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Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

FREE Breaking News Alerts from StreetInsider.com!

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StreetInsider.com Top Tickers, 4/19/2024

1. NFLX
2. TSM
3. ISRG
4. SPY
5. INFY
6. SNV
7. TSLA
8. SMCI
9. SLB
10. PPG


November 24, 2020 5:10 PM EST 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – 22.1%
 

Automobiles & Components – 0.2%

  600      Aptiv plc   $            55,008
  2,400      Bayerische Motoren Werke AG   174,185
  4,000      BorgWarner, Inc.   154,960
  700      Bridgestone Corp.   22,126
  1,800      Cie Generale des Etablissements Michelin SCA   193,226
  1,000      Continental AG   108,368
  5,300      Daimler AG (Registered)   285,909
  800      Faurecia SE*   34,484
  8,100      Fiat Chrysler Automobiles NV*   99,427
  35,900      Ford Motor Co.   239,094
  202,302      General Motors Co.   5,986,116
  1,600      Honda Motor Co. Ltd.   37,996
  300      Nissan Motor Co. Ltd.   1,061
  2,500      NOK Corp.   26,082
  300      Nokian Renkaat OYJ   8,480
  2,700      Renault SA*   70,040
  1,700      Sumitomo Electric Industries Ltd.   19,138
  2,800      Sumitomo Rubber Industries Ltd.   26,010
  2,600      TI Fluid Systems plc   5,164
  900      Tokai Rika Co. Ltd.   13,457
  200      TS Tech Co. Ltd.   5,655
  1,000      Valeo SA   30,708
  1,300      Yokohama Rubber Co. Ltd. (The)   18,506
    

 

     7,615,200

 

 

 

Banks – 0.7%

  500      77 Bank Ltd. (The)   7,720
  52,800      Banco BPM SpA   89,311
  284,100      Banco de Sabadell SA   98,606
  405,189      Bank of America Corp.   9,761,003
  1,300      Bank of Georgia Group plc*   14,950
  47,200      Barclays plc   59,546
  300      BAWAG Group AG   10,846
  4,100      BNP Paribas SA*   148,316
  20,800      CaixaBank SA   44,156
  9,000      Citigroup, Inc.   387,990
  9,762      Citizens Financial Group, Inc.   246,783
  1,200      Close Brothers Group plc   15,784
  5,400      Comerica, Inc.   206,550
  11,600      Credit Agricole SA*   101,209
  800      Daishi Hokuetsu Financial Group, Inc.   16,551
  2,200      Erste Group Bank AG   46,069
  10,500      Fifth Third Bancorp   223,860
  1,400      FinecoBank Banca Fineco SpA*   19,283
  1,000      Gunma Bank Ltd. (The)   3,334
  1,700      Hokuhoku Financial Group, Inc.   17,112
  1,200      HSBC Holdings plc   4,695
  16,500      Huntington Bancshares, Inc.   151,305
  14,100      ING Groep NV   100,630
  55,600      Intesa Sanpaolo SpA   104,607
  400      Iyo Bank Ltd. (The)   2,652
  121,100      JPMorgan Chase & Co.   11,658,297
  15,400      KeyCorp   183,722
  123,100      Lloyds Banking Group plc   41,790
  1,700      M&T Bank Corp.   156,553
  1,100      Mebuki Financial Group, Inc.   2,496
  2,220      Mizuho Financial Group, Inc.   27,709
  10,700      Natwest Group plc   14,653

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Banks – (continued)

  1,900      Nishi-Nippon Financial Holdings, Inc.   $            13,254
  8,900      OneSavings Bank plc   32,003
  4,000      Paragon Banking Group plc   17,149
  4,700      Raiffeisen Bank International AG*   71,938
  5,400      Regions Financial Corp.   62,262
  3,600      Resona Holdings, Inc.   12,264
  600      Seven Bank Ltd.   1,454
  800      Shinsei Bank Ltd.   9,878
  10,800      Standard Chartered plc   49,697
  600      Sumitomo Mitsui Trust Holdings, Inc.   15,962
  100      SVB Financial Group*   24,062
  700      TBC Bank Group plc*   9,163
  4,800      US Bancorp   172,080
  10,330      Wells Fargo & Co.   242,858
  5,000      Zions Bancorp NA   146,100
    

 

     24,848,212

 

 

 

Capital Goods – 0.4%

  189      3M Co.   30,274
  1,600      A O Smith Corp.   84,480
  700      Aalberts NV   25,172
  2,888      ACS Actividades de Construccion y Servicios SA   65,282
  100      Aica Kogyo Co. Ltd.   3,565
  100      Amada Co. Ltd.   935
  1,000      AMETEK, Inc.   99,400
  1,600      ANDRITZ AG   49,385
  1,100      Ashtead Group plc   39,613
  100      Avon Rubber plc   5,458
  1,300      Bodycote plc   9,736
  1,900      Bouygues SA   65,657
  1,400      Brenntag AG   89,015
  700      Bunzl plc   22,600
  5,800      Carrier Global Corp.   177,132
  200      Central Glass Co. Ltd.   4,160
  1,916      Chemring Group plc   5,951
  3,300      Cie de Saint-Gobain*   138,228
  300      COMSYS Holdings Corp.   8,371
  600      Cummins, Inc.   126,696
  100      Daifuku Co. Ltd.   10,094
  100      Daikin Industries Ltd.   18,477
  200      DCC plc   15,483
  18,900      Deere & Co.   4,188,807
  400      Diploma plc   11,342
  800      DMG Mori Co. Ltd.   11,090
  1,000      Dover Corp.   108,340
  1,700      Eaton Corp. plc   173,451
  400      Ebara Corp.   10,846
  1,100      Eiffage SA*   89,776
  1,000      Electrocomponents plc   9,166
  2,100      Emerson Electric Co.   137,697
  500      Ferguson plc   50,315
  3,700      Flowserve Corp.   100,973
  2,100      Fortive Corp.   160,041
  1,400      Fortune Brands Home & Security, Inc.   121,128
  200      Fuji Electric Co. Ltd.   6,340
  5,200      Fujikura Ltd.   14,416
  1,900      GEA Group AG   66,573
  1,100      General Dynamics Corp.   152,273
  43,700      General Electric Co.   272,251

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Capital Goods – (continued)

