Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 24, 2020 5:10 PM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000034856
        C000107196
        C000107194
        C000201775
        C000107193
        C000107195
        C000107197
        C000200310
      
      
      
    
  
  
    
      Goldman Sachs Trust
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71 South Wacker Drive
      Chicago
      
      60606
      312-655-4400
      Goldman Sachs Managed Futures Strategy Fund
      S000034856
      3J24L49YUVS4LPAV0F85
      2020-12-31
      2020-09-30
      N
    
    
      255540762.29
      3777157.88
      251763604.41
      0.00000000
      49752017.44000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      43926070.43000000
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        N/A
        N/A
        FTSE/MIB Index
        N/A
        
          
          
        
        26.00000000
        NC
        
        -93113.78000000
        -0.03698460713
        N/A
        DE
        
        IT
        N
        
        1
        
          
            
              Cassa di Compensazione e Garanzia
              8156006407E264D2C725
            
            Long
            
              
                FTSE/MIB Index
                IT0003465736
              
            
            2020-12-18
            2465450.00000000
            EUR
            -93113.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SET50 Index
        N/A
        
          
          
        
        -1125.00000000
        NC
        
        183708.44000000
        0.072968624845
        N/A
        DE
        
        TH
        N
        
        1
        
          
            
              Clearing Company (Thailand)
              5493006L9QU2265UKZ88
            
            Short
            
              
                SET50 Index
                SET50 Index
              
            
            2020-12-29
            -175185000.00000000
            THB
            183708.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12596.84000000
        0.005003439647
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            2496000.00000000
            CHF
            2728933.58000000
            USD
            2020-12-16
            12596.84000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Funds - Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund - Institutional Shares
        38141W273
        
          
        
        160387398.97000000
        NS
        USD
        160387398.97000000
        63.70555400406
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        18817.00000000
        0.007474074755
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            38340000000.00000000
            IDR
            2575634.92000000
            USD
            2020-12-16
            18817.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Zinc Base Metal
        N/A
        
          
          
        
        51.00000000
        NC
        USD
        -36832.08000000
        -0.01462962849
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Zinc Base Metal
                
                  
                
              
            
            2020-10-21
            3048525.00000000
            USD
            -36832.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -54.40000000
        -0.00002160757
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            57150.89000000
            USD
            76000.00000000
            CAD
            2020-12-16
            -54.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Lead Base Metal
        N/A
        
          
          
        
        63.00000000
        NC
        USD
        -177119.04000000
        -0.07035132834
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Lead Base Metal
                
                  
                
              
            
            2020-11-18
            2858625.00000000
            USD
            -177119.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Wheat
        N/A
        
          
          
        
        55.00000000
        NC
        USD
        65924.10000000
        0.026184920633
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Wheat
                
                  
                
              
            
            2020-12-14
            1577125.00000000
            USD
            65924.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Lead Base Metal
        N/A
        
          
          
        
        -51.00000000
        NC
        USD
        158580.42000000
        0.062987825572
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Lead Base Metal
                
                  
                
              
            
            2020-10-21
            -2304562.50000000
            USD
            158580.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -13169.32000000
        -0.00523082755
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            1304952.86000000
            USD
            1187000.00000000
            CHF
            2020-12-16
            -13169.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P 500 E-Mini Index
        N/A
        
          
          
        
        195.00000000
        NC
        USD
        300895.98000000
        0.119515281291
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                S&P 500 E-Mini Index
                US78378X1072
              
            
            2020-12-18
            32682000.00000000
            USD
            300895.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        427.99000000
        0.000169996771
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            57000.00000000
            CAD
            43250.36000000
            USD
            2020-12-16
            427.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Hang Seng Index
        N/A
        
          
          
        
        23.00000000
        NC
        
        -39089.33000000
        -0.01552620367
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              HKCC & SEOCH
              213800NM8ZN1F16ARD34
            
            Long
            
              
                Hang Seng Index
                HK0000004322
              
            
            2020-10-29
            26944500.00000000
            HKD
            -39089.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        BIST 30 Index
        N/A
        
          
          
        
        -3721.00000000
        NC
        
        -70514.75000000
        -0.02800831763
        N/A
        DE
        
        TR
        N
        
        1
        
          
            
              Takasbank
              789000TVSB96MCOKSB52
            
            Short
            
              
                BIST 30 Index
                XU030 Index
              
            
            2020-10-30
            -48075320.00000000
            TRY
            -70514.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1518.55000000
        -0.00060316502
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            146000.00000000
            GBP
            186967.45000000
            USD
            2020-12-16
            -1518.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        210210000.00000000
        PA
        
        83956.70000000
        0.033347433278
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2030-12-16
            342434.38000000
            USD
            0.00000000
            USD
            210210000.00000000
            SEK
            83956.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -464.65000000
        -0.00018455805
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Bank of America
              B4TYDEB6GKMZO031MB27
            
            28404.25000000
            USD
            39000.00000000
            AUD
            2020-12-16
            -464.65000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -43162.17000000
        -0.01714392757
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3870906.58000000
            USD
            3259000.00000000
            EUR
            2020-12-16
            -43162.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Feeder Cattle
        N/A
        
          
          
        
        10.00000000
        NC
        USD
        1381.83000000
        0.000548860111
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Feeder Cattle
                
                  
                
              
            
            2020-11-19
            709625.00000000
            USD
            1381.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -20262.32000000
        -0.00804815296
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              UBS
              BFM8T61CT2L1QCEMIK50
            
            1984600.38000000
            USD
            1805000.00000000
            CHF
            2020-12-16
            -20262.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -84.04000000
        -0.00003338051
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            56888.04000000
            USD
            44000.00000000
            GBP
            2020-12-16
            -84.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27414.44000000
        0.010888960723
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            677000.00000000
            GBP
            901421.44000000
            USD
            2020-12-16
            27414.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15107.74000000
        -0.00600076410
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            900512.48000000
            USD
            19750000.00000000
            MXN
            2020-12-16
            -15107.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1023.90000000
        0.000406691031
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            375000.00000000
            PLN
            98059.90000000
            USD
            2020-12-16
            1023.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2569.34000000
        0.001020536707
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            194000.00000000
            EUR
            230425.25000000
            USD
            2020-12-16
            2569.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        927.09000000
        0.000368238293
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            82000.00000000
            EUR
            97237.32000000
            USD
            2020-12-16
            927.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1736.97000000
        0.000689921009
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            213860.03000000
            USD
            167000.00000000
            GBP
            2020-12-16
            1736.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Zinc Base Metal
        N/A
        
