638      eBay, Inc.   293,740
  3,400      Frasers Group plc*   15,079
  1,830      Gap, Inc. (The)   31,165
  2,000      Genuine Parts Co.   190,340
  1,200      HelloFresh SE*   66,689
  37,450      Home Depot, Inc. (The)   10,400,239
  2,200      Inchcape plc   12,476
  4,500      Industria de Diseno Textil SA   124,490
  400      Izumi Co. Ltd.   14,586
  1,300      J Front Retailing Co. Ltd.   9,412
  1,300      JD Sports Fashion plc   13,570
  5,200      Kingfisher plc   19,918
  10,800      Kohl’s Corp.   200,124
  1,800      K’s Holdings Corp.   24,368
  2,300      L Brands, Inc.   73,163
  123,972      LKQ Corp.*   3,437,744
  3,500      Lowe’s Cos., Inc.   580,510
  12,000      Marks & Spencer Group plc   15,058
  200      Moneysupermarket.com Group plc   689
  200      Next plc   15,333
  600      Ocado Group plc*   21,222
  300      O’Reilly Automotive, Inc.*   138,324
  300      Pan Pacific International Holdings Corp.   6,986
  2,600      Pets at Home Group plc   14,212
  1,900      Rakuten, Inc.   20,488
  100      Shimachu Co. Ltd.   3,383
  1,800      Target Corp.   283,356
  2,000      Tractor Supply Co.   286,680
  500      Ulta Beauty, Inc.*   111,990
  6,100      Vivo Energy plc   5,903
  1,200      Watches of Switzerland Group plc*   5,203
  300      WH Smith plc   3,685
  5,000      Yamada Holdings Co. Ltd.   24,935
  100      Zalando SE*   9,343
    

 

     54,570,808

 

 

 

Semiconductors & Semiconductor Equipment – 1.9%

  2,800      Advanced Micro Devices, Inc.*   229,572

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Semiconductors & Semiconductor Equipment – (continued)

  100      Advantest Corp.   $              4,864
  36,600      Analog Devices, Inc.   4,272,684
  68,500      Applied Materials, Inc.   4,072,325
  800      ASM International NV   114,675
  300      ASML Holding NV   110,812
  700      BE Semiconductor Industries NV   30,010
  1,101      Broadcom, Inc.   401,116
  1,700      Dialog Semiconductor plc*   74,094
  4,600      Infineon Technologies AG   129,655
  193,600      Intel Corp.   10,024,608
  12,847      Lam Research Corp.   4,261,992
  100      Lasertec Corp.   8,220
  2,100      Microchip Technology, Inc.   215,796
  125,518      Micron Technology, Inc.*   5,894,325
  22,700      MKS Instruments, Inc.   2,479,521
  29,590      NVIDIA Corp.   16,014,700
  2,500      Qorvo, Inc.*   322,525
  59,659      QUALCOMM, Inc.   7,020,671
  2,400      Renesas Electronics Corp.*   17,615
  100      Rohm Co. Ltd.   7,731
  2,500      Skyworks Solutions, Inc.   363,750
  20,500      STMicroelectronics NV   629,260
  40,500      Texas Instruments, Inc.   5,782,995
  100      Ulvac, Inc.   3,644
  300      Xilinx, Inc.   31,272
    

 

     62,518,432

 

 

 

Software & Services – 3.4%

  24,700      Accenture plc Class A   5,581,953
  21,200      Adobe, Inc.*   10,397,116
  28,800      Akamai Technologies, Inc.*   3,183,552
  1,100      Alten SA*   104,208
  1,700      Amadeus IT Group SA   94,411
  13,500      ANSYS, Inc.*   4,417,605
  1,604      Atos SE*   128,891
  800      Autodesk, Inc.*   184,808
  1,000      Automatic Data Processing, Inc.   139,490
  1,200      Avast plc   8,147
  100      AVEVA Group plc   6,168
  600      Bechtle AG   121,406
  50,400      Booz Allen Hamilton Holding Corp.   4,182,192
  27,300      Cadence Design Systems, Inc.*   2,910,999
  800      CANCOM SE   41,322
  1,000      Capgemini SE   128,295
  2,500      Citrix Systems, Inc.   344,275
  6,300      Cognizant Technology Solutions Corp. Class A   437,346
  300      Computacenter plc   9,161
  400      Dassault Systemes SE   74,633
  18,300      DXC Technology Co.   326,655
  978      Edenred   43,909
  11,200      EPAM Systems, Inc.*   3,620,736
  5,100      Equiniti Group plc   7,481
  200      FDM Group Holdings plc   2,614
  44,400      Fidelity National Information Services, Inc.   6,536,124
  16,600      Finablr plc*(b)   2,362
  3,900      Fiserv, Inc.*   401,895
  1,000      FleetCor Technologies, Inc.*   238,100
  1,000      Fortinet, Inc.*   117,810
  340      Fujitsu Ltd.   46,450
  2,200      Gartner, Inc.*   274,890

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Software & Services – (continued)

