Form NPORT-P GOLDMAN SACHS TRUST For: Nov 30

January 22, 2021 4:12 PM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000018302
        C000050455
        C000201702
        C000050456
        C000196982
      
      
      
    
  
  
    
      Goldman Sachs Trust
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71 South Wacker Drive
      Chicago
      
      60606
      312-655-4400
      Goldman Sachs Tax-Advantaged Global Equity Portfolio
      S000018302
      8X1BHGDQA0LB7ANZ3X51
      2021-08-31
      2020-11-30
      N
    
    
      2867381214.16
      5666721.42
      2861714492.74
      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
      14394193.40000000
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Goldman Sachs MLP Energy Infrastructure Fund
        549300QNI1STTSJRLK10
        Goldman Sachs MLP Energy Infrastructure Fund, Class R6
        38150C887
        
          
        
        4212345.11600000
        NS
        USD
        75232483.77000000
        2.628930452735
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs US Tax-Managed Equity Fund
        549300HEKU61E0SQOE76
        Goldman Sachs US Tax-Managed Equity Fund, Class R6
        38150C705
        
          
        
        50665717.15400000
        NS
        USD
        1482985541.10000000
        51.82157566250
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -46203.78000000
        -0.00161454890
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Bank of New York
              WFLLPEPC7FZXENRZV188
            
            494000000.00000000
            JPY
            4687031.53000000
            USD
            2020-12-16
            -46203.78000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International Tax-Managed Equity Fund
        3EPW4EQLX6NR7L382R49
        Goldman Sachs International Tax-Managed Equity Fund, Class R6
        38150C606
        
          
        
        57147563.71800000
        NS
        USD
        614907785.61000000
        21.48739111361
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -256698.49000000
        -0.00897009434
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            36921169.00000000
            GBP
            48975513.47000000
            USD
            2020-12-16
            -256698.49000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International Small Cap Insights Fund
        549300VMLASEOM8ZWE07
        Goldman Sachs International Small Cap Insights Fund, Class R6
        38147X234
        
          
        
        8465944.93000000
        NS
        USD
        102183955.31000000
        3.570725017091
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Emerging Markets Equity Insights Fund
        549300UHNMO4HOGWYU58
        Goldman Sachs Emerging Markets Equity Insights Fund, Class R6
        38147X259
        
          
        
        14285227.65700000
        NS
        USD
        156708947.40000000
        5.476051080482
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -165962.86000000
        -0.00579942060
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              NATWEST MARKETS
              RR3QWICWWIPCS8A4S074
            
            30974774.00000000
            AUD
            22574786.99000000
            USD
            2020-12-16
            -165962.86000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1578551.94000000
        -0.05516105621
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            8739154282.00000000
            JPY
            82155200.38000000
            USD
            2020-12-16
            -1578551.94000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -813497.13000000
        -0.02842691442
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              State Street Bank and Trust
              571474TGEMMWANRLN572
            
            91203958.00000000
            EUR
            108029227.69000000
            USD
            2020-12-16
            -813497.13000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Tactical Tilt Overlay Fund
        N/A
        Goldman Sachs Tactical Tilt Overlay Fund, Class R6
        38148U155
        
          
        
        27276050.16800000
        NS
        USD
        274942585.69000000
        9.607617614807
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Funds - Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund - Institutional Shares
        38141W273
        
          
        
        7984739.00000000
        NS
        USD
        7984739.00000000
        0.279019413720
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        S&P 500 E-Mini Index
        N/A
        
          
          
        
        166.00000000
        NC
        USD
        2487202.90000000
        0.086913034347
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              CME Clearing House
              LCZ7XYGSLJUHFXXNXD88
            
            Long
            
              
                S&P 500 E-Mini Index
                US78378X1072
              
            
            2020-12-18
            30072560.00000000
            USD
            2487202.90000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Infrastructure Fund
        54930073G57DO7G34278
        Goldman Sachs Global Infrastructure Fund, Class R6
        38148U775
        
          
        
        5547335.03600000
        NS
        USD
        65569500.13000000
        2.291266312427
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Real Estate Securities Fund
        549300IV19H0UGZG5L86
        Goldman Sachs Global Real Estate Securities Fund, Class R6
        38148U718
        