  300      Glory Ltd.   $              6,726
  600      GS Yuasa Corp.   10,368
  900      Hanwa Co. Ltd.   18,016
  107,635      HD Supply Holdings, Inc.*   4,438,867
  1,700      Hino Motors Ltd.   11,031
  100      Hitachi Construction Machinery Co. Ltd.   3,624
  100      HOCHTIEF AG   7,763
  100      Honeywell International, Inc.   16,461
  300      Howden Joinery Group plc   2,283
  1,100      Huntington Ingalls Industries, Inc.   154,825
  100      IDEX Corp.   18,241
  100      Illinois Tool Works, Inc.   19,321
  400      IMCD NV   47,574
  1,200      IMI plc   16,188
  2,900      Ingersoll Rand, Inc.*   103,240
  100      Interpump Group SpA   3,708
  1,700      ITOCHU Corp.   43,530
  600      Jacobs Engineering Group, Inc.   55,662
  300      Japan Steel Works Ltd. (The)   5,278
  1,200      JGC Holdings Corp.   12,447
  400      John Laing Group plc   1,614
  1,900      Johnson Controls International plc   77,615
  800      Kinden Corp.   14,129
  300      Kingspan Group plc   27,302
  500      KION Group AG   42,695
  100      Knorr-Bremse AG   11,776
  100      Komatsu Ltd.   2,196
  300      Kone OYJ Class B   26,341
  400      Kyudenko Corp.   11,528
  100      Legrand SA   7,965
  1,000      LIXIL Group Corp.   20,212
  2,100      Maeda Corp.   15,391
  100      Makita Corp.   4,786
  4,400      Marubeni Corp.   24,981
  500      Masco Corp.   27,565
  5,100      Meggitt plc   16,924
  14,800      Melrose Industries plc*   21,946
  400      MINEBEA MITSUMI, Inc.   7,619
  100      MISUMI Group, Inc.   2,804
  1,600      Mitsubishi Corp.   38,297
  1,800      Mitsubishi Electric Corp.   24,425
  700      Mitsubishi Heavy Industries Ltd.   15,498
  1,600      Mitsui & Co. Ltd.   27,493
  100      Miura Co. Ltd.   4,905
  200      MonotaRO Co. Ltd.   9,934
  4,200      Morgan Advanced Materials plc   12,880
  1,605      Morgan Sindall Group plc   23,559
  100      Nabtesco Corp.   3,631
  100      Nachi-Fujikoshi Corp.   3,519
  500      Nagase & Co. Ltd.   7,003
  1,600      Nisshinbo Holdings, Inc.   10,914
  1,800      Obayashi Corp.   16,433
  792      Parker-Hannifin Corp.   160,253
  2,300      Pentair plc   105,271
  668      Polypipe Group plc*   3,727
  2,100      Prysmian SpA   60,958
  3,913      Quanta Services, Inc.   206,841
  11,387      Rexel SA*   142,771
  500      Rockwell Automation, Inc.   110,340
  6,000      Rolls-Royce Holdings plc*   9,962

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Capital Goods – (continued)

  500      Rotork plc   $              1,813
  1,100      Sanwa Holdings Corp.   11,664
  600      Schneider Electric SE   74,579
  1,200      Shimizu Corp.   9,034
  2,100      Siemens AG (Registered)   265,207
  1,200      Siemens Gamesa Renewable Energy SA   32,475
  2,300      Signify NV*   85,070
  900      Snap-on, Inc.   132,417
  3,700      Sojitz Corp.   8,397
  100      Spirax-Sarco Engineering plc   14,240
  500      Stanley Black & Decker, Inc.   81,100
  2,000      Sumitomo Corp.   24,109
  400      Taisei Corp.   13,539
  300      Teledyne Technologies, Inc.*   93,063
  400      Thales SA   29,979
  2,600      Toda Corp.   17,845
  600      Toyota Tsusho Corp.   16,876
  500      Trane Technologies plc   60,625
  1,000      Travis Perkins plc   13,991
  200      Ultra Electronics Holdings plc   5,375
  960      United Rentals, Inc.*   167,520
  1,300      Valmet OYJ   32,067
  3,200      Vesuvius plc   16,310
  1,459      Vinci SA   121,909
  900      Weir Group plc (The)   14,488
  2,400      Westinghouse Air Brake Technologies Corp.   148,512
  500      Xylem, Inc.   42,060
    

 

     14,673,409

 

 

 

Commercial & Professional Services – 0.3%

  3,500      Aggreko plc   16,643
  6,400      Biffa plc   17,914
  100      Bureau Veritas SA*   2,254
  50,200      Copart, Inc.*   5,279,032
  4,900      CoStar Group, Inc.*   4,157,699
  600      Dai Nippon Printing Co. Ltd.   12,162
  4,800      Elis SA*   60,595
  300      Experian plc   11,272
  9,900      G4S plc*   25,534
  300      HomeServe plc   4,780
  100      Kokuyo Co. Ltd.   1,261
  10,900      Nielsen Holdings plc   154,562
  100      Nihon M&A Center, Inc.   5,721
  2,400      Pagegroup plc   11,570
  100      PayPoint plc   650
  400      Persol Holdings Co. Ltd.   6,534
  100      Pilot Corp.   2,940
  1,900      Randstad NV*   99,076
  100      Recruit Holdings Co. Ltd.   3,972
  1,400      Rentokil Initial plc   9,677
  900      Republic Services, Inc.   84,015
  2,825      Robert Half International, Inc.   149,555
  3,100      Rollins, Inc.   167,989
  9,700      Serco Group plc   15,880
  100      Sohgo Security Services Co. Ltd.   4,764
  5,700      SPIE SA   102,150
  500      Toppan Printing Co. Ltd.   7,067
  84      Verisk Analytics, Inc.   15,566
  200      Waste Management, Inc.   22,634

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Commercial & Professional Services – (continued)

  100      Wolters Kluwer NV   $              8,530
    

 

     10,461,998

 

 

 

Consumer Durables & Apparel – 0.5%

  100      Asics Corp.   1,398
  200      Bellway plc   6,062
  200      Berkeley Group Holdings plc   10,903
  100      Burberry Group plc   2,004
  200      Casio Computer Co. Ltd.   3,238
  8,300      Coats Group plc   5,973
  1,200      Countryside Properties plc   5,204
  1,700      Crest Nicholson Holdings plc   4,331
  2,200      DR Horton, Inc.   166,386
  1,400      EssilorLuxottica SA*   190,591
  200      Fujitsu General Ltd.   5,820
  100      Games Workshop Group plc   13,120
  11,262      Hanesbrands, Inc.   177,377
  200      Haseko Corp.   2,634
  1,300      Iida Group Holdings Co. Ltd.   26,312
  3,600      Leggett & Platt, Inc.   148,212
  2,867      Lennar Corp. Class A   234,177
  2,300      Mohawk Industries, Inc.*   224,457
  11,978      Newell Brands, Inc.   205,542
  65,100      NIKE, Inc. Class B   8,172,654
  700      Panasonic Corp.   5,963
  400      Persimmon plc   12,747
  63,630      PulteGroup, Inc.   2,945,433
  200      Puma SE*   17,979
  4,400      PVH Corp.   262,416
  1,100      Ralph Lauren Corp.   74,767
  100      Rinnai Corp.   9,754
  200      Sangetsu Corp.   3,083
  500      SEB SA   81,336
  600      Sega Sammy Holdings, Inc.   7,313
  1,500      Sekisui House Ltd.   26,581
  1,200      Sony Corp.   91,970
  2,600      Tapestry, Inc.   40,638
  1,670      Under Armour, Inc. Class A*   18,754
  1,761      Under Armour, Inc. Class C*   17,328
  1,577      Vistry Group plc   11,557
  23,900      Whirlpool Corp.   4,394,971
    

