Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:02 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009336
        C000201785
        C000025581
        C000058973
        C000161533
        C000025579
        C000058974
        C000025578
        C000025577
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Growth Strategy Portfolio
      S000009336
      5493009DE1KFPSBJLK06
      2020-12-31
      2020-09-30
      N
    
    
      690167885.83
      655786.94
      689512098.89
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      10877412.35000000
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Goldman Sachs Emerging Markets Debt Fund
        XC6LIVZDLLKYZ7FKO621
        Goldman Sachs Emerging Markets Debt Fund
        38148U882
        
          
        
        1227855.52400000
        NS
        USD
        14807937.62000000
        2.147596487985
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT  DEC20 XCME 20201218
        000000000
        
          
        
        125.00000000
        NC
        USD
        -60429.26000000
        -0.00876406086
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                E-mini S&P 500 Index
                ESZ0 Index
              
            
            2020-12-18
            21010429.26000000
            USD
            -60429.26000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        IMM EUR FUT OPT MAR21C 98.25 EXP 03/15/2021
        000000000
        
          
        
        148.00000000
        NC
        USD
        575350.00000000
        0.083443060814
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    ICE Futures Europe
                    549300UF4R84F48NCH34
                  
                  
                    ICE Futures Europe
                    549300UF4R84F48NCH34
                    Eurodollar Time Deposit Future
                    N/A
                    
                      
                    
                    148.00000000
                    NC
                    N/A
                    575350.00000000
                    0.08000000
                    DIR
                    
                    US
                  
                  Long
                  
                    
                      Eurodollar Time Deposit
                      EDH1 Comdty
                    
                  
                  2021-03-15
                  148.00000000
                  USD
                
              
            
            2500.00000000
            98.25000000
            USD
            2021-03-15
            XXXX
            410356.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        871.36000000
        0.000126373417
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            160000.00000000
            ILS
            47633.25000000
            USD
            2020-12-16
            871.36000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Local Emerging Markets Debt Fund
        58SWL44ZGT3G71LAHX23
        Goldman Sachs Local Emerging Markets Debt Fund
        38145L174
        
          
        
        1439563.30300000
        NS
        USD
        7874411.27000000
        1.142026555107
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        145.00000000
        NC
        USD
        76763.00000000
        0.011132944602
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            20150737.00000000
            USD
            76763.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        225.71000000
        0.000032734741
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            290000.00000000
            SGD
            212694.35000000
            USD
            2020-12-16
            225.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD DKK
        000000000
        
          
        
        1.00000000
        NC
        
        2892.10000000
        0.000419441515
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1800000.00000000
            DKK
            286818.79000000
            USD
            2020-12-16
            2892.10000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        15075.88000000
        0.002186456194
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1380000.00000000
            CHF
            1516961.94000000
            USD
            2020-12-16
            15075.88000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        5838.71000000
        0.000846788621
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            950000.00000000
            NOK
            107710.46000000
            USD
            2020-12-16
            5838.71000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        IMM EURO$ FUT OPT Jun21C 98.25
        000000000
        
          
        
        128.00000000
        NC
        USD
        499200.00000000
        0.072399019655
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    ICE Futures Europe
                    549300UF4R84F48NCH34
                  
                  
                    ICE Futures Europe
                    549300UF4R84F48NCH34
                    Eurodollar Time Deposit Future
                    N/A
                    
                      
                    
                    128.00000000
                    NC
                    N/A
                    499200.00000000
                    0.07000000
                    DIR
                    
                    US
                  
                  Long
                  
                    
                      Eurodollar Time Deposit
                      EDM1 Comdty
                    
                  
                  2021-06-14
                  128.00000000
                  USD
                
              
            
            2500.00000000
            98.25000000
            USD
            2021-06-14
            XXXX
            354903.03000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International Small Cap Insights Fund
        549300VMLASEOM8ZWE07
        Goldman Sachs International Small Cap Insights Fund
        38147X234
        
          
        
        1134028.06900000
        NS
        USD
        13041322.79000000
        1.891384184700
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF
        549300HE2W614QP0GH20
        Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF
        381430503
        