          
          
        
        56.00000000
        NC
        USD
        -55684.98000000
        -0.02211796265
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Zinc Base Metal
                
                  
                
              
            
            2020-11-18
            3355800.00000000
            USD
            -55684.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Australia 10 Year Bond
        N/A
        
          
          
        
        306.00000000
        NC
        
        -146302.03000000
        -0.05811087362
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                Australia
                Australia 10 Year Bond
                
                  
                
              
            
            2020-12-15
            45566135.64000000
            AUD
            -146302.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -68705.15000000
        -0.02728954813
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            2007629.46000000
            USD
            43250000.00000000
            MXN
            2020-12-16
            -68705.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8573.88000000
        -0.00340552798
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            299940.65000000
            USD
            1126000.00000000
            PLN
            2020-12-16
            -8573.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7025.73000000
        0.002790605900
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            3002000.00000000
            SEK
            342556.30000000
            USD
            2020-12-16
            7025.73000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE China A50 Index
        N/A
        
          
          
        
        336.00000000
        NC
        USD
        -51176.16000000
        -0.02032706837
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                FTSE China A50 Index
                XIN9I Index
              
            
            2020-10-29
            5080320.00000000
            USD
            -51176.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Aluminum Base Metal
        N/A
        
          
          
        
        79.00000000
        NC
        USD
        -49024.57000000
        -0.01947246112
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Aluminum Base Metal
                
                  
                
              
            
            2020-11-18
            3460693.75000000
            USD
            -49024.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
        
        23.00000000
        NC
        USD
        -20870.84000000
        -0.00828985589
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2020-11-18
            3838412.50000000
            USD
            -20870.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Aluminum Base Metal
        N/A
        
          
        
        63.00000000
        NC
        USD
        -50400.29000000
        -0.02001889435
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Aluminum Base Metal
                
                  
                
              
            
            2020-10-21
            2740106.25000000
            USD
            -50400.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6939.86000000
        -0.00275649850
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            622385.72000000
            USD
            524000.00000000
            EUR
            2020-12-16
            -6939.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -27157.70000000
        -0.01078698410
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            2232546.13000000
            USD
            1730000000.00000000
            CLP
            2020-12-16
            -27157.70000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3990.30000000
        0.001584939177
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1705000.00000000
            SEK
            194556.46000000
            USD
            2020-12-16
            3990.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2286.91000000
        -0.00090835607
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            134510.37000000
            USD
            176000.00000000
            CAD
            2020-12-16
            -2286.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        328460000.00000000
        PA
        USD
        -84025.99000000
        -0.03337495512
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2022-12-16
            259993.96000000
            USD
            0.00000000
            USD
            328460000.00000000
            USD
            -84025.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Nickel Base Metal
        N/A
        
          
          
        
        -36.00000000
        NC
        USD
        95697.12000000
        0.038010704614
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Nickel Base Metal
                
                  
                
              
            
            2020-10-21
            -3129192.00000000
            USD
            95697.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        7307.91000000
        0.002902687231
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              UBS
              BFM8T61CT2L1QCEMIK50
            
            651000.00000000
            CHF
            715775.54000000
            USD
            2020-12-16
            7307.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3804.63000000
        0.001511191424
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            202000.00000000
            CHF
            223636.37000000
            USD
            2020-12-16
            3804.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        332150000.00000000
        PA
        
        945623.22000000
        0.375599651195
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              CME Group Inc.
              LCZ7XYGSLJUHFXXNXD88
            
            Y
            
            
              
                
              
            
            2026-03-17
            0.00000000
            USD
            774424.23000000
            USD
            332150000.00000000
            MXN
            945623.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3432.33000000
        -0.00136331460
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            330000.00000000
            GBP
            422597.67000000
            USD
            2020-12-16
            -3432.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Amsterdam Exchange Index
        N/A
        
          
          
        
        22.00000000
        NC
        
        2675.57000000
        0.001062731051
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              LCH Clearnet
              F226TOH6YD6XJB17KS62
            
            Long
            
              
                Amsterdam Exchange Index
                NL0000000107
              
            
            2020-10-16
            2409352.00000000
            EUR
            2675.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
        
        -24.00000000
        NC
        USD
        18263.58000000
        0.007254257438
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2020-10-21
            -4005600.00000000
            USD
            18263.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        198.64000000
        0.000078899410
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            104000.00000000
            GBP
            134462.64000000
            USD
            2020-12-16
            198.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        564760000.00000000
        PA
        
        675349.18000000
        0.268247343210
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2021-12-16
            0.00000000
            USD
            27512.20000000
            USD
            564760000.00000000
            AUD
            675349.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Lean Hogs
        N/A
        
          
          
        
        -3.00000000
        NC
        USD
        -6119.45000000
        -0.00243063329
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                Lean Hogs
                
                  
                
              
            
            2020-12-14
            -75840.00000000
            USD
            -6119.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -201296.46000000
        -0.07995455120
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              NATWEST MARKETS
              RR3QWICWWIPCS8A4S074
            
            7544520.42000000
            USD
            65700000.00000000
            SEK
            2020-12-16
            -201296.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3049.29000000
        -0.00121117188
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            44949000.00000000
            JPY
            423605.58000000
            USD
            2020-12-16
            -3049.29000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        398.59000000
        0.000158319150
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            61569.41000000
            USD
            48000.00000000
            GBP
            2020-12-16
            398.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3765.16000000
        0.001495514019
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            463576.84000000
            USD
            362000.00000000
            GBP
            2020-12-16
            3765.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        RBOB Gasoline
        N/A
        