 

     17,628,985

 

 

 

Consumer Services – 0.2%

  600      888 Holdings plc   1,945
  100      Accor SA*   2,799
  500      Benesse Holdings, Inc.   12,869
  4,000      Carnival Corp.   60,720
  2,600      Compass Group plc   39,057
  1,700      Domino’s Pizza Group plc   8,000
  400      Domino’s Pizza, Inc.   170,112
  300      Flutter Entertainment plc   47,494
  2,900      GVC Holdings plc   36,320
  1,300      Hilton Worldwide Holdings, Inc.   110,916
  700      J D Wetherspoon plc   7,536
  400      Las Vegas Sands Corp.   18,664
  1,200      Marriott International, Inc. Class A   111,096
  28,300      McDonald’s Corp.   6,211,567
  1,200      MGM Resorts International   26,100
  4,400      Mitchells & Butlers plc*   7,673

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Consumer Services – (continued)

  2,100      Norwegian Cruise Line Holdings Ltd.*   $            35,931
  2,800      Playtech plc   13,073
  1,100      Rank Group plc   1,318
  300      Skylark Holdings Co. Ltd.   4,286
  2,000      Sodexo SA   142,568
  400      SSP Group plc   928
  4,400      William Hill plc   15,641
  100      Yoshinoya Holdings Co. Ltd.   1,873
  300      Yum! Brands, Inc.   27,390
    

 

     7,115,876

 

 

 

Diversified Financials – 0.4%

  100      Acom Co. Ltd.   435
  2,200      AEON Financial Service Co. Ltd.   20,055
  300      AJ Bell plc   1,742
  200      American Express Co.   20,050
  500      Ameriprise Financial, Inc.   77,055
  300      Ashmore Group plc   1,385
  6,900      Bank of New York Mellon Corp. (The)   236,946
  233      Berkshire Hathaway, Inc. Class B*   49,615
  100      BlackRock, Inc.   56,355
  300      Brewin Dolphin Holdings plc   903
  200      Cboe Global Markets, Inc.   17,548
  100      CME Group, Inc.   16,731
  1,100      Credit Saison Co. Ltd.   11,687
  200      Deutsche Boerse AG   35,064
  100      Euronext NV   12,527
  2,000      EXOR NV   108,565
  5,000      Franklin Resources, Inc.   101,750
  100      Hargreaves Lansdown plc   2,012
  100      Hitachi Capital Corp.   2,351
  1,600      IG Group Holdings plc   16,344
  1,200      IntegraFin Holdings plc   7,860
  200      Intercontinental Exchange, Inc.   20,010
  800      Intermediate Capital Group plc   12,304
  28,065      Invesco Ltd.   320,222
  24,400      Investec plc   44,905
  400      Japan Exchange Group, Inc.   11,211
  1,900      Jupiter Fund Management plc   5,485
  300      Liontrust Asset Management plc   4,800
  22,300      M&G plc   45,836
  8,300      Man Group plc   12,304
  100      MarketAxess Holdings, Inc.   48,159
  3,500      Mitsubishi UFJ Lease & Finance Co. Ltd.   16,262
  85      Moody’s Corp.   24,637
  122,100      Morgan Stanley   5,903,535
  400      MSCI, Inc.   142,712
  8,400      Natixis SA*   18,877
  500      Ninety One plc*   1,311
  4,400      Nomura Holdings, Inc.   20,108
  1,900      ORIX Corp.   23,731
  1,000      Plus500 Ltd.   20,214
  4,200      Quilter plc   6,945
  1,700      Raymond James Financial, Inc.   123,692
  16,400      S&P Global, Inc.   5,913,840
  200      Schroders plc   6,946
  100      Sofina SA   27,301
  900      St James’s Place plc   10,827

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Diversified Financials – (continued)

  2,312      Standard Life Aberdeen plc   $              6,733
  2,400      State Street Corp.   142,392
  10,826      Synchrony Financial   283,316
  200      T. Rowe Price Group, Inc.   25,644
    

 

     14,041,239

 

 

 

Energy – 0.2%

  7,300      Baker Hughes Co.   97,017
  500      Cabot Oil & Gas Corp.   8,680
  20,900      Cairn Energy plc*   38,787
  76,400      Chevron Corp.   5,500,800
  1,600      Concho Resources, Inc.   70,592
  2,600      ConocoPhillips   85,384
  1,700      Devon Energy Corp.   16,082
  4,600      ENEOS Holdings, Inc.   16,412
  3,171      EOG Resources, Inc.   113,966
  9,000      Halliburton Co.   108,450
  4,700      HollyFrontier Corp.   92,637
  27,500      John Wood Group plc   75,503
  6,600      Kinder Morgan, Inc.   81,378
  277      Koninklijke Vopak NV   15,608
  5,500      Marathon Oil Corp.   22,495
  2,700      Marathon Petroleum Corp.   79,218
  11,500      National Oilwell Varco, Inc.   104,190
  3,700      OMV AG*   101,236
  1,400      Petrofac Ltd.   2,010
  1,500      Phillips 66   77,760
  8,400      Royal Dutch Shell plc Class A   104,860
  600      Royal Dutch Shell plc Class B   7,276
  7,700      Schlumberger NV   119,812
  11,300      Tenaris SA   56,298
  6,151      TOTAL SE   211,241
  2,100      Valero Energy Corp.   90,972
    

 

     7,298,664

 

 

 

Food & Staples Retailing – 0.7%

  1,200      Aeon Co. Ltd.   32,281
  200      Ain Holdings, Inc.   14,012
  11,437      Carrefour SA   182,753
  300      Colruyt SA*   19,469
  100      Cosmos Pharmaceutical Corp.   17,427
  20,200      Costco Wholesale Corp.   7,171,000
  29,000      J Sainsbury plc   71,402
  6,200      Jeronimo Martins SGPS SA   99,698
  4,400      Kesko OYJ Class B   113,366
  100      Kobe Bussan Co. Ltd.   5,507
  8,200      Koninklijke Ahold Delhaize NV   242,375
  136,200      Kroger Co. (The)   4,618,542
  300      Lawson, Inc.   14,305
  1,000      Seven & i Holdings Co. Ltd.   31,070
  200      Sugi Holdings Co. Ltd.   14,141
  200      Sysco Corp.   12,444
  1,300      Tesco plc   3,566
  8,800      Walgreens Boots Alliance, Inc.   316,096
  64,500      Walmart, Inc.   9,024,195
  200      Welcia Holdings Co. Ltd.   8,771
  19,800      Wm Morrison Supermarkets plc   43,460
    

 

     22,055,880

 