          
        
        3167430.00000000
        NS
        USD
        215543611.50000000
        31.26030882518
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs High Yield Fund
        VJJ3YDJ4UOKOJN1I8J86
        Goldman Sachs High Yield Fund
        38148U874
        
          
        
        1168013.01900000
        NS
        USD
        7206640.33000000
        1.045179677282
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -27643.96000000
        -0.00400920593
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            406000000.00000000
            JPY
            3826200.05000000
            USD
            2020-12-16
            -27643.96000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        17374845.50000000
        NS
        USD
        17374845.50000000
        2.519875362299
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International Equity Insights Fund
        RP210Q47MZG236IVQP58
        Goldman Sachs International Equity Insights Fund
        38147X242
        
          
        
        6579924.97800000
        NS
        USD
        80801478.73000000
        11.71864552631
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD HKD
        000000000
        
          
        
        1.00000000
        NC
        
        -136.80000000
        -0.00001984011
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4590000.00000000
            HKD
            591940.46000000
            USD
            2020-12-16
            -136.80000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS TR MUTUAL FUND
        S2FHCT8U6D2VORP0J605
        GOLDMAN SACHS TR MUTUAL FUND
        38150C879
        
          
        
        1244634.38300000
        NS
        USD
        12272095.02000000
        1.779823013947
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Real Estate Securities Fund
        549300IV19H0UGZG5L86
        Goldman Sachs Global Real Estate Securities Fund
        38148U718
        
          
        
        1404873.65000000
        NS
        USD
        13065324.95000000
        1.894865220064
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Infrastructure Fund
        54930073G57DO7G34278
        Goldman Sachs Global Infrastructure Fund
        38148U775
        
          
        
        1291149.23400000
        NS
        USD
        14383402.47000000
        2.086026118055
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        57.00000000
        NC
        USD
        9208.12000000
        0.001335454448
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            10029916.88000000
            USD
            9208.12000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Access Investment Grade Corporate Bond ETF
        549300KGVZT18SX98G95
        Goldman Sachs Access Investment Grade Corporate Bond ETF
        381430479
        
          
        
        436567.00000000
        NS
        USD
        24081035.72000000
        3.492474716363
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        48543.89000000
        0.007040324611
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4350000.00000000
            EUR
            5157851.55000000
            USD
            2020-12-16
            48543.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        12042.59000000
        0.001746537880
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3900000.00000000
            SEK
            447952.05000000
            USD
            2020-12-16
            12042.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        22246.21000000
        0.003226369781
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1570000.00000000
            AUD
            1146998.04000000
            USD
            2020-12-16
            22246.21000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Emerging Markets Equity Insights Fund
        549300UHNMO4HOGWYU58
        Goldman Sachs Emerging Markets Equity Insights Fund
        38147X259
        
          
        
        4411003.89700000
        NS
        USD
        43801268.70000000
        6.352501829991
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Dynamic Global Equity Fund
        784F5XWPLTWKTBV3E584
        Goldman Sachs Dynamic Global Equity Fund
        38148U403
        
          
        
        9591094.03100000
        NS
        USD
        186259046.08000000
        27.01316574137
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Tactical Tilt Overlay Fund
        N/A
        Goldman Sachs Tactical Tilt Overlay Fund
        38148U155
        
          
        
        2168116.22800000
        NS
        USD
        21139133.22000000
        3.065810339518
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        771.79000000
        0.000111932771
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            60000.00000000
            NZD
            40462.02000000
            USD
            2020-12-16
            771.79000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Alternative Premia Fund
        YGM3X126LEZ2PQHVW654
        Goldman Sachs Alternative Premia Fund
        38147X291
        
          
        
        724767.00500000
        NS
        USD
        5660430.31000000
        0.820932702865
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        81965.59000000
        0.011887476685
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2025000.00000000
            GBP
            2696275.35000000
            USD
            2020-12-16
            81965.59000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        IMM EUR FUT OPT SEP21C 98.25 EXP 09/13/2021
        000000000
        