          
        
        6696227.30200000
        NS
        USD
        66694423.93000000
        2.330575747482
        Long
        
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -33017.96000000
        -0.00115378246
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            31332984.00000000
            CHF
            34466127.30000000
            USD
            2020-12-16
            -33017.96000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Forward Foreign Currency Contract
        N/A
        
          
        
        1.00000000
        NC
        N/A
        108862.84000000
        0.003804112544
        N/A
        DFE
        
        N/A
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            3291412.50000000
            USD
            2550000.00000000
            GBP
            2020-12-16
            108862.84000000
          
        
        
          N
          N
          N
        
      
    
    
      2020-12-30
      Goldman Sachs Trust
      Peter Fortner
      Peter Fortner
      Assistant Treasurer
    
  
  XXXX



GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO

 

Schedule of Investments

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Underlying Funds (Class R6 Shares)(a) – 99.2%
 

Equity – 99.2%

  13,837,223      Goldman Sachs US Equity Dividend and Premium Fund   $202,161,823
  14,777,448      Goldman Sachs International Equity Dividend and Premium Fund   99,747,775
  4,373,030      Goldman Sachs Tactical Tilt Overlay Fund   44,080,137
  1,415,158      Goldman Sachs Small Cap Equity Insights Fund   39,242,330
  2,300,504      Goldman Sachs Emerging Markets Equity Insights Fund   25,236,524
  1,381,283      Goldman Sachs International Small Cap Insights Fund   16,672,088
  680,401      Goldman Sachs MLP Energy Infrastructure Fund   12,151,958
  1,063,993      Goldman Sachs Global Real Estate Securities Fund   10,597,373
  891,006      Goldman Sachs Global Infrastructure Fund   10,531,688

 

 

 
TOTAL UNDERLYING FUNDS (CLASS R6 SHARES)
(Cost $337,320,349)
  $460,421,696

 

 

Shares      Dividend
Rate
  Value
  Investment Company(a) – 0.5%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  2,180,914      0.016%   $    2,180,914
  (Cost $2,180,914)

 

 

 
TOTAL INVESTMENTS – 99.7%
(Cost $339,501,263)
  $462,602,610

 

 

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 0.3%

  1,356,817

 

 

  NET ASSETS – 100.0%   $463,959,427

 

 

The percentage shown for each investment and investment category reflects the value of the respective investment or category as a percentage of net assets.
(a)   Represents an Affiliated Issuer.

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

CHF  

— Swiss Franc

EUR  

— Euro

GBP  

— British Pound

JPY  

— Japanese Yen

USD  

— United States Dollar

 

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

GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

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

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Gain
 

 

 

Morgan Stanley Co., Inc.

    

EUR

     460,000        USD      539,905          12/16/2020        $ 9,059  
    

GBP

     620,000        USD      800,265          12/16/2020          26,469  

 

 

TOTAL

             $ 35,528  

 

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

Morgan Stanley Co., Inc.

    

USD

     3,952,367        AUD      5,409,962          12/16/2020        $ (19,465
    

USD

     6,024,806        CHF      5,480,844          12/16/2020          (9,872
    

USD

     18,905,275        EUR      15,944,225          12/16/2020          (122,550
    

USD

     8,600,672        GBP      6,459,415          12/16/2020          (12,578
    

USD

     14,763,316        JPY      1,566,272,100          12/16/2020          (243,839

 

 

TOTAL

             $ (408,304

 

 

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

 

Description      Number of
Contracts
    

Expiration

Date

     Notional
Amount
       Unrealized
Appreciation/
(Depreciation)
 

 

 

Long position contracts:

                   

S&P 500 E-Mini Index

     27      12/18/2020      $ 4,891,320        $ 404,545  

 

 

GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO

 

Schedule of Investments

November 30, 2020 (Unaudited)

 