 

 

Food, Beverage & Tobacco – 0.5%

  2,400      AG Barr plc   15,073
  400      Ajinomoto Co., Inc.   8,198
  4,700      Altria Group, Inc.   181,608

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Food, Beverage & Tobacco – (continued)

  1,900      Anheuser-Busch InBev SA/NV   $          102,297
  500      Asahi Group Holdings Ltd.   17,426
  1,600      Associated British Foods plc   38,521
  5,700      British American Tobacco plc   204,467
  97,300      Bunge Ltd.   4,446,610
  6,760      C&C Group plc   17,095
  100      Calbee, Inc.   3,294
  2,800      Campbell Soup Co.   135,436
  900      Coca-Cola Co. (The)   44,433
  5,912      Conagra Brands, Inc.   211,118
  800      Constellation Brands, Inc. Class A   151,608
  227      Cranswick plc   10,623
  2,400      Danone SA   155,460
  100      Davide Campari-Milano NV   1,091
  100      Diageo plc   3,435
  400      Fuji Oil Holdings, Inc.   12,591
  4,055      General Mills, Inc.   250,112
  5,700      Glanbia plc   58,854
  32,000      Greencore Group plc   40,495
  400      Hershey Co. (The)   57,336
  500      Hormel Foods Corp.   24,445
  3,800      Imperial Brands plc   67,121
  100      Ito En Ltd.   7,132
  1,800      J M Smucker Co. (The)   207,936
  100      Japan Tobacco, Inc.   1,824
  300      Kellogg Co.   19,377
  100      Kerry Group plc Class A   12,809
  700      Kewpie Corp.   14,397
  100      Kirin Holdings Co. Ltd.   1,878
  103,200      Kraft Heinz Co. (The)   3,090,840
  800      Maruha Nichiro Corp.   18,356
  245      McCormick & Co., Inc. (Non-Voting)   47,554
  200      MEIJI Holdings Co. Ltd.   15,277
  9,532      Molson Coors Beverage Co. Class B   319,894
  3,400      Mondelez International, Inc. Class A   195,330
  200      NH Foods Ltd.   8,940
  400      Nichirei Corp.   10,578
  100      Nissin Foods Holdings Co. Ltd.   9,395
  49,200      PepsiCo, Inc.   6,819,120
  300      Philip Morris International, Inc.   22,497
  900      Sapporo Holdings Ltd.   16,187
  300      Suntory Beverage & Food Ltd.   11,266
  3,200      Tate & Lyle plc   27,463
  100      Toyo Suisan Kaisha Ltd.   5,281
  5,700      Tyson Foods, Inc. Class A   339,036
  1,000      Yamazaki Baking Co. Ltd.   17,431
    

 

     17,498,545

 

 

 

Health Care Equipment & Services – 1.7%

  63,100      Abbott Laboratories   6,867,173
  500      ABIOMED, Inc.*   138,530
  800      Alfresa Holdings Corp.   17,522
  300      Align Technology, Inc.*   98,208
  1,753      AmerisourceBergen Corp.   169,901
  100      Amplifon SpA*   3,576
  1,607      Anthem, Inc.   431,624
  100      Asahi Intecc Co. Ltd.   3,143
  200      Baxter International, Inc.   16,084
  100      Becton Dickinson and Co.   23,268
  300      BioMerieux   46,959

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Health Care Equipment & Services – (continued)

  5,000      Cardinal Health, Inc.   $          234,750
  100      Carl Zeiss Meditec AG   12,630
  5,800      Centene Corp.*   338,314
  2,000      Cerner Corp.   144,580
  2,600      Cigna Corp.   440,466
  27,218      ConvaTec Group plc   62,702
  96,000      CVS Health Corp.   5,606,400
  31,821      Danaher Corp.   6,852,016
  3,200      DaVita, Inc.*   274,080
  4,100      Dentsply Sirona, Inc.   179,293
  11,600      DexCom, Inc.*   4,781,868
  200      DiaSorin SpA   40,238
  600      Edwards Lifesciences Corp.*   47,892
  1,900      Fresenius Medical Care AG & Co. KGaA   160,620
  4,000      Fresenius SE & Co. KGaA   181,897
  33,900      HCA Healthcare, Inc.   4,226,652
  3,300      Henry Schein, Inc.*   193,974
  1,000      Hologic, Inc.*   66,470
  100      Hoya Corp.   11,292
  12,200      Humana, Inc.   5,049,458
  18,587      Laboratory Corp. of America Holdings*   3,499,374
  200      M3, Inc.   12,371
  2,114      McKesson Corp.   314,838
  11,472      Mediclinic International plc   42,112
  1,200      Medipal Holdings Corp.   24,063
  300      Medtronic plc   31,176
  300      Olympus Corp.   6,239
  23,500      Quest Diagnostics, Inc.   2,690,515
  500      ResMed, Inc.   85,715
  400      Ship Healthcare Holdings, Inc.   19,587
  100      Siemens Healthineers AG   4,489
  100      Suzuken Co. Ltd.   3,814
  600      Toho Holdings Co. Ltd.   12,939
  9,700      UDG Healthcare plc   96,486
  34,600      UnitedHealth Group, Inc.   10,787,242
  3,000      Universal Health Services, Inc. Class B   321,060
  800      West Pharmaceutical Services, Inc.   219,920
  700      Zimmer Biomet Holdings, Inc.   95,298
    

 

     54,988,818

 

 

 

Household & Personal Products – 0.3%

  100      Beiersdorf AG   11,354
  300      Church & Dwight Co., Inc.   28,113
  700      Clorox Co. (The)   147,119
  300      Colgate-Palmolive Co.   23,145
  100      Fancl Corp.   3,265
  100      Kimberly-Clark Corp.   14,766
  200      Lion Corp.   4,106
  100      L’Oreal SA   32,543
  100      Pigeon Corp.   4,468
  64,200      Procter & Gamble Co. (The)   8,923,158
  800      PZ Cussons plc   2,427
  500      Reckitt Benckiser Group plc   48,753
  100      Rohto Pharmaceutical Co. Ltd.   3,288
  200      Unicharm Corp.   8,945
  200      Unilever NV   12,145
  2,300      Unilever plc   141,802
    

 

