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Form NPORT-P GOLDMAN SACHS TRUST For: Nov 30

January 21, 2021 4:51 PM 

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000046190
        C000144475
        C000196984
        C000201713
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Tactical Tilt Overlay Fund
      S000046190
      549300Y7D0XH3BSLUI66
      2021-08-31
      2020-11-30
      N
    
    
      3305659815.26
      146937942.15
      3158721873.11
      0.00000000
      477455998.51000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      77595180.23000000
      
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          HKD
          
          
        
        
          JPY
          
          
        
        
          MXN
          
          
        
        
          NZD
          
          
        
        
          SEK
          
          
        
        
          SGD
          
          
        
        
          USD
          
          
        
        
          ZAR
          
          
        
      
      
      
      
        
        
        
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Bank of China Ltd/Hong Kong
        549300OGSFI8KL1WUU09
        Bank of China Ltd/Hong Kong
        06119QSQ1
        
          
        
        6922000.00000000
        PA
        USD
        6901979.08000000
        0.218505438505
        Long
        STIV
        CORP
        CN
        N
        
        2
        
          2021-05-24
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Ltd
        4ZHCHI4KYZG2WVRT8631
        Macquarie Bank Ltd
        55607KQA7
        
          
        
        5000000.00000000
        PA
        USD
        4996625.00000000
        0.158185025485
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-03-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Landesbank Baden-Wuerttemberg/New York NY
        B81CK4ESI35472RHJ606
        Landesbank Baden-Wuerttemberg/New York NY
        5148X0NB7
        
          
        
        12180000.00000000
        PA
        USD
        12177186.42000000
        0.385509928039
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2021-01-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Landesbank Baden-Wuerttemberg/New York NY
        B81CK4ESI35472RHJ606
        Landesbank Baden-Wuerttemberg/New York NY
        5148X0N43
        
          
        
        7000000.00000000
        PA
        USD
        6998686.52000000
        0.221567038857
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2021-01-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO Funding USA LLC
        549300WEQ09INLYV6558
        ABN AMRO Funding USA LLC
        00084BNV2
        
          
        
        5000000.00000000
        PA
        USD
        4998000.00000000
        0.158228555750
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-01-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        N/A
        BNP PARIBAS
        09660EU82
        
          
        
        15000000.00000000
        PA
        USD
        14979925.05000000
        0.474240077213
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-07-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agricultural Bank of China Ltd/New York
        549300E7TSGLCOVSY746
        Agricultural Bank of China Ltd/New York
        00850UPP3
        
          
        
        8606000.00000000
        PA
        USD
        8599152.29000000
        0.272235183578
        Long
        STIV
        CORP
        CN
        N
        
        2
        
          2021-02-23
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYERISCHE LANDESBANK NY
        VDYMYTQGZZ6DU0912C88
        Bayerische Landesbank/New York
        0727MAX30
        
          
        
        12554000.00000000
        PA
        USD
        12551329.51000000
        0.397354690099
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2021-01-22
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        IOP009233  S P INDEX DEC21 3183.12 PUT
        000000000
        
          
        
        -82040.00000000
        NC
        USD
        -15256979.29000000
        -0.48301116410
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                S&P 500 Index
                SPX Index
              
            
            1.00000000
            3183.12000000
            USD
            2021-12-31
            XXXX
            2747387.85000000
          
        
        
          N
          N
          N
        
      
      
        Henkel of America Inc
        549300H53PJZUVSNX797
        Henkel of America Inc
        42550LRT8
        
          
        
        7000000.00000000
        PA
        USD
        6994273.23000000
        0.221427321270
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-04-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shell International Finance BV
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        8225X2TE4
        
          
        
        11000000.00000000
        PA
        USD
        10986525.00000000
        0.347815522902
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-06-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASB Finance Ltd/London
        549300A8V0FZJN79NH08
        ASB Finance Ltd/London
        0020P2M29
        
          
        
        14050000.00000000
        PA
        USD
        14049913.31000000
        0.444797417259
        Long
        STIV
        CORP
        NZ
        N
        
        2
        
          2020-12-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shell International Finance BV
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        8225X2U85
        
          
        
        11000000.00000000
        PA
        USD
        10984202.79000000
        0.347742005508
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-07-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nieuw Amsterdam Receivables Corp
        54930052Z500U6IGFJ82
        Nieuw Amsterdam Receivables Corp
        65409RMA5
        
          
        
        10000000.00000000
        PA
        USD
        9999675.00000000
        0.316573456027
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANK CORP MKTS/NY
        213800MBWEIJDM5CU638
        Lloyds Bank Corporate Markets PLC/New York NY
        53947BCE8
        
          
        
        16062000.00000000
        PA
        USD
        16064568.96000000
        0.508578140315
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2021-01-19
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL CHICAGO
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal/Chicago IL
        06367BWZ8
        
          
        
        5000000.00000000
        PA
        USD
        4998743.40000000
        0.158252090586
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-10-01
          Floating
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        FXO001618 CALL EUR PUT CHF DEC20 1.074 CALL
        000000000
        
          
        
        83530000.00000000
        OU
        Notional Amount
        
        908307.35000000
        0.028755534247
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    908307.35000000
                    0.03000000
                    DFE
                    
                    XX
                  
                  89711220.00000000
                  CHF
                  83530000.00000000
                  EUR
                  2020-12-02
                
              
            
            1.00000000
            1.07400000
            EUR
            2020-12-02
            XXXX
            -481471.51000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA NY
        N/A
        Royal Bank of Canada/New York NY
        78012UYY5
        
          
        
        10000000.00000000
        PA
        USD
        9999998.20000000
        0.316583688014
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-12-10
          Floating
          0.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Schlumberger Holdings Corp
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        80686DMJ0
        
          
        
        2750000.00000000
        PA
        USD
        2749932.63000000
        0.087058397050
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Bank of Canada
        BSGEFEIOM18Y80CKCV46
        National Bank of Canada
        63307LQ12
        
          
        
        20000000.00000000
        PA
        USD
        19990900.00000000
        0.632879398790
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-03-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IONIC CAPITAL II
        254900ABXGHL7TZDR053
        IONIC CAPITAL II
        46221LQ51
        
          
        
        8000000.00000000
        PA
        USD
        7994046.64000000
        0.253078522298
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-03-05
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Antalis SA
        549300G2LM2ZKZ0X4Y50
        Antalis SA
        03664AN46
        
          
        
        16061000.00000000
        PA
        USD
        16058298.70000000
        0.508379634076
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-01-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKET
        N/A
        NATWEST MARKET
        63906EP14
        
          
        
        15000000.00000000
        PA
        USD
        14994435.00000000
        0.474699438644
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2021-02-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLUMBIA FDG CO
        N/A
        COLUMBIA FDG CO
        19767CND4
        
          
        
        4000000.00000000
        PA
        USD
        3999124.88000000
        0.126605793122
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-13
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO Funding USA LLC
        549300WEQ09INLYV6558
        ABN AMRO Funding USA LLC
        00084BSQ8
        
          
        
        5000000.00000000
        PA
        USD
        4989864.60000000
        0.157971002210
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-05-24
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI BKG CORP
        549300MS3WYYVQ4HXM15
        SUMITOMO MITSUI BKG CORP
        86565CTC3
        
          
        
        7000000.00000000
        PA
        USD
        7000510.37000000
        0.221624778984
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-05-04
          Fixed
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Henkel of America Inc
        549300H53PJZUVSNX797
        Henkel of America Inc
        42550LU23
        
          
        
        10750000.00000000
        PA
        USD
        10735174.57000000
        0.339858176859
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-07-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        SX5E DIVIDEND FUT DEC21 XEUR 20211217
        000000000
        
          
        
        10682.00000000
        NC
        
        -5488471.06000000
        -0.17375607224
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EURO STOXX 50 DIVIDEND POINTS
                DEDZ1 Index
              
            
            2021-12-17
            93368558.97000000
            EUR
            -5488471.06000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: ES079178  TRS USD R E MSGSSUIT INDEX / Short: ES079178  TRS USD P V 01MLIBOR US0001M +26 BPS
        000000000
        
          
        
        133307551.57000000
        OU
        Notional Amount
        USD
        18758161.68000000
        0.593852907395
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                MSGSSUIT Index
                MSGSSUIT
                
                  
                    ConocoPhillips
                    
                      
                    
                    20741.58000000
                    USD
                    820536.95000000
                    USD
                  
                  
                    Schlumberger NV
                    
                      
                    
                    6942.47000000
                    USD
                    144333.92000000
                    USD
                  
                  
                    Concho Resources Inc
                    
                      
                    
                    14390.44000000
                    USD
                    827162.34000000
                    USD
                  
                  
                    Kinder Morgan Inc
                    
                      
                    
                    9042.33000000
                    USD
                    130028.76000000
                    USD
                  
                  
                    AMETEK Inc
                    
                      
                    
                    1376.41000000
                    USD
                    163145.36000000
                    USD
                  
                  
                    Cigna Corp
                    
                      
                    
                    614.92000000
                    USD
                    128605.21000000
                    USD
                  
                  
                    Best Buy Co Inc
                    
                      
                    
                    3010.23000000
                    USD
                    327512.63000000
                    USD
                  
                  
                    Lowe's Cos Inc
                    
                      
                    
                    2174.02000000
                    USD
                    338755.89000000
                    USD
                  
                  
                    DXC Technology Co
                    
                      
                    
                    10206.97000000
                    USD
                    223634.62000000
                    USD
                  
                  
                    Activision Blizzard Inc
                    
                      
                    
                    4559.47000000
                    USD
                    362386.49000000
                    USD
                  
                  
                    AbbVie Inc
                    
                      
                    
                    1218.28000000
                    USD
                    127407.87000000
                    USD
                  
                  
                    State Street Corp
                    
                      
                    
                    1801.50000000
                    USD
                    126969.49000000
                    USD
                  
                  
                    Etsy Inc
                    
                      
                    
                    850.31000000
                    USD
                    136645.14000000
                    USD
                  
                  
                    Mosaic Co/The
                    
                      
                    
                    9893.87000000
                    USD
                    217269.41000000
                    USD
                  
                  
                    Discovery Inc
                    
                      
                    
                    18209.27000000
                    USD
                    437386.68000000
                    USD
                  
                  
                    Apache Corp
                    
                      
                    
                    39205.78000000
                    USD
                    505362.51000000
                    USD
                  
                  
                    Hartford Financial Services Group Inc/Th
                    
                      
                    
                    4954.40000000
                    USD
                    218984.66000000
                    USD
                  
                  
                    Synchrony Financial
                    
                      
                    
                    13418.46000000
                    USD
                    408860.58000000
                    USD
                  
                  
                    Vontier Corp
                    
                      
                    
                    6459.41000000
                    USD
                    214258.72000000
                    USD
                  
                  
                    Interpublic Group of Cos Inc/The
                    
                      
                    
                    5746.80000000
                    USD
                    128038.71000000
                    USD
                  
                  
                    American Express Co
                    
                      
                    
                    2071.99000000
                    USD
                    245717.66000000
                    USD
                  
                  
                    Citrix Systems Inc
                    
                      
                    
                    3044.16000000
                    USD
                    377232.45000000
                    USD
                  
                  
                    Qorvo Inc
                    
                      
                    
                    840.34000000
                    USD
                    131664.85000000
                    USD
                  
                  
                    PVH Corp
                    
                      
                    
                    3237.81000000
                    USD
                    257373.80000000
                    USD
                  
                  
                    VeriSign Inc
                    
                      
                    
                    1022.85000000
                    USD
                    205307.33000000
                    USD
                  
                  
                    Cisco Systems Inc
                    
                      
                    
                    17465.68000000
                    USD
                    751373.74000000
                    USD
                  
                  
                    Citigroup Inc
                    
                      
                    
                    4584.79000000
                    USD
                    252484.48000000
                    USD
                  
                  
                    Bank of New York Mellon Corp/The
                    
                      
                    
                    9924.31000000
                    USD
                    388239.17000000
                    USD
                  
                  
                    McKesson Corp
                    
                      
                    
                    708.84000000
                    USD
                    127527.36000000
                    USD
                  
                  
                    DR Horton Inc
                    
                      
                    
                    2797.40000000
                    USD
                    208406.18000000
                    USD
                  
                  
                    JB Hunt Transport Services Inc
                    
                      
                    
                    2074.01000000
                    USD
                    280572.39000000
                    USD
                  
                  
                    Lennar Corp
                    
                      
                    
                    2668.93000000
                    USD
                    202465.09000000
                    USD
                  
                  
                    Zebra Technologies Corp
                    
                      
                    
                    366.85000000
                    USD
                    138824.28000000
                    USD
                  
                  
                    Citizens Financial Group Inc
                    
                      
                    
                    12427.52000000
                    USD
                    405882.72000000
                    USD
                  
                  
                    Principal Financial Group Inc
                    
                      
                    
                    2738.26000000
                    USD
                    136338.07000000
                    USD
                  
                  
                    Philip Morris International Inc
                    
                      
                    
                    2701.72000000
                    USD
                    204655.11000000
                    USD
                  
                  
                    Xerox Holdings Corp
                    
                      
                    
                    19213.64000000
                    USD
                    420586.68000000
                    USD
                  
                  
                    Kansas City Southern
                    
                      
                    
                    790.28000000
                    USD
                    147126.64000000
                    USD
                  
                  
                    Altria Group Inc
                    
                      
                    
                    17188.00000000
                    USD
                    684597.87000000
                    USD
                  
                  
                    Pentair PLC
                    
                      
                    
                    2776.43000000
                    USD
                    143874.54000000
                    USD
                  
                  
                    Ford Motor Co
                    
                      
                    
                    13944.67000000
                    USD
                    126617.59000000
                    USD
                  
                  
                    PulteGroup Inc
                    
                      
                    
                    4591.32000000
                    USD
                    200319.16000000
                    USD
                  
                  
                    Bank of America Corp
                    
                      
                    
                    14466.09000000
                    USD
                    407364.99000000
                    USD
                  
                  
                    Intel Corp
                    
                      
                    
                    4384.43000000
                    USD
                    211987.11000000
                    USD
                  
                  
                    Leidos Holdings Inc
                    
                      
                    
                    1254.09000000
                    USD
                    126287.07000000
                    USD
                  
                  
                    Capital One Financial Corp
                    
                      
                    
                    2560.39000000
                    USD
                    219271.84000000
                    USD
                  
                  
                    Autodesk Inc
                    
                      
                    
                    446.60000000
                    USD
                    125149.39000000
                    USD
                  
                  
                    JPMorgan Chase & Co
                    
                      
                    
                    3474.75000000
                    USD
                    409603.22000000
                    USD
                  
                  
                    MetLife Inc
                    
                      
                    
                    2778.13000000
                    USD
                    128266.06000000
                    USD
                  
                  
                    Cboe Global Markets Inc
                    
                      
                    
                    2331.94000000
                    USD
                    212952.41000000
                    USD
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-01-06
            0.00000000
            USD
            0.00000000
            USD
            133307551.57000000
            USD
            18758161.68000000
          
        
        
          N
          N
          N
        
      
      
        BNZ INTNL FDG LTD
        N/A
        BNZ INTNL FDG LTD
        0556X0N67
        
          
        
        2250000.00000000
        PA
        USD
        2249710.94000000
        0.071222191455
        Long
        STIV
        CORP
        NZ
        N
        
        2
        
          2021-01-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Honeywell International Inc
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        43851TT89
        
          
        
        3000000.00000000
        PA
        USD
        2996944.17000000
        0.094878380889
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-06-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMP BK COMM NY
        549300H8L46OOZOFHU82
        Canadian Imperial Bank of Commerce/New York NY
        13606CDK7
        
          
        
        20000000.00000000
        PA
        USD
        20016511.00000000
        0.633690201419
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-08-06
          Floating
          0.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORINCHUKIN BK
        N/A
        NORINCHUKIN BK
        65602V4W3
        
          
        
        10000000.00000000
        PA
        USD
        9999999.90000000
        0.316583741833
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-03-02
          Fixed
          0.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toronto-Dominion Bank/The
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89119APG7
        
          
        
        10000000.00000000
        PA
        USD
        9995796.70000000
        0.316450675353
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-02-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: ES077799  TRS EUR R E SX7T INDEX / Short: ES077799  TRS EUR P V 03MEURIB EURO003M+18 BPS
        000000000
        
          
        
        161202012.95000000
        OU
        Notional Amount
        
        68328546.12000000
        2.163170702101
        N/A
        DE
        
        ER
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                EURO STOXX Banks Net Return Index
                SX7T Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-04-06
            0.00000000
            EUR
            0.00000000
            EUR
            161202012.95000000
            EUR
            68328546.12000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        FXO001627 CALL USD PUT CNH DEC20 7.1305 CALL
        000000000
        
          
        
        186000000.00000000
        OU
        Notional Amount
        USD
        13206.00000000
        0.000418080493
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    13206.00000000
                    0.00000000
                    DFE
                    
                    US
                  
                  1326273000.00000000
                  CNY
                  186000000.00000000
                  USD
                  2020-12-30
                
              
            
            1.00000000
            7.13050000
            USD
            2020-12-30
            XXXX
            -2795394.00000000
          
        
        
          N
          N
          N
        
      
      
        Matchpoint Finance PLC
        635400YCKMVA7GIA6Q33
        Matchpoint Finance PLC
        57666ARS3
        
          
        
        10483000.00000000
        PA
        USD
        10473197.56000000
        0.331564410566
        Long
        STIV
        CORP
        IE
        N
        
        2
        
          2021-04-26
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMER FIN LLC
        N/A
        VOLKSWAGEN GROUP AMER FIN LLC
        92866BYA7
        
          
        
        12000000.00000000
        PA
        USD
        11928125.04000000
        0.377625049598
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-11-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Macquarie Bank Ltd
        4ZHCHI4KYZG2WVRT8631
        Macquarie Bank Ltd
        55607KQ17
        
          
        
        7000000.00000000
        PA
        USD
        6995753.31000000
        0.221474178197
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-03-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        90276JLM6
        
          
        
        15000000.00000000
        PA
        USD
        14999998.50000000
        0.474875570011
        Long
        STIV
        CORP
        CH
        N
        
        2
        
          2021-10-15
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89120DS42
        
          
        
        10250000.00000000
        PA
        USD
        10256656.15000000
        0.324709061513
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-06-17
          Floating
          0.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT IND ET CM NY
        N4JDFKKH2FTD8RKFXO39
        CREDIT IND ET CM NY
        22536LU16
        
          
        
        6200000.00000000
        PA
        USD
        6179273.90000000
        0.195625767263
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-07-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: ES079667  TRS EUR R V 03MEURIB EUR003M+13 BPS / Short: ES079667  TRS EUR P E SX7T INDEX
        000000000
        
          
        
        66567691.10000000
        OU
        Notional Amount
        
        -6344573.65000000
        -0.20085888865
        N/A
        DE
        
        ER
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                EURO STOXX Banks Net Return Index
                SX7T Index
              
            
            Y
            
              
                
              
            
            equity-performance leg
            2021-04-06
            0.00000000
            EUR
            0.00000000
            EUR
            66567691.10000000
            EUR
            -6344573.65000000
          
        
        
          N
          N
          N
        
      
      
        Thunder Bay Funding LLC
        N/A
        Thunder Bay Funding LLC
        88602TPQ0
        
          
        
        16000000.00000000
        PA
        USD
        15994037.28000000
        0.506345221975
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-24
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL CHICAGO
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal/Chicago IL
        06367C3F2
        
          
        
        5000000.00000000
        PA
        USD
        4999999.70000000
        0.158291863002
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-11-17
          Floating
          0.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3588420.85000000
        0.113603571132
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            58915270.02000000
            USD
            1265500000.00000000
            MXN
            2020-12-16
            3588420.85000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT  DEC20 XCME 20201218
        000000000
        
          
        
        -234.00000000
        NC
        USD
        -3438665.40000000
        -0.10886255701
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                E-mini S&P 500 Index
                ESZ0 Index
              
            
            2020-12-18
            -38952774.60000000
            USD
            -3438665.40000000
          
        
        
          N
          N
          N
        
      
      
        Honeywell International Inc
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        43851TSL1
        
          
        
        14000000.00000000
        PA
        USD
        13987564.50000000
        0.442823555282
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-05-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransCanada PipeLines Ltd
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        89355PN79
        
          
        
        5000000.00000000
        PA
        USD
        4998918.05000000
        0.158257619721
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-01-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORINCHUKIN BK
        N/A
        NORINCHUKIN BK
        65602VX76
        
          
        
        13600000.00000000
        PA
        USD
        13600493.27000000
        0.430569509325
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-02-26
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barton Capital SA
        549300KOFKIMD0C37W24
        Barton Capital SA
        06945LNB0
        
          
        
        5000000.00000000
        PA
        USD
        4998961.65000000
        0.158259000026
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-01-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA BANK ABP NEW YORK
        529900ODI3047E2LIV03
        Nordea Bank Abp/New York NY
        65558TZF5
        
          
        
        7850000.00000000
        PA
        USD
        7854481.49000000
        0.248660116513
        Long
        STIV
        CORP
        FI
        N
        
        2
        
          2021-06-09
          Floating
          0.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT INDUST ET COMM NY
        N4JDFKKH2FTD8RKFXO39
        Credit Industriel et Commercial/New York
        22536UYX2
        
          
        
        4000000.00000000
        PA
        USD
        4000544.00000000
        0.126650720155
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-02-10
          Floating
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange Inc
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45856WMG1
        
          
        
        6450000.00000000
        PA
        USD
        6449077.65000000
        0.204167315422
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransCanada PipeLines Ltd
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        89355PNE4
        
          
        
        6350000.00000000
        PA
        USD
        6348333.13000000
        0.200977907679
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-01-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB BANK ASA
        549300GKFG0RYRRQ1414
        DNB Bank ASA
        2332K4KN3
        
          
        
        17000000.00000000
        PA
        USD
        17007043.95000000
        0.538415366505
        Long
        STIV
        CORP
        NO
        N
        
        2
        
          2021-02-24
          Floating
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Albion Capital Corp SA / Albion Capital LLC
        N/A
        Albion Capital Corp SA / Albion Capital LLC
        01329WPN5
        
          
        
        10000000.00000000
        PA
        USD
        9995380.00000000
        0.316437483308
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEXIA CREDIT LOCAL SA
        N/A
        DEXIA CREDIT LOCAL SA
        25215VNN5
        
          
        
        18000000.00000000
        PA
        USD
        17995892.58000000
        0.569720706757
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-01-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LANDESBANK BADEN-WUR
        N/A
        LANDESBANK BADEN-WUR
        51501GU33
        
          
        
        6600000.00000000
        PA
        USD
        6600001.12000000
        0.208945307156
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2020-12-01
          Fixed
          0.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI TRUST NY
        N/A
        SUMITOMO MITSUI TRUST NY
        86564GLU3
        
          
        
        16000000.00000000
        PA
        USD
        16000211.84000000
        0.506540698508
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-05-10
          Fixed
          0.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKET
        N/A
        NATWEST MARKET
        63906ENE8
        
          
        
        7850000.00000000
        PA
        USD
        7847939.38000000
        0.248453003944
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2021-01-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atlantic Asset Securitization LLC
        549300BUNY5BIX4CVW20
        Atlantic Asset Securitization LLC
        04821TNS0
        
          
        
        18000000.00000000
        PA
        USD
        17996922.00000000
        0.569753296521
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-26
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Energy Select Sector SPDR Fund
        54930064FLK0RD4TRU75
        Energy Select Sector SPDR Fund
        81369Y506
        
          
        
        2871435.00000000
        NS
        USD
        105553950.60000000
        3.341666498040
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        IOP009185 EQO XLE.P USD31MAR21 MAR21 36.17160 CALL
        000000000
        
          
        
        3158219.00000000
        NC
        USD
        9518628.88000000
        0.301344317808
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                Energy Select Sector SPDR Fund
                Energy Select Sector SPDR Fund
                
                  
                  
                
              
            
            1.00000000
            36.17160000
            USD
            2021-03-31
            XXXX
            6091645.44000000
          
        
        
          N
          N
          N
        
      
      
        BANCO DEL ESTADO DE CHILE
        N/A
        BANCO DEL ESTADO DE CHILE
        05972NMN9
        
          
        
        5755000.00000000
        PA
        USD
        5754465.42000000
        0.182177021313
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NY
        N/A
        CREDIT SUISSE NY
        22549L3D5
        
          
        
        8000000.00000000
        PA
        USD
        8000546.40000000
        0.253284294135
        Long
        STIV
        CORP
        CH
        N
        
        2
        
          2021-11-19
          Fixed
          0.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        JP Morgan Securities LLC
        46640PM91
        