  1,400      Global Payments, Inc.   $          248,612
  100      Infomart Corp.   887
  4,300      International Business Machines Corp.   523,181
  207      Intuit, Inc.   67,525
  200      Itochu Techno-Solutions Corp.   7,587
  400      Jack Henry & Associates, Inc.   65,036
  394      Kainos Group plc   5,049
  3,900      Leidos Holdings, Inc.   347,685
  33,652      Mastercard, Inc. Class A   11,380,097
  1,896      Micro Focus International plc   6,027
  102,121      Microsoft Corp.   21,479,110
  500      NEC Corp.   29,247
  100      Nemetschek SE   7,309
  100      NET One Systems Co. Ltd.   4,543
  4,400      Nexi SpA*   88,186
  300      Nihon Unisys Ltd.   9,465
  200      Nomura Research Institute Ltd.   5,889
  7,427      NortonLifeLock, Inc.   154,779
  1,000      NTT Data Corp.   12,797
  151,262      Oracle Corp.   9,030,341
  100      Otsuka Corp.   5,110
  300      Paychex, Inc.   23,931
  1,063      PayPal Holdings, Inc.*   209,443
  1,400      Sage Group plc (The)   13,010
  657      salesforce.com, Inc.*   165,117
  800      SAP SE   124,575
  200      SCSK Corp.   11,190
  13,576      ServiceNow, Inc.*   6,584,360
  200      Softcat plc   3,110
  700      Sopra Steria Group*   110,970
  19,700      Synopsys, Inc.*   4,215,406
  100      TeamViewer AG*   4,932
  400      TIS, Inc.   8,496
  300      Tyler Technologies, Inc.*   104,568
  334      VeriSign, Inc.*   68,420
  62,294      Visa, Inc. Class A   12,456,931
  9,100      Western Union Co. (The)   195,013
  520      Worldline SA*   42,579
    

 

     111,935,517

 

 

 

Technology Hardware & Equipment – 1.6%

  1,300      Alps Alpine Co. Ltd.   17,523
  400      Amano Corp.   9,301
  1,400      Amphenol Corp. Class A   151,578
  1,900      Anritsu Corp.   43,297
  216,476      Apple, Inc.   25,070,086
  17,500      Arista Networks, Inc.*   3,621,275
  200      Azbil Corp.   7,494
  1,100      Brother Industries Ltd.   17,498
  500      Canon Marketing Japan, Inc.   10,036
  800      Canon, Inc.   13,269
  2,400      CDW Corp.   286,872
  202,726      Cisco Systems, Inc.   7,985,377
  1,100      Citizen Watch Co. Ltd.   3,086
  2,900      Corning, Inc.   93,989
  82,200      Dell Technologies, Inc. Class C*   5,564,118
  44,000      Dolby Laboratories, Inc. Class A   2,916,320
  2,602      F5 Networks, Inc.*   319,448
  7,992      FLIR Systems, Inc.   286,513
  500      FUJIFILM Holdings Corp.   24,646
  200      Halma plc   6,042
  100      Hamamatsu Photonics KK   5,054

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Technology Hardware & Equipment – (continued)

  24,200      Hewlett Packard Enterprise Co.   $          226,754
  1,120      Hitachi Ltd.   37,923
  100      Horiba Ltd.   5,230
  19,800      HP, Inc.   376,002
  100      Ibiden Co. Ltd.   3,408
  800      IPG Photonics Corp.*   135,976
  12,987      Juniper Networks, Inc.   279,220
  2,100      Keysight Technologies, Inc.*   207,438
  1,600      Konica Minolta, Inc.   4,538
  1,314      Motorola Solutions, Inc.   206,048
  200      Murata Manufacturing Co. Ltd.   13,005
  6,421      NetApp, Inc.   281,497
  400      Nippon Electric Glass Co. Ltd.   7,475
  33,400      Nokia OYJ*   130,723
  1,600      Oki Electric Industry Co. Ltd.   17,271
  100      Omron Corp.   7,819
  200      Oxford Instruments plc   4,091
  100      Renishaw plc   7,231
  2,200      Ricoh Co. Ltd.   14,850
  7,100      Seagate Technology plc   349,817
  1,100      Seiko Epson Corp.   12,650
  300      Spectris plc   9,418
  3,000      Spirent Communications plc   11,032
  200      Taiyo Yuden Co. Ltd.   6,300
  2,600      TE Connectivity Ltd.   254,124
  5,100      Western Digital Corp.   186,405
  14,689      Zebra Technologies Corp. Class A*   3,708,385
    

 

     52,957,452

 

 

 

Telecommunication Services – 0.3%

  293,600      AT&T, Inc.   8,370,536
  2,000      BT Group plc   2,533
  700      Cellnex Telecom SA   42,492
  36,609      CenturyLink, Inc.   369,385
  1,000      Deutsche Telekom AG (Registered)   16,650
  100      Elisa OYJ   5,879
  1,500      Freenet AG   30,304
  200      Iliad SA   36,687
  1,800      KDDI Corp.   45,273
  3,500      Koninklijke KPN NV   8,212
  3,100      Nippon Telegraph & Telephone Corp.   63,292
  1,300      NTT DOCOMO, Inc.   47,770
  6,300      Orange SA   65,618
  300      Proximus SADP   5,473
  100      TalkTalk Telecom Group plc   103
  212,300      Telecom Italia SpA   85,091
  4,500      Telefonica Deutschland Holding AG   11,501
  23,100      Telefonica SA   79,131
  200      T-Mobile US, Inc.*   22,872
  600      United Internet AG (Registered)   22,946
  11,125      Verizon Communications, Inc.   661,826
  48,700      Vodafone Group plc   64,548
    