     9,409,397

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Insurance – 0.6%

  300      Admiral Group plc   $            10,118
  45,400      Aegon NV   117,509
  7,100      Aflac, Inc.   258,085
  1,800      Ageas SA/NV   73,654
  100      Allianz SE (Registered)   19,193
  3,600      Allstate Corp. (The)   338,904
  32,512      Aon plc Class A   6,707,226
  200      Arthur J Gallagher & Co.   21,116
  2,000      ASR Nederland NV   67,267
  3,600      Assicurazioni Generali SpA   50,740
  300      Assurant, Inc.   36,393
  18,200      Aviva plc   67,335
  4,700      AXA SA   86,987
  84,300      Brown & Brown, Inc.   3,816,261
  8,200      CNP Assurances*   102,838
  5,400      Direct Line Insurance Group plc   18,834
  300      Everest Re Group Ltd.   59,262
  75,200      Fidelity National Financial, Inc.   2,354,512
  500      Globe Life, Inc.   39,950
  100      Hannover Rueck SE   15,481
  7,300      Hartford Financial Services Group, Inc. (The)   269,078
  4,000      Japan Post Holdings Co. Ltd.   27,276
  1,500      Japan Post Insurance Co. Ltd.   23,618
  22,800      Just Group plc*   13,229
  100      Lancashire Holdings Ltd.   894
  18,400      Legal & General Group plc   44,886
  34,500      Mapfre SA   54,126
  400      Marsh & McLennan Cos., Inc.   45,880
  2,800      Phoenix Group Holdings plc   24,901
  6,800      Poste Italiane SpA   60,260
  6,200      Principal Financial Group, Inc.   249,674
  600      Progressive Corp. (The)   56,802
  1,000      Prudential plc   14,348
  17,000      RenaissanceRe Holdings Ltd.   2,885,580
  4,300      RSA Insurance Group plc   25,107
  200      Sabre Insurance Group plc   659
  100      Sompo Holdings, Inc.   3,452
  2,400      T&D Holdings, Inc.   23,660
  100      Tokio Marine Holdings, Inc.   4,375
  1,300      Travelers Cos., Inc. (The)   140,647
  16,100      Unum Group   270,963
    

 

     18,501,080

 

 

 

Materials – 1.0%

  200      ADEKA Corp.   2,880
  420      Air Liquide SA   66,574
  13,400      Air Products and Chemicals, Inc.   3,991,324
  500      Anglo American plc   12,097
  1,800      Antofagasta plc   23,755
  10,200      ArcelorMittal SA*   135,694
  500      Arkema SA   53,012
  200      Avery Dennison Corp.   25,568
  2,200      BASF SE   133,971
  800      BHP Group plc   17,067
  700      Celanese Corp.   75,215
  13,800      Centamin plc   36,028
  2,300      CF Industries Holdings, Inc.   70,633
  2,500      Corteva, Inc.   72,025
  1,600      Covestro AG   79,344
  5,700      CRH plc   206,138
  200      Croda International plc   16,133
  100      Daicel Corp.   721

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Materials – (continued)

  400      DIC Corp.   $            10,000
  3,200      Dow, Inc.   150,560
  200      Dowa Holdings Co. Ltd.   5,870
  6,400      DS Smith plc   24,314
  1,400      DuPont de Nemours, Inc.   77,672
  1,385      Eastman Chemical Co.   108,196
  100      Ecolab, Inc.   19,984
  700      Evonik Industries AG   18,108
  1,500      Evraz plc   6,679
  9,100      Ferrexpo plc   20,723
  34,500      FMC Corp.   3,653,895
  200      FP Corp.   8,424
  600      Fresnillo plc   9,268
  43,400      Glencore plc*   89,976
  1,800      HeidelbergCement AG   109,991
  200      Hill & Smith Holdings plc   3,072
  100      Hitachi Metals Ltd.   1,542
  500      Huhtamaki OYJ   24,641
  3,300      International Paper Co.   133,782
  300      Johnson Matthey plc   9,116
  100      JSR Corp.   2,377
  1,100      KAZ Minerals plc   7,438
  1,400      LANXESS AG   80,103
  25,247      Linde plc   6,011,728
  200      Lintec Corp.   4,657
  1,500      LyondellBasell Industries NV Class A   105,735
  300      Martin Marietta Materials, Inc.   70,608
  100      Maruichi Steel Tube Ltd.   2,504
  2,200      Mitsubishi Chemical Holdings Corp.   12,699
  400      Mitsubishi Gas Chemical Co., Inc.   7,441
  300      Mitsui Chemicals, Inc.   7,251
  1,900      Mondi plc   40,175
  6,000      Mosaic Co. (The)   109,620
  89,900      Newmont Corp.   5,704,155
  420      Nippon Light Metal Holdings Co. Ltd.   6,661
  100      Nippon Paint Holdings Co. Ltd.   10,295
  100      Nippon Sanso Holdings Corp.   1,538
  100      Nitto Denko Corp.   6,515
  2,600      Nucor Corp.   116,636
  1,400      Oji Holdings Corp.   6,433
  900      Packaging Corp. of America   98,145
  37,800      Petropavlovsk plc*   16,044
  600      Polymetal International plc   13,074
  800      PPG Industries, Inc.   97,664
  1,000      Rengo Co. Ltd.   7,559
  928      RHI Magnesita NV   30,308
  600      Rio Tinto plc   36,103
  17,900      Scotts Miracle-Gro Co. (The)   2,737,089
  600      Sealed Air Corp.   23,286
  8,800      Sherwin-Williams Co. (The)   6,131,312
  3,700      Smurfit Kappa Group plc   145,073
  500      Solvay SA   43,016
  5,700      Stora Enso OYJ Class R   89,217
  200      Sumitomo Bakelite Co. Ltd.   5,510
  1,900      Sumitomo Chemical Co. Ltd.   6,289
  200      Sumitomo Metal Mining Co. Ltd.   6,203
  100      Sumitomo Osaka Cement Co. Ltd.   3,234
  200      Symrise AG   27,624

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Materials – (continued)

  8,000      Synthomer plc   $            32,641
  300      Taiheiyo Cement Corp.   7,660
  300      Teijin Ltd.   4,653
  300      Tokai Carbon Co. Ltd.   3,208
  200      Tokuyama Corp.   4,821
  100      Tokyo Ohka Kogyo Co. Ltd.   5,178
  2,300      Toray Industries, Inc.   10,522
  300      Tosoh Corp.   4,871
  800      Toyo Seikan Group Holdings Ltd.   7,914
  400      Toyobo Co. Ltd.   5,510
  500      Ube Industries Ltd.   8,444
  600      Umicore SA   24,957
  100      UPM-Kymmene OYJ   3,044
  3,800      voestalpine AG   100,152
  400      Vulcan Materials Co.   54,216
  4,000      Westrock Co.   138,960
  2,900      Wienerberger AG*   76,638
  200      Yamato Kogyo Co. Ltd.   4,898
    

 

     31,833,598

 

 

 