          
        
        10000000.00000000
        PA
        USD
        9999750.00000000
        0.316575830405
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of China Ltd/Hong Kong
        549300OGSFI8KL1WUU09
        Bank of China Ltd/Hong Kong
        06119QQ34
        
          
        
        6088000.00000000
        PA
        USD
        6082715.62000000
        0.192568889074
        Long
        STIV
        CORP
        CN
        N
        
        2
        
          2021-03-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNZ INTNL FDG LTD
        N/A
        BNZ INTNL FDG LTD
        0556X0M92
        
          
        
        9700000.00000000
        PA
        USD
        9699806.00000000
        0.307080090924
        Long
        STIV
        CORP
        NZ
        N
        
        2
        
          2020-12-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gotham Funding Corp
        549300Z2ZR7VTUMRPR17
        Gotham Funding Corp
        38346LP26
        
          
        
        20000000.00000000
        PA
        USD
        19992782.20000000
        0.632938986182
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        HSBC Bank PLC
        40433GV38
        
          
        
        6045000.00000000
        PA
        USD
        6033516.49000000
        0.191011324591
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-08-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coca-Cola Co/The
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        19121ANM9
        
          
        
        5000000.00000000
        PA
        USD
        4999082.80000000
        0.158262835438
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Old Line Funding LLC
        5493004QSN8OZAIU2J90
        Old Line Funding LLC
        67983TP91
        
          
        
        22250000.00000000
        PA
        USD
        22241618.65000000
        0.704133492706
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        IOP008854 EQO SPX USD DEC20 2845.92 CALL
        000000000
        
          
        
        -45906.00000000
        NC
        USD
        -35610131.30000000
        -1.12735887268
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                S&P 500 Index
                SPX Index
              
            
            1.00000000
            2845.92000000
            USD
            2020-12-31
            XXXX
            -24550696.49000000
          
        
        
          N
          N
          N
        
      
      
        Waste Management Inc
        549300YX8JIID70NFS41
        Waste Management Inc
        94107MU61
        
          
        
        2350000.00000000
        PA
        USD
        2346001.22000000
        0.074270585200
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-07-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agricultural Bank of China Ltd/New York
        549300E7TSGLCOVSY746
        Agricultural Bank of China Ltd/New York
        00850UME1
        
          
        
        5000000.00000000
        PA
        USD
        4999650.00000000
        0.158280792068
        Long
        STIV
        CORP
        CN
        N
        
        2
        
          2020-12-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Korea Development Bank/New York NY
        549300ML2LNRZUCS7149
        Korea Development Bank/New York NY
        5006E0P34
        
          
        
        7390000.00000000
        PA
        USD
        7387825.05000000
        0.233886532172
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO Funding USA LLC
        549300WEQ09INLYV6558
        ABN AMRO Funding USA LLC
        00084BSM7
        
          
        
        12097000.00000000
        PA
        USD
        12073014.31000000
        0.382212008368
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-05-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mizuho Bank Ltd/New York NY
        RB0PEZSDGCO3JS6CEU02
        Mizuho Bank Ltd/New York NY
        60710ASQ6
        
          
        
        3750000.00000000
        PA
        USD
        3749998.69000000
        0.118718862902
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-03-30
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) MAR21 XCBT 20210331
        000000000
        
          
        
        705.00000000
        NC
        USD
        53883.15000000
        0.001705852941
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVH1 Comdty
              
            
            2021-03-31
            88776116.85000000
            USD
            53883.15000000
          
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: ES079171  TRS USD R V 01MLIBOR US0001M + 7 BPS / Short: ES079171  TRS USD P E JPGSVENK INDEX
        000000000
        
          
        
        95177574.11000000
        OU
        Notional Amount
        USD
        -13867619.74000000
        -0.43902629915
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                JPGSVENK Index
                JPGSVENK
                
                  
                    Tapestry Inc
                    
                      
                    
                    -8059.63000000
                    USD
                    -228248.68000000
                    USD
                  
                  
                    Marathon Petroleum Corp
                    
                      
                    
                    -8690.85000000
                    USD
                    -337900.36000000
                    USD
                  
                  
                    Albemarle Corp
                    
                      
                    
                    -1404.50000000
                    USD
                    -190969.88000000
                    USD
                  
                  
                    Under Armour Inc
                    
                      
                    
                    -29801.81000000
                    USD
                    -433616.34000000
                    USD
                  
                  
                    Align Technology Inc
                    
                      
                    
                    -296.68000000
                    USD
                    -142791.00000000
                    USD
                  
                  
                    Occidental Petroleum Corp
                    
                      
                    
                    -14094.49000000
                    USD
                    -222129.18000000
                    USD
                  
                  
                    Devon Energy Corp
                    
                      
                    
                    -14423.32000000
                    USD
                    -201782.19000000
                    USD
                  
                  
                    Paycom Software Inc
                    
                      
                    
                    -377.18000000
                    USD
                    -157315.11000000
                    USD
                  
                  
                    Norwegian Cruise Line Holdings Ltd
                    
                      
                    
                    -5888.96000000
                    USD
                    -134680.52000000
                    USD
                  
                  
                    Sysco Corp
                    
                      
                    
                    -2382.41000000
                    USD
                    -169842.01000000
                    USD
                  
                  
                    ViacomCBS Inc
                    
                      
                    
                    -9189.99000000
                    USD
                    -324222.73000000
                    USD
                  
                  
                    Edwards Lifesciences Corp
                    
                      
                    
                    -1873.44000000
                    USD
                    -157162.98000000
                    USD
                  
                  
                    Healthpeak Properties Inc
                    
                      
                    
                    -3956.63000000
                    USD
                    -114188.34000000
                    USD
                  
                  
                    Walt Disney Co/The
                    
                      
                    
                    -1132.21000000
                    USD
                    -167577.70000000
                    USD
                  
                  
                    Copart Inc
                    
                      
                    
                    -1199.40000000
                    USD
                    -138470.54000000
                    USD
                  
                  
                    Catalent Inc
                    
                      
                    
                    -1536.34000000
                    USD
                    -147703.32000000
                    USD
                  
                  
                    Carnival Corp
                    
                      
                    
                    -7027.64000000
                    USD
                    -140412.28000000
                    USD
                  
                  
                    CenterPoint Energy Inc
                    
                      
                    
                    -4992.03000000
                    USD
                    -115765.09000000
                    USD
                  
                  
                    Royal Caribbean Cruises Ltd
                    
                      
                    
                    -1670.02000000
                    USD
                    -131614.25000000
                    USD
                  
                  
                    IDEXX Laboratories Inc
                    
                      
                    
                    -315.54000000
                    USD
                    -145455.80000000
                    USD
                  
                  
                    State Street Corp
                    
                      
                    
                    -2279.02000000
                    USD
                    -160625.17000000
                    USD
                  
                  
                    Diamondback Energy Inc
                    
                      
                    
                    -4908.40000000
                    USD
                    -196139.73000000
                    USD
                  
                  
                    ONEOK Inc
                    
                      
                    
                    -18612.63000000
                    USD
                    -667635.20000000
                    USD
                  
                  
                    Wynn Resorts Ltd
                    
                      
                    
                    -2510.86000000
                    USD
                    -252341.87000000
                    USD
                  
                  
                    American International Group Inc
                    
                      
                    
                    -8382.85000000
                    USD
                    -322236.89000000
                    USD
                  
                  
                    MarketAxess Holdings Inc
                    
                      
                    
                    -1009.76000000
                    USD
                    -544441.09000000
                    USD
                  
                  
                    Las Vegas Sands Corp
                    
                      
                    
                    -7746.56000000
                    USD
                    -431560.60000000
                    USD
                  
                  
                    General Motors Co
                    
                      
                    
                    -2756.14000000
                    USD
                    -120828.99000000
                    USD
                  
                  
                    United Airlines Holdings Inc
                    
                      
                    
                    -4026.40000000
                    USD
                    -181389.30000000
                    USD
                  
                  
                    Expedia Group Inc
                    
                      
                    
                    -1005.33000000
                    USD
                    -125153.05000000
                    USD
                  
                  
                    Delta Air Lines Inc
                    
                      
                    
                    -4500.72000000
                    USD
                    -181154.10000000
                    USD
                  
                  
                    Tiffany & Co
                    
                      
                    
                    -1454.70000000
                    USD
                    -191263.74000000
                    USD
                  
                  
                    ANSYS Inc
                    
                      
                    
                    -437.01000000
                    USD
                    -147736.88000000
                    USD
                  
                  
                    Edison International
                    
                      
                    
                    -1862.36000000
                    USD
                    -114274.46000000
                    USD
                  
                  
                    Realty Income Corp
                    
                      
                    
                    -1874.16000000
                    USD
                    -112393.31000000
                    USD
                  
                  
                    Fiserv Inc
                    
                      
                    
                    -2796.01000000
                    USD
                    -322044.27000000
                    USD
                  
                  
                    Boston Scientific Corp
                    
                      
                    
                    -7873.33000000
                    USD
                    -261000.95000000
                    USD
                  
                  
                    Netflix Inc
                    
                      
                    
                    -561.89000000
                    USD
                    -275720.87000000
                    USD
                  
                  
                    TransDigm Group Inc
                    
                      
                    
                    -275.09000000
                    USD
                    -159328.27000000
                    USD
                  
                  
                    Freeport-McMoRan Inc
                    
                      
                    
                    -14913.58000000
                    USD
                    -348828.60000000
                    USD
                  
                  
                    Fidelity National Information Services I
                    
                      
                    
                    -1097.14000000
                    USD
                    -162825.83000000
                    USD
                  
                  
                    First Republic Bank/CA
                    
                      
                    
                    -1069.11000000
                    USD
                    -138513.53000000
                    USD
                  
                  
                    Live Nation Entertainment Inc
                    
                      
                    
                    -2707.78000000
                    USD
                    -177765.83000000
                    USD
                  
                  
                    ServiceNow Inc
                    
                      
                    
                    -285.74000000
                    USD
                    -152741.85000000
                    USD
                  
                  
                    Incyte Corp
                    
                      
                    
                    -1610.75000000
                    USD
                    -136172.95000000
                    USD
                  
                  
                    Bio-Rad Laboratories Inc
                    
                      
                    
                    -230.13000000
                    USD
                    -123925.35000000
                    USD
                  
                  
                    Southwest Airlines Co
                    
                      
                    
                    -3541.97000000
                    USD
                    -164135.07000000
                    USD
                  
                  
                    Hess Corp
                    
                      
                    
                    -3575.49000000
                    USD
                    -168691.83000000
                    USD
                  
                  
                    Welltower Inc
                    
                      
                    
                    -1969.95000000
                    USD
                    -124067.21000000
                    USD
                  
                  
                    Ross Stores Inc
                    
                      
                    
                    -1074.89000000
                    USD
                    -115572.19000000
                    USD
                  
                
              
            
            Y
            
              
                
              
            
            equity-performance leg
            2021-01-06
            0.00000000
            USD
            0.00000000
            USD
            95177574.11000000
            USD
            -13867619.74000000
          
        
        
          N
          N
          N
        
      
      
        Victory Receivables Corp
        549300D0F37QF0LP7F94
        Victory Receivables Corp
        92646KPC0
        
          
        
        7157000.00000000
        PA
        USD
        7154072.36000000
        0.226486301972
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Landesbank Hessen-Thueringen Girozentrale/New York
        DIZES5CFO5K3I5R58746
        Landesbank Hessen-Thueringen Girozentrale/New York
        51489GP43
        
          
        
        6000000.00000000
        PA
        USD
        5998218.00000000
        0.189893831776
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        European Investment Bank
        5493006YXS1U5GIHE750
        European Investment Bank
        29878RMG0
        
          
        
        17000000.00000000
        PA
        USD
        16999312.52000000
        0.538170601999
        Long
        STIV
        CORP
        LU
        
        N
        
        2
        
          2020-12-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK AMER SECS INC
        N/A
        BANK AMER SECS INC
        06054Q2D5
        
          
        
        12000000.00000000
        PA
        USD
        12000139.92000000
        0.379904923638
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-14
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Corp
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26244HN41
        
          
        
        5050000.00000000
        PA
        USD
        5049003.33000000
        0.159843238272
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BK/NY
        RILFO74KP1CM8P6PCT96
        Standard Chartered Bank/New York
        85325V3S7
        
          
        
        13600000.00000000
        PA
        USD
        13604698.13000000
        0.430702628357
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2021-02-08
          Floating
          0.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        WTI CRUDE FUTURE  DEC21 XNYM 20211119
        000000000
        
          
        
        6824.00000000
        NC
        USD
        35945565.55000000
        1.137978175793
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Long
            
              
                NYMEX WTI Light Sweet Crude Oil
                CLZ1 Comdty
              
            
            2021-11-19
            271953314.45000000
            USD
            35945565.55000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA NY
        N/A
        Royal Bank of Canada/New York NY
        78012UWQ4
        
          
        
        9900000.00000000
        PA
        USD
        9904845.65000000
        0.313571312951
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-06-18
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Total Capital Canada Ltd
        5299005IX98ZZ9LSGK46
        Total Capital Canada Ltd
        89153PQJ4
        
          
        
        2000000.00000000
        PA
        USD
        1998788.00000000
        0.063278379049
        Long
        STIV
        CORP
        CA
        
        N
        
        2
        
          2021-03-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP NY
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp/NY
        96130AFK9
        
          
        
        3000000.00000000
        PA
        USD
        2999999.82000000
        0.094975117801
        Long
        STIV
        CORP
        AU
        N
        
        2
        
          2021-08-03
          Floating
          0.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IONIC CAPITAL II
        254900ABXGHL7TZDR053
        IONIC CAPITAL II
        46221LNN5
        
          
        
        10000000.00000000
        PA
        USD
        9996304.70000000
        0.316466757807
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL
        N/A
        BANK OF MONTREAL
        06367BWP0
        
          
        
        9600000.00000000
        PA
        USD
        9600158.21000000
        0.303925403870
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-01-04
          Fixed
          0.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Suncor Energy Inc
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        86723APH9
        
          
        
        6955000.00000000
        PA
        USD
        6951443.84000000
        0.220071412401
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Total Capital Canada Ltd
        5299005IX98ZZ9LSGK46
        Total Capital Canada Ltd
        89153PNL2
        
          
        
        6300000.00000000
        PA
        USD
        6298536.32000000
        0.199401421619
        Long
        STIV
        CORP
        CA
        
        N
        
        2
        
          2021-01-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chariot Funding LLC
        549300EEWRNP448AMT79
        Chariot Funding LLC
        15963TNK1
        
          
        
        12013000.00000000
        PA
        USD
        12009946.66000000
        0.380215389086
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY BANK NA
        G1MLHIS0N32I3QPILB75
        Morgan Stanley Bank NA
        61690UUK4
        
          
        
        10000000.00000000
        PA
        USD
        10003637.40000000
        0.316698899170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-25
          Variable
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Landesbank Hessen-Thueringen Girozentrale/New York
        DIZES5CFO5K3I5R58746
        Landesbank Hessen-Thueringen Girozentrale/New York
        51489GPK7
        
          
        
        6000000.00000000
        PA
        USD
        5997408.00000000
        0.189868188492
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNZ INTNL FDG LTD
        N/A
        BNZ INTNL FDG LTD
        0556X0NF7
        
          
        
        10000000.00000000
        PA
        USD
        9998326.10000000
        0.316530752046
        Long
        STIV
        CORP
        NZ
        N
        
        2
        
          2021-01-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Salisbury Receivables Co LLC
        549300HB2PGDP0V6U989
        Salisbury Receivables Co LLC
        79490APB8
        
          
        
        19000000.00000000
        PA
        USD
        18987709.66000000
        0.601120023311
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banque et Caisse d Epargne de l Etat
        R7CQUF1DQM73HUTV1078
        Banque et Caisse d Epargne de l Etat
        0667K0R54
        
          
        
        12500000.00000000
        PA
        USD
        12492475.00000000
        0.395491451980
        Long
        STIV
        CORP
        LU
        N
        
        2
        
          2021-04-05
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        IOP008641 EQO SPX USD DEC20 2845.92 CALL
        000000000
        
          
        
        45906.00000000
        NC
        USD
        35610131.30000000
        1.127358872686
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            1.00000000
            2845.92000000
            USD
            2020-12-31
            XXXX
            28565713.29000000
          
        
        
          N
          N
          N
        
      
      
        DG BANK NY BRANCH
        N/A
        DG BANK NY BRANCH
        23328AS96
        
          
        
        3000000.00000000
        PA
        USD
        2999956.47000000
        0.094973745410
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2021-02-25
          Fixed
          0.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORINCHUKIN BANK (NY)
        5493007VSMFZCPV1NB83
        Norinchukin Bank/New York
        65602V3F1
        
          
        
        17000000.00000000
        PA
        USD
        17000480.25000000
        0.538207570432
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-01-20
          Floating
          0.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARBUCKS CORPORATION
        N/A
        STARBUCKS CORPORATION
        8552M2NV1
        
          
        
        15500000.00000000
        PA
        USD
        15490183.39000000
        0.490394026833
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        1061586247.25000000
        NS
        USD
        1061586247.25000000
        33.60809497940
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Versailles Commercial Paper LLC
        N/A
        Versailles Commercial Paper LLC
        92512LP39
        
          
        
        22589000.00000000
        PA
        USD
        22581046.86000000
        0.714879238094
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VW Credit Inc
        549300UUPJ2NXDB68M19
        VW Credit Inc
        91842JNV7
        
          
        
        9000000.00000000
        PA
        USD
        8996699.97000000
        0.284820896913
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-01-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMS WERTMANAGEMENT
        N/A
        FMS WERTMANAGEMENT
        34411GM37
        
          
        
        5000000.00000000
        PA
        USD
        4999966.65000000
        0.158290816692
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA HOUS
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/Houston
        06417MLQ6
        
          
        
        18500000.00000000
        PA
        USD
        18499999.26000000
        0.585679904821
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-08-13
          Floating
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Abu Dhabi Bank PJSC
        2138002Y3WMK6RZS8H90
        First Abu Dhabi Bank PJSC
        31849HQA3
        
          
        
        10000000.00000000
        PA
        USD
        9994916.70000000
        0.316422815984
        Long
        STIV
        CORP
        AE
        N
        
        2
        
          2021-03-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        28504GMU7
        
          
        
        9750000.00000000
        PA
        USD
        9748589.47000000
        0.308624496287
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2020-12-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Trust Bank Ltd/Singapore
        5493006GGLR4BTEL8O61
        Sumitomo Mitsui Trust Bank Ltd/Singapore
        86564YP30
        
          
        
        10000000.00000000
        PA
        USD
        9996984.70000000
        0.316488285502
        Long
        STIV
        CORP
        SG
        
        N
        
        2
        
          2021-02-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368YFM4
        
          
        
        17000000.00000000
        PA
        USD
        16974160.00000000
        0.537374314101
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-06-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDLSBNKN A
        N/A
        SVENSKA HANDLSBNKN A
        86959RFQ8
        
          
        
        11000000.00000000
        PA
        USD
        11028052.86000000
        0.349130227446
        Long
        STIV
        CORP
        SE
        N
        
        2
        
          2021-03-03
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Waste Management Inc
        549300YX8JIID70NFS41
        Waste Management Inc
        94107MWL6
        
          
        
        15000000.00000000
        PA
        USD
        14956879.95000000
        0.473510506807
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-09-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLLATERALIZED CP V CO
        549300ZLXI3T111CH173
        COLLATERALIZED CP V CO
        19424HRM4
        
          
        
        6000000.00000000
        PA
        USD
        5994627.66000000
        0.189780167447
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-04-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNG Bank NV
        529900GGYMNGRQTDOO93
        BNG Bank NV
        09657RQ34
        
          
        
        20000000.00000000
        PA
        USD
        19990648.40000000
        0.632871433543
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-03-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shell International Finance BV
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        8225X2NT7
        
          
        
        8300000.00000000
        PA
        USD
        8297873.79000000
        0.262697195996
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LMA SA LMA AMERICAS
        N/A
        LMA SA LMA AMERICAS
        53944QP87
        
          
        
        17000000.00000000
        PA
        USD
        16993388.87000000
        0.537983068869
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Albion Capital Corp SA / Albion Capital LLC
        N/A
        Albion Capital Corp SA / Albion Capital LLC
        01329WNT4
        
          
        
        10000000.00000000
        PA
        USD
        9996955.00000000
        0.316487345248
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        90276JKM7
        
          
        
        15000000.00000000
        PA
        USD
        15011135.10000000
        0.475228136664
        Long
        STIV
        CORP
        CH
        N
        
        2
        
          2021-07-14
          Floating
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05571BNF6
        
          
        
        7574000.00000000
        PA
        USD
        7572674.10000000
        0.239738552623
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-01-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA BANK ABP NEW YORK
        529900ODI3047E2LIV03
        Nordea Bank Abp/New York NY
        65558TQW8
        
          
        
        23000000.00000000
        PA
        USD
        23000503.70000000
        0.728158559821
        Long
        STIV
        CORP
        FI
        N
        
        2
        
          2020-12-07
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs MLP Energy Infrastructure Fund
        549300QNI1STTSJRLK10
        Goldman Sachs MLP Energy Infrastructure Fund
        38150C887
        
          
        
        3084178.86200000
        NS
        USD
        55083434.48000000
        1.743851997509
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI BANK NY
        549300MS3WYYVQ4HXM15
        Sumitomo Mitsui Banking Corp/New York
        86565BXW6
        
          
        
        5000000.00000000
        PA
        USD
        5005463.80000000
        0.158464847526
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2021-04-06
          Floating
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mercantile Exchange
        5493008GFNDTXFPHWI47
        WTI CRUDE FUTURE  JAN21 XNYM 20201221
        000000000
        
          
        
        -5291.00000000
        NC
        USD
        -16877692.19000000
        -0.53432030004
        N/A
        DCO
        
        US
        N
        
        1
        
          
            
              New York Mercantile Exchange
              5493008GFNDTXFPHWI47
            
            Short
            
              
                NYMEX WTI Light Sweet Crude Oil
                CLF1 Comdty
              
            
            2020-12-21
            -222010957.81000000
            USD
            -16877692.19000000
          
        
        
          N
          N
          N
        
      
      
        IONIC CAPITAL II
        N/A
        IONIC CAPITAL II
        46221LPC7
        
          
        
        8843000.00000000
        PA
        USD
        8838110.35000000
        0.279800207331
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        22913037.31000000
        NS
        USD
        22913037.31000000
        0.725389516090
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        Macquarie Bank Ltd
        4ZHCHI4KYZG2WVRT8631
        Macquarie Bank Ltd
        55607KM78
        
          
        
        8000000.00000000
        PA
        USD
        7999673.36000000
        0.253256655107
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2020-12-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of China Ltd/Hong Kong
        549300OGSFI8KL1WUU09
        Bank of China Ltd/Hong Kong
        06119QSC2
        
          
        
        8000000.00000000
        PA
        USD
        7978882.48000000
        0.252598449642
        Long
        STIV
        CORP
        CN
        N
        
        2
        
          2021-05-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO BANK LTD/NY
        RB0PEZSDGCO3JS6CEU02
        Mizuho Bank Ltd/New York NY
        60710APH9
        
          
        
        4850000.00000000
        PA
        USD
        4851308.48000000
        0.153584540674
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-02-10
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alerian MLP ETF
        549300WPBLCQJSVVVV61
        Alerian MLP ETF
        00162Q452
        
          
        
        2055666.00000000
        NS
        USD
        51371093.34000000
        1.626325311427
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          
        
      
      
        CREDIT AGRICOLE CIB NY
        254900BN8XS34XZDJ223
        Credit Agricole Corporate and Investment Bank/New York
        22532XPA0
        
          
        
        15000000.00000000
        PA
        USD
        15014503.35000000
        0.475334769984
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2021-08-09
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kreditanstalt fuer Wiederaufbau
        549300GDPG70E3MBBU98
        Kreditanstalt fuer Wiederaufbau
        48246TQ10
        
          
        
        36590000.00000000
        PA
        USD
        36576126.17000000
        1.157940700046
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-03-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Korea Development Bank/New York NY
        549300ML2LNRZUCS7149
        Korea Development Bank/New York NY
        5006E0QB5
        
          
        
        19000000.00000000
        PA
        USD
        18990191.82000000
        0.601198604462
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-03-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO Funding USA LLC
        549300WEQ09INLYV6558
        ABN AMRO Funding USA LLC
        00084BNB6
        
          
        
        3700000.00000000
        PA
        USD
        3699041.70000000
        0.117105647429
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-01-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BASF SE
        529900PM64WH8AF1E917
        BASF SE
        05526LMN4
        