 

     10,058,122

 

 

 

Transportation – 0.4%

  2,100      Abertis Infraestructuras SA*(b)   15,930
  4,800      Alaska Air Group, Inc.   175,824
  3,800      Atlantia SpA*   59,513
  200      Central Japan Railway Co.   28,668

 

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Transportation – (continued)

  1,800      CH Robinson Worldwide, Inc.   $          183,942
  100      Clarkson plc   2,907
  2,100      CSX Corp.   163,107
  400      Deutsche Lufthansa AG (Registered)*   3,465
  200      Deutsche Post AG (Registered)   9,075
  100      easyJet plc   644
  900      Expeditors International of Washington, Inc.   81,468
  23,700      FedEx Corp.   5,961,024
  41,200      Firstgroup plc*   20,124
  2,400      Go-Ahead Group plc (The)   17,854
  100      Japan Airlines Co. Ltd.   1,865
  400      JB Hunt Transport Services, Inc.   50,552
  400      Kamigumi Co. Ltd.   7,882
  1,100      Old Dominion Freight Line, Inc.   199,012
  9,400      Royal Mail plc   28,824
  100      Sankyu, Inc.   3,949
  100      SG Holdings Co. Ltd.   5,203
  5,300      Southwest Airlines Co.   198,750
  32,400      Union Pacific Corp.   6,378,588
  200      Wizz Air Holdings plc*   8,017
  200      Yamato Holdings Co. Ltd.   5,269
    

 

     13,611,456

 

 

 

Utilities – 0.1%

  32,400      A2A SpA   47,061
  2,213      AES Corp. (The)   40,077
  200      Alliant Energy Corp.   10,330
  200      Ameren Corp.   15,816
  100      American Electric Power Co., Inc.   8,173
  152      American Water Works Co., Inc.   22,022
  300      Atmos Energy Corp.   28,677
  7,100      CenterPoint Energy, Inc.   137,385
  48,100      Centrica plc   24,888
  100      Chubu Electric Power Co., Inc.   1,216
  100      Chugoku Electric Power Co., Inc. (The)   1,250
  440      CMS Energy Corp.   27,020
  2,400      Consolidated Edison, Inc.   186,720
  1,870      ContourGlobal plc   4,670
  400      Dominion Energy, Inc.   31,572
  9,400      Drax Group plc   32,271
  1,100      DTE Energy Co.   126,544
  2,200      Duke Energy Corp.   194,832
  4,000      E.ON SE   44,090
  2,800      Edison International   142,352
  19,900      EDP—Energias de Portugal SA   97,847
  1,895      Electricite de France SA   20,018
  1,800      Enagas SA   41,532
  700      Endesa SA   18,724
  10,100      Enel SpA   87,627
  7,900      Engie SA*   105,572
  500      Entergy Corp.   49,265
  2,900      Evergy, Inc.   147,378
  200      Eversource Energy   16,710
  6,000      Exelon Corp.   214,560
  3,512      FirstEnergy Corp.   100,829
  2,700      Fortum OYJ   54,589
  8,900      Hera SpA   32,817
  1,500      Hokuriku Electric Power Co.   11,232

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Utilities – (continued)

  17,200      Iberdrola SA   $          211,708
  5,300      Italgas SpA   33,426
  100      Kyushu Electric Power Co., Inc.   907
  1,400      Naturgy Energy Group SA   28,077
  100      NextEra Energy, Inc.   27,756
  3,900      NiSource, Inc.   85,800
  5,198      NRG Energy, Inc.   159,786
  300      Osaka Gas Co. Ltd.   5,841
  1,100      Pennon Group plc   14,635
  700      Pinnacle West Capital Corp.   52,185
  2,300      Public Service Enterprise Group, Inc.   126,293
  300      Red Electrica Corp. SA   5,627
  643      Rubis SCA   25,744
  900      RWE AG   33,704
  400      Severn Trent plc   12,594
  1,100      Shikoku Electric Power Co., Inc.   8,388
  1,050      Siemens Energy AG*   28,315
  800      Snam SpA   4,114
  400      Southern Co. (The)   21,688
  4,700      SSE plc   73,152
  4,200      Suez SA   77,604
  300      Telecom Plus plc   5,151
  1,800      Terna Rete Elettrica Nazionale SpA   12,594
  100      Toho Gas Co. Ltd.   4,948
  800      Tohoku Electric Power Co., Inc.   8,018
  400      Tokyo Gas Co. Ltd.   9,128
  200      United Utilities Group plc   2,209
  3,200      Veolia Environnement SA   69,043
  400      Verbund AG Class A   21,845
  300      WEC Energy Group, Inc.   29,070
  300      Xcel Energy, Inc.   20,703
    

 

     3,345,719

 

 

 