          
          
        
        17.00000000
        NC
        USD
        14161.68000000
        0.005624990964
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                RBOB Gasoline
                
                  
                
              
            
            2020-10-30
            840235.20000000
            USD
            14161.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13697.10000000
        0.005440460717
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            338250.00000000
            GBP
            450377.85000000
            USD
            2020-12-16
            13697.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2241.96000000
        -0.00089050202
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1427792.70000000
            USD
            24100000.00000000
            ZAR
            2020-12-17
            -2241.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3823.41000000
        -0.00151865080
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            135402.81000000
            USD
            40844000.00000000
            HUF
            2020-12-16
            -3823.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        MSCI Emerging Markets E-Mini Index
        N/A
        
          
          
        
        20.00000000
        NC
        USD
        -10568.08000000
        -0.00419762023
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              ICE Clear US
              549300HWWR1D8OTS2G29
            
            Long
            
              
                MSCI Emerging Markets E-Mini Index
                MXEF Index
              
            
            2020-12-18
            1088500.00000000
            USD
            -10568.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2791.39000000
        0.001108734523
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            155000.00000000
            EUR
            184841.22000000
            USD
            2020-12-16
            2791.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4121.15000000
        0.001636912535
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1370000.00000000
            SEK
            157244.69000000
            USD
            2020-12-16
            4121.15000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10771.40000000
        -0.00427837853
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            354177.40000000
            USD
            266000.00000000
            GBP
            2020-12-16
            -10771.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -26732.01000000
        -0.01061790089
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              NATWEST MARKETS
              RR3QWICWWIPCS8A4S074
            
            844890.82000000
            USD
            18250000.00000000
            MXN
            2020-12-16
            -26732.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -134696.14000000
        -0.05350103733
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            8237288.14000000
            USD
            121500000000.00000000
            IDR
            2020-12-16
            -134696.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        25860000.00000000
        PA
        
        -13579.33000000
        -0.00539368270
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2030-12-16
            0.00000000
            USD
            137080.67000000
            USD
            25860000.00000000
            CAD
            -13579.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        138098.41000000
        0.054852412175
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            7512844.27000000
            USD
            8920000000.00000000
            KRW
            2020-12-16
            138098.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4652.10000000
        -0.00184780481
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            600006.60000000
            USD
            900000.00000000
            NZD
            2020-12-16
            -4652.10000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22585.02000000
        0.008970724761
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1500000.00000000
            CHF
            1654998.92000000
            USD
            2020-12-16
            22585.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1289.72000000
        0.000512274203
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            158794.28000000
            USD
            124000.00000000
            GBP
            2020-12-16
            1289.72000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -186394.27000000
        -0.07403543114
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            5053125.37000000
            USD
            18700000000.00000000
            COP
            2020-12-16
            -186394.27000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        150260000.00000000
        PA
        
        -163963.88000000
        -0.06512612511
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2022-12-16
            0.00000000
            USD
            186521.40000000
            USD
            150260000.00000000
            GBP
            -163963.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2847.46000000
        -0.00113100541
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            255368.19000000
            USD
            215000.00000000
            EUR
            2020-12-16
            -2847.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        182.69000000
        0.000072564102
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            28219.31000000
            USD
            22000.00000000
            GBP
            2020-12-16
            182.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4859.28000000
        -0.00193009629
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            159779.28000000
            USD
            120000.00000000
            GBP
            2020-12-16
            -4859.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -24.19000000
        -0.00000960821
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            1111903.30000000
            USD
            1480000.00000000
            CAD
            2020-12-16
            -24.19000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        390.09000000
        0.000154942967
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            849577.90000000
            USD
            19600000.00000000
            CZK
            2020-12-16
            390.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5730.95000000
        0.002276321874
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            705610.05000000
            USD
            551000.00000000
            GBP
            2020-12-16
            5730.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -257424.74000000
        -0.10224859173
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            7608872.36000000
            USD
            28410000.00000000
            PLN
            2020-12-16
            -257424.74000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        23684.50000000
        0.009407436017
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              NATWEST MARKETS
              RR3QWICWWIPCS8A4S074
            
            2020000.00000000
            AUD
            1470812.50000000
            USD
            2020-12-16
            23684.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -279323.68000000
        -0.11094680688
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            14234795.72000000
            USD
            19480000.00000000
            AUD
            2020-12-16
            -279323.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -585.68000000
        -0.00023263092
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            59184.71000000
            USD
            78000.00000000
            CAD
            2020-12-16
            -585.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15246.71000000
        -0.00605596270
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Barclays Bank
              G5GSEF7VJP5I7OUK5573
            
            35280000.00000000
            ZAR
            2071617.61000000
            USD
            2020-12-17
            -15246.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        528.85000000
        0.000210058161
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            38000.00000000
            EUR
            45160.42000000
            USD
            2020-12-16
            528.85000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        23.94000000
        0.000009508920
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            44000.00000000
            EUR
            51702.60000000
            USD
            2020-12-16
            23.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Corn
        N/A
        
          
          
        
        -5.00000000
        NC
        USD
        -14199.52000000
        -0.00564002093
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                Corn
                
                  
                
              
            
            2020-12-14
            -94500.00000000
            USD
            -14199.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2321.39000000
        -0.00092205146
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            1494769.85000000
            USD
            1740000000.00000000
            KRW
            2020-12-16
            -2321.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        VSTOXX
        N/A
        
          
          
        
        135.00000000
        NC
        
        -30071.51000000
        -0.01194434361
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Clearing
              529900LN3S50JPU47S06
            
            Long
            
              
                VSTOXX
                DE000A0C3QF1
              
            
            2020-10-21
            358425.00000000
            EUR
            -30071.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        700510000.00000000
        PA
        
        139236.22000000
        0.055304348031
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2021-12-16
            3865939.88000000
            USD
            0.00000000
            USD
            700510000.00000000
            EUR
            139236.22000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -34157.03000000
        -0.01356710398
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            3792979.92000000
            USD
            396000000.00000000
            JPY
            2020-12-16
            -34157.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2313.24000000
        0.000918814300
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            321353.68000000
            USD
            34099000.00000000
            JPY
            2020-12-16
            2313.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        NY Harbor ULSD
        N/A
        