          
        
        9250000.00000000
        PA
        USD
        9249349.91000000
        0.292819383331
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2020-12-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ridgefield Funding Co LLC
        N/A
        Ridgefield Funding Co LLC
        76582JQ98
        
          
        
        15000000.00000000
        PA
        USD
        14990925.00000000
        0.474588317750
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-03-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        OPS02578A SWAPTION US0003M JUL21 1.05 PUT
        000000000
        
          
        
        94000000.00000000
        NC
        USD
        8922790.20000000
        0.282481033735
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    94000000.00000000
                    OU
                    Notional Amount
                    N/A
                    8922790.20000000
                    0.28000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-07-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  94000000.00000000
                  USD
                
              
            
            1.00000000
            1.05000000
            USD
            2021-07-28
            XXXX
            4179422.26000000
          
        
        
          N
          N
          N
        
      
      
        Collateralized Commercial Paper FLEX Co LLC
        N/A
        Collateralized Commercial Paper FLEX Co LLC
        19423JPG6
        
          
        
        10000000.00000000
        PA
        USD
        9996576.70000000
        0.316475368885
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL CHICAGO
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal/Chicago IL
        06367BFV6
        
          
        
        15000000.00000000
        PA
        USD
        15002749.20000000
        0.474962652701
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-02-08
          Floating
          0.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        IOP009277 SX7E PUT 68.5649 NOV21 68.5649 PUT
        000000000
        
          
        
        -1971727.00000000
        NC
        
        -16179042.58000000
        -0.51220218904
        N/A
        DE
        
        DE
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                DJ Euro STOXX Banks Index
                SX7E Index
              
            
            1.00000000
            68.56490000
            EUR
            2021-11-12
            XXXX
            5272147.06000000
          
        
        
          N
          N
          N
        
      
      
        Westpac Securities NZ Ltd/London
        549300W0N3O6Q4RCKE25
        Westpac Securities NZ Ltd/London
        96122GQX6
        
          
        
        5000000.00000000
        PA
        USD
        4995966.65000000
        0.158164183194
        Long
        STIV
        CORP
        NZ
        N
        
        2
        
          2021-03-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LVMH Moet Hennessy Louis Vuitton Inc
        529900YISWVEKZT7CN18
        LVMH Moet Hennessy Louis Vuitton Inc
        55078TU13
        
          
        
        19500000.00000000
        PA
        USD
        19474732.88000000
        0.616538386800
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-07-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE CENTRALE
        N/A
        COOPERATIEVE CENTRALE
        21684XKH8
        
          
        
        15000000.00000000
        PA
        USD
        15001181.10000000
        0.474913009204
        Long
        STIV
        CORP
        NL
        N
        
        2
        
          2021-02-24
          Fixed
          0.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN NY
        NHBDILHZTYCNBV5UYZ31
        Svenska Handelsbanken/New York NY
        86959RHB9
        
          
        
        14300000.00000000
        PA
        USD
        14309333.75000000
        0.453010246701
        Long
        STIV
        CORP
        SE
        N
        
        2
        
          2021-06-18
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK AMER SECS INC
        N/A
        BANK AMER SECS INC
        06054Q2L7
        
          
        
        4795000.00000000
        PA
        USD
        4795143.61000000
        0.151806452186
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-05-04
          Fixed
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Landesbank Hessen-Thueringen Girozentrale/New York
        DIZES5CFO5K3I5R58746
        Landesbank Hessen-Thueringen Girozentrale/New York
        51489GN60
        
          
        
        5000000.00000000
        PA
        USD
        4999270.30000000
        0.158268771383
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-01-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYERISCHE LNDBNK NY
        N/A
        BAYERISCHE LNDBNK NY
        0727MCFH5
        
          
        
        10000000.00000000
        PA
        USD
        10000863.60000000
        0.316611085171
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-05-05
          Fixed
          0.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LVMH MOET HEN LV SE
        N/A
        LVMH MOET HEN LV SE
        50244LPS7
        
          
        
        10000000.00000000
        PA
        USD
        9995868.90000000
        0.316452961088
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-02-26
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Honeywell International Inc
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        43851TXJ0
        
          
        
        3150000.00000000
        PA
        USD
        3143068.96000000
        0.099504454214
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-10-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Industrial & Commercial Bank of China Ltd/New York NY
        5493002ERZU2K9PZDL40
        Industrial & Commercial Bank of China Ltd/New York NY
        45581BP43
        
          
        
        6801000.00000000
        PA
        USD
        6798082.37000000
        0.215216237550
        Long
        STIV
        CORP
        CN
        N
        
        2
        
          2021-02-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANK PLC
        H7FNTJ4851HG0EXQ1Z70
        Lloyds Bank PLC
        53946BFH9
        
          
        
        8000000.00000000
        PA
        USD
        7998696.00000000
        0.253225713478
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2021-03-08
          Floating
          0.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATL AUSTRALIA BK LT
        F8SB4JFBSYQFRQEH3Z21
        National Australia Bank Ltd
        63254GNZ4
        
          
        
        4650000.00000000
        PA
        USD
        4650745.86000000
        0.147235054139
        Long
        STIV
        CORP
        AU
        N
        
        2
        
          2021-04-23
          Floating
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSP Capital Inc
        549300B456N0WEIC5249
        PSP Capital Inc
        69370ARM8
        
          
        
        24500000.00000000
        PA
        USD
        24484247.97000000
        0.775131491583
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-04-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cancara Asset Securitisation LLC
        N/A
        Cancara Asset Securitisation LLC
        13738JNE6
        
          
        
        15000000.00000000
        PA
        USD
        14996625.00000000
        0.474768770484
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NY
        N/A
        CREDIT SUISSE NY
        22549L3P8
        
          
        
        18250000.00000000
        PA
        USD
        18274389.30000000
        0.578537460216
        Long
        STIV
        CORP
        CH
        N
        
        2
        
          2021-08-10
          Fixed
          0.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLLATERALIZED CP V CO
        549300ZLXI3T111CH173
        COLLATERALIZED CP V CO
        19424HP87
        
          
        
        10000000.00000000
        PA
        USD
        9997083.30000000
        0.316491407018
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)MAR21 XCBT 20210322
        000000000
        
          
        
        1574.00000000
        NC
        USD
        182816.69000000
        0.005787679236
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYH1 Comdty
              
            
            2021-03-22
            217225933.31000000
            USD
            182816.69000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY BANK NA
        G1MLHIS0N32I3QPILB75
        Morgan Stanley Bank NA
        61765QTT6
        
          
        
        11237000.00000000
        PA
        USD
        11247377.71000000
        0.356073695685
        Long
        SN
        CORP
        US
        N
        
        2
        
          2021-02-19
          Variable
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEXIA CREDIT LOCAL SA
        N/A
        DEXIA CREDIT LOCAL SA
        25215VT82
        
          
        
        9700000.00000000
        PA
        USD
        9690273.03000000
        0.306778292590
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-06-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Landesbank Hessen-Thueringen Girozentrale/New York
        DIZES5CFO5K3I5R58746
        Landesbank Hessen-Thueringen Girozentrale/New York
        51489GM12
        
          
        
        5000000.00000000
        PA
        USD
        4999985.70000000
        0.158291419784
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2020-12-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) MAR21 XCBT 20210331
        000000000
        
          
        
        1156.00000000
        NC
        USD
        88346.14000000
        0.002796895185
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUH1 Comdty
              
            
            2021-03-31
            255216059.53000000
            USD
            88346.14000000
          
        
        
          N
          N
          N
        
      
      
        Nationwide Building Society
        549300XFX12G42QIKN82
        Nationwide Building Society
        6385E0MN0
        
          
        
        13000000.00000000
        PA
        USD
        12998673.22000000
        0.411516864800
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2020-12-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nationwide Building Society
        549300XFX12G42QIKN82
        Nationwide Building Society
        6385E0MH3
        
          
        
        4750000.00000000
        PA
        USD
        4749650.07000000
        0.150366200659
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2020-12-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Manhattan Asset Funding Co LLC
        549300S0NSJYSOB32S63
        Manhattan Asset Funding Co LLC
        56274LP32
        
          
        
        20000000.00000000
        PA
        USD
        19992958.40000000
        0.632944564388
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-02-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exxon Mobil Corp
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30229AR92
        
          
        
        8000000.00000000
        PA
        USD
        7995175.52000000
        0.253114260804
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-04-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Short Term Funding LLC
        54930024MDLTV1K1YL10
        MetLife Short Term Funding LLC
        59157TM18
        
          
        
        5000000.00000000
        PA
        USD
        4999983.35000000
        0.158291345387
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        China Construction Bank Corp/New York
        5493001KQW6DM7KEDR62
        China Construction Bank Corp/New York
        16891MP29
        
          
        
        10000000.00000000
        PA
        USD
        9995573.30000000
        0.316443602872
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORINCHUKIN BK
        N/A
        NORINCHUKIN BK
        65602V4N3
        
          
        
        2000000.00000000
        PA
        USD
        1999952.32000000
        0.063315239528
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-05-20
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC NY
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC/NY
        06742TUQ7
        
          
        
        15000000.00000000
        PA
        USD
        15010093.65000000
        0.475195166050
        Long
        STIV
        CORP
        GB
        N
        
        2
        
          2021-08-03
          Floating
          0.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barton Capital SA
        549300KOFKIMD0C37W24
        Barton Capital SA
        06945LPJ1
        
          
        
        14500000.00000000
        PA
        USD
        14493652.19000000
        0.458845468902
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2021-02-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PepsiCo Inc
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        71344TM74
        
          
        
        5000000.00000000
        PA
        USD
        4999902.80000000
        0.158288795305
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY CO
        N/A
        WALT DISNEY CO
        2546R2TW6
        
          
        
        9115000.00000000
        PA
        USD
        9097232.86000000
        0.288003604794
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-06-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Securities Clearing Corp
        549300RYC9NELN2ICA34
        National Securities Clearing Corp
        63763PM14
        
          
        
        20000000.00000000
        PA
        USD
        19999955.60000000
        0.633166084366
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2020-12-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Caisse d'Amortissement de la Dette Sociale
        969500P04DQJS4BPM574
        Caisse d'Amortissement de la Dette Sociale
        12802VRL2
        
          
        
        22300000.00000000
        PA
        USD
        22282793.77000000
        0.705437030075
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-04-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -4802499.06000000
        -0.15203931377
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1265500000.00000000
            MXN
            57701191.81000000
            USD
            2020-12-16
            -4802499.06000000
          
        
        
          N
          N
          N
        
      
      
        National Bank of Canada
        BSGEFEIOM18Y80CKCV46
        National Bank of Canada
        63307LPG0
        
          
        
        10000000.00000000
        PA
        USD
        9996273.30000000
        0.316465763734
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-02-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAFCO LLC
        8O46YQAGJ63WE5QHIG35
        CAFCO LLC
        1247P2N42
        
          
        
        10000000.00000000
        PA
        USD
        9998609.70000000
        0.316539730361
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevron Corp
        N/A
        Chevron Corp
        16677JSB3
        
          
        
        16250000.00000000
        PA
        USD
        16238007.50000000
        0.514068922567
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-05-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        IOP009302 EQO RUT PUT DEC21 1803.03 PUT
        000000000
        
          
        
        -110313.00000000
        NC
        USD
        -20402491.72000000
        -0.64590972360
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                Russell 2000 Index
                RTY Index
              
            
            1.00000000
            1803.30000000
            USD
            2021-12-31
            XXXX
            233143.44000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NY
        N/A
        CREDIT SUISSE NY
        22549L6U4
        
          
        
        800000.00000000
        PA
        USD
        800132.82000000
        0.025330904465
        Long
        STIV
        CORP
        CH
        N
        
        2
        
          2021-11-01
          Fixed
          0.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL BANK OF KUWAIT SAKP
        N/A
        NATIONAL BANK OF KUWAIT SAKP
        63376DGB5
        
          
        
        7000000.00000000
        PA
        USD
        7002209.20000000
        0.221678561180
        Long
        STIV
        CORP
        KW
        N
        
        2
        
          2021-03-05
          Fixed
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Energy Infrastructure Fund
        5493004HQKOKO2ODA746
        Goldman Sachs Energy Infrastructure Fund
        38148U239
        
          
        
        10786121.79400000
        NS
        USD
        77444354.48000000
        2.451762377032
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MITSUBISHI TST&BNK C
        N/A
        MITSUBISHI TST&BNK C
        60683BE82
        
          
        
        7000000.00000000
        PA
        USD
        7003021.34000000
        0.221704272212
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2021-01-26
          Fixed
          0.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO BANK LTD/NY
        RB0PEZSDGCO3JS6CEU02
        Mizuho Bank Ltd/New York NY
        60710ARE4
        
          
        
        21250000.00000000
        PA
        USD
        21253927.21000000
        0.672864787208
        Long
        STIV
        CORP
        JP
        N
        
        2
        
          2021-03-11
          Floating
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CA IMPERIAL BK OF COMM
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13608CKV3
        
          
        
        5000000.00000000
        PA
        USD
        5000343.70000000
        0.158302753482
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2021-08-06
          Floating
          0.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT INDUST ET COMM NY
        N4JDFKKH2FTD8RKFXO39
        Credit Industriel et Commercial/New York
        22536UB90
        
          
        
        4500000.00000000
        PA
        USD
        4504203.27000000
        0.142595753945
        Long
        STIV
        CORP
        FR
        N
        
        2
        
          2021-06-18
          Floating
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
    
    
      2020-12-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  
  XXXX

GLOBAL MANAGED BETA FUND

 

Schedule of Investments

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – 11.6%
 

Aerospace & Defense – 0.1%

  5,896      BAE Systems PLC   $            39,337
  222      Elbit Systems Ltd.   28,434
  318      General Dynamics Corp.   47,493
  814      Huntington Ingalls Industries, Inc.   130,395
  643      L3Harris Technologies, Inc.   123,450
  505      Lockheed Martin Corp.   184,325
  782      Northrop Grumman Corp.   236,367
  1,788      Raytheon Technologies Corp.   128,235
  315      Safran SA*   45,919
  224      Teledyne Technologies, Inc.*   84,659
  3,850      Textron, Inc.   173,635
  297      Thales SA   27,220
  234      The Boeing Co.  

49,306

  1,298,775

 

 

 

Air Freight & Logistics – 0.1%

  2,777      C.H. Robinson Worldwide, Inc.   260,955
  10,499      Deutsche Post AG   506,453
  506      DSV PANALPINA A/S   79,678
  937      Expeditors International of Washington, Inc.   83,740
  485      FedEx Corp.   138,991
  1,570      SG Holdings Co. Ltd.   46,975
  1,043      United Parcel Service, Inc. Class B   178,426
  2,164      XPO Logistics, Inc.*   230,855
  2,457      Yamato Holdings Co. Ltd.  

61,945

  1,588,018

 

 

 

Auto Components – 0.0%

  406      Aptiv PLC   48,192
  208      Autoliv, Inc.   18,522
  3,965      BorgWarner, Inc.   154,040
  1,222      Bridgestone Corp.   42,544
  235      Cie Generale des Etablissements Michelin SCA   29,232
  636      Denso Corp.   29,985
  311      Lear Corp.   44,457
  887      Magna International, Inc.   54,393
  735      Stanley Electric Co. Ltd.   21,545
  1,887      Sumitomo Electric Industries Ltd.   21,510
  1,259      Toyoda Gosei Co. Ltd.   34,115
  256      Toyota Industries Corp.  

18,449

  516,984

 

 

 

Automobiles – 0.1%

  412      Bayerische Motoren Werke AG   35,749
  1,061      Daimler AG   71,035
  300      Ferrari NV   63,564
  29,715      Ford Motor Co.   269,812
  1,363      General Motors Co.   59,754
  4,700      Honda Motor Co. Ltd.   130,763
  1,235      Tesla, Inc.*   700,986
  1,977      Toyota Motor Corp.  

133,429

  1,465,092

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Banks – 0.4%

  6,596      Australia & New Zealand Banking Group Ltd.   $          109,104
  4,450      Bank Hapoalim BM   29,160
  15,743      Bank Leumi Le-Israel BM   88,398
  19,788      Bank of America Corp.   557,230
  1,831      Bank of Montreal   131,583
  391      Banque Cantonale Vaudoise   40,263
  35,149      Barclays PLC*   62,381
  2,077      BNP Paribas SA*   105,722
  20,086      BOC Hong Kong Holdings Ltd.   65,367
  1,018      Canadian Imperial Bank of Commerce   85,817
  5,315      Citigroup, Inc.   292,697
  1,649      Citizens Financial Group, Inc.   53,856
  2,969      Commonwealth Bank of Australia   172,175
  3,311      Credit Agricole SA*   38,200
  1,725      Danske Bank A/S*   28,399
  2,869      DBS Group Holdings Ltd.   53,523
  2,734      DNB ASA*   49,297
  2,099      Fifth Third Bancorp   53,189
  340      First Republic Bank   44,050
  1,949      Hang Seng Bank Ltd.   33,886
  15,412      HSBC Holdings PLC   79,303
  2,966      Huntington Bancshares, Inc.   35,829
  4,891      ING Groep NV*   47,573
  17,150      Intesa Sanpaolo SpA*   39,727
  10,673      Israel Discount Bank Ltd. Class A   36,099
  4,046      Japan Post Bank Co. Ltd.   31,700
  9,358      JPMorgan Chase & Co.   1,103,121
  381      KBC Group NV*   26,522
  2,230      KeyCorp.   34,476
  439      M&T Bank Corp.   51,139
  3,912      Mediobanca Banca di Credito Finanziario SpA   35,095
  21,923      Mitsubishi UFJ Financial Group, Inc.   93,552
  2,319      Mizrahi Tefahot Bank Ltd.   49,537
  3,878      Mizuho Financial Group, Inc.   49,133
  4,993      National Australia Bank Ltd.   83,065
  3,794      National Bank of Canada   210,164
  4,118      Nordea Bank Abp*   35,194
  20,940      Oversea-Chinese Banking Corp. Ltd.   156,119
  1,006      Raiffeisen Bank International AG*   19,195
  2,610      Regions Financial Corp.   39,855
  7,526      Resona Holdings, Inc.   26,233
  5,902      Royal Bank of Canada   481,994
  2,594      Shinsei Bank Ltd.   30,657
  5,390      Skandinaviska Enskilda Banken AB Class A*   56,900
  4,380      Standard Chartered PLC*   26,024
  6,873      Sumitomo Mitsui Financial Group, Inc.   197,616
  1,315      Sumitomo Mitsui Trust Holdings, Inc.   38,152
  107      SVB Financial Group*   36,900
  4,564      Svenska Handelsbanken AB Class A*   46,222
  1,061      Swedbank AB Class A*   19,212
  29,440      The Bank of East Asia Ltd.   65,308
  2,108      The Bank of Nova Scotia   102,584
  694      The PNC Financial Services Group, Inc.   95,821
  2,529      The Shizuoka Bank Ltd.   17,871
  6,279      The Toronto-Dominion Bank   334,957

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Banks – (continued)

  1,413      Truist Financial Corp.   $            65,592
  2,824      U.S. Bancorp   122,025
  3,675      United Overseas Bank Ltd.   61,124
  7,263      Wells Fargo & Co.   198,643
  4,557      Westpac Banking Corp.  

66,827

  6,441,357

 

 

 

Beverages – 0.2%

  960      Asahi Group Holdings Ltd.   36,888
  1,475      Brown-Forman Corp. Class B   118,973
  536      Carlsberg AS Class B   79,837
  4,983      Coca-Cola Amatil Ltd.   46,144
  1,458      Coca-Cola Bottlers Japan Holdings, Inc.   22,285
  2,887      Coca-Cola European Partners PLC   128,991
  1,097      Coca-Cola HBC AG   31,335
  253      Constellation Brands, Inc. Class A   52,078
  3,438      Davide Campari-Milano NV   40,016
  2,323      Diageo PLC   89,426
  509      Heineken Holding NV   47,025
  543      Heineken NV   57,336
  2,505      Ito En Ltd.   193,090
  2,041      Keurig Dr Pepper, Inc.   62,148
  871      Kirin Holdings Co. Ltd.   18,912
  6,953      Molson Coors Beverage Co. Class B   319,838
  3,384      Monster Beverage Corp.*   286,895
  4,518      PepsiCo, Inc.   651,631
  376      Pernod Ricard SA   71,848
  191      Remy Cointreau SA   34,018
  1,619      Suntory Beverage & Food Ltd.   59,123
  6,956      The Coca-Cola Co.  

358,930

  2,806,767

 

 

 

Biotechnology – 0.2%

  5,675      AbbVie, Inc.   593,491
  1,997      Alexion Pharmaceuticals, Inc.*   243,854
  567      Alnylam Pharmaceuticals, Inc.*   73,659
  1,515      Amgen, Inc.   336,391
  156      Argenx SE*   44,683
  1,496      Biogen, Inc.*   359,294
  474      BioMarin Pharmaceutical, Inc.*   37,304
  862      CSL Ltd.   188,766
  164      Exact Sciences Corp.*   19,854
  186      Genmab A/S*   71,530
  4,868      Gilead Sciences, Inc.   295,342
  1,301      Grifols SA   36,910
  2,880      Incyte Corp.*   243,475
  863      Ionis Pharmaceuticals, Inc.*   43,607
  604      Moderna, Inc.*   92,255
  461      Neurocrine Biosciences, Inc.*   43,767
  276      Regeneron Pharmaceuticals, Inc.*   142,424
  246      Sarepta Therapeutics, Inc.*   34,652
  1,520      Seagen, Inc.*   258,871
  1,269      Vertex Pharmaceuticals, Inc.*  

289,015

  3,449,144

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Building Products – 0.1%

  832      A.O. Smith Corp.   $            46,850
  1,749      Allegion PLC   199,456
  2,187      Assa Abloy AB Class B   52,332
  1,968      Carrier Global Corp.   74,922
  2,536      Cie de Saint-Gobain*   120,135
  555      Daikin Industries Ltd.   125,702
  1,121      Fortune Brands Home & Security, Inc.   93,603
  107      Geberit AG   64,403
  2,127      Johnson Controls International PLC   97,927
  529      Kingspan Group PLC*   46,159
  699      Lennox International, Inc.   201,193
  779      LIXIL Group Corp.   18,641
  5,980      Masco Corp.   320,947
  1,502      Nibe Industrier AB Class B*   42,367
  2,425      Owens Corning   176,710
  100      Rockwool International A/S Class B   36,467
  730      Trane Technologies PLC   106,755
  25,678      Xinyi Glass Holdings Ltd.  