          
        
        125.00000000
        NC
        USD
        487500.00000000
        0.070702167631
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    ICE Futures Europe
                    549300UF4R84F48NCH34
                  
                  
                    ICE Futures Europe
                    549300UF4R84F48NCH34
                    Eurodollar Time Deposit Future
                    N/A
                    
                      
                    
                    125.00000000
                    NC
                    N/A
                    487500.00000000
                    0.07000000
                    DIR
                    
                    US
                  
                  Long
                  
                    
                      Eurodollar Time Deposit
                      EDU1 Comdty
                    
                  
                  2021-09-13
                  125.00000000
                  USD
                
              
            
            2500.00000000
            98.25000000
            USD
            2021-09-13
            XXXX
            340335.00000000
          
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  
  XXXX



GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Underlying Funds(a) – 95.2%
 

Dynamic – 8.8%

  2,476,700      Goldman Sachs Tactical Tilt Overlay Fund - Class R6   $  24,147,826
  1,514,895      Goldman Sachs Managed Futures Strategy Fund - Class R6   14,936,862
  789,315      Goldman Sachs Alternative Premia Fund - Class R6   6,164,550
    

 

     45,249,238

 

 

 

Equity – 28.2%

  4,440,343      Goldman Sachs Dynamic Global Equity Fund - Class R6   86,231,459
  1,752,058      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6   17,397,941
  1,368,981      Goldman Sachs International Equity Insights Fund - Class R6   16,811,089
  787,041      Goldman Sachs Global Infrastructure Fund - Class R6   8,767,639
  897,968      Goldman Sachs Global Real Estate Securities Fund - Class R6   8,351,098
  601,297      Goldman Sachs International Small Cap Insights Fund - Class R6   6,914,920
    

 

     144,474,146

 

 

 

Exchange Traded Funds – 21.6%

  837,116      Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF   56,965,744
  969,154      Goldman Sachs Access Investment Grade Corporate Bond ETF   53,458,534
    

 

     110,424,278

 

 

 

Fixed Income – 36.6%

  12,420,137      Goldman Sachs Global Core Fixed Income Fund - Class R6   167,671,845
  780,033      Goldman Sachs Emerging Markets Debt Fund - Class R6   9,407,196
  837,082      Goldman Sachs High Yield Fund - Class R6   5,164,796
  497,824      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   2,723,096
  280,572      Goldman Sachs High Yield Floating Rate Fund - Class R6   2,527,958
    

 

     187,494,891

 

 

 
TOTAL UNDERLYING FUNDS – 95.2%
(Cost $460,111,060)
  $487,642,553

 

 

Shares      Dividend
Rate
  Value
  Investment Company(a) – 3.1%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  15,982,634      0.027%   $  15,982,634
 

(Cost $15,982,634)

 

 

 
TOTAL INVESTMENTS – 98.3%
(Cost $476,093,694)
  $503,625,187

 

 

 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 1.7%
  8,706,826

 

 

  NET ASSETS – 100.0%   $512,332,013

 

 

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

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

CHF  

— Swiss Franc

DKK  

— Danish Krone

EUR  

— Euro

GBP  

— British Pound

HKD  

— Hong Kong Dollar

ILS  

— Israeli Shekel

JPY  

— Japanese Yen

NOK  

— Norwegian Krone

NZD  

— New Zealand Dollar

SEK  

— Swedish Krona

SGD  

— Singapore Dollar

USD  

— U.S. Dollar

Investment Abbreviations:
ETF  

— Exchange Traded Fund

 

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 BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2020, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased
     Currency
Sold
       Settlement
Date
       Unrealized
Gain
 

 

 