TOTAL COMMON STOCKS

(Cost $619,837,875)

  $   739,538,327

 

 

    
  Exchange-Traded Funds15.2%
  118,859      Invesco Emerging Markets Sovereign Debt ETF(a)   $       3,223,456
  3,434,684      Invesco Senior Loan ETF(a)   74,670,030
  7,162,314      iShares Core MSCI Emerging Markets ETF   378,170,179
  595,292      SPDR Bloomberg Barclays Convertible Securities ETF   41,009,666
  168,414      SPDR Dow Jones International Real Estate ETF(a)   5,003,580
  54,112      SPDR Dow Jones REIT ETF(a)   4,219,113

 

 

 

TOTAL EXCHANGE-TRADED FUNDS

(Cost $511,541,223)

  $   506,296,024

 

 

    
 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Dividend
Rate
  Value
  Investment Company(c) – 56.2%
 

Goldman Sachs Financial Square Government Fund — Institutional
Shares

  1,874,825,652      0.027%   $1,874,825,652
  (Cost $1,874,825,652)  

 

 

 

TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
(Cost $3,006,204,750)
  $3,120,660,003

 

 

    
Shares      Dividend
Rate
  Value
  Securities Lending Reinvestment Vehicle(c) – 2.5%
 

Goldman Sachs Financial Square Government Fund — Institutional
Shares

  83,725,625      0.027%   $     83,725,625
  (Cost $83,725,625)  

 

 

 
TOTAL INVESTMENTS – 96.0%
(Cost $3,089,930,375)
  $3,204,385,628

 

 

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 4.0%

  132,801,979

 

 

  NET ASSETS – 100.0%   $3,337,187,607

 

 

The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net assets.
*    Security is currently in default and/or non-income producing.
(a)    All or a portion of security is on loan.
(b)    Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3.
(c)    Represents an Affiliated Issuer.

 

 

Investment Abbreviations:
CVA  

— Dutch Certification

REIT  

— Real Estate Investment Trust

SPDR  

— Standard and Poor’s Depositary Receipts

Currency Abbreviations:
AUD  

— Australian Dollar

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

EUR  

— Euro

GBP  

— British Pound

INR  

— Indian Rupee

JPY  

— Japanese Yen

KRW  

— South Korean Won

NZD  

— New Zealand Dollar

PHP  

— Philippines Peso

SEK  

— Swedish Krona

TWD  

— Taiwan Dollar

USD  

— United States Dollar

 

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


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2020, the Fund 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
 

 

 

JPMorgan Chase Bank NA

    

INR

     432,160,000          USD        5,847,642          10/29/2020        $ 11,641  
    

KRW

     4,047,000,000          USD        3,465,135          10/29/2020          5,654  
    

PHP

     295,320,000          USD        6,076,872          10/29/2020          13,483  
    

USD

     7,443,144          EUR        6,330,000          10/23/2020          18,225  

 

 

TOTAL

 

                  $ 49,003  

 

 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

JPMorgan Chase Bank NA

    

AUD

     8,260,000          USD        5,968,075          10/23/2020        $ (51,567
    

CAD

     11,070,000          USD        8,340,340          10/23/2020          (26,153
    

CHF

     9,670,000          USD        10,574,173          10/23/2020          (68,997
    

JPY

     439,040,000          USD        4,199,639          10/23/2020          (35,758
    

NZD

     10,510,000          USD        7,025,860          10/23/2020          (72,992
    

SEK

     35,220,000          USD        3,981,352          10/23/2020          (47,873
    

TWD

     101,470,000          USD        3,521,699          10/29/2020          (3,617
    

USD

     3,638,185          CAD        4,870,000          10/23/2020          (19,456
    

USD

     3,681,390          CHF        3,390,000          10/23/2020          (1,397
    

USD

     3,432,234          GBP        2,670,000          10/23/2020          (13,383

 

 

TOTAL

 

                  $ (341,193

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

FUTURES CONTRACTS — At September 30, 2020, the Fund had the following futures contracts:

 

Description      Number of
Contracts
     Expiration
Date
     Notional
Amount
     Unrealized
Appreciation/
(Depreciation)
 

 

 

Long position contracts:

                 