          
          
        
        -28.00000000
        NC
        USD
        -51565.08000000
        -0.02048154661
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                NY Harbor ULSD
                
                  
                
              
            
            2020-10-30
            -1350283.20000000
            USD
            -51565.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -22479.63000000
        -0.00892886406
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1647275.60000000
            USD
            1493000.00000000
            CHF
            2020-12-16
            -22479.63000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1965.18000000
        -0.00078056556
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            183707.26000000
            USD
            167000.00000000
            CHF
            2020-12-16
            -1965.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5864.25000000
        0.002329268368
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              NATWEST MARKETS
              RR3QWICWWIPCS8A4S074
            
            1914000.00000000
            SEK
            219790.14000000
            USD
            2020-12-16
            5864.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5637.34000000
        0.002239140170
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            694084.66000000
            USD
            542000.00000000
            GBP
            2020-12-16
            5637.34000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Live Cattle
        N/A
        
          
          
        
        -2.00000000
        NC
        USD
        -2290.30000000
        -0.00090970257
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                Live Cattle
                
                  
                
              
            
            2020-12-31
            -89800.00000000
            USD
            -2290.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        192606.56000000
        0.076502940308
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            58520000.00000000
            TRY
            7600045.40000000
            USD
            2020-12-16
            192606.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -9946.56000000
        -0.00395075373
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            1500058.56000000
            USD
            2080000.00000000
            AUD
            2020-12-16
            -9946.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1111.91000000
        -0.00044164842
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Bank of America
              B4TYDEB6GKMZO031MB27
            
            698123.24000000
            USD
            6500000.00000000
            NOK
            2020-12-16
            -1111.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9042.94000000
        0.003591837676
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            998000.00000000
            PLN
            267288.09000000
            USD
            2020-12-16
            9042.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4377.97000000
        0.001738920925
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            40890000.00000000
            HUF
            136105.55000000
            USD
            2020-12-16
            4377.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5250.20000000
        -0.00208536893
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            868615.15000000
            USD
            268000000.00000000
            HUF
            2020-12-16
            -5250.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -917.14000000
        -0.00036428617
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            66000.00000000
            GBP
            84288.86000000
            USD
            2020-12-16
            -917.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -788.40000000
        -0.00031315090
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            79671.72000000
            USD
            105000.00000000
            CAD
            2020-12-16
            -788.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        27461.16000000
        0.010907517813
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1458000.00000000
            CHF
            1614167.47000000
            USD
            2020-12-16
            27461.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -111976.39000000
        -0.04447679809
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Standard Chartered Bank
              U4LOSYZ7YG4W3S5F2G91
            
            4673635.97000000
            USD
            1416000000.00000000
            HUF
            2020-12-16
            -111976.39000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        61860000.00000000
        PA
        USD
        -149759.95000000
        -0.05948435253
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2030-12-16
            242560.33000000
            USD
            0.00000000
            USD
            61860000.00000000
            USD
            -149759.95000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4994.46000000
        0.001983789520
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            1253749.10000000
            USD
            21280000.00000000
            ZAR
            2020-12-17
            4994.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -17991.64000000
        -0.00714624341
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            5279818.88000000
            USD
            4480000.00000000
            EUR
            2020-12-16
            -17991.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        44556.91000000
        0.017697915512
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            3941000.00000000
            EUR
            4673320.56000000
            USD
            2020-12-16
            44556.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        4830000.00000000
        PA
        
        -50110.24000000
        -0.01990368707
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2050-12-16
            0.00000000
            USD
            407524.96000000
            USD
            4830000.00000000
            EUR
            -50110.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        828.66000000
        0.000329142094
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            59000.00000000
            CAD
            45153.57000000
            USD
            2020-12-16
            828.66000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        100 oz Gold
        N/A
        
          
          
        
        19.00000000
        NC
        USD
        122937.56000000
        0.048830552886
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                100 oz Gold
                
                  
                
              
            
            2020-12-29
            3593850.00000000
            USD
            122937.56000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6466.89000000
        -0.00256863577
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            329563.29000000
            USD
            451000.00000000
            AUD
            2020-12-16
            -6466.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3265.14000000
        -0.00129690707
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            493000.00000000
            EUR
            575770.76000000
            USD
            2020-12-16
            -3265.14000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15974.32000000
        -0.00634496794
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            959319.66000000
            USD
            740000000.00000000
            CLP
            2020-12-16
            -15974.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4268.09000000
        -0.00169527680
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            143308.74000000
            USD
            1244000.00000000
            SEK
            2020-12-16
            -4268.09000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        4397.01000000
        0.001746483575
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            332000.00000000
            EUR
            394335.99000000
            USD
            2020-12-16
            4397.01000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1443.91000000
        0.000573518163
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            480000.00000000
            SEK
            55093.03000000
            USD
            2020-12-16
            1443.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -5023.68000000
        -0.00199539564
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            483000.00000000
            GBP
            618529.32000000
            USD
            2020-12-16
            -5023.68000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        56550000.00000000
        PA
        
        -30824.77000000
        -0.01224353697
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2022-12-16
            0.00000000
            USD
            620348.40000000
            USD
            56550000.00000000
            EUR
            -30824.77000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CAC 40 10 Euro Index
        N/A
        
          
          
        
        46.00000000
        NC
        
        -117454.50000000
        -0.04665269242
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              LCH Clearnet
              F226TOH6YD6XJB17KS62
            
            Long
            
              
                CAC 40 10 Euro Index
                FR0003500008
              
            
            2020-10-16
            2208460.00000000
            EUR
            -117454.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3900.57000000
        -0.00154929860
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            409108.25000000
            USD
            345000.00000000
            EUR
            2020-12-16
            -3900.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Low Sulphur Gasoil 
        N/A
        
          
          
        
        -40.00000000
        NC
        USD
        -43930.40000000
        -0.01744906699
        N/A
        DCO
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                Low Sulphur Gasoil
                