Shares      Description   Value
  Underlying Funds (Class R6 Shares)(a) – 99.1%
 

Equity – 99.1%

  50,667,015      Goldman Sachs US Tax-Managed Equity Fund   $1,483,023,517
  57,149,050      Goldman Sachs International Tax-Managed Equity Fund   614,923,779
  27,276,783      Goldman Sachs Tactical Tilt Overlay Fund   274,949,969
  14,285,580      Goldman Sachs Emerging Markets Equity Insights Fund   156,712,817
  8,466,170      Goldman Sachs International Small Cap Insights Fund   102,186,673
  4,212,441      Goldman Sachs MLP Energy Infrastructure Fund   75,234,204
  6,696,400      Goldman Sachs Global Real Estate Securities Fund   66,696,144
  5,547,481      Goldman Sachs Global Infrastructure Fund   65,571,221

 

 

 
TOTAL UNDERLYING FUNDS (CLASS R6 SHARES)
(Cost $1,785,218,140)
  $2,839,298,324

 

 

Shares      Dividend
Rate
  Value
  Investment Company(a) – 0.3%
 

Goldman Sachs Financial Square Government Fund - Institutional
Shares

  7,984,845      0.016%   $       7,984,845
  (Cost $7,984,845)

 

 

 
TOTAL INVESTMENTS – 99.4%
(Cost $1,793,202,985)
  $2,847,283,169

 

 

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 0.6%

  16,730,394

 

 

  NET ASSETS – 100.0%   $2,864,013,563

 

 

The percentage shown for each investment and investment category reflects the value of the respective investment or category as a percentage of net assets.
(a)   Represents an Affiliated Issuer.

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

CHF  

— Swiss Franc

EUR  

— Euro

GBP  

— British Pound

JPY  

— Japanese Yen

USD  

— United States Dollar

 

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

GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO

 

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 CONTRACT WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Gain
 

 

 

Morgan Stanley Co., Inc.

    

GBP

     2,550,000        USD      3,291,413          12/16/2020        $ 108,863  

 

 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACT WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

Morgan Stanley Co., Inc.

    

USD

     22,574,787        AUD      30,974,774          12/16/2020        $ (165,963
    

USD

     34,466,127        CHF      31,332,984          12/16/2020          (33,018
    

USD

     108,029,228        EUR      91,203,958          12/16/2020          (813,497
    

USD

     48,975,513        GBP      36,921,169          12/16/2020          (256,698
    

USD

     86,842,232        JPY      9,233,154,282          12/16/2020          (1,624,756

 

 

TOTAL

             $ (2,893,932

 

 

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

 

Description      Number of
Contracts
    

Expiration

Date

     Notional
Amount
       Unrealized
Appreciation/
(Depreciation)
 

 

 

Long position contracts:

                   

S&P 500 E-Mini Index

     166      12/18/2020      $ 30,072,560        $ 2,487,203  

 

 

GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS

 

 

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

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

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

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

Level 3 — Prices or valuations that require significant unobservable inputs (including Goldman Sachs Asset Management, L.P. (“GSAM”)’s assumptions in determining fair value measurement).

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

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

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

GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.

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

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

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

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

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

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

GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

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

 

                                                                    
ENHANCED DIVIDEND GLOBAL EQUITY             
Investment Type      Level 1        Level 2      Level 3  
Assets             

Underlying Equity Funds

     $ 460,421,696        $      $  

Investment Company

       2,180,914                  
Total      $ 462,602,610        $      $  
Derivative Type                            
Assets(a)             

Forward Foreign Currency Exchange Contracts

     $        $ 35,528      $  

Futures Contracts

       404,545                  
Total      $ 404,545        $ 35,528      $  
Liabilities(a)             

Forward Foreign Currency Exchange Contracts

     $        $ (408,304    $  
TAX-ADVANTAGED GLOBAL EQUITY                         
Investment Type      Level 1        Level 2      Level 3  
Assets             

Underlying Equity Funds

     $ 2,839,298,324        $      $  

Investment Company

       7,984,845                  
Total      $ 2,847,283,169        $      $  
Derivative Type                            
Assets(a)             

Forward Foreign Currency Exchange Contracts

     $        $ 108,863      $  

Futures Contracts

       2,487,203                  
Total      $ 2,487,203        $ 108,863      $  
Liabilities(a)             