MS & Co. Int. PLC

     USD      256,700      SGD        350,000          12/16/20        $ 272  
     USD      3,288,790      GBP        2,470,000          12/16/20          99,978  
     USD      6,284,279      EUR        5,300,000          12/16/20          59,145  
     USD      1,395,393      AUD        1,910,000          12/16/20          27,064  
     USD      1,846,736      CHF        1,680,000          12/16/20          18,353  
     USD      47,206      NZD        70,000          12/16/20          900  
     USD      59,542      ILS        200,000          12/16/20          1,089  
     USD      130,386      NOK        1,150,000          12/16/20          7,068  
     USD      542,711      SEK        4,725,000          12/16/20          14,590  
     USD      348,963      DKK        2,190,000          12/16/20          3,519  

 

 

TOTAL

 

          $ 231,978  

 

 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
     Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

MS & Co. Int. PLC

     USD      4,664,948      JPY        495,000,000          12/16/20        $ (33,704
     USD      720,904      HKD        5,590,000          12/16/20          (167

 

 

TOTAL

 

          $ (33,871

 

 

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

 

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

 

 

Long position contracts:

 

S&P 500 E-Mini Index

     134      12/18/20      $ 22,458,400        $ (64,857

10 Year U.S. Treasury Notes

     131      12/21/20        18,278,594          73,445  

20 Year U.S. Treasury Bonds

     50      12/21/20        8,814,062          15,890  

 

 

TOTAL FUTURES CONTRACTS

                    $ 24,478  

 

 

PURCHASED OPTIONS CONTRACTS — At September 30, 2020, the Portfolio had the following purchased options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

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

 

 

Purchased option contracts

 

           

Calls

              

Eurodollar Futures

   $ 98.25       03/15/2021       95     $ 237,500     $ 369,312     $ 105,908     $ 263,404  

Eurodollar Futures

     98.25       06/14/2021       84       210,000       327,600       94,695       232,905  

Eurodollar Futures

     98.25       09/13/2021       82       205,000       319,800       96,540       223,260  

 

 

TOTAL

         261     $ 652,500     $ 1,016,712     $ 297,143     $ 719,569  

 

 

 

 

Abbreviations:
MS & Co. Int. PLC  

— Morgan Stanley & Co. International PLC

 

 

 


GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Underlying Funds(a) – 95.5%
 

Dynamic – 7.9%

  3,613,879      Goldman Sachs Tactical Tilt Overlay Fund - Class R6   $  35,235,316
  2,191,207      Goldman Sachs Managed Futures Strategy Fund - Class R6   21,605,297
  1,145,021      Goldman Sachs Alternative Premia Fund - Class R6   8,942,616
    

 

     65,783,229

 

 

 

Equity – 42.7%

  10,141,115      Goldman Sachs Dynamic Global Equity Fund - Class R6   196,940,446
  5,860,569      Goldman Sachs International Equity Insights Fund - Class R6   71,967,783
  4,507,550      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6   44,759,969
  1,627,818      Goldman Sachs Global Real Estate Securities Fund - Class R6   15,138,708
  1,347,030      Goldman Sachs Global Infrastructure Fund - Class R6   15,005,918
  1,054,916      Goldman Sachs International Small Cap Insights Fund - Class R6   12,131,534
    

 

     355,944,358

 

 

 

Exchange Traded Funds – 27.4%

  2,526,237      Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF   171,910,428
  1,029,856      Goldman Sachs Access Investment Grade Corporate Bond ETF   56,806,857
    

 

     228,717,285

 

 

 

Fixed Income – 17.5%

  8,192,256      Goldman Sachs Global Core Fixed Income Fund - Class R6   110,595,458
  1,407,052      Goldman Sachs Emerging Markets Debt Fund - Class R6   16,969,042
  1,458,717      Goldman Sachs High Yield Fund - Class R6   9,000,286
  935,205      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   5,115,570
  470,077      Goldman Sachs High Yield Floating Rate Fund - Class R6   4,235,395
    

 

     145,915,751

 

 

 
TOTAL UNDERLYING FUNDS – 95.5%
(Cost $734,685,196)
  $796,360,623

 

 

Shares     

Dividend

Rate

  Value
  Investment Company(a) – 2.6%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  21,954,365      0.027%   $  21,954,365
 

(Cost $21,954,365)

 

 

 
TOTAL INVESTMENTS – 98.1%
(Cost $756,639,561)
  $818,314,988

 