                  
                
              
            
            2020-11-12
            -1353000.00000000
            USD
            -43930.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Nickel Base Metal
        N/A
        
          
          
        
        35.00000000
        NC
        USD
        -70927.30000000
        -0.02817218166
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Nickel Base Metal
                
                  
                
              
            
            2020-11-18
            3045262.50000000
            USD
            -70927.30000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        14550.92000000
        0.005779596313
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Standard Chartered Bank
              U4LOSYZ7YG4W3S5F2G91
            
            184004000.00000000
            HUF
            607321.83000000
            USD
            2020-12-16
            14550.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        627350000.00000000
        PA
        
        149345.43000000
        0.059319706019
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2026-03-17
            336768.30000000
            USD
            0.00000000
            USD
            627350000.00000000
            CZK
            149345.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IBEX 35 Index
        N/A
        
          
          
        
        -37.00000000
        NC
        
        89709.00000000
        0.035632235330
        N/A
        DE
        
        ES
        N
        
        1
        
          
            
              BME Clearing
              5299009QA8BBE2OOB349
            
            Short
            
              
                IBEX 35 Index
                ES0SI0000005
              
            
            2020-10-16
            -2490248.00000000
            EUR
            89709.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1761.45000000
        -0.00069964441
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            157971.95000000
            USD
            133000.00000000
            EUR
            2020-12-16
            -1761.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3583.79000000
        -0.00142347421
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            237312.28000000
            USD
            199000.00000000
            EUR
            2020-12-16
            -3583.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -603.24000000
        -0.00023960572
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            244902.36000000
            USD
            208000.00000000
            EUR
            2020-12-16
            -603.24000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6930.57000000
        -0.00275280853
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            726908.27000000
            USD
            613000.00000000
            EUR
            2020-12-16
            -6930.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -26708.05000000
        -0.01060838402
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            788058.89000000
            USD
            7100000.00000000
            NOK
            2020-12-16
            -26708.05000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Coffee 'C'
        N/A
        
          
          
        
        46.00000000
        NC
        USD
        -142283.96000000
        -0.05651490426
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              ICE Clear US
              549300HWWR1D8OTS2G29
            
            Long
            
              
                N/A
                Coffee 'C'
                
                  
                
              
            
            2020-12-18
            1912162.50000000
            USD
            -142283.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -94838.86000000
        -0.03766980545
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            1398000000.00000000
            JPY
            13174944.99000000
            USD
            2020-12-16
            -94838.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        DJIA CBOT E-Mini Index
        N/A
        
          
          
        
        24.00000000
        NC
        USD
        -11219.40000000
        -0.00445632323
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                DJIA CBOT E-Mini Index
                US2605661048
              
            
            2020-12-18
            3319680.00000000
            USD
            -11219.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        3054430000.00000000
        PA
        
        -20456.13000000
        -0.00812513391
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2021-12-16
            195921.29000000
            USD
            0.00000000
            USD
            3054430000.00000000
            SEK
            -20456.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Brent Crude Oil
        N/A
        
          
          
        
        -1.00000000
        NC
        USD
        437.08000000
        0.000173607301
        N/A
        DCO
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                N/A
                Brent Crude Oil
                
                  
                
              
            
            2020-10-30
            -42070.00000000
            USD
            437.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        34830000.00000000
        PA
        USD
        639735.99000000
        0.254101855388
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2050-12-16
            576558.24000000
            USD
            0.00000000
            USD
            34830000.00000000
            USD
            639735.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        22401.25000000
        0.008897731684
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Standard Chartered Bank
              U4LOSYZ7YG4W3S5F2G91
            
            14280000.00000000
            CZK
            641663.65000000
            USD
            2020-12-16
            22401.25000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1147.00000000
        -0.00045558610
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            250000.00000000
            GBP
            321603.00000000
            USD
            2020-12-16
            -1147.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -24639.45000000
        -0.00978674024
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              NATWEST MARKETS
              RR3QWICWWIPCS8A4S074
            
            853253.60000000
            USD
            650000000.00000000
            CLP
            2020-12-16
            -24639.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8067.18000000
        -0.00320426775
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            393334.96000000
            USD
            3447000.00000000
            SEK
            2020-12-16
            -8067.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        388263.79000000
        0.154217600637
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            557000000.00000000
            RUB
            7502188.70000000
            USD
            2020-12-16
            388263.79000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -245842.69000000
        -0.09764822464
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            14459864.82000000
            USD
            18920000.00000000
            CAD
            2020-12-16
            -245842.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -51621.53000000
        -0.02050396844
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              UBS
              BFM8T61CT2L1QCEMIK50
            
            6493711.55000000
            USD
            4990000.00000000
            GBP
            2020-12-16
            -51621.53000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3002.86000000
        0.001192729984
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            595000.00000000
            CHF
            650527.04000000
            USD
            2020-12-16
            3002.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        556.37000000
        0.000220989050
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            85940.63000000
            USD
            67000.00000000
            GBP
            2020-12-16
            556.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6159.33000000
        0.002446473553
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            900000.00000000
            NZD
            601513.83000000
            USD
            2020-12-16
            6159.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        13617.78000000
        0.005408954972
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            8120000.00000000
            TRY
            1041444.22000000
            USD
            2020-12-16
            13617.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Nikkei 225 Index
        N/A
        
          
          
        
        14.00000000
        NC
        
        16898.84000000
        0.006712185440
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Japan Securities Clearing
              549300JHM7D8P3TS4S86
            
            Long
            
              
                Nikkei 225 Index
                JP9010C00002
              
            
            2020-12-10
            324660000.00000000
            JPY
            16898.84000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        125800000.00000000
        PA
        
        -9652.58000000
        -0.00383398546
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2021-12-16
            1017570.14000000
            USD
            0.00000000
            USD
            125800000.00000000
            CHF
            -9652.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -118706.58000000
        -0.04715001609
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            6191322.48000000
            USD
            9180000.00000000
            NZD
            2020-12-16
            -118706.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        802310000.00000000
        PA
        USD
        28166.81000000
        0.011187800582
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2021-12-16
            273670.40000000
            USD
            0.00000000
            USD
            802310000.00000000
            USD
            28166.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        MSCI EAFE E-Mini Index
        N/A
        