Forward Foreign Currency Exchange Contracts

     $        $ (2,893,932    $  

 

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

GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

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

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

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

Energy Sector Risk — The Underlying MLP Fund concentrates its investments in the energy sector, and will therefore be susceptible to adverse economic, environmental, business, regulatory or other occurrences affecting that sector. The energy sector has historically experienced substantial price volatility. MLPs and other companies operating in the energy sector are subject to specific risks, including, among others: fluctuations in commodity prices; reduced consumer demand for commodities such as oil, natural gas or petroleum products; reduced availability of natural gas or other commodities for transporting, processing, storing or delivering; slowdowns in new construction; extreme weather or other natural disasters; and threats of attack by terrorists on energy assets. Additionally, changes in the regulatory environment for energy companies may adversely impact their profitability. Over time, depletion of natural gas reserves and other energy reserves may also affect the profitability of energy companies.

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

Investments in Other Investment Companies Risk — As a shareholder of another investment company, a Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio.

GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

Investments in the Underlying Funds — The Portfolios invest primarily in a combination of Underlying Funds, and are subject to the risk factors associated with the investments of those Underlying Funds in direct proportion to the amount of assets allocated to each. As of November 30, 2020, the Enhanced Dividend Global Equity Portfolio invested 43.6% and 21.5% of its net assets in the Goldman Sachs U.S. Equity Dividend and Premium Fund (the “U.S. Equity Dividend and Premium Fund”) and the Goldman Sachs International Equity Dividend and Premium Fund (the “International Equity Dividend and Premium Fund”), respectively. Because of the high concentration of its assets in these Underlying Funds, the Enhanced Dividend Global Equity Portfolio has greater exposure to the risks associated with these Underlying Funds than it does to the risks associated with the other Underlying Funds in which it invests. The U.S. Equity Dividend and Premium Fund invests primarily in dividend paying equity investments in large-capitalization U.S. issuers, with public stock market capitalizations within the range of the market capitalization of the S&P 500® Index at the time of investment. This Underlying Fund expects that, under normal circumstances, it will write (sell) call options on the S&P 500® Index or related exchange-traded funds in an amount that is between 20% and 75% of the value of its portfolio. The International Equity Dividend and Premium Fund invests primarily in dividend-paying equity investments in non-U.S. issuers with public stock market capitalizations within the range of capitalization of the Morgan Stanley Capital International (“MSCI”) Europe, Australasia, Far East (“EAFE”) Index (“MSCI EAFE Index”) at the time of investment. This Underlying Fund expects that, under normal circumstances, it will write (sell) call options on the MSCI EAFE Index, other national or regional stock market indices or related exchange-traded funds in an amount that is between 20% and 75% of the value of its portfolio.

As of November 30, 2020, the Tax-Advantaged Global Equity Portfolio invested 51.8% and 21.5% of its net assets in the Goldman Sachs U.S. Tax-Managed Equity Fund (the “U.S. Tax-Managed Equity Fund”) and the Goldman Sachs International Tax-Managed Equity Fund (the “International Tax-Managed Equity Fund”), respectively. Because of the high concentration of its assets in these Underlying Funds, the Tax-Advantaged Global Equity Portfolio has greater exposure to the risks associated with these Underlying Funds than it does to the risks associated with the other Underlying Funds in which it invests. The U.S. Tax-Managed Equity Fund invests primarily in equity investments in U.S. issuers. This Underlying Fund will seek to maintain risk, style, capitalization and industry characteristics similar to the Russell 3000 Index. The International Tax-Managed Equity Fund invests primarily in equity investments in non-U.S. issuers. This Underlying Fund will seek to maintain risk, style, capitalization and industry characteristics similar to the MSCI EAFE Index. The investment adviser may seek tax-efficiency by offsetting gains and losses, limiting portfolio turnover or selling high tax basis securities for both Underlying Funds.

The Portfolios do not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Portfolios within their principal investment strategies may represent a significant portion of an Underlying Fund’s net assets.

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

GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS

 

Schedule of Investments (continued)

November 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

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

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