 

 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 1.9%
  15,954,916

 

 

  NET ASSETS – 100.0%   $834,269,904

 

 

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

 

 

Currency Abbreviations:
AUD   — Australian Dollar
CHF   — Swiss Franc
DKK   — Danish Krone
EUR   — Euro
GBP   — British Pound
HKD   — Hong Kong Dollar
ILS   — Israeli Shekel
JPY   — Japanese Yen
NOK   — Norwegian Krone
NZD   — New Zealand Dollar
SEK   — Swedish Krona
SGD   — Singapore Dollar
USD   — U.S. Dollar
Investment Abbreviations:
ETF   — Exchange Traded Fund

 

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 GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2020, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased
     Currency
Sold
       Settlement
Date
       Unrealized
Gain
 

 

 

MS & Co. Int. PLC

     USD      293,372      SGD        400,000          12/16/20        $ 311  
     USD      3,801,415      GBP        2,855,000          12/16/20          115,561  
     USD      1,614,564      AUD        2,210,000          12/16/20          31,315  
     USD      7,268,421      EUR        6,130,000          12/16/20          68,408  
     USD      53,949      NZD        80,000          12/16/20          1,029  
     USD      2,143,533      CHF        1,950,000          12/16/20          21,303  
     USD      71,450      ILS        240,000          12/16/20          1,307  
     USD      153,062      NOK        1,350,000          12/16/20          8,297  
     USD      628,856      SEK        5,475,000          12/16/20          16,906  
     USD      403,140      DKK        2,530,000          12/16/20          4,065  

 

 

TOTAL

 

          $ 268,502  

 

 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
     Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

MS & Co. Int. PLC

     USD      5,400,031      JPY        573,000,000          12/16/20        $ (39,015
     USD      834,391      HKD        6,470,000          12/16/20          (192

 

 

TOTAL

 

          $ (39,207

 

 

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

 

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

 

 

Long position contracts:

 

S&P 500 E-Mini Index

     169      12/18/20      $ 28,324,400        $ (83,990

10 Year U.S. Treasury Notes

     220      12/21/20        30,696,875          123,343  

20 Year U.S. Treasury Bonds

     83      12/21/20        14,631,344          26,377  

 

 

TOTAL FUTURES CONTRACTS

                    $ 65,730  

 

 

PURCHASED OPTIONS CONTRACTS — At September 30, 2020, the Portfolio had the following purchased options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

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

 

 

Purchased option contracts

 

           

Calls

             

Eurodollar Futures

  $ 98.25       06/14/2021       137     $ 342,500     $ 534,300     $ 154,443     $ 379,857  

Eurodollar Futures

    98.25       09/13/2021       134       335,000       522,600       157,761       364,839  

Eurodollar Futures

    98.25       03/15/2021       157       392,500       610,337       175,026       435,311  

 

 

TOTAL

        428     $ 1,070,000     $ 1,667,237     $ 487,230     $ 1,180,007  

 

 

 

 

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

 

    

 


GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Underlying Funds(a) – 95.8%
 

Equity – 51.0%

  9,591,094      Goldman Sachs Dynamic Global Equity Fund - Class R6   $186,259,046
  6,579,925      Goldman Sachs International Equity Insights Fund - Class R6   80,801,479
  4,411,004      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6   43,801,269
  1,291,149      Goldman Sachs Global Infrastructure Fund - Class R6   14,383,402
  1,404,874      Goldman Sachs Global Real Estate Securities Fund - Class R6   13,065,325
  1,134,028      Goldman Sachs International Small Cap Insights Fund - Class R6   13,041,323
    

 

     351,351,844

 

 

 

Fixed Income – 4.3%

  1,231,883      Goldman Sachs Emerging Markets Debt Fund - Class R6   14,856,506
  1,444,926      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   7,903,745
  1,173,545      Goldman Sachs High Yield Fund - Class R6   7,240,773
    

 

     30,001,024

 

 

 

