Form NPORT-P GOLDMAN SACHS TRUST For: Nov 30

January 21, 2021 4:51 PM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000054057
        C000196986
        C000201707
        C000169918
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Strategic Factor Allocation Fund
      S000054057
      5493007GJT5B3KUZ8P39
      2021-08-31
      2020-11-30
      N
    
    
      1679213341.69
      2256442.35
      1676956899.34
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      275080750.51000000
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) MAR21 XCBT 20210322
        000000000
        
          
        
        -222.00000000
        NC
        USD
        -153201.32000000
        -0.00913567427
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USH1 Comdty
              
            
            2021-03-22
            -38634361.18000000
            USD
            -153201.32000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2350 PUT
        000000000
        
          
        
        861.00000000
        NC
        USD
        2152.50000000
        0.000128357502
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2350.00000000
            USD
            2020-12-04
            XXXX
            -154941.64000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX NOV20 2250 PUT
        000000000
        
          
        
        345.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2250.00000000
            USD
            2020-11-27
            XXXX
            -79170.81000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2200 PUT
        000000000
        
          
        
        630.00000000
        NC
        USD
        1575.00000000
        0.000093920124
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2200.00000000
            USD
            2020-12-04
            XXXX
            -220274.62000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 3260 PUT
        000000000
        
          
        
        679.00000000
        NC
        USD
        8487.50000000
        0.000506125112
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            3260.00000000
            USD
            2020-12-02
            XXXX
            -43116.50000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT  DEC20 XCME 20201218
        000000000
        
          
        
        4791.00000000
        NC
        USD
        59562888.64000000
        3.551843739301
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                E-mini S&P 500 Index
                ESZ0 Index
              
            
            2020-12-18
            808374671.36000000
            USD
            59562888.64000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2415 PUT
        000000000
        
          
        
        410.00000000
        NC
        USD
        18450.00000000
        0.001100207167
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2415.00000000
            USD
            2020-12-18
            XXXX
            -35157.50000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        233158.26000000
        0.013903652508
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4750490000.00000000
            JPY
            45762982.41000000
            USD
            2020-12-23
            233158.26000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US BOND FUTR OPTN JAN21P 171 EXP 12/24/2020
        000000000
        
          
        
        -591.00000000
        NC
        USD
        -156984.38000000
        -0.00936126504
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                  
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                    US Treasury Long Bond Future
                    N/A
                    
                      
                    
                    591.00000000
                    NC
                    N/A
                    -156984.38000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  Short
                  
                    
                      US Treasury Long Bond
                      USH1 Comdty
                    
                  
                  2021-03-22
                  591.00000000
                  USD
                
              
            
            1000.00000000
            171.00000000
            USD
            2020-12-24
            XXXX
            45043.06000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 3360 PUT
        000000000
        
          
        
        -1632.00000000
        NC
        USD
        -36720.00000000
        -0.00218968060
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            3360.00000000
            USD
            2020-12-02
            XXXX
            109197.12000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        143330.37000000
        0.008547051510
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            37891337.40000000
            USD
            51800000.00000000
            AUD
            2020-12-23
            143330.37000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 3305 PUT
        000000000
        
          
        
        -1646.00000000
        NC
        USD
        -32920.00000000
        -0.00196307967
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            3305.00000000
            USD
            2020-12-02
            XXXX
            113574.00000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2350 PUT
        000000000
        
          
        
        660.00000000
        NC
        USD
        36300.00000000
        0.002164635239
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2350.00000000
            USD
            2020-12-24
            XXXX
            -33716.43000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2350 PUT
        000000000
        
          
        
        393.00000000
        NC
        USD
        14737.50000000
        0.000878824017
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2350.00000000
            USD
            2020-12-18
            XXXX
            -18265.96000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT MAR21 XCBT 20210322
        000000000
        
          
        
        1479.00000000
        NC
        USD
        1354199.88000000
        0.080753409973
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNH1 Comdty
              
            
            2021-03-22
            317693831.37000000
            USD
            1354199.88000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US BOND FUTR OPTN JAN21P 168 EXP 12/24/2020
        000000000
        
          
        
        -579.00000000
        NC
        USD
        -36187.50000000
        -0.00215792665
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                  
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                    US Treasury Long Bond Future
                    N/A
                    
                      
                    
                    579.00000000
                    NC
                    N/A
                    -36187.50000000
                    0.00000000
                    DIR
                    