Media & Entertainment – 2.7%

  63,412      Activision Blizzard, Inc.   5,133,201
  11,836      Alphabet, Inc. Class A*   17,346,842
  10,035      Alphabet, Inc. Class C*   14,747,436
  400      Auto Trader Group plc   2,904
  21,027      Bollore SA   78,321
  100      Capcom Co. Ltd.   5,581
  800      Charter Communications, Inc. Class A*   499,472
  168,000      Cineworld Group plc(a)   87,853
  214,460      Comcast Corp. Class A   9,920,920
  100      CTS Eventim AG & Co. KGaA*   4,833
  100      CyberAgent, Inc.   6,175
  200      Daiichikosho Co. Ltd.   6,424
  1,400      Dentsu Group, Inc.   41,323
  18,400      Discovery, Inc. Class A*   400,568
  20,400      Discovery, Inc. Class C*   399,840
  2,300      Electronic Arts, Inc.*   299,943
  72,581      Facebook, Inc. Class A*   19,008,964
  12,200      Fox Corp. Class A   339,526
  11,800      Fox Corp. Class B   330,046
  1,000      Hakuhodo DY Holdings, Inc.   12,931
  12,800      Interpublic Group of Cos., Inc. (The)   213,376
  200      Kakaku.com, Inc.   5,273
  36,100      Liberty Broadband Corp. Class C*   5,157,607
  738      Live Nation Entertainment, Inc.*   39,763
  24,400      Netflix, Inc.*   12,200,732
  9,300      News Corp. Class A   130,386
  5,509      News Corp. Class B   77,016
  300      Nexon Co. Ltd.   7,483
  3,200      Nippon Television Holdings, Inc.   34,407
  4,000      Omnicom Group, Inc.   198,000
  400      Pearson plc   2,837
  3,700      ProSiebenSat.1 Media SE*   48,489
  2,448      Publicis Groupe SA   78,899
  800      Rightmove plc   6,468
  200      Scout24 AG   17,445
  100      Square Enix Holdings Co. Ltd.   6,618
  26,700      Take-Two Interactive Software, Inc.*   4,411,374

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Media & Entertainment – (continued)

  1,300      TV Asahi Holdings Corp.   $            20,645
  100      Ubisoft Entertainment SA*   9,013
  10,900      ViacomCBS, Inc.   305,309
    

 

     91,644,243

 

 

 

Pharmaceuticals, Biotechnology & Life Sciences – 1.8%

  84,600      AbbVie, Inc.   7,410,114
  400      Agilent Technologies, Inc.   40,376
  2,500      Alexion Pharmaceuticals, Inc.*   286,075
  1,200      Amgen, Inc.   304,992
  100      Argenx SE*   26,417
  1,400      Astellas Pharma, Inc.   20,869
  500      AstraZeneca plc   54,632
  2,800      Bayer AG (Registered)   172,743
  1,000      Biogen, Inc.*   283,680
  42,200      BioMarin Pharmaceutical, Inc.*   3,210,576
  200      Bio-Rad Laboratories, Inc. Class A*   103,092
  9,700      Bristol-Myers Squibb Co.   584,813
  38,000      Charles River Laboratories International, Inc.*   8,605,100
  300      Chugai Pharmaceutical Co. Ltd.   13,463
  100      Dechra Pharmaceuticals plc   4,158
  100      Eisai Co. Ltd.   9,133
  600      Eli Lilly and Co.   88,812
  39,100      Exact Sciences Corp.*   3,986,245
  700      Galapagos NV*   99,239
  100      Genus plc   4,959
  300      Gerresheimer AG   33,573
  4,832      Gilead Sciences, Inc.   305,334
  10,100      GlaxoSmithKline plc   189,350
  200      Grifols SA   5,751
  100      Hikma Pharmaceuticals plc   3,352
  200      Hisamitsu Pharmaceutical Co., Inc.   10,225
  100      Illumina, Inc.*   30,908
  400      Ipsen SA   41,814
  27,500      IQVIA Holdings, Inc.*   4,334,825
  74,049      Johnson & Johnson   11,024,415
  300      Kaken Pharmaceutical Co. Ltd.   13,748
  800      Kissei Pharmaceutical Co. Ltd.   18,090
  200      Kyowa Kirin Co. Ltd.   5,691
  800      Merck & Co., Inc.   66,360
  100      Merck KGaA   14,579
  3,700      Mettler-Toledo International, Inc.*   3,573,275
  100      Mochida Pharmaceutical Co. Ltd.   3,952
  100      MorphoSys AG*   12,654
  23,066      Mylan NV*   342,069
  200      Ono Pharmaceutical Co. Ltd.   6,291
  300      Orion OYJ Class B   13,592
  400      Otsuka Holdings Co. Ltd.   16,946
  900      PerkinElmer, Inc.   112,959
  5,200      Perrigo Co. plc   238,732
  600      Pfizer, Inc.   22,020
  254      PureTech Health plc*   832
  1,000      QIAGEN NV*   51,940
  200      Recordati Industria Chimica e Farmaceutica SpA   10,245
  500      Regeneron Pharmaceuticals, Inc.*   279,890
  3,200      Sanofi   320,678
  100      Sartorius Stedim Biotech   34,540

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Pharmaceuticals, Biotechnology & Life Sciences – (continued)

  300      Sawai Pharmaceutical Co. Ltd.   $            15,137
  300      Shionogi & Co. Ltd.   16,057
  1,100      Sumitomo Dainippon Pharma Co. Ltd.   14,495
  300      Taisho Pharmaceutical Holdings Co. Ltd.   19,757
  1,100      Takeda Pharmaceutical Co. Ltd.   39,317
  17,450      Thermo Fisher Scientific, Inc.   7,704,524
  400      Tsumura & Co.   12,466
  300      UCB SA   34,072
  19,900      Vertex Pharmaceuticals, Inc.*   5,415,188
  200      Waters Corp.*   39,136
    

 

     59,758,267

 

 

 

Real Estate – 0.6%

  200      alstria office REIT-AG (REIT)   2,781
  23,947      American Tower Corp. (REIT)   5,788,708
  8,128      Assura plc (REIT)   8,091
  100      Big Yellow Group plc (REIT)   1,340
  200      BMO Commercial Property Trust Ltd. (REIT)   167
  3,500      CBRE Group, Inc. Class A*   164,395
  5,300      Civitas Social Housing plc (REIT)   7,219
  100      CLS Holdings plc   274
  35,900      Crown Castle International Corp. (REIT)   5,977,350
  100      Deutsche Wohnen SE   4,998
  100      Digital Realty Trust, Inc. (REIT)   14,676
  200      Duke Realty Corp. (REIT)   7,380
  7,390      Equinix, Inc. (REIT)   5,617,361
  100      GCP Student Living plc (REIT)   159
  1,700      Grainger plc   6,505
  1,000      Host Hotels & Resorts, Inc. (REIT)   10,790
  200      Hulic Co. Ltd.   1,877
  400      Inmobiliaria Colonial SOCIMI SA (REIT)   3,301
  6,700      IWG plc*   22,418
  1,300      Kojamo OYJ   27,921
  100      Land Securities Group plc (REIT)   673
  1,215      LondonMetric Property plc (REIT)   3,475
  500      LXI REIT plc (REIT)   695
  300      Merlin Properties Socimi SA (REIT)   2,502
  100      Mitsubishi Estate Co. Ltd.   1,515
  2,920      Primary Health Properties plc (REIT)   5,588
  100      Public Storage (REIT)   22,272
  100      Relo Group, Inc.   2,402
  800      Safestore Holdings plc (REIT)   8,035
  1,600      Savills plc   16,082
  56      SBA Communications Corp. (REIT)   17,835
  1,235      Segro plc (REIT)   14,842
  100      Sirius Real Estate Ltd.   94
  23,800      Sun Communities, Inc. (REIT)   3,346,518
  100      TAG Immobilien AG*   3,015
  500      Tritax Big Box REIT plc (REIT)   999
  700      Vonovia SE   47,987