Dynamic – 5.7%

  2,168,116      Goldman Sachs Tactical Tilt Overlay Fund - Class R6   21,139,133
  1,244,634      Goldman Sachs Managed Futures Strategy Fund - Class R6   12,272,095
  724,767      Goldman Sachs Alternative Premia Fund - Class R6   5,660,430
    

 

     39,071,658

 

 

 

Exchange Traded Funds – 34.8%

  3,167,430      Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF   215,543,611
  436,567      Goldman Sachs Access Investment Grade Corporate Bond ETF   24,081,036
    

 

     239,624,647

 

 

 
TOTAL UNDERLYING FUNDS – 95.8%
(Cost $595,981,803)
  $660,049,173

 

 

Shares      Distribution
Rate
  Value
  Investment Company(a) – 2.5%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  17,375,229      0.027%   $  17,375,229
 

(Cost $17,375,229)

 

 

 
TOTAL INVESTMENTS – 98.3%
(Cost $613,357,032)
  $677,424,402

 

 

 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 1.7%
  11,904,096

 

 

  NET ASSETS – 100.0%   $689,328,498

 

 

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

 

 

Investment Abbreviations:
ETF  

— Exchange Traded Fund

PLC  

— Public Limited Company

 

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 GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2020, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased
     Currency
Sold
       Settlement
Date
       Unrealized
Gain
 

 

 

MS & Co. Int. PLC

     USD      286,819      DKK        1,800,000          12/16/20        $ 2,892  
     USD      107,710      NOK        950,000          12/16/20          5,839  
     USD      447,952      SEK        3,900,000          12/16/20          12,043  
     USD      212,694      SGD        290,000          12/16/20          226  
     USD      2,696,275      GBP        2,025,000          12/16/20          81,966  
     USD      1,146,998      AUD        1,570,000          12/16/20          22,246  
     USD      5,157,852      EUR        4,350,000          12/16/20          48,544  
     USD      1,516,962      CHF        1,380,000          12/16/20          15,076  
     USD      40,462      NZD        60,000          12/16/20          772  
     USD      47,633      ILS        160,000          12/16/20          871  

 

 

TOTAL

 

          $ 190,475  

 

 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
     Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

MS & Co. Int. PLC

     USD      3,826,200      JPY        406,000,000          12/16/20        $ (27,644
     USD      591,940      HKD        4,590,000          12/16/20          (138

 

 

TOTAL

 

          $ (27,782

 

 

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

 

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

 

 

Long position contracts:

 

S&P 500 E-Mini Index

     125      12/18/20      $ 20,950,000        $ (60,429

10 Year U.S. Treasury Notes

     145      12/21/20        20,232,031          81,294  

20 Year U.S. Treasury Bonds

     57      12/21/20        10,048,031          18,114  

 

 

TOTAL FUTURES CONTRACTS

                    $ 38,979  

 

 

PURCHASED OPTIONS CONTRACTS — At September 30, 2020, the Portfolio had the following purchased options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

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

 

 

Purchased option contracts

 

           

Calls

             

Eurodollar Futures

  $ 98.25       03/15/2021       148     $ 370,000     $ 575,350     $ 164,993     $ 410,357  

Eurodollar Futures

    98.25       06/14/2021       128       320,000       499,200       144,297       354,903  

Eurodollar Futures

    98.25       09/13/2021       125       312,500       487,500       147,165       340,335  

 

 

TOTAL

        401     $ 1,002,500     $ 1,562,050     $ 456,455     $ 1,105,595  

 

 

 

 

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

 

 


GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Underlying Funds(a) – 99.9%
 

Equity – 54.3%

  3,288,624      Goldman Sachs Global Real Estate Securities Fund - Class R6   $  30,584,200
  2,349,682      Goldman Sachs Global Infrastructure Fund - Class R6   26,175,455
  1,779,857      Goldman Sachs International Small Cap Insights Fund - Class R6   20,468,358
  408,930      Goldman Sachs Emerging Markets Equity Fund - Class R6   10,284,588
  624,065      Goldman Sachs Emerging Markets Equity Insights Fund - Class R6   6,196,963
  107,048      Goldman Sachs MLP Energy Infrastructure Fund - Class R6   1,574,675
    