          
          
        
        -169.00000000
        NC
        USD
        396803.55000000
        0.157609576225
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              ICE Clear US
              549300HWWR1D8OTS2G29
            
            Short
            
              
                MSCI EAFE E-Mini Index
                MSDUEAFE Index
              
            
            2020-12-18
            -15659540.00000000
            USD
            396803.55000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        57780000.00000000
        PA
        
        -123923.57000000
        -0.04922219408
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2030-12-16
            855992.07000000
            USD
            0.00000000
            USD
            57780000.00000000
            GBP
            -123923.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        43201.90000000
        0.017159708251
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            3262000.00000000
            EUR
            3874469.86000000
            USD
            2020-12-16
            43201.90000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        365170000.00000000
        PA
        
        14379.91000000
        0.005711671483
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2021-12-16
            0.00000000
            USD
            58139.43000000
            USD
            365170000.00000000
            CAD
            14379.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -232797.37000000
        -0.09246664963
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Standard Chartered Bank
              U4LOSYZ7YG4W3S5F2G91
            
            6668269.33000000
            USD
            148400000.00000000
            CZK
            2020-12-16
            -232797.37000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Silver
        N/A
        
          
          
        
        13.00000000
        NC
        USD
        -290894.20000000
        -0.11554259428
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Silver
                
                  
                
              
            
            2020-12-29
            1517750.00000000
            USD
            -290894.20000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1827.67000000
        -0.00072594686
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            163910.74000000
            USD
            138000.00000000
            EUR
            2020-12-16
            -1827.67000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6923.12000000
        0.002749849413
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              NATWEST MARKETS
              RR3QWICWWIPCS8A4S074
            
            2259600.00000000
            SEK
            259476.38000000
            USD
            2020-12-16
            6923.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        49928.86000000
        0.019831643305
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            14122168.18000000
            USD
            1051000000.00000000
            INR
            2020-12-16
            49928.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        NASDAQ 100 E-Mini Index
        N/A
        
          
          
        
        12.00000000
        NC
        USD
        19757.80000000
        0.007847758633
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                NASDAQ 100 E-Mini Index
                US6311011026
              
            
            2020-12-18
            2737740.00000000
            USD
            19757.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        100749.99000000
        0.040017694470
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            19602000000.00000000
            COP
            5202229.30000000
            USD
            2020-12-16
            100749.99000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3005.89000000
        0.001193933494
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            370093.11000000
            USD
            289000.00000000
            GBP
            2020-12-16
            3005.89000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -15008.16000000
        -0.00596121112
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Barclays Bank
              G5GSEF7VJP5I7OUK5573
            
            34728000.00000000
            ZAR
            2039204.54000000
            USD
            2020-12-17
            -15008.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        21520000.00000000
        PA
        
        30087.78000000
        0.011950806023
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2030-12-16
            767137.67000000
            USD
            0.00000000
            USD
            21520000.00000000
            CHF
            30087.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        TOPIX Index
        N/A
        
          
          
        
        22.00000000
        NC
        
        54158.86000000
        0.021511790843
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Japan Securities Clearing
              549300JHM7D8P3TS4S86
            
            Long
            
              
                TOPIX Index
                JP9010100007
              
            
            2020-12-10
            357610000.00000000
            JPY
            54158.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -16884.44000000
        -0.00670646578
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Citibank
              MBNUM2BPBDO7JBLYG310
            
            3287961.45000000
            USD
            55300000.00000000
            ZAR
            2020-12-17
            -16884.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9184.59000000
        0.003648100773
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            510000.00000000
            EUR
            608187.24000000
            USD
            2020-12-16
            9184.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1589.28000000
        0.000631258836
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            120000.00000000
            EUR
            142531.08000000
            USD
            2020-12-16
            1589.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Zinc Base Metal
        N/A
        
          
          
        
        -51.00000000
        NC
        USD
        48292.92000000
        0.019181851210
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Zinc Base Metal
                
                  
                
              
            
            2020-10-21
            -3048525.00000000
            USD
            48292.92000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        533.11000000
        0.000211750225
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            71000.00000000
            CAD
            53873.26000000
            USD
            2020-12-16
            533.11000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2845.42000000
        -0.00113019513
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            188418.79000000
            USD
            158000.00000000
            EUR
            2020-12-16
            -2845.42000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        2270480000.00000000
        PA
        
        124110.71000000
        0.049296525719
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2026-03-17
            0.00000000
            USD
            135239.09000000
            USD
            2270480000.00000000
            HUF
            124110.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        5258.06000000
        0.002088490912
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Barclays Bank
              G5GSEF7VJP5I7OUK5573
            
            22380000.00000000
            BRL
            3990371.76000000
            USD
            2020-10-02
            5258.06000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1854.16000000
        0.000736468642
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            140000.00000000
            EUR
            166286.26000000
            USD
            2020-12-16
            1854.16000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -47.48000000
        -0.00001885896
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            3803.83000000
            USD
            5000.00000000
            CAD
            2020-12-16
            -47.48000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Aluminum Base Metal
        N/A
        
          
        
        -63.00000000
        NC
        USD
        44299.71000000
        0.017595756187
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Short
            
              
                N/A
                LME Aluminum Base Metal
                
                  
                
              
            
            2020-10-21
            -2740106.25000000
            USD
            44299.71000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        EURO STOXX 50 Index
        N/A
        
          
          
        
        88.00000000
        NC
        
        -92974.86000000
        -0.03692942838
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Clearing
              529900LN3S50JPU47S06
            