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Real Estate – (continued)

  123      Warehouses De Pauw CVA (REIT)   $              4,476
  100      Workspace Group plc (REIT)   694
    

 

     21,167,410

 

 

 

Retailing – 1.6%

  1,000      Advance Auto Parts, Inc.   153,500
  6,576      Amazon.com, Inc.*   20,706,048
  2,900      AO World plc*   8,075
  300      Autobacs Seven Co. Ltd.   3,907
  100      AutoZone, Inc.*   117,764
  2,700      B&M European Value Retail SA   17,213
  1,800      Best Buy Co., Inc.   200,322
  3,200      Booking Holdings, Inc.*   5,474,176
  16,400      Burlington Stores, Inc.*   3,379,876
  1,313      CarMax, Inc.*   120,678
  300      Delivery Hero SE*   34,422
  13,700      Dixons Carphone plc   16,499
  20,400      Dollar General Corp.   4,276,248
  39,160      Dollar Tree, Inc.*   3,576,874
  600      Dunelm Group plc   10,803
  5,638      eBay, Inc.   293,740
  3,400      Frasers Group plc*   15,079
  1,830      Gap, Inc. (The)   31,165
  2,000      Genuine Parts Co.   190,340
  1,200      HelloFresh SE*   66,689
  37,450      Home Depot, Inc. (The)   10,400,239
  2,200      Inchcape plc   12,476
  4,500      Industria de Diseno Textil SA   124,490
  400      Izumi Co. Ltd.   14,586
  1,300      J Front Retailing Co. Ltd.   9,412
  1,300      JD Sports Fashion plc   13,570
  5,200      Kingfisher plc   19,918
  10,800      Kohl’s Corp.   200,124
  1,800      K’s Holdings Corp.   24,368
  2,300      L Brands, Inc.   73,163
  123,972      LKQ Corp.*   3,437,744
  3,500      Lowe’s Cos., Inc.   580,510
  12,000      Marks & Spencer Group plc   15,058
  200      Moneysupermarket.com Group plc   689
  200      Next plc   15,333
  600      Ocado Group plc*   21,222
  300      O’Reilly Automotive, Inc.*   138,324
  300      Pan Pacific International Holdings Corp.   6,986
  2,600      Pets at Home Group plc   14,212
  1,900      Rakuten, Inc.   20,488
  100      Shimachu Co. Ltd.   3,383
  1,800      Target Corp.   283,356
  2,000      Tractor Supply Co.   286,680
  500      Ulta Beauty, Inc.*   111,990
  6,100      Vivo Energy plc   5,903
  1,200      Watches of Switzerland Group plc*   5,203
  300      WH Smith plc   3,685
  5,000      Yamada Holdings Co. Ltd.   24,935
  100      Zalando SE*   9,343
    

 

     54,570,808

 

 

 

Semiconductors & Semiconductor Equipment – 1.9%

  2,800      Advanced Micro Devices, Inc.*   229,572

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Semiconductors & Semiconductor Equipment – (continued)

  100      Advantest Corp.   $              4,864
  36,600      Analog Devices, Inc.   4,272,684
  68,500      Applied Materials, Inc.   4,072,325
  800      ASM International NV   114,675
  300      ASML Holding NV   110,812
  700      BE Semiconductor Industries NV   30,010
  1,101      Broadcom, Inc.   401,116
  1,700      Dialog Semiconductor plc*   74,094
  4,600      Infineon Technologies AG   129,655
  193,600      Intel Corp.   10,024,608
  12,847      Lam Research Corp.   4,261,992
  100      Lasertec Corp.   8,220
  2,100      Microchip Technology, Inc.   215,796
  125,518      Micron Technology, Inc.*   5,894,325
  22,700      MKS Instruments, Inc.   2,479,521
  29,590      NVIDIA Corp.   16,014,700
  2,500      Qorvo, Inc.*   322,525
  59,659      QUALCOMM, Inc.   7,020,671
  2,400      Renesas Electronics Corp.*   17,615
  100      Rohm Co. Ltd.   7,731
  2,500      Skyworks Solutions, Inc.   363,750
  20,500      STMicroelectronics NV   629,260
  40,500      Texas Instruments, Inc.   5,782,995
  100      Ulvac, Inc.   3,644
  300      Xilinx, Inc.   31,272
    

 

     62,518,432

 

 

 

Software & Services – 3.4%

  24,700      Accenture plc Class A   5,581,953
  21,200      Adobe, Inc.*   10,397,116
  28,800      Akamai Technologies, Inc.*   3,183,552
  1,100      Alten SA*   104,208
  1,700      Amadeus IT Group SA   94,411
  13,500      ANSYS, Inc.*   4,417,605
  1,604      Atos SE*   128,891
  800      Autodesk, Inc.*   184,808
  1,000      Automatic Data Processing, Inc.   139,490
  1,200      Avast plc   8,147
  100      AVEVA Group plc   6,168
  600      Bechtle AG   121,406
  50,400      Booz Allen Hamilton Holding Corp.   4,182,192
  27,300      Cadence Design Systems, Inc.*   2,910,999
  800      CANCOM SE   41,322
  1,000      Capgemini SE   128,295
  2,500      Citrix Systems, Inc.   344,275
  6,300      Cognizant Technology Solutions Corp. Class A   437,346
  300      Computacenter plc   9,161
  400      Dassault Systemes SE   74,633
  18,300      DXC Technology Co.   326,655
  978      Edenred   43,909
  11,200      EPAM Systems, Inc.*   3,620,736
  5,100      Equiniti Group plc   7,481
  200      FDM Group Holdings plc   2,614
  44,400      Fidelity National Information Services, Inc.   6,536,124
  16,600      Finablr plc*(b)   2,362
  3,900      Fiserv, Inc.*   401,895
  1,000      FleetCor Technologies, Inc.*   238,100
  1,000      Fortinet, Inc.*   117,810
  340      Fujitsu Ltd.   46,450
  2,200      Gartner, Inc.*   274,890

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Software & Services – (continued)