 

     95,284,239

 

 

 

Exchange Traded Funds – 5.3%

  285,554      Goldman Sachs ActiveBeta Emerging Markets Equity ETF   9,363,316

 

 

 

Fixed Income – 40.3%

  2,527,786      Goldman Sachs Emerging Markets Debt Fund - Class R6   30,485,094
  3,329,855      Goldman Sachs High Yield Fund - Class R6   20,545,207
  1,218,344      Goldman Sachs High Yield Floating Rate Fund - Class R6   10,977,284
  1,604,281      Goldman Sachs Local Emerging Markets Debt Fund - Class R6   8,775,419
    

 

     70,783,004

 

 

 
TOTAL UNDERLYING FUNDS – 99.9%
(Cost $157,264,886)
  $175,430,559

 

 

 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 0.1%
  103,721

 

 

  NET ASSETS – 100.0%   $175,534,280

 

 

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

 

 

Investment Abbreviations:
ETF  

— Exchange Traded Fund

 

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 SINGLE SECTOR FIXED INCOME FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS

 

 

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

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

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

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

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

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

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

Underlying Funds (including Money Market Funds) — Investments in the Underlying Funds are valued at the NAV per share on the day of valuation. Because the Portfolios invest primarily in other mutual funds that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

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

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

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


GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

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

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

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

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

E. Fair Value Hierarchy — The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of September 30, 2020:

 

BALANCED STRATEGY           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Underlying Funds

          

Dynamic

     $ 45,249,238      $      $             —  

Equity

       144,474,146                

Exchange Traded Funds

       110,424,278                

Fixed Income

       187,494,891                

Investment Companies

       15,982,634                
Total      $ 503,625,187      $      $  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(a)

     $      $ 231,978      $  

Futures Contracts(a)

       89,335                

Options Purchased

       1,016,712                
Total      $ 1,106,047      $ 231,978      $  
Liabilities(a)           

Forward Foreign Currency Exchange Contracts

     $      $ (33,871    $  

Futures Contracts

       (64,857              
Total      $ (64,857    $ (33,871    $  

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


GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

Underlying Funds

          

Dynamic

     $ 65,783,229      $      $  

Equity

       355,944,358                

Exchange Traded Funds

       228,717,285                

Fixed Income

       145,915,751                

Investment Companies

       21,954,365                
Total      $ 818,314,988      $      $             —  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(a)

     $      $ 268,502      $  

Futures Contracts(a)

       149,720                

Options Purchased

       1,667,237                
Total      $ 1,816,957      $ 268,502      $  
Liabilities(a)           

Forward Foreign Currency Exchange Contracts

     $      $ (39,207    $  

Futures Contracts

       (83,990              
Total      $ (83,990    $ (39,207    $  
GROWTH STRATEGY PORTFOLIO           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Underlying Funds

          

Equity

     $ 351,351,844      $      $  

Fixed Income

       30,001,024                

Dynamic

       39,071,658                

Exchange Traded Funds

       239,624,647                

Investment Companies

       17,375,229                
Total      $ 677,424,402      $      $  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(a)

     $      $ 190,475      $  

Futures Contracts(a)

       99,408                

Options Purchased

       1,562,050                
Total      $ 1,661,458      $ 190,475      $  
Liabilities(a)           

Forward Foreign Currency Exchange Contracts

     $      $ (27,782    $  

Futures Contracts

       (60,429              
Total      $ (60,429    $ (27,782    $  
SATELLITE STRATEGIES PORTFOLIO           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Underlying Funds

          

Equity

     $ 95,284,239      $      $  

Exchange Traded Funds

       9,363,316                

Fixed Income

       70,783,004                
Total      $ 175,430,559      $      $  

 

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

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


GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

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

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

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

Large Shareholder Transactions Risk A Portfolio or an Underlying Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Portfolio or an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s or an Underlying Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s or the Underlying Fund ‘s expense ratio. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect a Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.

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

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

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