            Long
            
              
                EURO STOXX 50 Index
                EU0009658145
              
            
            2020-12-18
            2810720.00000000
            EUR
            -92974.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1504.46000000
        0.000597568502
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            208999.11000000
            USD
            22177000.00000000
            JPY
            2020-12-16
            1504.46000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        8424.81000000
        0.003346317677
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1037285.19000000
            USD
            810000.00000000
            GBP
            2020-12-16
            8424.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        9621.40000000
        0.003821600831
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            851000.00000000
            EUR
            1009133.67000000
            USD
            2020-12-16
            9621.40000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        307.51000000
        0.000122142356
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            161000.00000000
            GBP
            208158.51000000
            USD
            2020-12-16
            307.51000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1740.52000000
        -0.00069133106
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            53380.52000000
            USD
            40000.00000000
            GBP
            2020-12-16
            -1740.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1641.18000000
        0.000651873412
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            109000.00000000
            CHF
            120263.26000000
            USD
            2020-12-16
            1641.18000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        524.93000000
        0.000208501145
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            181000.00000000
            EUR
            213112.15000000
            USD
            2020-12-16
            524.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        KOSPI 200 Index
        N/A
        
          
          
        
        55.00000000
        NC
        
        -17318.44000000
        -0.00687884972
        N/A
        DE
        
        KR
        N
        
        1
        
          
            
              Market Operation Department of KOFEX
              549300TJ3RRV6Q1UEW14
            
            Long
            
              
                KOSPI 200 Index
                KRD020020016
              
            
            2020-12-10
            4261812500.00000000
            KRW
            -17318.44000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        OMXS30 Index
        N/A
        
          
          
        
        146.00000000
        NC
        
        47287.98000000
        0.018782691052
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              NASDAQ OMX Commodities Clearing
              5493008EIVLUXM0PQX05
            
            Long
            
              
                OMXS30 Index
                SE0000337842
              
            
            2020-10-16
            26736250.00000000
            SEK
            47287.98000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Sugar No. 11
        N/A
        
          
          
        
        170.00000000
        NC
        USD
        178104.50000000
        0.070742751088
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              ICE Clear US
              549300HWWR1D8OTS2G29
            
            Long
            
              
                N/A
                Sugar No. 11
                
                  
                
              
            
            2021-02-26
            2562784.00000000
            USD
            178104.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Russell 2000 E-Mini Index
        N/A
        
          
          
        
        -85.00000000
        NC
        USD
        68267.75000000
        0.027115813725
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                Russell 2000 E-Mini Index
                US1248351090
              
            
            2020-12-18
            -6393700.00000000
            USD
            68267.75000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Natural Gas
        N/A
        
          
        
        12.00000000
        NC
        USD
        -36393.12000000
        -0.01445527445
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Natural Gas
                
                  
                
              
            
            2020-10-28
            304560.00000000
            USD
            -36393.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3247.12000000
        -0.00128974956
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            96049.75000000
            USD
            2140000.00000000
            CZK
            2020-12-16
            -3247.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6979.58000000
        0.002772275212
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            527000.00000000
            EUR
            625948.99000000
            USD
            2020-12-16
            6979.58000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17361.43000000
        0.006895925263
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            1114840.85000000
            USD
            1320000000.00000000
            KRW
            2020-12-16
            17361.43000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        6482.52000000
        0.002574843975
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            3760000.00000000
            MXN
            175045.65000000
            USD
            2020-12-16
            6482.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        12470.80000000
        0.004953376811
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1535438.20000000
            USD
            1199000.00000000
            GBP
            2020-12-16
            12470.80000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -53485.59000000
        -0.02124436934
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Morgan Stanley & Co.
              9R7GPTSO7KV3UQJZQ078
            
            6060000.00000000
            GBP
            7769974.44000000
            USD
            2020-12-16
            -53485.59000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE 100 Index
        N/A
        
          
          
        
        -38.00000000
        NC
        
        68348.41000000
        0.027147851715
        N/A
        DE
        
        GB
        
        N
        
        1
        
          
            
              ICE Clear Europe
              5R6J7JCQRIPQR1EEP713
            
            Short
            
              
                FTSE 100 Index
                GB0001383545
              
            
            2020-12-18
            -2219770.00000000
            GBP
            68348.41000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        KC HRW Wheat
        N/A
        
          
          
        
        -3.00000000
        NC
        USD
        -12122.13000000
        -0.00481488578
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Short
            
              
                N/A
                KC HRW Wheat
                
                  
                
              
            
            2020-12-14
            -76387.50000000
            USD
            -12122.13000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2974.69000000
        0.001181540916
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            366251.31000000
            USD
            286000.00000000
            GBP
            2020-12-16
            2974.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1112.32000000
        0.000441811278
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            8519000.00000000
            CZK
            370544.84000000
            USD
            2020-12-16
            1112.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        16310000.00000000
        PA
        
        4784.17000000
        0.001900262752
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
              
                
              
            
            
            2050-12-16
            0.00000000
            USD
            1120481.66000000
            USD
            16310000.00000000
            GBP
            4784.17000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -465.02000000
        -0.00018470501
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            56000.00000000
            GBP
            71830.98000000
            USD
            2020-12-16
            -465.02000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        SPI 200 Index
        N/A
        
          
          
        
        40.00000000
        NC
        
        -32154.91000000
        -0.01277186592
        N/A
        DE
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SPI 200 Index
                XC0006013624
              
            
            2020-12-17
            5802000.00000000
            AUD
            -32154.91000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        FTSE/JSE Top 40 Index
        N/A
        
          
          
        
        202.00000000
        NC
        
        -264113.33000000
        -0.10490528629
        N/A
        DE
        
        ZA
        N
        
        1
        
          
            
              JSE Clear
              213800PJDCEXAVMM3J32
            
            Long
            
              
                FTSE/JSE Top 40 Index
                TOP40 Index
              
            
            2020-12-17
            101771640.00000000
            ZAR
            -264113.33000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Cotton No. 2
        N/A
        
          
          
        
        92.00000000
        NC
        USD
        118688.28000000
        0.047142747371
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              ICE Clear US
              549300HWWR1D8OTS2G29
            
            Long
            
              
                N/A
                Cotton No. 2
                
                  
                
              
            
            2020-12-08
            3028180.00000000
            USD
            118688.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        CBOE Volatility Index
        N/A
        
          
          