57,588

  1,882,157

 

 

 

Capital Markets – 0.3%

  1,144      Ameriprise Financial, Inc.   211,915
  239      Amundi SA*(a)   19,008
  1,185      ASX Ltd.   67,016
  272      BlackRock, Inc.   189,951
  804      Brookfield Asset Management, Inc. Class A   32,471
  671      Cboe Global Markets, Inc.   61,276
  10,810      CI Financial Corp.   141,669
  318      CME Group, Inc.   55,659
  3,696      Credit Suisse Group AG   46,815
  5,673      Daiwa Securities Group, Inc.   24,655
  2,729      Deutsche Bank AG*   30,255
  554      Deutsche Boerse AG   92,281
  1,739      EQT AB   38,828
  850      FactSet Research Systems, Inc.   283,696
  1,041      Franklin Resources, Inc.   22,892
  8,717      Hargreaves Lansdown PLC   165,097
  3,661      Hong Kong Exchanges & Clearing Ltd.   181,830
  1,471      IGM Financial, Inc.   38,907
  1,382      Intercontinental Exchange, Inc.   145,815
  9,859      Invesco Ltd.   160,012
  2,430      Japan Exchange Group, Inc.   60,117
  1,016      KKR & Co., Inc. Class A   38,537
  1,305      London Stock Exchange Group PLC   140,746
  590      Macquarie Group Ltd.   59,999
  2,863      Magellan Financial Group Ltd.   124,231
  428      MarketAxess Holdings, Inc.   230,769
  1,598      Moody’s Corp.   451,179
  5,831      Morgan Stanley   360,531
  278      MSCI, Inc.   113,819
  530      Nasdaq, Inc.   67,835
  12,110      Natixis SA*   37,229
  594      Northern Trust Corp.   55,313
  160      Partners Group Holding AG   172,509
  484      Raymond James Financial, Inc.   44,020
  1,082      S&P Global, Inc.   380,626
  694      SBI Holdings, Inc.   18,722

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Capital Markets – (continued)

  645      Schroders PLC   $            27,562
  1,766      SEI Investments Co.   93,156
  33,802      Singapore Exchange Ltd.   222,877
  1,810      St. James’s Place PLC   24,248
  1,818      State Street Corp.   128,133
  1,300      T. Rowe Price Group, Inc.   186,433
  2,889      The Bank of New York Mellon Corp.   113,018
  2,531      The Blackstone Group, Inc., Class A   150,721
  1,705      The Charles Schwab Corp.   83,170
  750      TMX Group Ltd.   73,799
  681      Tradeweb Markets, Inc. Class A   40,622
  6,478      UBS Group AG  

91,885

  5,601,854

 

 

 

Chemicals – 0.2%

  1,010      Air Liquide SA   165,055
  614      Air Products & Chemicals, Inc.   172,006
  1,103      Akzo Nobel NV   116,797
  269      Albemarle Corp.   36,576
  1,411      Arkema SA   164,320
  555      BASF SE   40,575
  453      Chr Hansen Holding A/S*   43,991
  953      Clariant AG   19,127
  1,673      Corteva, Inc.   64,109
  551      Covestro AG(a)   30,659
  937      Croda International PLC   73,783
  861      Dow, Inc.   45,642
  302      DuPont de Nemours, Inc.   19,159
  1,290      Eastman Chemical Co.   125,646
  958      Ecolab, Inc.   212,820
  77      EMS-Chemie Holding AG   70,325
  268      FMC Corp.   31,091
  34      Givaudan SA   139,279
  274      International Flavors & Fragrances, Inc.   30,715
  914      Johnson Matthey PLC   26,932
  1,243      JSR Corp.   34,417
  626      Kansai Paint Co. Ltd.   18,891
  431      Koninklijke DSM NV   70,377
  889      Linde PLC   227,957
  232      LyondellBasell Industries NV Class A   19,743
  5,794      Mitsubishi Chemical Holdings Corp.   31,898
  1,010      Mitsubishi Gas Chemical Co., Inc.   21,378
  2,131      Mitsui Chemicals, Inc.   59,575
  881      Nippon Paint Holdings Co. Ltd.   112,880
  340      Nissan Chemical Corp.   20,281
  413      Nitto Denko Corp.   34,054
  898      Novozymes A/S Class B   51,289
  2,160      Nutrien Ltd.   106,611
  2,141      Orica Ltd.   25,428
  440      PPG Industries, Inc.   64,579
  831      RPM International, Inc.   73,136
  541      Shin-Etsu Chemical Co. Ltd.   88,630
  342      Sika AG   87,020
  312      Solvay SA   35,639
  576      Symrise AG   72,195
  2,221      Taiyo Nippon Sanso Corp.   36,903
  2,378      Teijin Ltd.   40,550

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Chemicals – (continued)

  4,908      The Mosaic Co.   $          107,780
  300      The Sherwin-Williams Co.   224,289
  3,799      Toray Industries, Inc.   20,500
  693      Yara International ASA  

28,090

  3,342,697

 

 

 

Commercial Services & Supplies – 0.1%

  5,689      Brambles Ltd.   45,875
  937      Cintas Corp.   332,916
  1,032      Copart, Inc.*   119,144
  1,156      Dai Nippon Printing Co. Ltd.   21,565
  1,369      GFL Environmental, Inc.   37,316
  5,644      Rentokil Initial PLC*   37,368
  861      Republic Services, Inc.   83,276
  1,058      Ritchie Bros Auctioneers, Inc.   76,097
  6,438      Rollins, Inc.   368,125
  460      Secom Co. Ltd.   45,905
  4,454      Securitas AB Class B*   73,275
  796      Waste Connections, Inc.   82,768
  728      Waste Management, Inc.  

86,727

  1,410,357

 

 

 

Communications Equipment – 0.1%

  238      Arista Networks, Inc.*   64,427
  11,477      Cisco Systems, Inc.   493,741
  1,409      F5 Networks, Inc.*   229,399
  3,543      Juniper Networks, Inc.   77,131
  508      Motorola Solutions, Inc.   87,137
  6,541      Telefonaktiebolaget LM Ericsson Class B  

80,295

  1,032,130

 

 

 

Construction & Engineering – 0.1%

  9,883      ACS Actividades de Construccion y Servicios SA   312,233
  1,919      Bouygues SA   76,102
  2,842      CIMIC Group Ltd.*   53,362
  1,424      Eiffage SA*   139,221
  1,874      Ferrovial SA   52,332
  728      HOCHTIEF AG   70,058
  1,040      Jacobs Engineering Group, Inc.   112,154
  2,597      Obayashi Corp.   22,859
  2,460      Shimizu Corp.   18,604
  6,199      Skanska AB Class B   147,294
  541      Taisei Corp.   19,033
  1,724      Vinci SA   175,154
  4,824      WSP Global, Inc.  

358,262

  1,556,668

 

 

 

Construction Materials – 0.0%

  1,432      CRH PLC*   56,325
  1,006      HeidelbergCement AG   71,170
  1,280      James Hardie Industries PLC   37,035
  1,594      LafargeHolcim Ltd.   83,664
  243      Martin Marietta Materials, Inc.   64,548
  244      Vulcan Materials Co.  

34,075

  346,817

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Consumer Finance – 0.0%

  4,672      Ally Financial, Inc.   $          138,525
  1,921      American Express Co.   227,811
  2,090      Discover Financial Services   159,195
  1      Isracard Ltd.   3
  5,706      Synchrony Financial  

173,862

  699,396

 

 

 

Containers & Packaging – 0.0%

  2,459      Amcor PLC   27,860
  402      Avery Dennison Corp.   60,035
  942      Ball Corp.   90,441
  919      Crown Holdings, Inc.*   86,616
  2,189      International Paper Co.   108,312
  145      Packaging Corp. of America   18,850
  4,627      Smurfit Kappa Group PLC   196,709
  3,410      Westrock Co.  

143,936

  732,759

 

 

 

Distributors – 0.0%

  1,869      Genuine Parts Co.   183,854
  6,659      LKQ Corp.*   234,530
  686      Pool Corp.  

237,431

  655,815

 

 

 

Diversified Financial Services – 0.1%

  2,376      Berkshire Hathaway, Inc. Class B*   543,890
  342      Groupe Bruxelles Lambert SA   33,340
  589      Industrivarden AB Class A*   18,235
  2,453      Industrivarden AB Class C*   75,063
  1,702      Investor AB Class B   118,153
  1,572      Kinnevik AB   78,308
  1,234      L E Lundbergforetagen AB Class B*   63,351
  13,335      M&G PLC   33,087
  4,094      ORIX Corp.   60,597
  186      Sofina SA   59,043
  1,033      Tokyo Century Corp.   68,031
  1,647      Voya Financial, Inc.   94,917
  189      Wendel SE  

21,354

  1,267,369

 

 

 

Diversified Telecommunication Services – 0.2%

  5,822      Altice Europe NV Class A*   30,628
  20,535      AT&T, Inc.   590,381
  1,043      BCE, Inc.   45,215
  1,059      Cellnex Telecom SA(a)   67,084
  17,204      CenturyLink, Inc.   179,782
  10,347      Deutsche Telekom AG   186,800
  848      Elisa Oyj   45,502
  37,703      HKT Trust and HKT Ltd.   49,278
  308      Iliad SA   62,455
  4,721      Infrastrutture Wireless Italiane SpA(a)   60,789
  11,358      Koninklijke KPN NV   33,793
  7,153      Liberty Global PLC Class A*   161,086
  8,081      Liberty Global PLC Class C*   174,873
  10,490      Nippon Telegraph & Telephone Corp.   248,091

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Diversified Telecommunication Services – (continued)

  3,682      Orange SA   $            46,607
  64,218      PCCW Ltd.   38,971
  15,280      Singapore Telecommunications Ltd.   27,359
  14,275      Spark New Zealand Ltd.   45,642
  153      Swisscom AG   80,966
  86,846      Telecom Italia SpA   40,929
  78,061      Telecom Italia SpA RSP   39,927
  7,090      Telefonica Deutschland Holding AG   19,570
  8,726      Telefonica SA   38,120
  3,393      Telenor ASA   57,705
  8,289      Telia Co. AB   35,241
  16,665      Telstra Corp. Ltd.   37,607
  2,320      TELUS Corp.   44,749
  14,582      TPG Telecom Ltd.*   82,323
  733      United Internet AG   29,213
  10,412      Verizon Communications, Inc.  

628,989

  3,229,675

 

 

 

Electric Utilities – 0.2%

  986      Alliant Energy Corp.   51,864
  926      American Electric Power Co., Inc.   78,608
  38,024      AusNet Services   51,818
  1,559      Chubu Electric Power Co., Inc.   18,741
  3,420      CLP Holdings Ltd.   32,127
  959      Duke Energy Corp.   88,861
  438      Edison International   26,876
  24,944      EDP—Energias de Portugal SA   133,332
  1,367      Electricite de France SA   20,773
  285      Elia Group SA   32,215
  930      Emera, Inc.   38,562
  2,652      Endesa SA   76,225
  21,218      Enel SpA   212,876
  357      Entergy Corp.   38,859
  743      Evergy, Inc.   41,170
  1,355      Eversource Energy   118,576
  2,468      Exelon Corp.   101,361
  1,038      Fortis, Inc.   41,793
  1,136      Fortum Oyj   26,020
  32,706      HK Electric Investments & HK Electric Investments Ltd.   32,881
  2,970      Hydro One Ltd.(a)   69,293
  17,853      Iberdrola SA   245,081
  3,280      Kyushu Electric Power Co., Inc.   27,637
  11,187      Mercury NZ Ltd.   47,056
  4,096      NextEra Energy, Inc.   301,425
  8,570      NRG Energy, Inc.   280,668
  1,220      OGE Energy Corp.   39,516
  911      Orsted A/S(a)   163,913
  1,948      PG&E Corp.*   24,740
  478      Pinnacle West Capital Corp.   39,124
  3,998      Power Assets Holdings Ltd.   20,973
  1,331      PPL Corp.   37,827
  2,047      Red Electrica Corp. SA   41,847
  4,356      SSE PLC   77,968
  12,390      Terna Rete Elettrica Nazionale SpA   93,065
  2,899      The Chugoku Electric Power Co., Inc.   36,797
  2,027      The Kansai Electric Power Co., Inc.   18,500

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Electric Utilities – (continued)

  995      The Southern Co.   $            59,551
  2,586      Tohoku Electric Power Co., Inc.   21,646
  619      Verbund AG   43,504
  1,989      Xcel Energy, Inc.  

133,979

  3,087,648

 

 

 

Electrical Equipment – 0.1%

  3,348      ABB Ltd.   88,547
  823      AMETEK, Inc.   97,550
  1,541      Eaton Corp. PLC   186,630
  899      Emerson Electric Co.   69,061
  312      Generac Holdings, Inc.*   67,267
  726      Legrand SA   61,478
  2,971      Mitsubishi Electric Corp.   43,529
  837      Nidec Corp.   106,155
  783      Prysmian SpA   25,774
  642      Rockwell Automation, Inc.   164,070
  1,076      Schneider Electric SE   149,914
  1,259      Sensata Technologies Holding PLC*   61,477
  713      Siemens Energy AG*   21,178
  1,345      Siemens Gamesa Renewable Energy SA   48,237
  840      Sunrun, Inc.*   53,827
  541      Vestas Wind Systems A/S  

110,263

  1,354,957

 

 

 

Electronic Equipment, Instruments & Components – 0.1%

  1,117      Amphenol Corp. Class A   146,115
  3,144      Arrow Electronics, Inc.*   288,148
  1,258      Azbil Corp.   56,445
  2,651      CDW Corp.   345,929
  923      Cognex Corp.   69,354
  1,609      Corning, Inc.   60,209
  3,419      Halma PLC   100,602
  569      Hamamatsu Photonics KK   31,969
  497      Hexagon AB Class B*   41,425
  133      Hirose Electric Co. Ltd.   18,761
  3,116      Hitachi Ltd.   118,264
  807      Ibiden Co. Ltd.   37,744
  158      IPG Photonics Corp.*   32,707
  342      Keyence Corp.   174,373
  1,580      Keysight Technologies, Inc.*   189,663
  634      Kyocera Corp.   36,102
  1,197      Murata Manufacturing Co. Ltd.   104,368
  994      Omron Corp.   89,263
  253      TDK Corp.   35,533
  734      TE Connectivity Ltd.   83,654
  832      Trimble, Inc.*   49,812
  2,472      Venture Corp. Ltd.   34,502
  481      Zebra Technologies Corp. Class A*  

182,020

  2,326,962

 

 

 

Energy Equipment & Services – 0.0%

  6,825      Baker Hughes Co.   127,764
  5,726      Halliburton Co.   94,994
  2,574      Schlumberger N.V   53,514
  8,048      Tenaris SA  

62,476

  338,748

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Entertainment – 0.1%

  2,276      Activision Blizzard, Inc.   $          180,896
  32,886      Bollore SA   127,550
  1,039      Capcom Co. Ltd.   58,747
  1,247      Electronic Arts, Inc.*   159,304
  717      Koei Tecmo Holdings Co. Ltd.   38,141
  970      Liberty Media Corp.-Liberty Formula One Class C*   40,527
  461      Live Nation Entertainment, Inc.*   30,265
  778      Netflix, Inc.*   381,765
  1,675      Nexon Co. Ltd.   50,518
  214      Nintendo Co. Ltd.   121,420
  828      Roku, Inc.*   243,076
  949      Square Enix Holdings Co. Ltd.   58,032
  593      Take-Two Interactive Software, Inc.*   107,042
  1,938      The Walt Disney Co.   286,843
  834      Toho Co. Ltd.   35,204
  1,312      Ubisoft Entertainment SA*   124,414
  2,042      Vivendi SA  

61,216

  2,104,960

 

 

 

Equity Real Estate Investment Trusts (REITs) – 0.2%

  694      Alexandria Real Estate Equities, Inc.   113,629
  781      American Tower Corp.   180,567
  22,935      Ascendas Real Estate Investment Trust   50,647
  194      AvalonBay Communities, Inc.   32,318
  629      Boston Properties, Inc.   61,743
  1,496      Camden Property Trust   147,850
  814      Canadian Apartment Properties REIT   32,066
  1,047      Crown Castle International Corp.   175,446
  4,704      Dexus   33,703
  1,606      Digital Realty Trust, Inc.   216,408
  2,102      Duke Realty Corp.   80,002
  216      Equinix, Inc.   150,723
  1,074      Equity LifeStyle Properties, Inc.   62,926
  1,405      Equity Residential   81,378
  246      Essex Property Trust, Inc.   60,486
  525      Extra Space Storage, Inc.   59,183
  6,503      Goodman Group   89,244
  3,014      Invitation Homes, Inc.   86,140
  736      Iron Mountain, Inc.   20,240
  3,020      Link REIT   26,404
  23,558      Mapletree Logistics Trust   34,469
  2,901      Medical Properties Trust, Inc.   56,279
  773      Mid-America Apartment Communities, Inc.   97,522
  27      Nippon Prologis REIT, Inc.   84,621
  1,993      Prologis, Inc.   199,400
  309      Public Storage   69,358
  955      Regency Centers Corp.   43,529
  382      SBA Communications Corp.   109,703
  5,894      Segro PLC   71,313
  10,224      Stockland   33,955
  764      Sun Communities, Inc.   106,196
  528      UDR, Inc.   20,312
  1,171      Ventas, Inc.   56,103
  1,493      VICI Properties, Inc.   37,758
  901      Weyerhaeuser Co.  

26,165

  2,807,786

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Food & Staples Retailing – 0.4%

  2,009      Aeon Co. Ltd.   $            59,683
  3,664      Alimentation Couche-Tard, Inc. Class B   121,682
  7,061      Carrefour SA   115,587
  16,643      Coles Group Ltd.   217,569
  392      Cosmos Pharmaceutical Corp.   67,698
  1,523      Costco Wholesale Corp.   596,666
  10,546      Empire Co. Ltd. Class A   288,600
  892      Etablissements Franz Colruyt NV   53,222
  1,837      George Weston Ltd.   135,947
  1,271      ICA Gruppen AB   61,534
  48,842      J Sainsbury PLC   136,335
  12,025      Jeronimo Martins SGPS SA   206,043
  2,127      Kesko Oyj Class B   55,684
  1,322      Kobe Bussan Co. Ltd.   46,314
  13,905      Koninklijke Ahold Delhaize NV   397,562
  1,322      Lawson, Inc.   59,942
  3,630      Loblaw Cos. Ltd.   179,446
  1,273      Metro, Inc.   58,479
  2,493      Seven & i Holdings Co. Ltd.   78,624
  3,456      Sundrug Co. Ltd.   144,877
  4,411      Sysco Corp.   314,460
  35,906      Tesco PLC   108,074
  12,482      The Kroger Co.   411,906
  1,474      Tsuruha Holdings, Inc.   216,156
  4,897      Walgreens Boots Alliance, Inc.   186,135
  6,347      Walmart, Inc.   969,758
  5,988      Welcia Holdings Co. Ltd.   240,610
  19,974      Wm Morrison Supermarkets PLC   47,534
  9,350      Woolworths Group Ltd.  

253,734

  5,829,861

 

 

 

Food Products – 0.2%

  4,941      Ajinomoto Co., Inc.   102,950
  1,549      Archer-Daniels-Midland Co.   77,094
  4,535      Associated British Foods PLC   126,479
  16      Barry Callebaut AG   34,477
  793      Bunge Ltd.   46,700
  2,487      Calbee, Inc.   73,518
  1,425      Campbell Soup Co.   71,278
  6      Chocoladefabriken Lindt & Spruengli AG (Food Products)   132,247
  4,601      Conagra Brands, Inc.   168,212
  3,958      Danone SA   255,233
  4,015      General Mills, Inc.   244,192
  1,685      Hormel Foods Corp.   79,498
  1,263      Kellogg Co.   80,718
  334      Kerry Group PLC Class A   46,833
  531      Kikkoman Corp.   32,958
  361      Lamb Weston Holdings, Inc.   26,129
  652      McCormick & Co., Inc.   121,911
  646      MEIJI Holdings Co. Ltd.   45,718
  2,812      Mondelez International, Inc. Class A   161,549
  1,277      Mowi ASA   25,846
  7,464      Nestle SA   836,076

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Food Products – (continued)

  396      Nissin Foods Holdings Co. Ltd.   $            32,683
  4,833      Orkla ASA   46,288
  1,585      Saputo, Inc.   43,973
  3,611      The a2 Milk Co. Ltd.*   37,339
  1,467      The Hershey Co.   216,955
  1,414      The J.M. Smucker Co.   165,721
  4,988      The Kraft Heinz Co.   164,305
  628      Toyo Suisan Kaisha Ltd.   30,889
  2,956      Tyson Foods, Inc. Class A   192,731
  35,972      WH Group Ltd.(a)   29,305
  44,674      Wilmar International Ltd.   139,066
  7,214      Yamazaki Baking Co. Ltd.  

119,691

  4,008,562

 

 

 

Gas Utilities – 0.0%

  2,083      AltaGas Ltd.   29,897
  5,526      APA Group   41,883
  423      Atmos Energy Corp.   40,562
  1,419      Enagas SA   34,667
  21,641      Hong Kong & China Gas Co. Ltd.   33,109
  1,616      Naturgy Energy Group SA   37,295
  1,345      Osaka Gas Co. Ltd.   25,807
  17,060      Snam SpA   96,359
  535      Toho Gas Co. Ltd.   35,089
  1,079      Tokyo Gas Co. Ltd.   24,179
  5,044      UGI Corp.  

178,961

  577,808

 

 

 

Health Care Equipment & Supplies – 0.4%

  3,321      Abbott Laboratories   359,399
  945      ABIOMED, Inc.*   259,024
  637      Alcon, Inc.*   40,676
  710      Align Technology, Inc.*   341,716
  1,058      Ambu A/S Class B   35,382
  1,170      Asahi Intecc Co. Ltd.   42,865
  1,581      Baxter International, Inc.   120,267
  562      Becton Dickinson & Co.   131,980
  824      BioMerieux   118,549
  2,004      Boston Scientific Corp.*   66,433
  311      Carl Zeiss Meditec AG   41,353
  1,085      Cochlear Ltd.   175,824
  904      Coloplast A/S Class B   135,144
  1,332      Danaher Corp.   299,207
  884      DENTSPLY SIRONA, Inc.   44,987
  362      DexCom, Inc.*   115,724
  773      DiaSorin SpA   163,104
  3,378      Edwards Lifesciences Corp.*   283,380
  2,547      Fisher & Paykel Healthcare Corp. Ltd.   64,139
  440      GN Store Nord A/S   35,811
  1,343      Hologic, Inc.*   92,842
  2,216      Hoya Corp.   294,703
  1,031      IDEXX Laboratories, Inc.*   475,270
  674      Insulet Corp.*   173,696
  232      Intuitive Surgical, Inc.*   168,444
  2,907      Koninklijke Philips NV*   149,807
  560      Masimo Corp.*   142,514
  1,250      Medtronic PLC   142,125
  1,676      Novocure Ltd.*   210,589
  10,304      Olympus Corp.   222,417
  1,448      ResMed, Inc.   303,501

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Health Care Equipment & Supplies – (continued)

  803      Siemens Healthineers AG(a)   $            36,913
  6,236      Smith & Nephew PLC   120,448
  372      Sonova Holding AG*   92,388
  641      STERIS PLC   124,232
  125      Straumann Holding AG   144,287
  679      Stryker Corp.   158,479
  775      Sysmex Corp.   81,137
  144      Teleflex, Inc.   55,116
  1,202      Terumo Corp.   47,696
  238      The Cooper Cos., Inc.   79,782
  951      Varian Medical Systems, Inc.*   165,455
  455      West Pharmaceutical Services, Inc.   125,198
  332      Zimmer Biomet Holdings, Inc.  

49,508

  6,531,511

 

 

 

Health Care Providers & Services – 0.3%

  1,678      AmerisourceBergen Corp.   173,018
  478      Amplifon SpA*   19,189
  723      Anthem, Inc.   225,229
  3,515      Cardinal Health, Inc.   191,884
  2,915      Centene Corp.*   179,710
  1,735      Cigna Corp.   362,858
  5,676      CVS Health Corp.   384,776
  2,262      DaVita, Inc.*   248,481
  1,392      Fresenius Medical Care AG & Co. KGaA   117,114
  2,336      Fresenius SE & Co. KGaA   104,440
  1,310      HCA Healthcare, Inc.   196,644
  3,162      Henry Schein, Inc.*   203,348
  570      Humana, Inc.   228,296
  1,455      Laboratory Corp. of America Holdings*   290,767
  1,470      McKesson Corp.   264,468
  3,205      Medipal Holdings Corp.   60,107
  221      Molina Healthcare, Inc.*   45,113
  1,559      Quest Diagnostics, Inc.   193,285
  1,792      Sonic Healthcare Ltd.   43,319
  2,952      UnitedHealth Group, Inc.   992,876
  1,164      Universal Health Services, Inc. Class B  

151,995

  4,676,917

 

 

 

Health Care Technology – 0.0%

  3,888      Cerner Corp.   290,978
  1,242      M3, Inc.   114,291
  296      Teladoc Health, Inc.*   58,836
  969      Veeva Systems, Inc. Class A*  

268,287

  732,392

 

 

 

Hotels, Restaurants & Leisure – 0.2%

  823      Accor SA*   28,259
  5,147      Aramark   180,145
  1,836      Aristocrat Leisure Ltd.   43,306
  80      Chipotle Mexican Grill, Inc.*   103,154
  902      Domino’s Pizza, Inc.   354,098
  2,731      Evolution Gaming Group AB(a)   232,373
  382      Flutter Entertainment PLC*   70,876
  7,042      GVC Holdings PLC*   96,763
  919      Hilton Worldwide Holdings, Inc.   95,236
  6,142      La Francaise des Jeux SAEM(a)   256,883

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Hotels, Restaurants & Leisure – (continued)

  337      Las Vegas Sands Corp.   $            18,774
  740      Marriott International, Inc. Class A   93,884
  1,278      McDonald’s Corp.   277,888
  779      McDonald’s Holdings Co. Japan Ltd.   37,785
  1,751      MGM Resorts International   49,466
  243      Oriental Land Co. Ltd.   41,275
  1,203      Starbucks Corp.   117,918
  85      Vail Resorts, Inc.   23,446
  2,750      Yum! Brands, Inc.  