100 oz Gold

     74      12/29/2020      $ 13,997,100      $ (201,594

3 Month Canadian Bankers Acceptance

     19      12/14/2020        3,549,078        40,856  

3 Month Canadian Bankers Acceptance

     18      03/15/2021        3,362,622        2,750  

3 Month Canadian Bankers Acceptance

     19      06/14/2021        3,548,900        140  

3 Month Eurodollar

     15      12/14/2020        3,740,812        1,653  

Australia 10 Year Bond

     303      12/15/2020        32,316,777        175,185  

Canada 10 Year Bond

     269      12/18/2020        30,674,747        (18,241

Copper

     57      12/29/2020        4,308,487        296,243  

DAX Index

     25      12/18/2020        9,364,212        (323,669

EURO STOXX 50 Index

     3,202      12/18/2020        119,908,667        (4,820,782

Euro-Bobl

     511      12/08/2020        80,983,315        (34,380

Euro-BTP

     103      12/08/2020        17,822,108        199,045  

Euro-Bund

     378      12/08/2020        77,331,543        96,392  

Euro-Buxl

     28      12/08/2020        7,310,929        62,959  

Euro-OAT

     148      12/08/2020        29,233,353        112,001  

Euro-Schatz

     315      12/08/2020        41,469,293        (2,400

FTSE 100 Index

     481      12/18/2020        36,255,758        (1,546,828

Japan 10 Year Bond

     3      12/14/2020        4,325,985        551  

KOSPI 200 Index

     77      12/10/2020        5,101,785        (45,456

LME Nickel Base Metal

     40      11/18/2020        3,480,300        (90,543

Long Gilt

     210      12/29/2020        36,865,945        122,901  

MSCI Taiwan Index

     89      10/29/2020        4,387,700        106,390  

NASDAQ 100 E-Mini Index

     31      12/18/2020        7,072,495        87,315  

OMXS30 Index

     193      10/16/2020        3,946,373        24,069  

S&P Midcap 400 E-Mini Index

     32      12/18/2020        5,938,880        (1,109

S&P/TSX 60 Index

     23      12/17/2020        3,321,618        (52,361

Soybean

     69      11/13/2020        3,525,900        89,483  

TOPIX Index

     220      12/10/2020        33,907,931        797,447  

U.S. Treasury 2 Year Note

     364      12/31/2020        80,421,250        27,818  

U.S. Treasury 5 Year Note

     861      12/31/2020        108,492,726        79,946  

U.S. Treasury 10 Year Note

     901      12/21/2020        125,689,500        222,677  

U.S. Treasury Long Bond

     159      12/21/2020        28,008,844        (54,521

 

 

Total

                  $ (4,646,063

 

 

Short position contracts:

                 

3 Month Euroswiss

     (9)      12/14/2020        (2,461,919      (692

Russell 2000 E-Mini Index

     (252)      12/18/2020        (18,955,440      (188,836

S&P 500 E-Mini Index

     (228)      12/18/2020        (38,212,800      241,513  

 

 

Total

                  $ 51,985  

 

 

Total Futures Contracts

 

   $ (4,594,078

 

 


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

SWAP CONTRACTS At September 30, 2020, the Fund had the following swap contracts:

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

 

Reference

Obligation/Index(a)

  Financing Rate
Received (Paid) by
the Fund
    Credit
Spread at
September 30,
2020(b)
    Termination
Date
   

Notional
Amount

(000’s)

    Value    

Upfront
Premium

(Received)
Paid

    Unrealized
Appreciation/
(Depreciation)
 

 

 

Protection Sold:

 

           

iTraxx Europe Crossover Index

    5.000%       3.450%       12/20/2025     EUR   92,350     $ 7,906,836     $ 8,603,368     $ (696,532

iTraxx Europe Index

    1.000          0.595          12/20/2025       10,950       275,260       283,575       (8,315

Markit CDX North America High Yield Index

    5.000          4.072          12/20/2025     USD   206,900       8,977,161       8,388,291       588,870  

Markit CDX North America Investment Grade Index

    1.000          0.592          12/20/2025       9,850       208,834       237,886       (29,052

 

 

TOTAL

          $  17,368,091     $  17,513,120     $ (145,029

 

 

 

(a)   Payments received quarterly.
(b)   Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

 

Referenced

Obligation/Index

  Financing Rate
Received (Paid) by
the Fund
    Counterparty   Termination
Date
    Notional
Amount
(000’s)
    Unrealized
Appreciation /
(Depreciation)(a)
 

 

 
Alerian MLP Index Total Return(b)     (0.152)%     Bank of America NA     05/17/2021     USD   11,164     $ (735,990
Bloomberg Roll Select Commodity Index Total Return(c)     (0.000)        JPMorgan Chase Bank NA     02/26/2021       5,337       48,497  
Euro Stoxx Gross Total Return Index(d)     0.526            06/16/2021     EUR   11,718       456,752  
FTSE 100 Total Return Index(d)     0.049            09/15/2021     GBP   3,234       163,623  
J.P. Morgan Bespoke Global Energy Sector Index(b)     (0.152)            08/24/2021     USD   1,310       (105,641
J.P. Morgan Bespoke Global Healthcare Sector Index(b)     (0.152)            08/24/2021       56,046       (548,097
J.P. Morgan Bespoke Global Materials Sector Index(b)     (0.152)            08/24/2021       19,375       (867,547
J.P. Morgan Bespoke Global Technology Sector Index(b)     (0.152)            08/24/2021       32,725       289,320  
MSCI The World Growth Net Return Index(b)     (0.152)            08/25/2021       198,424       (1,143,140
MSCI The World Net Return Index(d)     0.152            08/25/2021       345,067       5,519,403  

 

 

TOTAL

          $ 3,077,180  

 

 

 

(a)   There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value.
(b)   Payments made monthly.
(c)   Payments made weekly.
(d)   Payments received monthly.


GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

PURCHASED OPTIONS CONTRACTS and WRITTEN OPTIONS CONTRACTS — At September 30, 2020, the Fund had the following purchased & written options contracts:

 

Description    Counterparty   Exercise
Price
  Expiration
Date
    Number of
Contracts
    Notional
Amount
    Value     Premiums
Paid
(Received)
by the
Fund
    Unrealized
Appreciation/
Depreciation
 

 

 

Purchased options contracts:

 

     

Puts

 

     

S&P 500 Index

   Morgan Stanley Co., Inc.   2,525  USD     10/30/2020       74     $ 24,886,200     $ 16,095     $ 71,782     $ (55,687
     2,670  USD     10/30/2020       20       6,726,000       6,900       28,215       (21,315
     2,740  USD     10/30/2020       305       102,571,500       137,250       289,650       (152,400
     2,825  USD     10/30/2020       234       78,694,200       152,100       124,455       27,645  

 

 

Total purchased options contracts

 

    633       $ 312,345     $ 514,102     $ (201,757

 

 

Written options contracts:

 

     

Puts

 

     

S&P 500 Index

   Morgan Stanley Co., Inc.   3,260  USD     10/30/2020       180     $ (60,534,000   $ (1,064,700   $ (1,532,185   $ 467,485  
     3,265  USD     10/30/2020       74       (24,886,200     (448,070     (603,105     155,035  
     3,290  USD     10/30/2020       234       (78,694,200     (1,593,540     (1,313,508     (280,032
     3,350  USD     10/30/2020       125       (42,037,500     (1,125,000     (1,025,924     (99,076
     3,480  USD     10/30/2020       20       (6,726,000     (324,800     (201,685     (123,115

 

 

Total written options contracts

 

    633       $ (4,556,110   $ (4,676,407   $ 120,297  

 

 


GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares   Dividend
Rate
  Value
Investment Company(a) – 72.3%

Goldman Sachs Financial Square Government Fund — Institutional Shares

30,453,151

  0.027%   $30,453,151

 

TOTAL INVESTMENTS – 72.3%
(Cost $30,453,151)
  $30,453,151

 

OTHER ASSETS IN EXCESS OF     LIABILITIES – 27.7%   11,689,324

 

NET ASSETS – 100.0%   $42,142,475

 

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

BRL  

— Brazilian Real

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

CLP  

— Chilean Peso

CZK  

— Czech Koruna

EUR  

— Euro

GBP  

— British Pound

HUF  

— Hungarian Forint

IDR  

— Indonesian Rupiah

ILS  

— Israel New Shekel

INR  

— Indian Rupee

JPY  

— Japanese Yen

KRW  

— South Korean Won

MXN  

— Mexican Peso

NOK  

— Norwegian Krone

NZD  

— New Zealand Dollar

PHP  

— Philippines Peso

PLN  

— Polish Zloty

RUB  

— Russian Ruble

SEK  

— Swedish Krona

THB  

— Thailand Baht

TWD  

— Taiwan Dollar

USD  

— United States Dollar

ZAR  

— South African Rand

 

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


GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2020, the Fund 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
 

 

 

Morgan Stanley Co., Inc.

    

INR

     90,050,000          USD        1,218,569          10/29/2020        $ 2,341  
    

USD

     139,829          BRL        760,000          10/29/2020          4,597  
    

USD

     453,472          CLP        350,180,000          10/29/2020          7,312  
    

USD

     1,082,288          CZK        24,970,000          10/23/2020          278  
    

USD

     909,613          HUF        280,800,000          10/26/2020          4,202  
    

USD

     440,316          KRW        513,250,000          10/29/2020          143  
    

USD

     4,041,360          NOK        37,490,000          10/23/2020          21,969  
    

USD

     254,024          RUB        19,450,000          10/29/2020          4,269  
    

USD

     609,281          SEK        5,390,000          10/23/2020          7,309  
    

USD

     1,239,716          THB        38,790,000          10/26/2020          15,641  
    

USD

     179,095          TWD        5,130,000          10/29/2020          1,232  
    

ZAR

     14,240,000          USD        846,455          10/23/2020          1,495  

 

 

TOTAL

                          $ 70,788  

 

 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

Morgan Stanley Co., Inc.

    

IDR

     3,606,920,000          USD        242,972          11/03/2020        $ (955
    

MXN

     14,200,000          USD        658,525          10/23/2020          (17,971
    

PLN

     760,000          USD        199,010          10/23/2020          (2,385
    

USD

     6,062          CZK        140,000          10/23/2020          (4
    

USD

     202,806          ILS        700,000          10/23/2020          (1,571
    

USD

     699,607          NOK        6,550,000          10/23/2020          (2,634
    

USD

     63,440          PHP        3,080,000          10/29/2020          (78
    

USD

     280,122          SEK        2,510,000          10/23/2020          (202

 

 

TOTAL

                          $  (25,800

 

 


GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

FUTURES CONTRACTS — At September 30, 2020, the Fund had the following futures contracts:

 

Description      Number of
Contracts
     Expiration
Date
     Notional
Amount
       Unrealized
Appreciation/
(Depreciation)
 

 

 

Long position contracts:

                   