        
        -52.00000000
        NC
        USD
        133741.03000000
        0.053121669557
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing
              549300CII6SLYGKNHA04
            
            Short
            
              
                CBOE Volatility Index
                US12497K1007
              
            
            2020-10-21
            -1579500.00000000
            USD
            133741.03000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        680190000.00000000
        PA
        
        -106816.50000000
        -0.04242730010
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2021-12-16
            0.00000000
            USD
            461334.08000000
            USD
            680190000.00000000
            GBP
            -106816.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        260980000.00000000
        PA
        
        1330111.52000000
        0.528317634757
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2026-03-17
            0.00000000
            USD
            1439073.50000000
            USD
            260980000.00000000
            ZAR
            1330111.52000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        17964.81000000
        0.007135586592
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            23485000.00000000
            MXN
            1070811.92000000
            USD
            2020-12-16
            17964.81000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -224562.69000000
        -0.08919585121
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              UBS
              BFM8T61CT2L1QCEMIK50
            
            4181442.42000000
            USD
            36900000.00000000
            NOK
            2020-12-16
            -224562.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P/TSX 60 Index
        N/A
        
          
          
        
        49.00000000
        NC
        
        1536.93000000
        0.000610465521
        N/A
        DE
        
        CA
        N
        
        1
        
          
            
              Canadian Derivatives Clearing
              5493004XJK1P32XQLA57
            
            Long
            
              
                S&P/TSX 60 Index
                XC0009654721
              
            
            2020-12-17
            9422700.00000000
            CAD
            1536.93000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -6743.78000000
        -0.00267861592
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            396652.74000000
            USD
            519000.00000000
            CAD
            2020-12-16
            -6743.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -955.23000000
        -0.00037941544
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            34130.00000000
            USD
            765000.00000000
            CZK
            2020-12-16
            -955.23000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        68730000.00000000
        PA
        
        185446.69000000
        0.073659054268
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2030-12-16
            1604742.04000000
            USD
            0.00000000
            USD
            68730000.00000000
            EUR
            185446.69000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Copper Base Metal
        N/A
        
          
        
        24.00000000
        NC
        USD
        145726.08000000
        0.057882107440
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Copper Base Metal
                
                  
                
              
            
            2020-10-21
            4005600.00000000
            USD
            145726.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Soybean
        N/A
        
          
          
        
        36.00000000
        NC
        USD
        97886.60000000
        0.038880361690
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                N/A
                Soybean
                
                  
                
              
            
            2020-11-13
            1839600.00000000
            USD
            97886.60000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        29784.97000000
        0.011830530496
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Bank of America
              B4TYDEB6GKMZO031MB27
            
            3500000.00000000
            EUR
            4140587.50000000
            USD
            2020-12-16
            29784.97000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -321316.28000000
        -0.12762618359
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            33701032.82000000
            USD
            28420000.00000000
            EUR
            2020-12-16
            -321316.28000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        IRS
        N/A
        
          
        
        114090000.00000000
        PA
        
        460564.57000000
        0.182935325810
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Clearnet
              549300TXTCI7WVVJS380
            
            Y
            
            
              
                
              
            
            2026-03-17
            0.00000000
            USD
            201262.13000000
            USD
            114090000.00000000
            PLN
            460564.57000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -12684.04000000
        -0.00503807531
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            1157797.24000000
            USD
            4400000000.00000000
            COP
            2020-12-16
            -12684.04000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        DAX Index
        N/A
        
          
          
        
        7.00000000
        NC
        
        12865.21000000
        0.005110035674
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Clearing
              529900LN3S50JPU47S06
            
            Long
            
              
                DAX Index
                DE0008469008
              
            
            2020-12-18
            2236325.00000000
            EUR
            12865.21000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -648.32000000
        -0.00025751140
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            42930.86000000
            USD
            36000.00000000
            EUR
            2020-12-16
            -648.32000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Lead Base Metal
        N/A
        
          
          
        
        51.00000000
        NC
        USD
        -187457.08000000
        -0.07445757715
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Lead Base Metal
                
                  
                
              
            
            2020-10-21
            2304562.50000000
            USD
            -187457.08000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3704.78000000
        -0.00147153120
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            180635.12000000
            USD
            1583000.00000000
            SEK
            2020-12-16
            -3704.78000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        LME Nickel Base Metal
        N/A
        
          
          
        
        36.00000000
        NC
        USD
        33837.12000000
        0.013440036370
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              LME Clear
              213800L8AQD59D3JRW81
            
            Long
            
              
                N/A
                LME Nickel Base Metal
                
                  
                
              
            
            2020-10-21
            3129192.00000000
            USD
            33837.12000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -10447.45000000
        -0.00414970623
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            343525.45000000
            USD
            258000.00000000
            GBP
            2020-12-16
            -10447.45000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1761.64000000
        -0.00069971988
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            129089.92000000
            USD
            117000.00000000
            CHF
            2020-12-16
            -1761.64000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        26136.83000000
        0.010381496587
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Deutsche Bank
              7LTWFZYICNSX8D621K86
            
            13740000.00000000
            BRL
            2470587.60000000
            USD
            2020-11-04
            26136.83000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4860.54000000
        -0.00193059676
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            435907.55000000
            USD
            367000.00000000
            EUR
            2020-12-16
            -4860.54000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        HSCEI
        N/A
        
          
          
        
        28.00000000
        NC
        
        -36185.82000000
        -0.01437293531
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              HKCC & SEOCH
              213800NM8ZN1F16ARD34
            
            Long
            
              
                HSCEI
                HK0000004330
              
            
            2020-10-29
            13132000.00000000
            HKD
            -36185.82000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -35962.88000000
        -0.01428438398
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              JP Morgan Chase Bank
              7H6GLXDRUGQFU57RNE97
            
            767508.94000000
            USD
            16318000.00000000
            MXN
            2020-12-16
            -35962.88000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -8084.46000000
        -0.00321113133
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            812821.33000000
            USD
            7200000.00000000
            SEK
            2020-12-16
            -8084.46000000
          
        
        
          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