290,950

  2,412,479

 

 

 

Household Durables – 0.1%

  2,385      Berkeley Group Holdings PLC   145,780
  1,131      Casio Computer Co. Ltd.   20,314
  1,106      D.R. Horton, Inc.   82,397
  789      Electrolux AB Class B   18,931
  635      Garmin Ltd.   74,143
  8,590      Husqvarna AB Class B   91,993
  1,543      Iida Group Holdings Co. Ltd.   30,921
  1,969      Lennar Corp. Class A   149,368
  1,402      Mohawk Industries, Inc.*   176,414
  5,046      Newell Brands, Inc.   107,278
  25      NVR, Inc.*   99,930
  2,890      Panasonic Corp.   30,650
  568      Persimmon PLC   19,932
  1,944      PulteGroup, Inc.   84,817
  247      Rinnai Corp.   28,818
  1,867      SEB SA   330,724
  3,934      Sekisui House Ltd.   70,541
  2,749      Sony Corp.   256,167
  95      Whirlpool Corp.  

18,488

  1,837,606

 

 

 

Household Products – 0.2%

  1,266      Church & Dwight Co., Inc.   111,117
  5,593      Colgate-Palmolive Co.   478,985
  1,664      Essity AB Class B   52,880
  1,180      Henkel AG & Co. KGaA (Household Products)   120,678
  1,819      Kimberly-Clark Corp.   253,405
  2,631      Lion Corp.   62,346
  2,511      Pigeon Corp.   112,056
  1,594      Reckitt Benckiser Group PLC   139,136
  1,607      The Clorox Co.   326,157
  5,715      The Procter & Gamble Co.   793,642
  1,362      Unicharm Corp.  

66,157

  2,516,559

 

 

 

Independent Power and Renewable Electricity Producers – 0.0%

  15,841      Meridian Energy Ltd.   71,460
  1,643      Northland Power, Inc.   56,310
  3,473      The Aes Corp.   70,988
  3,652      Uniper SE   123,615
  17,160      Vistra Corp.  

320,549

  642,922

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Industrial Conglomerates – 0.1%

  1,063      3M Co.   $          183,612
  21,501      CK Hutchison Holdings Ltd.   155,960
  253      DCC PLC   19,049
  26,080      General Electric Co.   265,494
  670      Honeywell International, Inc.   136,626
  2,127      Investment AB Latour   56,052
  1,385      Jardine Matheson Holdings Ltd.   73,260
  550      Keihan Holdings Co. Ltd.   25,887
  226      Roper Technologies, Inc.   96,502
  1,427      Siemens AG  

190,468

  1,202,910

 

 

 

Insurance – 0.4%

  8,122      Admiral Group PLC   305,930
  33,140      Aegon NV   122,595
  2,561      Aflac, Inc.   112,505
  1,306      Ageas SA   63,943
  17,596      AIA Group Ltd.   193,105
  43      Alleghany Corp.   24,734
  1,201      Allianz SE   281,497
  1,395      Aon PLC Class A   285,822
  3,046      Arch Capital Group Ltd.*   98,066
  1,384      Arthur J. Gallagher & Co.   159,727
  7,809      Assicurazioni Generali SpA   133,490
  525      Assurant, Inc.   67,788
  2,337      Athene Holding Ltd. Class A*   103,646
  20,657      Aviva PLC   87,457
  4,282      AXA SA   100,111
  475      Baloise Holding AG   81,848
  1,980      Brown & Brown, Inc.   89,159
  930      Chubb Ltd.   137,482
  290      Cincinnati Financial Corp.   22,142
  3,785      CNP Assurances*   60,056
  2,060      Dai-ichi Life Holdings, Inc.   32,455
  22,196      Direct Line Insurance Group PLC   87,072
  653      Erie Indemnity Co. Class A   147,323
  237      Everest Re Group Ltd.   53,877
  103      Fairfax Financial Holdings Ltd.   35,325
  1,837      Fidelity National Financial, Inc.   66,114
  4,939      Gjensidige Forsikring ASA   107,541
  828      Globe Life, Inc.   77,087
  4,402      Great-West Lifeco, Inc.   102,398
  548      Hannover Rueck SE   91,581
  4,556      iA Financial Corp., Inc.   199,507
  7,993      Insurance Australia Group Ltd.   30,162
  739      Intact Financial Corp.   82,674
  7,225      Japan Post Holdings Co. Ltd.   53,473
  23,802      Legal & General Group PLC   78,603
  2,384      Lincoln National Corp.   112,572
  5,208      Manulife Financial Corp.   88,745
  28      Markel Corp.*   27,267
  1,679      Marsh & McLennan Cos., Inc.   192,481
  12,505      Medibank Pvt. Ltd.   26,164
  3,727      MetLife, Inc.   172,076
  1,821      MS&AD Insurance Group Holdings, Inc.   52,975
  371      Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen   102,804
  2,321      NN Group NV   93,803
  6,961      Poste Italiane SpA(a)   71,528

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Insurance – (continued)

  8,464      Power Corp. of Canada   $          190,565
  1,436      Principal Financial Group, Inc.   71,498
  643      Reinsurance Group of America, Inc.   74,125
  252      RenaissanceRe Holdings Ltd.   41,489
  5,437      RSA Insurance Group PLC   48,327
  970      SCOR SE*   33,003
  878      Sompo Holdings, Inc.   33,520
  1,730      Sun Life Financial, Inc.   76,822
  11,150      Suncorp Group Ltd.   82,698
  352      Swiss Life Holding AG   157,069
  267      Swiss Re AG   24,395
  2,559      The Allstate Corp.   261,914
  1,442      The Hartford Financial Services Group, Inc.   63,736
  2,562      The Progressive Corp.   223,176
  878      The Travelers Cos., Inc.   113,833
  1,704      Tokio Marine Holdings, Inc.   84,378
  1,146      Tryg A/S   33,247
  494      W.R. Berkley Corp.   32,174
  592      Willis Towers Watson PLC   123,249
  380      Zurich Insurance Group AG  

154,108

  6,640,036

 

 

 

Interactive Media & Services – 0.4%

  2,697      Adevinta ASA*   44,506
  783      Alphabet, Inc. Class A*   1,373,695
  872      Alphabet, Inc. Class C*   1,535,365
  34,991      Auto Trader Group PLC(a)   260,259
  7,411      Facebook, Inc. Class A*   2,052,625
  353      InterActiveCorp.*   50,123
  6,309      Kakaku.com, Inc.   176,512
  716      LINE Corp.*   36,896
  2,253      Match Group, Inc.*   313,640
  1,319      Pinterest, Inc. Class A*   92,356
  1,110      REA Group Ltd.   118,164
  849      Scout24 AG(a)   64,694
  1,180      SEEK Ltd.   22,402
  2,631      Snap, Inc. Class A*   116,869
  2,144      Twitter, Inc.*   99,717
  9,699      Z Holdings Corp.   61,162
  348      Zillow Group, Inc. Class A*   38,402
  656      Zillow Group, Inc. Class C*  

70,723

  6,528,110

 

 

 

Internet & Direct Marketing Retail – 0.4%

  1,389      Amazon.com, Inc.*   4,400,408
  166      Booking Holdings, Inc.*   336,723
  549      Chewy, Inc. Class A*   42,591
  382      Delivery Hero SE*(a)   46,446
  5,246      eBay, Inc.   264,556
  459      Etsy, Inc.*   73,761
  647      Expedia Group, Inc.   80,545
  2,394      HelloFresh SE*   141,275
  231      Just Eat Takeaway.com NV*(a)   24,584
  105      MercadoLibre, Inc.*   163,100
  796      Mercari, Inc.*   36,351
  3,637      Ocado Group PLC*   106,932
  1,039      Prosus NV   112,626
  9,073      Rakuten, Inc.   101,402
  1,794      Wayfair, Inc. Class A*   456,322
  3,533      Zalando SE*(a)   358,872
  7,864      ZOZO, Inc.  

195,976

  6,942,470

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

IT Services – 0.5%

  2,719      Accenture PLC Class A   $          677,276
  50      Adyen NV*(a)   95,508
  669      Afterpay Ltd.*   46,613
  897      Akamai Technologies, Inc.*   92,848
  3,368      Atos SE*   307,433
  810      Automatic Data Processing, Inc.   140,843
  115      Bechtle AG   25,062
  1,650      Black Knight, Inc.*   151,173
  2,358      Booz Allen Hamilton Holding Corp.   204,651
  548      Broadridge Financial Solutions, Inc.   80,490
  976      Capgemini SE   135,787
  2,194      CGI, Inc.*   162,029
  4,893      Cognizant Technology Solutions Corp. Class A   382,290
  1,121      Edenred   64,060
  373      EPAM Systems, Inc.*   120,229
  1,753      Fidelity National Information Services, Inc.   260,163
  2,392      Fiserv, Inc.*   275,511
  563      FleetCor Technologies, Inc.*   149,313
  745      Fujitsu Ltd.   103,062
  1,166      Gartner, Inc.*   177,232
  1,030      Global Payments, Inc.   201,046
  323      GMO Payment Gateway, Inc.   45,297
  859      GoDaddy, Inc. Class A*   68,325
  3,598      International Business Machines Corp.   444,425
  1,107      Itochu Techno-Solutions Corp.   39,034
  493      Jack Henry & Associates, Inc.   79,304
  3,445      Leidos Holdings, Inc.   346,911
  2,202      Mastercard, Inc. Class A   740,995
  277      MongoDB, Inc.*   79,585
  1,547      NEC Corp.   83,348
  2,035      Nexi SpA*(a)   38,424
  1,492      Nomura Research Institute Ltd.   50,451
  2,940      NTT Data Corp.   39,039
  376      Obic Co. Ltd.   84,547
  496      Okta, Inc.*   121,540
  522      Otsuka Corp.   25,313
  1,624      Paychex, Inc.   151,276
  2,155      PayPal Holdings, Inc.*   461,429
  235      Shopify, Inc. Class A*   252,927
  509      Snowflake, Inc. Class A*   165,853
  846      Square, Inc. Class A*   178,472
  8,664      The Western Union Co.   195,460
  331      Twilio, Inc. Class A*   105,950
  1,007      VeriSign, Inc.*   202,125
  3,198      Visa, Inc. Class A   672,699
  994      Wix.com Ltd.*   253,897
  228      Worldline SA*(a)  

21,110

  8,800,355

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Leisure Products – 0.0%

  712      Bandai Namco Holdings, Inc.   $            64,798
  294      Hasbro, Inc.   27,351
  639      Peloton Interactive, Inc. Class A*   74,348
  1,326      Sega Sammy Holdings, Inc.   18,592
  170      Shimano, Inc.  

40,215

  225,304

 

 

 

Life Sciences Tools & Services – 0.1%

  270      10X Genomics, Inc. Class A*   41,340
  1,112      Agilent Technologies, Inc.   129,993
  191      Bio-Rad Laboratories, Inc. Class A*   102,853
  510      Eurofins Scientific SE*   41,719
  376      Illumina, Inc.*   121,106
  512      IQVIA Holdings, Inc.*   86,523
  248      Lonza Group AG   156,035
  358      Mettler-Toledo International, Inc.*   411,714
  865      PerkinElmer, Inc.   115,045
  914      PPD, Inc.*   31,990
  906      QIAGEN NV*   43,672
  488      Sartorius Stedim Biotech   176,380
  841      Thermo Fisher Scientific, Inc.   391,048
  844      Waters Corp.*  

195,816

  2,045,234

 

 

 

Machinery – 0.2%

  836      Alstom SA*   45,091
  1,301      Atlas Copco AB Class A   65,818
  1,042      Atlas Copco AB Class B   46,148
  845      Caterpillar, Inc.   146,684
  1,232      Cummins, Inc.   284,801
  502      Daifuku Co. Ltd.   58,073
  627      Deere & Co.   164,036
  779      Dover Corp.   95,061
  1,450      Epiroc AB Class A   24,102
  1,494      Epiroc AB Class B   23,758
  231      FANUC Corp.   56,662
  640      Fortive Corp.   44,883
  987      GEA Group AG   33,741
  474      Harmonic Drive Systems, Inc.   37,797
  289      IDEX Corp.   55,820
  874      Illinois Tool Works, Inc.   184,493
  644      Ingersoll Rand, Inc.*   28,510
  866      KION Group AG   66,369
  741      Knorr-Bremse AG   94,825
  769      Komatsu Ltd.   18,754
  1,042      Kone Oyj Class B   87,358
  1,144      Kubota Corp.   22,595
  390      Makita Corp.   20,132
  2,964      MISUMI Group, Inc.   92,970
  999      Mitsubishi Heavy Industries Ltd.   22,433
  597      Miura Co. Ltd.   31,435
  468      Nabtesco Corp.   19,205
  224      Nordson Corp.   45,653
  984      Otis Worldwide Corp.   65,869
  959      PACCAR, Inc.   83,491
  1,060      Parker-Hannifin Corp.   283,296
  597      Pentair PLC   30,937
  25      Rational AG   22,217
  1,093      Sandvik AB*   24,651
  407      Schindler Holding AG (Machinery)   109,893

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Machinery – (continued)

  2,492      SKF AB Class B   $            61,544
  110      SMC Corp.   69,966
  1,517      Snap-on, Inc.   266,764
  439      Spirax-Sarco Engineering PLC   64,667
  433      Stanley Black & Decker, Inc.   79,806
  9,999      Techtronic Industries Co. Ltd.   127,647
  1,571      Volvo AB Class B*   35,782
  1,164      Westinghouse Air Brake Technologies Corp.   85,321
  397      Xylem, Inc.  

38,100

  3,367,158

 

 

 

Marine – 0.0%

  129      AP Moller—Maersk A/S Class A   243,563
  122      AP Moller—Maersk A/S Class B   248,712
  1,108      Kuehne & Nagel International AG  

250,810

  743,085

 

 

 

Media – 0.3%

  45      Cable One, Inc.   89,130
  370      Charter Communications, Inc. Class A*   241,236
  13,055      Comcast Corp. Class A   655,883
  5,070      CyberAgent, Inc.   346,489
  2,749      Dentsu Group, Inc.   88,866
  7,658      Discovery, Inc. Class A*   206,077
  9,343      Discovery, Inc. Class C*   224,419
  6,246      Fox Corp. Class A   180,135
  6,058      Fox Corp. Class B*   171,926
  2,474      Hakuhodo DY Holdings, Inc.   35,528
  744      Liberty Broadband Corp. Class A*   116,637
  857      Liberty Broadband Corp. Class C*   134,849
  4,473      Liberty Media Corp.-Liberty SiriusXM Class C*   183,438
  4,541      Liberty Media Corp.-Liberty SiriusXM, Class A*   185,908
  11,532      News Corp. Class A   203,540
  2,338      Omnicom Group, Inc.   147,294
  1,763      Publicis Groupe SA   79,445
  1,596      Quebecor, Inc. Class B   39,743
  871      Schibsted ASA Class A*   35,555
  6,350      Schibsted ASA Class B*   230,942
  5,071      SES SA   45,861
  1,717      Shaw Communications, Inc. Class B   29,853
  11,214      Sirius XM Holdings, Inc.   72,779
  6,456      The Interpublic Group of Cos., Inc.   143,840
  4,879      ViacomCBS, Inc. Class B   172,131
  8,405      WPP PLC  

80,988

  4,142,492

 

 

 

Metals & Mining – 0.2%

  749      Agnico Eagle Mines Ltd.   49,086
  1,452      Anglo American PLC   42,282
  11,926      ArcelorMittal SA*   216,857
  11,499      B2Gold Corp.   64,105
  4,303      Barrick Gold Corp.   98,770
  4,534      BHP Group Ltd.   126,436
  1,268      BHP Group PLC   28,670

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Metals & Mining – (continued)

  14,188      BlueScope Steel Ltd.   $          177,527
  603      Boliden AB   20,855
  8,534      Evolution Mining Ltd.   31,139
  18,176      Evraz PLC   91,337
  6,980      Fortescue Metals Group Ltd.   92,992
  637      Franco-Nevada Corp.   84,791
  2,312      Freeport-McMoRan, Inc.   54,078
  2,624      Fresnillo PLC   36,916
  55,883      Glencore PLC*   157,548
  8,985      Kinross Gold Corp.   63,996
  1,656      Kirkland Lake Gold Ltd.   67,849
  1,903      Newcrest Mining Ltd.   37,672
  2,181      Newmont Corp.   128,286
  16,842      Norsk Hydro ASA   68,197
  3,676      Northern Star Resources Ltd.   34,141
  2,217      Nucor Corp.   119,053
  1,210      Pan American Silver Corp.   35,610
  1,072      Rio Tinto Ltd.   79,981
  1,803      Rio Tinto PLC   117,698
  87,313      South32 Ltd.   153,883
  1,052      SSR Mining, Inc.*   19,473
  2,614      voestalpine AG   83,734
  1,070      Wheaton Precious Metals Corp.   41,302
  8,134      Yamana Gold, Inc.  

42,464

  2,466,728

 

 

 

Mortgage Real Estate Investment Trusts (REITs) – 0.0%

  3,860      AGNC Investment Corp.   58,981

 

 

 

Multi-Utilities – 0.1%

  10,144      AGL Energy Ltd.   100,132
  3,601      Algonquin Power & Utilities Corp.   56,426
  1,072      Ameren Corp.   83,380
  954      Canadian Utilities Ltd. Class A   23,830
  890      CMS Energy Corp.   54,771
  731      Consolidated Edison, Inc.   55,739
  1,913      Dominion Energy, Inc.   150,151
  290      DTE Energy Co.   36,485
  7,794      E.ON SE   84,335
  5,313      Engie SA*   78,211
  9,529      National Grid PLC   106,711
  1,593      NiSource, Inc.   38,551
  1,180      Public Service Enterprise Group, Inc.   68,770
  3,727      RWE AG   154,158
  354      Sempra Energy   45,128
  7,265      Suez SA   138,971
  2,984      Veolia Environnement SA   68,450
  1,077      WEC Energy Group, Inc.  

102,261

  1,446,460

 

 

 

Multiline Retail – 0.1%

  789      Canadian Tire Corp. Ltd. Class A   100,832
  1,310      Dollar General Corp.   286,340
  1,786      Dollar Tree, Inc.*   195,103
  1,999      Dollarama, Inc.   81,825
  2,234      Next PLC   192,979
  1,184      Pan Pacific International Holdings Corp.   27,936
  7,530      Ryohin Keikaku Co. Ltd.   154,528
  3,567      Target Corp.   640,383
  8,260      Wesfarmers Ltd.   299,361
    

 

  1,979,287

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Oil, Gas & Consumable Fuels – 0.1%

  1,812      Ampol Ltd.   $            40,754
  7,896      BP PLC   25,637
  1,320      Cabot Oil & Gas Corp.   23,126
  2,494      Cameco Corp.   24,946
  2,403      Canadian Natural Resources Ltd.   54,825
  495      Cheniere Energy, Inc.*   28,061
  1,581      Chevron Corp.   137,831
  1,122      Enbridge, Inc.   35,041
  15,230      ENEOS Holdings, Inc.   52,023
  594      EOG Resources, Inc.   27,847
  3,877      Exxon Mobil Corp.   147,830
  884      Idemitsu Kosan Co. Ltd.   18,327
  4,802      Kinder Morgan, Inc.   69,053
  922      Koninklijke Vopak NV   48,424
  1,020      Marathon Petroleum Corp.   39,658
  1,026      Neste Oyj   68,558
  2,436      OMV AG   81,570
  1,908      Parkland Corp.   58,443
  9,614      Royal Dutch Shell PLC Class A   161,173
  8,927      Royal Dutch Shell PLC Class B   143,372
  433      TC Energy Corp.   19,048
  1,269      TOTAL SE   53,863
  1,670      Valero Energy Corp.   89,796
  886      Washington H Soul Pattinson & Co. Ltd.   18,911
  1,934      Woodside Petroleum Ltd.   31,546
    

 

  1,499,663

 

 

 

Paper & Forest Products – 0.0%

  1,106      Mondi PLC   24,201
  4,380      Oji Holdings Corp.   19,851
  2,653      Svenska Cellulosa AB SCA Class B*   43,057
  1,282      UPM-Kymmene Oyj   42,065
    

 

  129,174

 

 

 

Personal Products – 0.1%

  1,124      Beiersdorf AG   125,858
  472      Kao Corp.   35,379
  219      Kobayashi Pharmaceutical Co. Ltd.   26,300
  902      Kose Corp.   137,588
  1,303      L’Oreal SA   479,629
  5,298      Pola Orbis Holdings, Inc.   105,694
  2,341      Shiseido Co. Ltd.   165,192
  1,777      The Estee Lauder Cos., Inc. Class A   435,934
  9,647      Unilever PLC (Personal Products)   585,377
    

 

  2,096,951

 

 

 

Pharmaceuticals – 0.6%

  11,771      Astellas Pharma, Inc.   167,661
  2,595      AstraZeneca PLC   271,527
  1,418      Bausch Health Cos., Inc.*   26,325

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Pharmaceuticals – (continued)

  4,264      Bayer AG   $          245,665
  8,431      Bristol-Myers Squibb Co.   526,094
  710      Canopy Growth Corp.*   20,403
  719      Catalent, Inc.*   69,125
  2,739      Chugai Pharmaceutical Co. Ltd.   132,478
  3,015      Daiichi Sankyo Co. Ltd.   106,747
  1,057      Eisai Co. Ltd.   79,659
  894      Elanco Animal Health, Inc.*   27,347
  3,531      Eli Lilly & Co.   514,290
  12,934      GlaxoSmithKline PLC   234,750
  1,645      H. Lundbeck A/S   50,280
  1,614      Hikma Pharmaceuticals PLC   55,751
  1,060      Horizon Therapeutics PLC*   74,656
  4,668      Ipsen SA   448,306
  1,839      Jazz Pharmaceuticals PLC*   258,766
  7,896      Johnson & Johnson   1,142,393
  1,196      Kyowa Kirin Co. Ltd.   32,420
  7,166      Merck & Co., Inc.   576,075
  1,655      Merck KGaA   264,271
  4,550      Novartis AG   411,936
  5,249      Novo Nordisk A/S Class B   351,803
  2,118      Ono Pharmaceutical Co. Ltd.   67,074
  3,613      Orion Oyj Class B   169,942
  881      Otsuka Holdings Co. Ltd.   35,725
  4,918      Perrigo Co. PLC   237,146
  11,978      Pfizer, Inc.   458,877
  2,657      Recordati Industria Chimica e Farmaceutica SpA   142,111
  2,395      Roche Holding AG   786,630
  758      Royalty Pharma PLC Class A   32,291
  2,942      Sanofi   296,550
  517      Shionogi & Co. Ltd.   27,674
  7,289      Sumitomo Dainippon Pharma Co. Ltd.   91,919
  1,029      Taisho Pharmaceutical Holdings Co. Ltd.   65,336
  2,848      Takeda Pharmaceutical Co. Ltd.   101,878
  29,039      Teva Pharmaceutical Industries Ltd. ADR*   276,161
  1,539      UCB SA   164,693
  3,394      Viatris, Inc.*   57,087
  1,414      Zoetis, Inc.   226,777
    

 

  9,326,599

 

 

 

Professional Services – 0.2%

  1,291      Adecco Group AG   78,044
  1,137      Bureau Veritas SA*   29,412
  90      CoStar Group, Inc.*   81,951
  480      Equifax, Inc.   80,112
  3,816      Experian PLC   135,200
  1,398      IHS Markit Ltd.   139,045
  483      Intertek Group PLC   35,392
  738      Nihon M&A Center, Inc.   51,567
  5,442      Persol Holdings Co. Ltd.   99,276
  2,621      Randstad NV*   162,576
  5,854      Recruit Holdings Co. Ltd.   245,406
  6,032      RELX PLC   139,587
  8,095      Robert Half International, Inc.   519,537
  130      SGS SA   371,238
  154      Teleperformance   51,212
  1,175      Thomson Reuters Corp.   93,135
  657      TransUnion   59,846
  777      Verisk Analytics, Inc.   154,087
  1,605      Wolters Kluwer NV   134,591
    

 

  2,661,214

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)  
 

Real Estate Management & Development – 0.1%

  
  4,949      Aroundtown SA*   $            34,252
  390      Azrieli Group Ltd.   23,871
  9,284      CapitaLand Ltd.   21,493
  5,031      CBRE Group, Inc. Class A*   307,595
  11,922      CK Asset Holdings Ltd.   65,146
  972      Daito Trust Construction Co. Ltd.   95,048
  1,604      Deutsche Wohnen SE   80,447
  5,998      ESR Cayman, Ltd.*(a)   18,060
  285      FirstService Corp.   38,869
  7,287      Hang Lung Properties Ltd.   18,017
  6,848      Henderson Land Development Co. Ltd.   28,792
  378      LEG Immobilien AG   53,763
  1,430      Sun Hung Kai Properties Ltd.   19,008
  10,882      Swire Pacific Ltd. Class A   62,356
  474      Swiss Prime Site AG   42,706
  1,665      Vonovia SE   113,852
    