100 oz Gold

     6      12/29/2020      $ 1,134,900        $  (41,407

3 Month Canadian Bankers Acceptance

     1      12/14/2020        186,794          27  

3 Month Canadian Bankers Acceptance

     1      03/15/2021        186,812          73  

3 Month Canadian Bankers Acceptance

     1      06/14/2021        186,784          7  

Australia 10 Year Bond

     162      12/15/2020        17,278,277          78,353  

Brent Crude Oil

     10      01/29/2021        432,800          6,420  

Canada 10 Year Bond

     23      12/18/2020        2,622,748          (2,150

Cocoa

     17      03/16/2021        428,230          2,076  

Coffee ‘C’

     11      03/19/2021        464,887          (23,847

Copper

     6      03/29/2021        454,725          7,133  

Corn

     24      03/12/2021        464,400          46,712  

Cotton No. 2

     14      03/09/2021        465,850          9,771  

Euro-Bobl

     4      12/08/2020        633,920          (65

Euro-BTP

     1      12/08/2020        173,030          2,355  

Euro-OAT

     2      12/08/2020        395,045          165  

Feeder Cattle

     6      11/19/2020        425,775          21  

Foreign Exchange AUD/USD

     5      12/14/2020        358,050          (448

Foreign Exchange NZD/USD

     33      12/14/2020        2,182,950          (16,103

KC HRW Wheat

     18      03/12/2021        465,750          53,142  

KOSPI 200 Index

     1      12/10/2020        66,257          (675

Lean Hogs

     16      02/12/2021        435,520          33,310  

Live Cattle

     10      02/26/2021        462,800          5,928  

LME Aluminum Base Metal

     13      10/21/2020        565,419          32,118  

LME Aluminum Base Metal

     4      11/18/2020        175,225          14,485  

LME Aluminum Base Metal

     7      12/16/2020        308,744          12,896  

LME Aluminum Base Metal

     8      01/20/2021        353,900          (5,678

LME Aluminum Base Metal

     10      02/17/2021        443,812          (6,225

LME Lead Base Metal

     2      10/21/2020        90,375          (6,375

LME Lead Base Metal

     2      11/18/2020        90,750          (4,181

LME Nickel Base Metal

     2      10/21/2020        173,844          (4,979

LME Nickel Base Metal

     3      11/18/2020        261,023          (6,908

LME Zinc Base Metal

     9      10/21/2020        537,975          48,511  

LME Zinc Base Metal

     5      11/18/2020        299,625          31,377  

LME Zinc Base Metal

     5      12/16/2020        300,281          29,667  

LME Zinc Base Metal

     6      01/20/2021        361,200          (3,623

LME Zinc Base Metal

     8      02/17/2021        482,600          (6,211

Low Sulphur Gasoil

     13      02/11/2021        455,650          5,529  

MSCI Taiwan Index

     1      10/29/2020        49,300          1,205  

Natural Gas

     13      01/27/2021        420,030          (9,156

NY Harbor ULSD

     9      01/29/2021        450,765          (1,968

OMXS30 Index

     3      10/16/2020        61,343          375  

RBOB Gasoline

     9      01/29/2021        442,487          15,146  

S&P 500 E-Mini Index

     3      12/18/2020        502,800          (1,956

Silver

     3      12/29/2020        350,250          (38,998

Soybean

     9      03/12/2021        458,888          14,772  

Soybean Oil

     23      03/12/2021        459,264          (2,634

TOPIX Index

     1      12/10/2020        154,127          3,681  

U.S. Treasury 2 Year Note

     3      12/31/2020        662,813          229  

U.S. Treasury 5 Year Note

     8      12/31/2020        1,008,062          713  

U.S. Treasury 10 Year Note

     74      12/21/2020        10,323,000          18,344  

U.S. Treasury Long Bond

     1      12/21/2020        176,156          (346

Wheat

     16      03/12/2021        466,800          40,925  


GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

FUTURES CONTRACTS (continued)

 

Description      Number of
Contracts
     Expiration
Date
     Notional
Amount
     Unrealized
Appreciation/
(Depreciation)
 

 

 

Long position contracts: (continued)

                 

WTI Crude Oil

     11      01/20/2021      $ 450,340      $ 7,571  

 

 

Total

                  $ 339,104  

 

 

Short position contracts:

                 

Brent Crude Oil

     (11)      10/30/2020        (462,770      (6,872

CAC 40 10 Euro Index

     (1)      10/16/2020        (56,289      192  

CBOE Volatility Index

     (23)      10/21/2020        (698,625      23,666  

CBOE Volatility Index

     (27)      11/18/2020        (887,625      (106,194

CBOE Volatility Index

     (25)      12/16/2020        (773,125      (33,789

Cocoa

     (11)      12/15/2020        (279,180      6,525  

Coffee ‘C’