                    US
                  
                  Short
                  
                    
                      US Treasury Long Bond
                      USH1 Comdty
                    
                  
                  2021-03-22
                  579.00000000
                  USD
                
              
            
            1000.00000000
            168.00000000
            USD
            2020-12-24
            XXXX
            586940.99000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2500 PUT
        000000000
        
          
        
        411.00000000
        NC
        USD
        9247.50000000
        0.000551445299
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2500.00000000
            USD
            2020-12-11
            XXXX
            -50710.67000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX NOV20 2150 PUT
        000000000
        
          
        
        697.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2150.00000000
            USD
            2020-11-27
            XXXX
            -226681.57000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2375 PUT
        000000000
        
          
        
        389.00000000
        NC
        USD
        29175.00000000
        0.001739758488
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2375.00000000
            USD
            2020-12-31
            XXXX
            -8071.75000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX NOV20 2150 PUT
        000000000
        
          
        
        453.00000000
        NC
        USD
        1132.50000000
        0.000067533041
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2150.00000000
            USD
            2020-11-30
            XXXX
            -167354.19000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        1342399540.99000000
        NS
        USD
        1342399540.99000000
        80.04973422503
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -144547.17000000
        -0.00861961151
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            41590000.00000000
            CHF
            45669772.08000000
            USD
            2020-12-23
            -144547.17000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -432662.93000000
        -0.02580048003
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            68770000.00000000
            NZD
            47791450.17000000
            USD
            2020-12-23
            -432662.93000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2340 PUT
        000000000
        
          
        
        406.00000000
        NC
        USD
        15225.00000000
        0.000907894532
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2340.00000000
            USD
            2020-12-18
            XXXX
            -22624.45000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2380 PUT
        000000000
        
          
        
        403.00000000
        NC
        USD
        16120.00000000
        0.000961265015
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2380.00000000
            USD
            2020-12-18
            XXXX
            -23350.90000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -94583.12000000
        -0.00564016403
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12970000.00000000
            EUR
            15389796.04000000
            USD
            2020-12-23
            -94583.12000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX NOV20 3290 PUT
        000000000
        
          
        
        -1660.00000000
        NC
        USD
        -4150.00000000
        -0.00024747207
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            3290.00000000
            USD
            2020-11-30
            XXXX
            118690.00000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2400 PUT
        000000000
        
          
        
        726.00000000
        NC
        USD
        45375.00000000
        0.002705794049
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2400.00000000
            USD
            2020-12-24
            XXXX
            -19281.26000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US BOND FUTR OPTN JAN21P 170 EXP 12/24/2020
        000000000
        
          
        
        -578.00000000
        NC
        USD
        -72250.00000000
        -0.00430839934
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Put
            Written
            
              
                
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                  
                  
                    Chicago Board of Trade
                    549300EX04Q2QBFQTQ27
                    US Treasury Long Bond Future
                    N/A
                    
                      
                    
                    578.00000000
                    NC
                    N/A
                    -72250.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  Short
                  
                    
                      US Treasury Long Bond
                      USH1 Comdty
                    
                  
                  2021-03-22
                  578.00000000
                  USD
                
              
            
            1000.00000000
            170.00000000
            USD
            2020-12-24
            XXXX
            585927.27000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 3335 PUT
        000000000
        
          
        
        -1614.00000000
        NC
        USD
        -84735.00000000
        -0.00505290267
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            3335.00000000
            USD
            2020-12-04
            XXXX
            113787.00000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2350 PUT
        000000000
        
          
        
        1493.00000000
        NC
        USD
        22395.00000000
        0.001335454716
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2350.00000000
            USD
            2020-12-11
            XXXX
            -157973.84000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX DEC20 2320 PUT
        000000000
        
          
        
        399.00000000
        NC
        USD
        13965.00000000
        0.000832758433
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            2320.00000000
            USD
            2020-12-18
            XXXX
            -18254.25000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        S+P 500 INDEX NOV20 3300 PUT
        000000000
        
          
        
        -1649.00000000
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        USD
        0.00000000
        0.000000
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                S&P 500 Index
                SPX Index
              
            
            100.00000000
            3300.00000000
            USD
            2020-11-27
            XXXX
            164900.00000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        231925.69000000
        0.013830152110
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            37120689.69000000
            USD
            48500000.00000000
            CAD
            2020-12-23
            231925.69000000
          
        
        
          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