 

  1,023,275

 

 

 

Road & Rail – 0.1%

  
  74      AMERCO   30,653
  8,352      Aurizon Holdings Ltd.   26,018
  1,272      Canadian National Railway Co.   133,204
  318      Canadian Pacific Railway Ltd.   102,736
  195      Central Japan Railway Co.   24,783
  1,306      CSX Corp.   117,605
  492      East Japan Railway Co.   30,429
  679      Hankyu Hanshin Holdings, Inc.   22,120
  374      J.B. Hunt Transport Services, Inc.   50,595
  386      Kansas City Southern   71,862
  262      Keio Corp.   18,581
  433      Kintetsu Group Holdings Co. Ltd.   19,178
  3,624      Knight-Swift Transportation Holdings, Inc.   149,635
  968      Kyushu Railway Co.   20,355
  3,927      MTR Corp. Ltd.   21,259
  1,110      Nagoya Railroad Co. Ltd.   30,532
  333      Norfolk Southern Corp.   78,928
  939      Odakyu Electric Railway Co. Ltd.   28,425
  413      Old Dominion Freight Line, Inc.   83,988
  673      Tobu Railway Co. Ltd.   20,162
  1,830      Tokyu Corp.   22,163
  375      Uber Technologies, Inc.*   18,622
  1,090      Union Pacific Corp.   222,447
    

 

  1,344,280

 

 

 

Semiconductors & Semiconductor Equipment – 0.5%

  6,306      Advanced Micro Devices, Inc.*   584,314
  1,298      Advantest Corp.   90,253
  621      Analog Devices, Inc.   86,369
  3,847      Applied Materials, Inc.   317,301
  724      ASML Holding NV   314,566
  1,059      Broadcom, Inc.   425,273
  82      Disco Corp.   26,104
  499      Enphase Energy, Inc.*   68,148

 

 

Shares      Description   Value
  Common Stocks – (continued)  
 

Semiconductors & Semiconductor Equipment – (continued)

  1,722      Infineon Technologies AG   $            60,754
  15,820      Intel Corp.   764,897
  518      KLA Corp.   130,521
  447      Lam Research Corp.   202,339
  506      Lasertec Corp.   53,197
  2,294      Marvell Technology Group Ltd.   106,189
  1,776      Maxim Integrated Products, Inc.   147,479
  1,086      Microchip Technology, Inc.   145,948
  5,723      Micron Technology, Inc.*   366,787
  243      Monolithic Power Systems, Inc.   77,750
  1,427      NVIDIA Corp.   764,958
  1,715      NXP Semiconductors NV   271,690
  7,534      ON Semiconductor Corp.*   216,603
  1,898      Qorvo, Inc.*   297,379
  3,479      QUALCOMM, Inc.   512,004
  7,939      Renesas Electronics Corp.*   70,352
  761      Skyworks Solutions, Inc.   107,430
  235      SolarEdge Technologies, Inc.*   65,325
  1,881      STMicroelectronics NV   74,101
  2,813      Teradyne, Inc.   310,386
  3,472      Texas Instruments, Inc.   559,860
  239      Tokyo Electron Ltd.   81,225
  1,026      Xilinx, Inc.   149,334
    

 

  7,448,836

 

 

 

Software – 0.9%

  
  1,518      Adobe, Inc.*   726,317
  304      ANSYS, Inc.*   102,770
  1,330      Autodesk, Inc.*   372,706
  539      Avalara, Inc.*   92,573
  588      AVEVA Group PLC   26,457
  4,191      Cadence Design Systems, Inc.*   487,413
  607      Ceridian HCM Holding, Inc.*   58,527
  504      Check Point Software Technologies Ltd.*   59,311
  2,715      Citrix Systems, Inc.   336,443
  910      Cloudflare, Inc. Class A*   68,323
  316      Constellation Software, Inc.   391,327
  206      Coupa Software, Inc.*   67,755
  536      Crowdstrike Holdings, Inc. Class A*   82,158
  346      Dassault Systemes SE   63,902
  730      Datadog, Inc.*   72,212
  628      DocuSign, Inc.*   143,109
  8,008      Dropbox, Inc. Class A*   159,920
  1,333      Dynatrace, Inc.*   50,681
  426      Fair Isaac Corp.*   201,404
  1,758      Fortinet, Inc.*   216,638
  609      Guidewire Software, Inc.*   74,590
  205      HubSpot, Inc.*   80,838
  1,556      Intuit, Inc.   547,743
  23,044      Microsoft Corp.   4,933,029
  1,724      Nemetschek SE   136,140
  492      Nice Ltd.*   119,663
  13,370      NortonlifeLock, Inc.   243,735
  797      Open Text Corp.   35,183
  7,205      Oracle Corp. (Software)   427,626
  465      Palo Alto Networks, Inc.*   136,673
  253      Paycom Software, Inc.*   105,521
  710      PTC, Inc.*   76,573
  947      RingCentral, Inc. Class A*   281,306
  2,430      salesforce.com, Inc.*   597,294

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)  
 

Software – (continued)

  2,681      SAP SE   $          323,640
  847      ServiceNow, Inc.*   452,764
  887      Slack Technologies, Inc. Class A*   38,035
  496      Splunk, Inc.*   101,273
  4,599      SS&C Technologies Holdings, Inc.   316,825
  1,020      Synopsys, Inc.*   232,050
  818      TeamViewer AG*(a)   38,997
  170      Temenos AG   21,443
  19,516      The Sage Group PLC   156,507
  126      The Trade Desk, Inc. Class A*   113,535
  342      Tyler Technologies, Inc.*   146,239
  1,189      VMware, Inc. Class A*   166,329
  502      Workday, Inc. Class A*   112,845
  387      Xero Ltd.*   37,624
  533      Zendesk, Inc.*   71,156
  339      Zoom Video Communications, Inc. Class A*   162,164
  435      Zscaler, Inc.*   67,751
    

 

  14,135,037

 

 

 

Specialty Retail – 0.3%

  
  359      ABC-Mart, Inc.   18,690
  857      Advance Auto Parts, Inc.   126,579
  291      AutoZone, Inc.*   331,056
  4,909      Best Buy Co., Inc.   534,099
  868      Burlington Stores, Inc.*   189,693
  548      CarMax, Inc.*   51,227
  160      Carvana Co.*   40,034
  240      Fast Retailing Co. Ltd.   196,646
  11,989      Hennes & Mauritz AB Class B*   255,315
  8,855      Industria de Diseno Textil SA   293,936
  17,173      JD Sports Fashion PLC   176,221
  18,754      Kingfisher PLC*   68,108
  3,303      Lowe’s Cos., Inc.   514,674
  1,181      Nitori Holdings Co. Ltd.   251,100
  618      O’Reilly Automotive, Inc.*   273,428
  1,243      Ross Stores, Inc.   133,647
  364      Shimamura Co. Ltd.   37,505
  3,684      The Home Depot, Inc.   1,021,979
  5,240      The TJX Cos., Inc.   332,792
  743      Tiffany & Co.   97,690
  1,851      Tractor Supply Co.   260,639
  855      Ulta Beauty, Inc.*   235,467
  888      USS Co. Ltd.   18,518
  17,757      Yamada Holdings Co. Ltd.   84,229
    

 

  5,543,272

 

 

 

Technology Hardware, Storage & Peripherals – 0.5%

  
  57,032      Apple, Inc.   6,789,660
  3,222      Brother Industries Ltd.   61,544
  1,951      Canon, Inc.   34,561
  2,315      Dell Technologies, Inc. Class C*   159,804
  3,575      FUJIFILM Holdings Corp.   192,324
  2,305      Hewlett Packard Enterprise Co.   25,447
  6,832      HP, Inc.   149,826
  1,056      Logitech International SA   94,116
  2,773      NetApp, Inc.   147,829
  3,283      Seagate Technology PLC   193,073
  2,067      Seiko Epson Corp.   30,801
  815      Western Digital Corp.   36,577
    

 

  7,915,562

 

 

Shares      Description   Value
  Common Stocks – (continued)  
 

Textiles, Apparel & Luxury Goods – 0.3%

  
  1,087      adidas AG*   $          346,909
  9,718      Burberry Group PLC   222,685
  363      Cie Financiere Richemont SA   30,320
  626      EssilorLuxottica SA*   90,493
  397      Hermes International   386,264
  231      Kering SA   166,775
  1,485      Lululemon Athletica, Inc.*   549,777
  885      LVMH Moet Hennessy Louis Vuitton SE   508,340
  4,924      Moncler SpA*   242,819
  5,352      NIKE, Inc. Class B   720,914
  2,701      Pandora A/S   270,815
  2,198      Puma SE*   217,806
  947      The Swatch Group AG (Textiles, Apparel & Luxury Goods)   73,664
  2,803      VF Corp.   233,770
    

 

  4,061,351

 

 

 

Tobacco – 0.1%

  
  2,225      Altria Group, Inc.   88,622
  7,972      British American Tobacco PLC   280,632
  8,138      Imperial Brands PLC   146,909
  2,193      Japan Tobacco, Inc.   44,391
  5,759      Philip Morris International, Inc.   436,244
  2,528      Swedish Match AB   204,520
    

 

  1,201,318

 

 

 

Trading Companies & Distributors – 0.2%

  
  758      Ashtead Group PLC   31,994
  2,195      Brenntag AG   168,089
  1,401      Bunzl PLC   43,636
  7,757      Fastenal Co.   383,584
  2,572      Ferguson PLC   287,907
  6,031      HD Supply Holdings, Inc.*   336,409
  4,427      ITOCHU Corp.   116,825
  24,929      Marubeni Corp.   144,832
  2,883      Mitsubishi Corp.   66,981
  1,782      Mitsui & Co. Ltd.   30,278
  4,984      MonotaRO Co. Ltd.   303,161
  3,884      Sumitomo Corp.   47,514
  865      Toromont Industries Ltd.   59,172
  3,740      Toyota Tsusho Corp.   128,896
  775      United Rentals, Inc.*   175,910
  805      W.W. Grainger, Inc.   336,732
    

 

  2,661,920

 

 

 

Transportation Infrastructure – 0.0%

  
  3,378      Atlantia SpA*   61,872
  1,352      Getlink SE*   22,406
  7,995      Transurban Group   82,498
    

 

  166,776

 

 

 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)  
 

Water Utilities – 0.0%

  887      American Water Works Co., Inc.   $         136,048
  585      Essential Utilities, Inc.   26,489
  2,038      Severn Trent PLC   64,407
  3,555      United Utilities Group PLC   42,344
    

 

  269,288

 

 

 

Wireless Telecommunication Services – 0.0%

  6,240      KDDI Corp.   177,568
  635      Rogers Communications, Inc. Class B   29,953
  4,105      SoftBank Corp.   50,577
  1,854      SoftBank Group Corp.   127,771
  1,401      T-Mobile US, Inc.*   186,249
  2,727      Tele2 AB Class B   35,232
  59,757      Vodafone Group PLC   97,502
    

 

  704,852

 

 

 

 TOTAL COMMON STOCKS

(Cost $134,854,545)

   $189,889,487

 

 

Shares   Dividend
Rate		     Value
Preferred Stocks – 0.0%

Automobiles – 0.0%

Volkswagen AG

EUR          211     3.240 %    $          35,418

 

Chemicals – 0.0%

FUCHS PETROLUB SE

               3,146     2.050     178,817

 

Health Care Equipment & Supplies – 0.0%

Sartorius AG

                 310

     0.100     141,347

 

TOTAL PREFERRED STOCKS (Cost $252,183)

 

   $          355,582

 

Shares    Description     Expiration Date   Value
Rights* – 0.0%

Equity Real Estate Investment Trusts (REITs) – 0.0%

Ascendas Real Estate Investment Trust  
                 849      12/01/20   $                    1
AVEVA Group PLC  
                 457      12/09/20   6,828
      

 

       6,829

 

Machinery – 0.0%

       
KION Group AG  
                 866      12/03/20   308

 

TOTAL RIGHTS (Cost $6,501)        $              7,137

 

      
Warrant* – 0.0%

Textiles, Apparel & Luxury Goods – 0.0%

  
Cie Financiere Richemont SA  
                 726      11/29/23   $144
(Cost $0)       

 

Shares      Description   Value
  Exchange Traded Funds – 76.9%
  574,773      Goldman Sachs ActiveBeta Emerging Markets Equity ETF(b)   $     20,582,621
  4,814,100      Goldman Sachs MarketBeta International Equity ETF(b)   241,234,551
  5,162,182      Goldman Sachs MarketBeta U.S. Equity ETF(b)   260,339,162
  3,390,227      iShares Core MSCI Emerging Markets ETF   198,735,107
  2,389,853      iShares MSCI EAFE ETF   167,648,188
  1,064,903      iShares MSCI EAFE Small-Cap ETF   68,494,561
  915,678      Vanguard S&P 500 ETF   304,591,130

 

 

 
 TOTAL EXCHANGE TRADED FUNDS
(Cost $1,018,479,260)		   $ 1,261,625,320

 

 

Shares      Dividend
Rate		   Value
  Investment Company(b) – 7.2%  
 
 Goldman Sachs Financial Square Government
Fund—Institutional Shares		  
          118,594,166      0.016 %   $   118,594,166
      (Cost $118,594,166)  

 

 

 
 TOTAL INVESTMENTS — 95.7%
(Cost $1,272,186,655)		   $1,570,471,836

 

 

  OTHER ASSETS IN EXCESS OF LIABILITIES — 4.3%   70,644,940

 

 

  NET ASSETS — 100.0%   $1,641,116,776

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*   Non-income producing security.
(a)    Exempt from registration under Rule 144A of the Securities Act of 1933.
(b)    Represents an affiliated fund.

 

Currency Abbreviations:
AUD  

— Australian Dollar

CAD  

— Canadian 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:
ADR  

— American Depositary Receipt

BP  

— British Pound Offered Rate

ETF  

— Exchange Traded Fund

PLC  

— Public Limited Company

REIT  

— Real Estate Investment Trust

 

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.
 

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At November 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		  

 

  

MS & Co. Int. PLC

     

CAD

      23,500,000        USD      17,877,984          12/16/20        $ 219,220  

ILS

           40,000        USD      11,721          12/16/20          372  

USD

           1,383,229        NOK      12,200,000          12/16/20          11,674  

 

  

TOTAL

 

      $ 231,266  

 

  

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
Date		        Unrealized
Loss		  

 

  

MS & Co. Int. PLC

      USD        19,852,071        AUD        27,240,000          12/16/20        $ (147,265 ) 

USD

             30,567,489        CHF        27,830,000          12/16/20          (77,918 ) 

USD

             7,479,874        DKK        47,000,000          12/16/20          (55,651 ) 

USD

             94,442,319        EUR        79,710,000          12/16/20          (691,725 ) 

USD

             39,746,895        GBP        30,000,000          12/16/20          (258,331 ) 

USD

             8,863,615        HKD        68,730,000          12/16/20          (3,852 ) 

USD

             867,542        ILS        2,920,000          12/16/20          (15,255 ) 

USD

             76,063,401        JPY        8,055,000,000          12/16/20          (1,120,149 ) 

USD

             337,137        NOK        3,100,000          12/16/20          (11,373 ) 

USD

             908,757        NZD        1,350,000          12/16/20          (37,897 ) 

USD

             9,982,098        SEK        87,225,000          12/16/20          (191,717 ) 

USD

             3,029,166        SGD        4,130,000          12/16/20          (50,285 ) 

 

  

TOTAL

 

      $ (2,661,418 ) 

 

  

 

FUTURES CONTRACTS – At November 30, 2020, the Fund had the following futures contracts:

 

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

 

  

Long position contracts:

                    

E-mini Russell 2000 Index

      1,108      12/18/20      $ 100,833,540        $ 16,597,963  

S&P Toronto Stock Exchange 60 Index

      304      12/17/20        47,846,000          2,812,430  

S&P 500 E-Mini Index

      459      12/18/20        83,152,440          4,872,407  

 

  

TOTAL FUTURES CONTRACTS

 

      $ 24,282,800  

 

  

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At November 30, 2020, the Fund had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

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

 

  

Purchased option contracts

               

Calls

               

Eurodollar Futures

      $98.25       03/15/2021       1,219       $3,047,500     $ 4,693,150     $ 1,362,691     $ 3,330,459  

Eurodollar Futures

        98.25       06/14/2021       1,066       2,665,000       4,117,425       1,202,273       2,915,152  

Eurodollar Futures

        98.25       09/13/2021       1,041       2,602,500       4,007,850       1,225,865       2,781,985  

 

  

TOTAL

        3,326       $8,315,000     $ 12,818,425     $ 3,790,829     $ 9,027,596  

 

  

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS

 

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

 

  

Written option contracts

               

Calls

               

Euro Stoxx 50 Index

      $3,125.00       12/18/2020       (18)     $ (180)     $ (83,094)     $ (10,747)     $ (72,347)  

Euro Stoxx 50 Index

        3,325.00       12/18/2020       (34)       (340)       (80,668)       (20,026)       (60,642)  

Euro Stoxx 50 Index

        3,350.00       12/18/2020       (29)       (290)       (61,160)       (19,801)       (41,359)  

Euro Stoxx 50 Index

        3,375.00       12/18/2020       (11)       (110)       (20,377)       (6,557)       (13,820)  

Euro Stoxx 50 Index

        3,425.00       12/18/2020       (17)       (170)       (23,320)       (8,949)       (14,371)  

Euro Stoxx 50 Index

        3,550.00       12/18/2020       (3)       (30)       (1,331)       (1,168)       (163)  

Euro Stoxx 50 Index

        3,150.00       01/15/2021       (11)       (110)       (49,035)       (7,686)       (41,349)  

Euro Stoxx 50 Index

        3,350.00       01/15/2021       (20)       (200)       (47,666)       (12,516)       (35,150)  

Euro Stoxx 50 Index

        3,575.00       01/15/2021       (22)       (220)       (14,092)       (11,629)       (2,463)  

Euro Stoxx 50 Index

        3,600.00       01/15/2021       (22)       (220)       (11,416)       (9,054)       (2,362)  

Euro Stoxx 50 Index

        3,625.00       01/15/2021       (17)       (170)       (7,077)       (7,469)       392  

Euro Stoxx 50 Index

        3,625.00       02/19/2021       (3)       (30)       (2,108)       (1,696)       (412)  

Euro Stoxx 50 Index

        3,675.00       02/19/2021       (8)       (80)       (3,989)       (4,108)       119  

FTSE 100 Index

        5,800.00       12/18/2020       (4)       (40)       (27,516)       (5,387)       (22,129)  

FTSE 100 Index

        6,000.00       12/18/2020       (5)       (50)       (22,197)       (7,781)       (14,416)  

FTSE 100 Index

        6,050.00       12/18/2020       (5)       (50)       (19,331)       (7,793)       (11,538)  

FTSE 100 Index

        6,075.00       12/18/2020       (2)       (20)       (7,172)       (2,109)       (5,063)  

FTSE 100 Index

        6,100.00       12/18/2020       (1)       (10)       (3,313)       (1,644)       (1,669)  

FTSE 100 Index

        6,150.00       12/18/2020       (2)       (20)       (5,573)       (2,884)       (2,689)  

FTSE 100 Index

        6,200.00       12/18/2020       (4)       (40)       (9,199)       (5,570)       (3,629)  

FTSE 100 Index

        6,525.00       12/18/2020       (1)       (10)       (340)       (686)       346  

FTSE 100 Index

        5,850.00       01/15/2021       (2)       (20)       (13,438)       (3,115)       (10,323)  

FTSE 100 Index

        6,025.00       01/15/2021       (1)       (10)       (4,760)       (1,905)       (2,855)  

FTSE 100 Index

        6,125.00       01/15/2021       (3)       (30)       (11,198)       (3,978)       (7,220)  

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS – (continued)

 

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

 

  

FTSE 100 Index

    $6,550.00   01/15/2021   (4)   $ (40)     $ (2,986)     $ (3,874)     $ 888  

FTSE 100 Index

      6,575.00   01/15/2021   (8)     (80)       (5,226)       (6,878)       1,652  

FTSE 100 Index

      6,625.00   02/19/2021   (2)     (20)       (1,906)       (2,185)       279  

Nikkei 225 Index

      24,375.00   12/11/2020   (1)     (1,000)       (20,307)       (1,670)       (18,637)  

Nikkei 225 Index

      24,625.00   12/11/2020   (10)     (10,000)       (180,077)       (20,975)       (159,102)  

Nikkei 225 Index

      24,750.00   12/11/2020   (3)     (3,000)       (50,574)       (7,053)       (43,521)  

Nikkei 225 Index

      24,500.00   01/08/2021   (3)     (3,000)       (61,207)       (7,442)       (53,765)  

Nikkei 225 Index

      24,750.00   01/08/2021   (3)     (3,000)       (54,886)       (14,520)       (40,366)  

Nikkei 225 Index

      24,875.00   01/08/2021   (2)     (2,000)       (34,482)       (4,517)       (29,965)  

Nikkei 225 Index

      26,500.00   01/08/2021   (3)     (3,000)       (18,247)       (7,593)       (10,654)  

Nikkei 225 Index

      26,875.00   01/08/2021   (2)     (2,000)       (8,812)       (3,727)       (5,085)  

Nikkei 225 Index

      27,250.00   02/12/2021   (1)     (1,000)       (5,364)       (2,582)       (2,782)  

S&P 500 Index

      3,500.00   12/02/2020   (17)     (1,700)       (222,785)       (105,014)       (117,771)  

S&P 500 Index

      3,660.00   12/09/2020   (16)     (1,600)       (34,080)       (53,060)       18,980  

S&P 500 Index

      3,710.00   12/16/2020   (16)     (1,600)       (26,720)       (44,550)       17,830  

S&P 500 Index

      3,725.00   12/23/2020   (16)     (1,600)       (32,160)       (42,053)       9,893  

S&P 500 Index

      3,555.00   12/31/2020   (5)     (500)       (60,175)       (34,285)       (25,890)  

S&P 500 Index

      3,590.00   12/31/2020   (4)     (400)       (38,280)       (13,324)       (24,956)  

S&P 500 Index

      3,600.00   12/31/2020   (1)     (100)       (8,890)       (6,630)       (2,260)  

S&P 500 Index

      3,645.00   12/31/2020   (3)     (300)       (18,330)       (14,411)       (3,919)  

S&P 500 Index

      3,695.00   12/31/2020   (3)     (300)       (11,100)       (12,021)       921  

S&P 500 Index

      3,715.00   12/31/2020   (2)     (200)       (5,900)       (9,530)       3,630  

S&P 500 Index

      3,735.00   12/31/2020   (12)     (1,200)       (27,780)       (24,748)       (3,032)  

S&P 500 Index

      3,740.00   12/31/2020   (15)     (1,500)       (32,700)       (31,520)       (1,180)  

S&P 500 Index

      3,745.00   12/31/2020   (12)     (1,200)       (24,600)       (22,057)       (2,543)  

S&P 500 Index

      3,750.00   12/31/2020   (14)     (1,400)       (26,810)       (24,983)       (1,827)  

S&P 500 Index

      3,755.00   12/31/2020   (12)     (1,200)       (21,600)       (19,491)       (2,109)  

S&P 500 Index

      3,745.00   01/29/2021   (2)     (200)       (10,140)       (10,000)       (140)  

S&P 500 Index

      3,790.00   01/29/2021   (3)     (300)       (10,695)       (12,940)       2,245  

S&P 500 Index

      3,800.00   01/29/2021   (4)     (400)       (13,140)       (14,917)       1,777  

 

  
       (444)   $ (46,290)     $ (1,599,329)     $ (742,808)     $ (856,521)  

 

  

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS – (continued)

 

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

 

  

Puts

               

Euro Stoxx 50 Index

      $2,750.00     12/18/2020   (18)   $ (180)     $ (387)     $ (13,798)     $ 13,411  

Euro Stoxx 50 Index

        2,950.00     12/18/2020   (4)     (40)       (172)       (4,725)       4,553  

Euro Stoxx 50 Index

        3,000.00     12/18/2020   (33)     (330)       (1,693)       (28,164)       26,471  

Euro Stoxx 50 Index

        3,025.00     12/18/2020   (25)     (250)       (1,401)       (17,027)       15,626  

Euro Stoxx 50 Index

        3,075.00     12/18/2020   (29)     (290)       (1,937)       (21,056)       19,119  

Euro Stoxx 50 Index

        3,325.00     12/18/2020   (3)     (30)       (672)       (1,584)       912  

Euro Stoxx 50 Index

        2,725.00     01/15/2021   (11)     (110)       (722)       (10,570)       9,848  

Euro Stoxx 50 Index

        2,975.00     01/15/2021   (5)     (50)       (710)       (4,556)       3,846  

Euro Stoxx 50 Index

        3,025.00     01/15/2021   (15)     (150)       (2,522)       (11,934)       9,412  