     (16)      12/18/2020        (665,100      54,400  

Copper

     (11)      12/29/2020        (831,462      (35,393

Corn

     (38)      12/14/2020        (718,200      (18,720

Cotton No. 2

     (28)      12/08/2020        (921,620      (18,168

Euro-Bund

     (113)      12/08/2020        (23,117,631      (23,332

Euro-Schatz

     (1)      12/08/2020        (131,649      (2

Foreign Exchange CAD/USD

     (9)      12/15/2020        (675,990      7,785  

Foreign Exchange CHF/USD

     (20)      12/14/2020        (2,719,500      36,171  

Foreign Exchange EUR/USD

     (36)      12/14/2020        (5,283,000      61,252  

Foreign Exchange GBP/USD

     (23)      12/14/2020        (1,855,525      (6,483

Foreign Exchange JPY/USD

     (25)      12/14/2020        (2,964,844      (6,333

FTSE 100 Index

     (1)      12/18/2020        (75,376      3,196  

Hang Seng Index

     (1)      10/29/2020        (151,160      (1,859

HSCEI

     (2)      10/29/2020        (121,031      (214

IBEX 35 Index

     (1)      10/16/2020        (78,911      4,209  

Japan 10 Year Bond

     (6)      12/14/2020        (8,651,970      (6,454

KC HRW Wheat

     (23)      12/14/2020        (585,638      (35,736

Lean Hogs

     (30)      12/14/2020        (758,400      (9,954

Live Cattle

     (9)      12/31/2020        (404,100      (6,138

LME Aluminum Base Metal

     (13)      10/21/2020        (565,419      (20,778

LME Aluminum Base Metal

     (13)      11/18/2020        (569,481      (4,074

LME Aluminum Base Metal

     (7)      12/16/2020        (308,744      3,728  

LME Aluminum Base Metal

     (8)      01/20/2021        (353,900      5,763  

LME Lead Base Metal

     (2)      10/21/2020        (90,375      4,086  

LME Lead Base Metal

     (3)      11/18/2020        (136,125      2,719  

LME Nickel Base Metal

     (2)      10/21/2020        (173,844      4,446  

LME Nickel Base Metal

     (2)      11/18/2020        (174,015      4,920  

LME Zinc Base Metal

     (9)      10/21/2020        (537,975      (42,275

LME Zinc Base Metal

     (11)      11/18/2020        (659,175      (23,476

LME Zinc Base Metal

     (5)      12/16/2020        (300,281      825  

LME Zinc Base Metal

     (6)      01/20/2021        (361,200      7,070  

LME Zinc Base Metal

     (1)      02/17/2021        (60,325      1,347  

Long Gilt

     (12)      12/29/2020        (2,106,625      1,576  

Low Sulphur Gasoil

     (14)      11/12/2020        (473,550      (10,375

Natural Gas

     (22)      10/28/2020        (558,360      60,699  

NY Harbor ULSD

     (7)      10/30/2020        (337,571      (3,124

RBOB Gasoline

     (3)      10/30/2020        (148,277      (3,385

SET50 Index

     (12)      12/29/2020        (58,971      207  

Soybean

     (26)      11/13/2020        (1,328,600      (122,822

Soybean Oil

     (23)      12/14/2020        (458,850      (21,702

Sugar No. 11

     (1)      02/26/2021        (15,075      (989

Wheat

     (10)      12/14/2020        (286,750      (7,794

WTI Crude Oil

     (8)      10/20/2020        (319,680      (9,777

 

 

Total

                  $  (291,430

 

 

Total Futures Contracts

 

   $ 47,674  

 

 


GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

SWAP CONTRACTS At September 30, 2020, the Fund had the following swap contracts:

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

 

Reference
Obligation/Index(a)
  Financing Rate
Received (Paid) by
the Fund
    Credit
Spread at
September 30,
2020(b)
    Termination
Date
      

Notional
Amount

(000’s)

    Value    

Upfront
Premium

(Received)
Paid

    Unrealized
Appreciation/
(Depreciation)
 

 

 

Protection Sold:

 

iTraxx Europe Index

    1.000%       0.595%       12/20/2025        EUR   450     $ 11,312     $ 11,654     $ (342

Markit CDX North America Investment Grade Index

    1.000          0.592          12/20/2025        USD   400       3,249       3,622       (373

 

 

TOTAL

             $  14,561     $  15,276     $ (715

 

 

 

(a)   Payments received quarterly.
(b)   Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

 

Referenced

Obligation/Index

  Financing Rate
Received (Paid) by
the Fund
    Counterparty   Termination
Date
    Notional
Amount
(000’s)
    Unrealized
Appreciation /
(Depreciation)(a)
 

 

 
A basket (MLGSFDJP) of common stocks(b)*     (0.097)%     Bank of America NA     01/28/2021     JPY   1,518,127     $ (157,022
A basket (MLGSFDUS) of common stock(b)*     (0.146)            09/01/2021     USD   23,260       81,105  
Russell 1000 Index Total Return(c)     0.146            09/01/2021       7,853       (27,555
S&P 500 Total Return Index(c)     0.146            09/01/2021       14,540       (51,677
TOPIX Total Retun Index(c)     0.097            01/28/2021     JPY   1,478,569       192,057  
A basket (JPGSFDEU) of common stocks(b)*     (0.523)        JPMorgan Chase Bank NA     06/16/2021     EUR   12,207       (77,450
A basket (JPGSFDUK) of common stocks(b)*     (0.047)            05/05/2021     GBP   2,803       (25,835
Euro Stoxx Gross Total Return Index(c)     0.523            06/16/2021     EUR   11,319       89,610  
FTSE 100 Total Return Index(c)