Euro Stoxx 50 Index

        3,275.00     01/15/2021   (22)     (220)       (9,369)       (15,511)       6,142  

Euro Stoxx 50 Index

        3,325.00     01/15/2021   (22)     (220)       (11,468)       (15,060)       3,592  

Euro Stoxx 50 Index

        3,400.00     01/15/2021   (17)     (170)       (12,066)       (9,811)       (2,255)  

Euro Stoxx 50 Index

        3,300.00     02/19/2021   (3)     (30)       (2,362)       (2,835)       473  

Euro Stoxx 50 Index

        3,375.00     02/19/2021   (8)     (80)       (7,958)       (6,809)       (1,149)  

FTSE 100 Index

        5,175.00     12/18/2020   (4)     (40)       (373)       (5,467)       5,094  

FTSE 100 Index

        5,375.00     12/18/2020   (1)     (10)       (133)       (1,855)       1,722  

FTSE 100 Index

        5,425.00     12/18/2020   (5)     (50)       (700)       (5,688)       4,988  

FTSE 100 Index

        5,475.00     12/18/2020   (7)     (70)       (1,073)       (9,095)       8,022  

FTSE 100 Index

        5,625.00     12/18/2020   (6)     (60)       (1,240)       (7,259)       6,019  

FTSE 100 Index

        6,125.00     12/18/2020   (1)     (10)       (813)       (1,036)       223  

FTSE 100 Index

        5,125.00     01/15/2021   (2)     (20)       (400)       (3,449)       3,049  

FTSE 100 Index

        5,375.00     01/15/2021   (1)     (10)       (313)       (1,422)       1,109  

FTSE 100 Index

        5,575.00     01/15/2021   (3)     (30)       (1,380)       (4,132)       2,752  

FTSE 100 Index

        6,050.00     01/15/2021   (4)     (40)       (4,959)       (5,577)       618  

FTSE 100 Index

        6,100.00     01/15/2021   (4)     (40)       (5,573)       (5,390)       (183)  

FTSE 100 Index

        6,150.00     01/15/2021   (4)     (40)       (6,265)       (4,666)       (1,599)  

FTSE 100 Index

        6,025.00     02/19/2021   (1)     (10)       (1,820)       (1,780)       (40)  

GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS – (continued)

 

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

 

  

FTSE 100 Index

    $   6,075.00       02/19/2021     (2)   $ (20)     $ (4,000)     $ (3,179)     $ (821)  

Nikkei 225 Index

      22,250.00       12/11/2020     (1)     (1,000)       (95)       (6,731)       6,636  

Nikkei 225 Index

      22,375.00       12/11/2020     (3)     (3,000)       (288)       (17,939)       17,651  

Nikkei 225 Index

      22,625.00       12/11/2020     (4)     (4,000)       (459)       (16,545)       16,086  

Nikkei 225 Index

      22,875.00       12/11/2020     (5)     (5,000)       (623)       (19,984)       19,361  

Nikkei 225 Index

      22,500.00       01/08/2021     (3)     (3,000)       (1,667)       (19,608)       17,941  

Nikkei 225 Index

      22,750.00       01/08/2021     (6)     (6,000)       (3,678)       (19,856)       16,178  

Nikkei 225 Index

      24,625.00       01/08/2021     (3)     (3,000)       (5,460)       (12,758)       7,298  

Nikkei 225 Index

      25,000.00       01/08/2021     (2)     (2,000)       (4,502)       (8,035)       3,533  

Nikkei 225 Index

      24,750.00       02/12/2021     (1)     (1,000)       (3,736)       (5,406)       1,670  

S&P 500 Index

      3,230.00       12/02/2020     (17)     (1,700)       (255)       (55,299)       55,044  

S&P 500 Index

      3,450.00       12/09/2020     (16)     (1,600)       (7,840)       (61,218)       53,378  

S&P 500 Index

      3,525.00       12/16/2020     (16)     (1,600)       (37,040)       (69,813)       32,773  

S&P 500 Index

      3,550.00       12/23/2020     (16)     (1,600)       (61,040)       (76,836)       15,796  

S&P 500 Index

      3,175.00       12/31/2020     (1)     (100)       (730)       (10,060)       9,330  

S&P 500 Index

      3,195.00       12/31/2020     (5)     (500)       (4,000)       (29,386)       25,386  

S&P 500 Index

      3,215.00       12/31/2020     (4)     (400)       (3,520)       (61,772)       58,252  

S&P 500 Index

      3,275.00       12/31/2020     (3)     (300)       (3,495)       (31,261)       27,766  

S&P 500 Index

      3,355.00       12/31/2020     (2)     (200)       (3,450)       (19,130)       15,680  

S&P 500 Index

      3,425.00       12/31/2020     (3)     (300)       (7,320)       (18,926)       11,606  

S&P 500 Index

      3,505.00       12/31/2020     (2)     (200)       (7,310)       (11,199)       3,889  

S&P 500 Index

      3,540.00       12/31/2020     (12)     (1,200)       (52,560)       (67,533)       14,973  

S&P 500 Index

      3,545.00       12/31/2020     (14)     (1,400)       (63,071)       (80,935)       17,864  

S&P 500 Index

      3,550.00       12/31/2020     (12)     (1,200)       (55,440)       (70,385)       14,945  

S&P 500 Index

      3,555.00       12/31/2020     (12)     (1,200)       (56,880)       (71,963)       15,083  

S&P 500 Index

      3,560.00       12/31/2020     (12)     (1,200)       (58,440)       (74,760)       16,320  

S&P 500 Index

      3,395.00       01/29/2021     (2)     (200)       (10,010)       (17,480)       7,470  

S&P 500 Index

      3,470.00       01/29/2021     (3)     (300)       (19,215)       (24,431)       5,216  

S&P 500 Index

      3,505.00       01/29/2021     (4)     (400)       (28,780)       (32,317)       3,537  

 

  
       (444)   $ (46,200)     $ (583,385)     $ (1,235,001)     $ 651,616  

 

  

TOTAL

        (888)   $ (92,490)     $ (2,182,714)     $ (1,977,809)     $ (204,905)  

 

  

 

 

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

 

 

 

GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND

 

Schedule of Investments

November 30, 2020 (Unaudited)

 

Shares    Dividend
Rate		   Value
Investment Company(a) – 79.9%

Goldman Sachs Financial Square Government Fund - Institutional Shares

1,342,420,970    0.016%   $1,342,420,970
(Cost $1,342,420,970)  

 

TOTAL INVESTMENTS – 79.9%
(Cost $1,342,420,970)		   $1,342,420,970

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 20.1%

   337,516,821

 

NET ASSETS – 100.0%   $1,679,937,791

 

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 fund.

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

EUR  

— Euro

JPY  

— Japanese Yen

NZD  

— New Zealand Dollar

USD  

— U.S. Dollar

Investment Abbreviations:
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 STRATEGIC FACTOR ALLOCATION FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

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

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

            Currency               Currency        Settlement        Unrealized  
Counterparty           Purchased               Sold        Date        Gain  

 

  

MS & Co. Int. PLC

      AUD      51,800,000          USD        37,891,337          12/23/20        $ 143,330  
    

CAD

      48,500,000          USD        37,120,690          12/23/20          231,926  
    

USD

      37,355,565          CAD        48,500,000          12/23/20          2,950  
    

USD

      50,992,453          CHF        46,160,000          12/23/20          143,956  
    

USD

      45,762,982          JPY        4,750,490,000          12/23/20          233,158  

 

  

TOTAL

                           $ 755,320  

 

  

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

            Currency               Currency        Settlement        Unrealized  
Counterparty           Purchased               Sold        Date        Loss  

 

  

MS & Co. Int. PLC

      AUD      22,860,000          USD        16,818,296          12/23/20          (33,113 ) 
    

EUR

      36,070,000          USD        43,114,471          12/23/20          (51,899 ) 
    

JPY

      7,621,920,000          USD        73,079,626          12/23/20          (29,335 ) 
    

NZD

      22,780,000          USD        15,999,624          12/23/20          (25,431 ) 
    

USD

      45,669,772          CHF        41,590,000          12/23/20          (144,547 ) 
    

USD

      15,389,796          EUR        12,970,000          12/23/20          (94,583 ) 
    

USD

      47,791,450          NZD        68,770,000          12/23/20          (432,663 ) 

 

  

TOTAL

                           $ (811,571 ) 

 

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

 

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

 

  

Long position contracts:

                  

S&P 500 E-Mini Index

      5,533        12/18/20        $ 1,002,358,280      $ 59,522,886  

Ultra Long U.S. Treasury Bonds

      1,479        03/22/21          319,510,219        1,816,387  

 

  

Total

                   $ 61,339,273  

 

  

Short position contracts:

                  

20 Year U.S. Treasury Bonds

      (222)        03/22/21          (38,829,188 )       (194,826 ) 

 

  

TOTAL FUTURES CONTRACTS

                   $ 61,144,447  

 

  

GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At November 30, 2020, the Portfolio had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

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

 

  

Written option contracts

 

          

Puts

               

U.S. Treasury Bonds

    $ 170.00       12/24/2020       (578 )    $ (578,000 )    $ (72,250 )    $ (658,177 )    $ 585,927  

U.S. Treasury Bonds

      170.00       01/22/2021       (610 )      (610,000 )      (381,249 )      (361,022 )      (20,227 ) 

U.S. Treasury Bonds

      171.00       12/24/2020       (591 )      (591,000 )      (156,985 )      (202,028 )      45,043  

 

  

TOTAL

          (1,779 )    $ (1,779,000 )    $ (610,484 )    $ (1,221,227 )    $ 610,743  

 

  
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS

 

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

 

  

Purchased option contracts

               

Puts

               

S&P 500 Index

      3,260.00       12/02/2020       679     $ 67,900     $ 8,487     $ 51,604     $ (43,117 ) 

S&P 500 Index

      2,200.00       12/04/2020       630       63,000       1,575       221,850       (220,275 ) 

S&P 500 Index

      2,350.00       12/04/2020       861       86,100       2,152       157,094       (154,942 ) 

S&P 500 Index

      2,350.00       12/11/2020       1,493       149,300       22,395       180,369       (157,974 ) 

S&P 500 Index

      2,500.00       12/11/2020       411       41,100       9,247       59,958       (50,711 ) 

S&P 500 Index

      2,320.00       12/18/2020       399       39,900       13,965       32,219       (18,254 ) 

S&P 500 Index

      2,340.00       12/18/2020       406       40,600       15,225       37,849       (22,624 ) 

S&P 500 Index

      2,350.00       12/18/2020       393       39,300       14,738       33,004       (18,266 ) 

S&P 500 Index

      2,380.00       12/18/2020       403       40,300       16,120       39,471       (23,351 ) 

S&P 500 Index

      2,415.00       12/18/2020       410       41,000       18,451       53,608       (35,157 ) 

S&P 500 Index

      2,350.00       12/24/2020       660       66,000       36,300       70,016       (33,716 ) 

S&P 500 Index

      2,400.00       12/24/2020       726       72,600       45,375       64,656       (19,281 ) 

S&P 500 Index

      2,350.00       12/31/2020       427       42,700       29,890       32,345       (2,455 ) 

S&P 500 Index

      2,375.00       12/31/2020       389       38,900       29,175       37,247       (8,072 ) 

 

  

Total purchased option contracts

          8,287     $ 828,700     $ 263,095     $ 1,071,290     $ (808,195 ) 

 

  

Written option contracts

 

Puts

               

S&P 500 Index

      3,305.00       12/02/2020       (1,646 )    $ (164,600 )    $ (32,920 )    $ (146,494 )    $ 113,574  

S&P 500 Index

      3,335.00       12/04/2020       (1,614 )      (161,400 )      (84,735 )      (198,522 )      113,787  

S&P 500 Index

      3,355.00       12/04/2020       (1,708 )      (170,800 )      (102,480 )      (134,932 )      32,452  

S&P 500 Index

      3,360.00       12/02/2020       (1,632 )      (163,200 )      (36,720 )      (145,917 )      109,197  

 

  

Total written option contracts

          (6,600 )    $ (660,000 )    $ (256,855 )    $ (625,865 )    $ 369,010  

 

  

TOTAL

          1,687     $ 168,700     $ 6,240     $ 445,425     $ (439,185 ) 

 

  

 

 

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

 

 

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments

November 30, 2020 (Unaudited)

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Corporate Obligations(a) – 0.7%

Banks – 0.7%

Morgan Stanley Bank NA

(FEDL01 + 0.550%)

$

     11,237,000       0.630 %    02/19/21   $     11,247,378

(SOFR + 0.300%)

    10,000,000       0.380     08/25/21   10,003,637

 

TOTAL CORPORATE OBLIGATIONS
(Cost $21,251,159)		   $     21,251,015

 

Shares      Description   Value
  Exchange Traded Funds – 4.9%
  2,055,666      Alerian MLP ETF(b)   51,371,093
  2,871,435      Energy Select Sector SPDR Fund   105,553,951

 

 

 
 TOTAL EXCHANGE TRADED FUNDS
(Cost $148,775,143)		   $   156,925,044

 

 

        Shares      Dividend
Rate		   Value
  Investment Companies(c) – 37.4%  
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

                 1,061,603,434      0.016%   $1,061,603,434
 

Goldman Sachs MLP & Energy Fund-Class R6

    10,786,122      29.417        77,444,355
 

Goldman Sachs MLP Energy Infrastructure Fund - Class R6

    3,084,179      23.794        55,083,434

 

 

 
 TOTAL INVESTMENT COMPANIES
(Cost $1,181,034,793)		   $1,194,131,223

 

 

 

 TOTAL INVESTMENTS BEFORE SHORT-TERM
INVESTMENT
(Cost $1,351,061,095)		   $1,372,307,282

 

 

      
Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – 53.0%

Certificates of Deposit – 15.7%

Bank Amer Secs, Inc.(d)

$

     12,000,000       0.130 %    12/14/20   $     12,000,140
    4,795,000       0.230     05/04/21   4,795,144

Bank of Montreal

    9,600,000       0.170     01/04/21   9,600,158

(3M USD LIBOR + 0.040%)

    5,000,000       0.274 (a)    10/01/21   4,998,743

(3M USD LIBOR + 0.100%)

    5,000,000       0.320 (a)    11/17/21   5,000,000

(FEDL01 + 0.210%)

    15,000,000       0.290 (a)    02/08/21   15,002,749

Bank of Nova Scotia(a) (3M USD LIBOR + 0.030%)

    18,500,000       0.251     08/13/21   18,499,999

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – (continued)

Certificates of Deposit – (continued)

Barclays Bank PLC(a) (3M USD LIBOR + 0.450%)

$

     15,000,000       0.666 %    08/03/21   $   15,010,094

Bayerische Landesbank

    10,000,000       0.001     05/05/21   10,000,864

(3M USD LIBOR + 0.200%)

    12,554,000       0.416 (a)    01/22/21   12,551,330

Canadian Imperial Bank of Commerce(a)

(3M USD LIBOR + 0.050%)

    5,000,000       0.303 (d)    08/06/21   5,000,344

(3M USD LIBOR + 0.160%)

    20,000,000       0.392     08/06/21   20,016,511

Cooperatieve Centrale

    15,000,000       0.190     02/24/21   15,001,181

Credit Agricole Corporate & Investment Bank(a) (3M USD LIBOR + 0.210%)

    15,000,000       0.423     08/09/21   15,014,503

Credit Industriel et Commercial(a)

(3M USD LIBOR + 0.040%)

    4,000,000       0.246     02/10/21   4,000,544

(3M USD LIBOR + 0.180%)

    4,500,000       0.413     06/18/21   4,504,203

Credit Suisse New York

    800,000       0.340     11/01/21   800,133
    8,000,000       0.340     11/19/21   8,000,546
    18,250,000       0.460     08/10/21   18,274,389

DG Bank NY

    3,000,000       0.210     02/25/21   2,999,956

DNB Bank ASA(a)(d) (1M USD LIBOR + 0.100%)

    17,000,000       0.250     02/24/21   17,007,044

Landesbank Baden-Wuerttemberg

    6,600,000       0.170     12/01/20   6,600,001

Lloyds Bank Corporate Markets PLC(a) (3M USD LIBOR + 0.130%)

    16,062,000       0.348     01/19/21   16,064,569

Lloyds Bank PLC(a)(SOFR + 0.140%)

    8,000,000       0.240     03/08/21   7,998,696

Mitsubishi Trust & Banking Corp.

    7,000,000       0.440     01/26/21   7,003,021

Mizuho Bank Ltd.

    3,750,000       0.250     03/30/21   3,749,999

(1M USD LIBOR + 0.160%)

    21,250,000       0.300 (a)    03/11/21   21,253,927

(1M USD LIBOR + 0.220%)

    4,850,000       0.348 (a)    02/10/21   4,851,308

National Australia Bank Ltd.(a)(d) (1M USD LIBOR + 0.100%)

    4,650,000       0.267     04/23/21   4,650,746

National Bank of Kuwait SAKP

    7,000,000       0.430     03/05/21   7,002,209

 

 

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – (continued)

Certificates of Deposit – (continued)

Nordea Bank ABP(a)

(3M USD LIBOR + 0.100%)

$

     7,850,000       0.342 %    06/09/21   $       7,854,482

(3M USD LIBOR + 0.110%)

    23,000,000       0.358     12/07/20   23,000,504

Norinchukin Bank NY

    10,000,000       0.240     03/02/21   10,000,000
    13,600,000       0.250     02/26/21   13,600,493
    2,000,000       0.300     05/20/21   1,999,952

(SOFR + 0.140%)

    17,000,000       0.220 (a)    01/20/21   17,000,480

Royal Bank of Canada(a)

(3M USD LIBOR + 0.090%)

    10,000,000       0.311     12/10/21   9,999,998

(3M USD LIBOR + 0.120%)

    9,900,000       0.353     06/18/21   9,904,846

Standard Chartered Bank(a) (1M USD LIBOR + 0.190%)

    13,600,000       0.317     02/08/21   13,604,698

Sumitomo Mitsui Banking Corp.

    7,000,000       0.270     05/04/21   7,000,510

(3M USD LIBOR + 0.355%)

    5,000,000       0.589 (a)    04/06/21   5,005,464

Sumitomo Mitsui Trust Bank Ltd.

    16,000,000       0.260     05/10/21   16,000,212

Svenska Handelsbanken(a) (3M USD LIBOR + 0.120%)

    14,300,000       0.353     06/18/21   14,309,334

Svenska Handelsbanken AB

    11,000,000       1.150     03/03/21   11,028,053

Toronto Dominion Bank(a)(d) (3M USD LIBOR + 0.120%)

    10,250,000       0.428     06/17/21   10,256,656

UBS AG London(a)(d)

(3M USD LIBOR + 0.120%)

    15,000,000       0.350     10/15/21   14,999,999

(3M USD LIBOR + 0.170%)

    15,000,000       0.445     07/14/21   15,011,135

Westpac Banking Corp.(a) (3M USD LIBOR + 0.050%)

    3,000,000       0.266     08/03/21   3,000,000
       

 

  500,829,867

 

Commercial Paper(e) – 37.3%

ABN AMRO Funding USA LLC(d)

    3,700,000       0.000     01/11/21   3,699,042
    5,000,000       0.000     01/29/21   4,998,000
    12,097,000       0.000     05/21/21   12,073,014
    5,000,000       0.000     05/24/21   4,989,865

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – (continued)

Commercial Paper(e) – (continued)

Agricultural Bank China(d)

$

     5,000,000       0.000 %    12/14/20   $       4,999,650
    8,606,000       0.000     02/23/21   8,599,152

Albion Capital Corp.

    10,000,000       0.000 (d)    01/27/21   9,996,955
    10,000,000       0.000     02/22/21   9,995,380

Antalis SA(d)

    16,061,000       0.000     01/04/21   16,058,299

ASB Finance Ltd.

    14,050,000       0.000     12/02/20   14,049,913

Atlantic Asset Securitization LLC

    18,000,000       0.000     01/26/21   17,996,922

Banco Del Estado De Chile(d)

    5,755,000       0.000     12/22/20   5,754,465

Bank of China Ltd.

    6,088,000       0.000     03/03/21   6,082,716
    8,000,000       0.000     05/12/21   7,978,882
    6,922,000       0.000     05/24/21   6,901,979

Banque Et Caisse Epargen

    12,500,000       0.000     04/05/21   12,492,475

Barton Capital SA(d)

    5,000,000       0.000     01/11/21   4,998,962
    14,500,000       0.000     02/18/21   14,493,652

Basf Aktiengesellsch(d)

    9,250,000       0.000     12/22/20   9,249,350

BNG Bank N.V.(d)

    20,000,000       0.000     03/03/21   19,990,648

BNP Paribas SA(d)

    15,000,000       0.000     07/08/21   14,979,925

BNZ International Funding Ltd.(d)

    9,700,000       0.000     12/09/20   9,699,806
    2,250,000       0.000     01/06/21   2,249,711
    10,000,000       0.000     01/15/21   9,998,326

BPCE SA(d)

    7,574,000       0.000     01/15/21   7,572,674

Cafco LLC(d)

    10,000,000       0.000     01/04/21   9,998,610
    22,300,000       0.000     04/20/21   22,282,794

 

 

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – (continued)

Commercial Paper(e) – (continued)

Can Ast & Can Ltd.. Jt(d)

$

     15,000,000       0.000 %    01/14/21   $     14,996,625

Chariot Funding LLC(d)

    12,013,000       0.000     01/19/21   12,009,947

Chevron Corp.(d)

    16,250,000       0.000     05/11/21   16,238,007

China Construction Banking Corp.(d)

    10,000,000       0.000     02/02/21   9,995,573

Collateralized Commercial Paper FLEX Co. LLC(d)

    10,000,000       0.000     02/16/21   9,996,577

Collateralized Commercial Paper V Co. LLC

    10,000,000       0.000     02/08/21   9,997,083
    6,000,000       0.000     04/21/21   5,994,628

Columbia Funding Co.(d)

    4,000,000       0.000     01/13/21   3,999,125

Credit Industriel ET Commercial(d)

    6,200,000       0.000     07/01/21   6,179,274

Dexia Credit Local SA(d)

    18,000,000       0.000     01/22/21   17,995,893
    9,700,000       0.000     06/08/21   9,690,273

Duke Energy Corp.(d)

    5,050,000       0.000     01/04/21   5,049,003

Electricite De France SA(d)

    9,750,000       0.000     12/28/20   9,748,589

European Investment Bank

    17,000,000       0.000     12/16/20   16,999,313
    8,000,000       0.000     04/09/21   7,995,176

Fairway Finance Corp.(d)

    15,000,000       0.000     02/23/21   14,992,650

First Abu Dhabi Bank PJSC(d)

    10,000,000       0.000     03/10/21   9,994,917

FMS Wertmanagement

    5,000,000       0.000     12/03/20   4,999,967

Gotham Funding Corp.(d)

    20,000,000       0.000     02/02/21   19,992,782

Henkel Corp.(d)

    7,000,000       0.000     04/27/21   6,994,273
    10,750,000       0.000     07/02/21   10,735,175

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – (continued)

Commercial Paper(e) – (continued)

Honeywell International, Inc.(d)

$

     14,000,000       0.000 %    05/20/21   $     13,987,564
    3,000,000       0.000     06/08/21   2,996,944
    3,150,000       0.000     10/18/21   3,143,069

HSBC Bank PLC(d)

    6,045,000       0.000     08/03/21   6,033,516

Indu & Coml Bnk China Ny(d)

    6,801,000       0.000     02/04/21   6,798,082

Intercontinental Exchange, Inc.(d)

    6,450,000       0.000     12/16/20   6,449,078

Ionic Capital II Trust

    10,000,000       0.000     01/22/21   9,996,305
    8,843,000       0.000     02/12/21   8,838,110
    8,000,000       0.000     03/05/21   7,994,047

J.P. Morgan Securities

    10,000,000       0.000     12/09/20   9,999,750
    36,590,000       0.000     03/01/21   36,576,126

Landesbank Baden-Wuerttemberg

    7,000,000       0.000     01/04/21   6,998,687
    12,180,000       0.000     01/11/21   12,177,186

Landesbank Hessen-Thuringen

    5,000,000       0.000     12/01/20   4,999,986
    5,000,000       0.000 (d)    01/06/21   4,999,270
    6,000,000       0.000 (d)    02/04/21   5,998,218
    6,000,000       0.000 (d)    02/19/21   5,997,408

Liberty Funding LLC(d)

    7,350,000       0.000     03/01/21   7,345,531

Lma Sa Lma Americas(d)

    17,000,000       0.000     02/08/21   16,993,389

LVMH Moet Hennessy Louis Vuitton, Inc.(d)

    10,000,000       0.000     02/26/21   9,995,869
    19,500,000       0.000     07/01/21   19,474,733

Macquarie Bank Ltd.(d)

    8,000,000       0.000     12/07/20   7,999,673
    7,000,000       0.000     03/01/21   6,995,753
    5,000,000       0.000     03/10/21   4,996,625

 

 

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – (continued)

Commercial Paper(e) – (continued)

Manhattan Asset Funding

$

     20,000,000       0.000 %    02/03/21   $     19,992,958

Matchpoint Finance PLC(d)

    10,483,000       0.000     04/26/21   10,473,198

Metlife Short Term Funding

    5,000,000       0.000     12/01/20   4,999,983

National Bank of Canada(d)

    10,000,000       0.000     02/16/21   9,996,273
    20,000,000       0.000     03/01/21   19,990,900

National Securities Clearing Corp.

    20,000,000       0.000     12/01/20   19,999,956

Nationwide Building Society(d)

    4,750,000       0.000     12/17/20   4,749,650
    13,000,000       0.000     12/22/20   12,998,673

NatWest Markets PLC(d)

    7,850,000       0.000     01/14/21   7,847,939
    15,000,000       0.000     02/01/21   14,994,435

Nieuw Amsterdam Receivables Corp.(d)

    10,000,000       0.000     12/10/20   9,999,675

Old Line Funding LLC(d)

    22,250,000       0.000     02/09/21   22,241,619

Pepsico, Inc.(d)

    5,000,000       0.000     12/07/20   4,999,903

Psp Capital, Inc.(d)

    24,500,000       0.000     04/21/21   24,484,248

Ridgefield Funding Co. LLC(d)

    15,000,000       0.000     03/09/21   14,990,925

Salisbury Receivables Co.(d)

    19,000,000       0.000     02/11/21   18,987,710

Schlumberger Holdings Corp.(d)

    2,750,000       0.000     12/18/20   2,749,933

Shell International Finance B.V.(d)

    8,300,000       0.000     01/27/21   8,297,874
    11,000,000       0.000     06/14/21   10,986,525
    11,000,000       0.000     07/08/21   10,984,203

Societe Generale SA(d)

    17,000,000       0.000     06/28/21   16,974,160

Starbucks Corp.(d)

    15,500,000       0.000     01/29/21   15,490,183

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Short-term Investments – (continued)

Commercial Paper(e) – (continued)

Sumitomo Mitsui Trust Bank Ltd.(d)

$

     10,000,000       0.000 %    02/03/21   $       9,996,985

Suncor Energy, Inc.(d)

    6,955,000       0.000     02/17/21   6,951,444

The Coca-Cola Co.(d)

    5,000,000       0.000     01/21/21   4,999,083

The Korea Development Bank

    7,390,000       0.000     02/03/21   7,387,825
    19,000,000       0.000     03/11/21   18,990,192

The Toronto-Dominion Bank(d)

    10,000,000       0.000     02/16/21   9,995,797

The Walt Disney Co.(d)

    9,115,000       0.000     06/30/21   9,097,233

Thunder Bay Funding LLC(d)

    16,000,000       0.000     02/24/21   15,994,037

Total Capital Canada Ltd.(d)

    6,300,000       0.000     01/20/21   6,298,536
    2,000,000       0.000     03/18/21   1,998,788

Transcanada Pipelines Ltd.(d)

    5,000,000       0.000     01/07/21   4,998,918
    6,350,000       0.000     01/14/21   6,348,333

22,589,000

 

     0.000     02/03/21   22,581,047

Victory Receivables(d)

    7,157,000       0.000     02/12/21   7,154,072

Volkswagen Group of America Finance LLC(d)

    12,000,000       0.000     11/10/21   11,928,125

VW Credit, Inc.(d)

    9,000,000       0.000     01/29/21   8,996,700

Waste Management, Inc.

    2,350,000       0.000 (d)    07/06/21   2,346,001
    15,000,000       0.000     09/20/21   14,956,880

Westpac Securities NZ Ltd.(d)

    5,000,000       0.000     03/31/21   4,995,967
       

 

  1,187,807,822

 

TOTAL SHORT-TERM INVESTMENTS
(Cost $1,687,977,411)		   $1,688,637,689

 

TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT
(Cost $3,039,038,506)		   $3,060,944,971

 

 

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

Shares      Dividend
Rate		   Value
  Securities Lending Reinvestment Vehicle(c) – 0.7%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  22,913,035      0.016%   $     22,913,035
 

(Cost $22,913,035)

 

 

 
 TOTAL INVESTMENTS – 96.7%
(Cost $3,061,951,541)		   $3,083,858,006

 

 

 
 OTHER ASSETS IN EXCESS OF
    LIABILITIES – 3.3%		   105,667,291

 

 

  NET ASSETS – 100.0%   $3,189,525,297

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)   Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020.
(b)   All or a portion of security is on loan.
(c)   Represents an affiliated fund.
(d)   Exempt from registration under Rule 144A of the Securities Act of 1933.
(e)   Issued with a zero coupon. Income is recognized through the accretion of discount.

 

 

Currency Abbreviations:
EUR  

— Euro

MXN  

— Mexican Peso

USD  

— U.S. Dollar

Investment Abbreviations:
ETF  

— Exchange Traded Fund

LIBOR  

— London Interbank Offered Rate

LLC  

— Limited Liability Company

PLC  

— Public Limited Company

SOFR  

— Secured Overnight Funding Rate

 

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 TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At November 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

     

MXN

      1,265,500,000        USD        58,915,270          12/16/20        $ 3,588,421  

 

  

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
   Date  		        Unrealized
Gain		  

 

  

MS & Co. Int. PLC

     

USD        

      57,701,192         MXN      1,265,500,000               12/16/20            (4,802,499 ) 

 

  

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

 

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

 

  

Long position contracts:

                  

Euro Stoxx 50 Index

      10,682      12/17/21      $ 105,886,264      $ (5,488,471 ) 

WTI Crude Oil

      6,824      11/19/21        309,263,680        37,310,366  

2 Year U.S. Treasury Notes

      1,156      03/31/21        255,304,406        88,346  

5 Year U.S. Treasury Notes

      705      03/31/21        88,852,031        75,914  

10 Year U.S. Treasury Notes

      1,574      03/22/21        217,482,531        256,598  

 

  

Total

 

    $ 32,242,753  

 

  

Short position contracts:

                  

WTI Crude Oil

      (5,291)      12/21/20        (239,893,940 )       (17,882,982 ) 

S&P 500 E-Mini Index

      (234)      12/18/20        (42,391,440 )       (3,438,666 ) 

 

  

Total

 

    $ (21,321,648 ) 

 

  

TOTAL FUTURES CONTRACTS

 

    $ 10,921,105  

 

  

SWAP CONTRACTS — At November 30, 2020, the Portfolio had the following swap contracts:

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

 

Reference Obligation/Index  

Financing Rate
Paid by

the Portfolio

   Counterparty   Termination
Date(a)		     Notional
Amount
(000s)		     Unrealized
Appreciation/
(Depreciation)*		  

 

  
JPGSVENK Index(b)      0.070%(c)   J.P. Morgan Chase Bank N.A.     01/06/21     $ 95,178     $ (13,852,594 ) 
MSGSSUIT Index(b)   0.260(c)   MS & Co. Int. PLC     01/06/21       133,308       18,718,120  
Barclays Bank PLC   0.130(d)   SX7T Index     04/06/21       66,568       (6,356,432 ) 
Barclays Bank PLC   0.180(d)   SX7T Index     04/06/21       161,202       68,430,460  

 

  

TOTAL

           $ 66,939,554  

 

  

 

*   There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
(a)   The Portfolio pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Portfolio will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars).
(b)   The top 50 components are shown below.
(c)   Payments made monthly.
(d)   Payments made quarterly.

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

A basket (JPGSVENK) of common stocks                            
Common Stocks    Sector      Shares      Value      Weight  

 

  

ONEOK Inc

    Energy        (18,592 )     $ (666,912 )       4.81 % 

MarketAxess Holdings Inc

    Financials        (1,009 )       (543,851 )       3.93  

Under Armour Inc

    Consumer Discretionary        (29,769 )       (433,146 )       3.13  

Las Vegas Sands Corp

    Consumer Discretionary        (7,738 )       (431,093 )       3.11  

Freeport-McMoRan Inc

    Materials        (14,897 )       (348,451 )       2.52  

Marathon Petroleum Corp

    Energy        (8,681 )       (337,534 )       2.44  

ViacomCBS Inc

    Communication Services        (9,180 )       (323,871 )       2.34  

American International Group Inc

    Financials        (8,374 )       (321,888 )       2.33  

Fiserv Inc

    Information Technology        (2,793 )       (321,695 )       2.32  

Netflix Inc

    Communication Services        (561 )       (275,422 )       1.99  

Boston Scientific Corp

    Health Care        (7,865 )       (260,718 )       1.88  

Wynn Resorts Ltd

    Consumer Discretionary        (2,508 )       (252,068 )       1.82  

Tapestry Inc

    Consumer Discretionary        (8,051 )       (228,001 )       1.65  

Occidental Petroleum Corp

    Energy        (14,079 )       (221,888 )       1.6  

Devon Energy Corp

    Energy        (14,408 )       (201,564 )       1.46  

Diamondback Energy Inc

    Energy        (4,903 )       (195,927 )       1.41  

Tiffany & Co

    Consumer Discretionary        (1,453 )       (191,057 )       1.38  

Albemarle Corp

    Materials        (1,403 )       (190,763 )       1.38  

United Airlines Holdings Inc

    Industrials        (4,022 )       (181,193 )       1.31  

Delta Air Lines Inc

    Industrials        (4,496 )       (180,958 )       1.31  

Live Nation Entertainment Inc

    Communication Services        (2,705 )       (177,573 )       1.28  

Sysco Corp

    Consumer Staples        (2,380 )       (169,658 )       1.23  

Hess Corp

    Energy        (3,572 )       (168,509 )       1.22  

Walt Disney Co/The

    Communication Services        (1,131 )       (167,396 )       1.21  

Southwest Airlines Co

    Industrials        (3,538 )       (163,957 )       1.18  

Fidelity National Information Services I

    Information Technology        (1,096 )       (162,649 )       1.17  

State Street Corp

    Financials        (2,276 )       (160,451 )       1.16  

TransDigm Group Inc

    Industrials        (275 )       (159,156 )       1.15  

Paycom Software Inc

    Information Technology        (377 )       (157,145 )       1.13  

Edwards Lifesciences Corp

    Health Care        (1,871 )       (156,993 )       1.13  

ServiceNow Inc

    Information Technology        (285 )       (152,576 )       1.1  

ANSYS Inc

    Information Technology        (436 )       (147,577 )       1.07  

Catalent Inc

    Health Care        (1,535 )       (147,543 )       1.07  

IDEXX Laboratories Inc

    Health Care        (315 )       (145,298 )       1.05  

Align Technology Inc

    Health Care        (296 )       (142,636 )       1.03  

Carnival Corp

    Consumer Discretionary        (7,020 )       (140,260 )       1.01  

First Republic Bank/CA

    Financials        (1,068 )       (138,363 )       1  

Copart Inc

    Industrials        (1,198 )       (138,321 )       1  

Incyte Corp

    Health Care        (1,609 )       (136,025 )       0.98  

Norwegian Cruise Line Holdings Ltd

    Consumer Discretionary        (5,883 )       (134,535 )       0.97  

Royal Caribbean Cruises Ltd

    Consumer Discretionary        (1,668 )       (131,472 )       0.95  

Expedia Group Inc

    Consumer Discretionary        (1,004 )       (125,017 )       0.9  

Welltower Inc

    Real Estate        (1,968 )       (123,933 )       0.89  

Bio-Rad Laboratories Inc

    Health Care        (230 )       (123,791 )       0.89  

General Motors Co

    Consumer Discretionary        (2,753 )       (120,698 )       0.87  

CenterPoint Energy Inc

    Utilities        (4,987 )       (115,640 )       0.83  

Ross Stores Inc

    Consumer Discretionary        (1,074 )       (115,447 )       0.83  

Edison International

    Utilities        (1,860 )       (114,151 )       0.82  

Healthpeak Properties Inc

    Real Estate        (3,952 )       (114,065 )       0.82  

Realty Income Corp

    Real Estate        (1,872 )       (112,272 )       0.81  

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

A basket (MSGSSUIT) of common stocks                           
Common Stocks    Sector      Shares        Value        Weight  

 

  

Concho Resources Inc

    Energy        14,360        $ 825,397          4.41 % 

ConocoPhillips

    Energy        20,697          818,785          4.37  

Cisco Systems Inc

    Information Technology        17,428          749,770          4.01  

Altria Group Inc

    Consumer Staples        17,151          683,136          3.65  

Apache Corp

    Energy        39,122          504,284          2.69  

Discovery Inc

    Communication Services        18,170          436,453          2.33  

Xerox Holdings Corp

    Information Technology        19,173          419,689          2.24  

JPMorgan Chase & Co

    Financials        3,467          408,729          2.18  

Synchrony Financial

    Financials        13,390          407,988          2.18  

Bank of America Corp

    Financials        14,435          406,495          2.17  

Citizens Financial Group Inc

    Financials        12,401          405,016          2.16  

Bank of New York Mellon Corp/The

    Financials        9,903          387,410          2.07  

Citrix Systems Inc

    Information Technology        3,038          376,427          2.01  

Activision Blizzard Inc

    Communication Services        4,550          361,613          1.93  

Lowe’s Cos Inc

    Consumer Discretionary        2,169          338,033          1.81  

Best Buy Co Inc

    Consumer Discretionary        3,004          326,813          1.75  

JB Hunt Transport Services Inc

    Industrials        2,069          279,973          1.50  

PVH Corp

    Consumer Discretionary        3,231          256,824          1.37  

Citigroup Inc

    Financials        4,575          251,946          1.35  

American Express Co

    Financials        2,068          245,193          1.31  

DXC Technology Co

    Information Technology        10,185          223,157          1.19  

Capital One Financial Corp

    Financials        2,555          218,804          1.17  

Hartford Financial Services Group Inc/Th

    Financials        4,944          218,517          1.17  

Mosaic Co/The

    Materials        9,873          216,806          1.16  

Vontier Corp

    Information Technology        6,446          213,801          1.14  

Cboe Global Markets Inc

    Financials        2,327          212,498          1.14  

Intel Corp

    Information Technology        4,375          211,535          1.13  

DR Horton Inc

    Consumer Discretionary        2,791          207,961          1.11  

VeriSign Inc

    Information Technology        1,021          204,869          1.09  

Philip Morris International Inc

    Consumer Staples        2,696          204,218          1.09  

Lennar Corp

    Consumer Discretionary        2,663          202,033          1.08  

PulteGroup Inc

    Consumer Discretionary        4,582          199,891          1.07  

AMETEK Inc

    Industrials        1,373          162,797          0.87  

Kansas City Southern

    Industrials        789          146,813          0.78  

Schlumberger NV

    Energy        6,928          144,026          0.77  

Pentair PLC

    Industrials        2,770          143,567          0.77  

Zebra Technologies Corp

    Information Technology        366          138,528          0.74  

Etsy Inc

    Consumer Discretionary        848          136,353          0.73  

Principal Financial Group Inc

    Financials        2,732          136,047          0.73  

Qorvo Inc

    Information Technology        838          131,384          0.70  

Kinder Morgan Inc

    Energy        9,023          129,751          0.69  

Cigna Corp

    Health Care        614          128,331          0.69  

MetLife Inc

    Financials        2,772          127,992          0.68  

Interpublic Group of Cos Inc/The

    Communication Services        5,735          127,765          0.68  

McKesson Corp

    Health Care        707          127,255          0.68  

AbbVie Inc

    Health Care        1,216          127,136          0.68  

State Street Corp

    Financials        1,798          126,698          0.68  

Ford Motor Co

    Consumer Discretionary        13,915          126,347          0.68  

Leidos Holdings Inc

    Information Technology        1,251          126,017          0.67  

Autodesk Inc

    Information Technology        446          124,882          0.67  

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At November 30, 2020, the Portfolio had the following purchased and written options:

OVER-THE-COUNTER INTEREST RATE SWAPTIONS

 

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

 

  

Purchased option contracts

 

        

Puts

                 

1Y IRS

    BofA Securities LLC     $1.050       07/28/2021       94,000,000     $ 94,000,000     $ 8,922,790     $ 4,743,368     $ 4,179,422  

 

  

OVER-THE-COUNTER OPTIONS ON EQUITIES

 

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

 

  

Purchased option contracts

        

Calls

                 

XLE Index

    Citibank NA   $ 36.172       03/31/2021     3,158,219   $ 3,158,219     $ 9,518,630     $ 3,426,984     $ 6,091,646  

SPX Index

    MS & Co. Int. PLC     2,845.920       12/31/2020     45,906     45,906       35,610,131       7,044,418       28,565,713  

 

  

Total purchased option contracts

 

     3,204,125   $ 3,204,125     $ 45,128,761     $ 10,471,402     $ 34,657,359  

 

  

Written option contracts

        

Calls

                 

SPX Index

    JPMorgan Securities, Inc.     2,845.920       12/31/2020     (45,906)     (45,906 )      (35,610,131 )      (11,059,435 )      (24,550,696 ) 

 

  

Puts

                 

SPX Index

    BofA Securities LLC     3,183.120       12/31/2021     (82,040)     (82,040 )      (15,256,979 )      (18,004,367 )      2,747,388  

SX7E Index

    BofA Securities LLC     68.565       11/12/2021     (1,971,727)     (1,971,727 )      (16,179,043 )      (21,451,190 )      5,272,147  

RUT Index

    MS & Co. Int. PLC     1,803.300       12/31/2021     (110,313)     (110,313 )      (20,402,492 )      (20,635,635 )      233,143  

 

  
         (2,164,080)   $ (2,164,080 )    $ (51,838,514 )    $ (60,091,192 )    $ 8,252,678  

 

  

Total written option contracts

 

     (2,209,986)   $ (2,209,986 )    $ (87,448,645 )    $ (71,150,627 )    $ (16,298,018 ) 

 

  

TOTAL

          994,139   $ 994,139     $ (42,319,884 )    $ (60,679,225 )    $ 18,359,341  

 

  

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

 

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

 

  

Purchased option contracts

        

Calls

                 

Call EUR/Put CHF

    UBS AG (London)     $1.074       12/02/2020     83,530,000   $ 83,530,000     $ 908,307     $ 1,389,779     $ (481,472 ) 

Call USD/Put CNH

    BofA Securities LLC     7.131       12/30/2020     186,000,000     186,000,000       13,206       2,808,600       (2,795,394 ) 

 

  

Total purchased option contracts

 

   269,530,000   $ 269,530,000     $ 921,513     $ 4,198,379     $ (3,276,866 ) 

 

  

 

 

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

 

 

GOLDMAN SACHS ALLOCATION FUNDS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS

 

 

Investment Valuation — The Global Managed Beta Fund and the Portfolios valuation policy is to value investments at fair value.

Investments and Fair Value Measurements — 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 Fund and the Portfolios policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund and 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 Fund’s and 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.

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:

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

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

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i. Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.

GOLDMAN SACHS ALLOCATION FUNDS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund 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 Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.

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

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

A forward foreign currency exchange contract is a forward contract in which a Fund 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 Fund 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 Fund 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 Fund 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 Fund, 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.

iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Portfolio is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if a fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, the Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, the Portfolio is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement. The maximum potential amount of future payments (undiscounted) that the Portfolio as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.

A total return swap is an agreement that gives a Fund the right to receive or pay the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.

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 a Fund’s 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 Fund’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.

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

GLOBAL MANAGED BETA

 

                                                                    
Investment Type      Level 1      Level 2      Level 3  
Assets           

Common Stock and/or Other Equity Investments(a)

           

Asia

      $ 1,055,089      $ 16,602,400      $ —  

Australia and Oceania

        —        4,108,731        —  

Europe

        5,056,644        36,389,700        —  

North America

        127,014,445        18,060        —  

Rights

        —        7,137     

Warrants

        —        144        —  

Exchange Traded Funds

        1,261,625,320        —        —  

Investment Company

        118,594,166        —        —  
Total      $ 1,513,345,664      $ 57,126,172      $ —  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ 231,266      $ —  

Futures Contracts(b)

        24,282,800        —        —  

Options Purchased

        12,818,425        —        —  
Total      $ 37,101,225      $ 231,266      $ —  
Liabilities           

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ (2,661,418 )     $ —  

Written option contracts

        (2,182,714 )       —        —  
Total      $ (2,182,714 )     $ (2,661,418 )     $ —  
STRATEGIC FACTOR ALLOCATION           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Investment Company

      $ 1,342,420,970      $ —      $ —  
Total      $ 1,342,420,970      $ —      $ —  
Derivative Type                          
Assets                       

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ 755,320      $ —  

Futures Contracts(b)

        61,339,273        —        —  

Options Purchased

        263,095        —        —  
Total      $ 61,602,368      $ 755,320      $ —  
Liabilities           

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ (811,571 )     $ —  

Futures Contracts(b)

        (194,826 )       —        —  

Written option contracts

        (867,339 )       —        —  
Total      $ (1,062,165 )     $ (811,571 )     $ —  
TACTICAL TILT OVERLAY           
Investment Type      Level 1      Level 2      Level 3  
Assets                       

Fixed Income

           

Corporate Obligations

      $ —      $ 21,251,015      $ —  

Exchange Traded Funds

        156,925,044        —        —  

Investment Companies

        1,194,131,223        —        —  

Short-term Investments

        —        1,688,637,689        —  

Securities Lending Reinvestment Vehicle

        22,913,035        —        —  
Total      $ 1,373,969,302      $ 1,709,888,704      $ —  
Derivative Type                          
Assets                       

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ 3,588,421      $ —  

Futures Contracts(b)

        37,731,224        —        —  

Total Return Swap Contracts(b)

        —        87,148,580        —  

Options Purchased

        —        54,973,064        —  
Total      $ 37,731,224      $ 145,710,065      $ —  
Liabilities           

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ (4,802,499 )     $ —  

Futures Contracts(b)

        (26,810,119 )       —        —  

Total Return Swap Contracts(b)

        —        (20,209,026 )       —  

Written option contracts

        —        (87,448,645 )       —  
Total      $ (26,810,119 )     $ (112,460,170 )     $ —  

 

(a)   Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification.
(b)   Amount shown represents unrealized gain (loss) at period end.

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

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

Credit/Default Risk — An issuer or guarantor of a security held by a Fund, or a bank or other financial institution that has entered into a repurchase agreement with a Fund, may default on its obligation to pay interest and repay principal or default on any other obligation. Additionally, the credit quality of securities may deteriorate rapidly, which may impair a Fund’s liquidity and cause significant deterioration in NAV.

Derivatives Risk — The Fund’s and 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 Fund and the Portfolios. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

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

Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit a Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent a Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, a Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates. In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to the Fund’s and the Portfolios’ investments resulting from a substitute reference rate may also adversely affect the Fund’s and the Portfolios’ performance and/or NAV.

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 a Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.

GOLDMAN SACHS ALLOCATION FUNDS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

Foreign Custody Risk — If a Fund invests in foreign securities, the Fund and the Portfolios may hold such securities and cash with foreign banks, agents, and securities depositories appointed by a Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.

Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund and the Portfolios may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund and the Portfolios will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Fund’s and the Portfolios’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund and the Portfolios.

Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

Investments in the Underlying Funds Risk — The investments of Fund are concentrated in the Underlying Funds, and the Fund’s and the Portfolios’ investment performance is directly related to the investment performance of the Underlying Funds it holds. A Fund 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 Fund 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 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 the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund and the Portfolios. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a 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 Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund and the Portfolios is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.

Liquidity Risk — A 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 the Funds 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 Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect a Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s and the Portfolios’ liquidity.

Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a 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 Fund and its investments. Additionally, a 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 Fund has unsettled or open transactions defaults.

Sector Risk — To the extent the Fund and the Portfolios focus its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Fund and the Portfolios may be subjected, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business, political, environmental or other developments.

Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Portfolio may purchase for investment. Taking short positions involves leverage of the Fund’s assets and presents various risks, including counterparty risk. If the value of the underlying instrument or market in which the Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited. To the extent that a Fund uses the proceeds it receives from a short position to take additional long positions, the risks associated with the short position, including leverage risks, may be heightened, because doing so increases the exposure of the Fund and the Portfolios to the markets and therefore could magnify changes to the Fund’s and the Portfolios’ NAV.

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