  1,400      Global Payments, Inc.   $          248,612
  100      Infomart Corp.   887
  4,300      International Business Machines Corp.   523,181
  207      Intuit, Inc.   67,525
  200      Itochu Techno-Solutions Corp.   7,587
  400      Jack Henry & Associates, Inc.   65,036
  394      Kainos Group plc   5,049
  3,900      Leidos Holdings, Inc.   347,685
  33,652      Mastercard, Inc. Class A   11,380,097
  1,896      Micro Focus International plc   6,027
  102,121      Microsoft Corp.   21,479,110
  500      NEC Corp.   29,247
  100      Nemetschek SE   7,309
  100      NET One Systems Co. Ltd.   4,543
  4,400      Nexi SpA*   88,186
  300      Nihon Unisys Ltd.   9,465
  200      Nomura Research Institute Ltd.   5,889
  7,427      NortonLifeLock, Inc.   154,779
  1,000      NTT Data Corp.   12,797
  151,262      Oracle Corp.   9,030,341
  100      Otsuka Corp.   5,110
  300      Paychex, Inc.   23,931
  1,063      PayPal Holdings, Inc.*   209,443
  1,400      Sage Group plc (The)   13,010
  657      salesforce.com, Inc.*   165,117
  800      SAP SE   124,575
  200      SCSK Corp.   11,190
  13,576      ServiceNow, Inc.*   6,584,360
  200      Softcat plc   3,110
  700      Sopra Steria Group*   110,970
  19,700      Synopsys, Inc.*   4,215,406
  100      TeamViewer AG*   4,932
  400      TIS, Inc.   8,496
  300      Tyler Technologies, Inc.*   104,568
  334      VeriSign, Inc.*   68,420
  62,294      Visa, Inc. Class A   12,456,931
  9,100      Western Union Co. (The)   195,013
  520      Worldline SA*   42,579
    

 

     111,935,517

 

 

 

Technology Hardware & Equipment – 1.6%

  1,300      Alps Alpine Co. Ltd.   17,523
  400      Amano Corp.   9,301
  1,400      Amphenol Corp. Class A   151,578
  1,900      Anritsu Corp.   43,297
  216,476      Apple, Inc.   25,070,086
  17,500      Arista Networks, Inc.*   3,621,275
  200      Azbil Corp.   7,494
  1,100      Brother Industries Ltd.   17,498
  500      Canon Marketing Japan, Inc.   10,036
  800      Canon, Inc.   13,269
  2,400      CDW Corp.   286,872
  202,726      Cisco Systems, Inc.   7,985,377
  1,100      Citizen Watch Co. Ltd.   3,086
  2,900      Corning, Inc.   93,989
  82,200      Dell Technologies, Inc. Class C*   5,564,118
  44,000      Dolby Laboratories, Inc. Class A   2,916,320
  2,602      F5 Networks, Inc.*   319,448
  7,992      FLIR Systems, Inc.   286,513
  500      FUJIFILM Holdings Corp.   24,646
  200      Halma plc   6,042
  100      Hamamatsu Photonics KK   5,054

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Technology Hardware & Equipment – (continued)

  24,200      Hewlett Packard Enterprise Co.   $          226,754
  1,120      Hitachi Ltd.   37,923
  100      Horiba Ltd.   5,230
  19,800      HP, Inc.   376,002
  100      Ibiden Co. Ltd.   3,408
  800      IPG Photonics Corp.*   135,976
  12,987      Juniper Networks, Inc.   279,220
  2,100      Keysight Technologies, Inc.*   207,438
  1,600      Konica Minolta, Inc.   4,538
  1,314      Motorola Solutions, Inc.   206,048
  200      Murata Manufacturing Co. Ltd.   13,005
  6,421      NetApp, Inc.   281,497
  400      Nippon Electric Glass Co. Ltd.   7,475
  33,400      Nokia OYJ*   130,723
  1,600      Oki Electric Industry Co. Ltd.   17,271
  100      Omron Corp.   7,819
  200      Oxford Instruments plc   4,091
  100      Renishaw plc   7,231
  2,200      Ricoh Co. Ltd.   14,850
  7,100      Seagate Technology plc   349,817
  1,100      Seiko Epson Corp.   12,650
  300      Spectris plc   9,418
  3,000      Spirent Communications plc   11,032
  200      Taiyo Yuden Co. Ltd.   6,300
  2,600      TE Connectivity Ltd.   254,124
  5,100      Western Digital Corp.   186,405
  14,689      Zebra Technologies Corp. Class A*   3,708,385
    

 

     52,957,452

 

 

 

Telecommunication Services – 0.3%

  293,600      AT&T, Inc.   8,370,536
  2,000      BT Group plc   2,533
  700      Cellnex Telecom SA   42,492
  36,609      CenturyLink, Inc.   369,385
  1,000      Deutsche Telekom AG (Registered)   16,650
  100      Elisa OYJ   5,879
  1,500      Freenet AG   30,304
  200      Iliad SA   36,687
  1,800      KDDI Corp.   45,273
  3,500      Koninklijke KPN NV   8,212
  3,100      Nippon Telegraph & Telephone Corp.   63,292
  1,300      NTT DOCOMO, Inc.   47,770
  6,300      Orange SA   65,618
  300      Proximus SADP   5,473
  100      TalkTalk Telecom Group plc   103
  212,300      Telecom Italia SpA   85,091
  4,500      Telefonica Deutschland Holding AG   11,501
  23,100      Telefonica SA   79,131
  200      T-Mobile US, Inc.*   22,872
  600      United Internet AG (Registered)   22,946
  11,125      Verizon Communications, Inc.   661,826
  48,700      Vodafone Group plc   64,548
    

 

     10,058,122

 

 

 

Transportation – 0.4%

  2,100      Abertis Infraestructuras SA*(b)   15,930
  4,800      Alaska Air Group, Inc.   175,824
  3,800      Atlantia SpA*   59,513
  200      Central Japan Railway Co.   28,668

 

 

 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Description   Value
  Common Stocks – (continued)
 

Transportation – (continued)

  1,800      CH Robinson Worldwide, Inc.   $          183,942
  100      Clarkson plc   2,907
  2,100      CSX Corp.   163,107
  400      Deutsche Lufthansa AG (Registered)*   3,465
  200      Deutsche Post AG (Registered)   9,075
  100      easyJet plc   644
  900      Expeditors International of Washington, Inc.   81,468
  23,700      FedEx Corp.   5,961,024
  41,200      Firstgroup plc*   20,124
  2,400      Go-Ahead Group plc (The)   17,854
  100      Japan Airlines Co. Ltd.   1,865
  400      JB Hunt Transport Services, Inc.   50,552
  400      Kamigumi Co. Ltd.   7,882
  1,100      Old Dominion Freight Line, Inc.   199,012
  9,400      Royal Mail plc   28,824
  100      Sankyu, Inc.   3,949
  100      SG Holdings Co. Ltd.   5,203
  5,300      Southwest Airlines Co.   198,750
  32,400      Union Pacific Corp.   6,378,588
  200      Wizz Air Holdings plc*   8,017
  200      Yamato Holdings Co. Ltd.   5,269
    

 

     13,611,456

 

 

 

Utilities – 0.1%

  32,400      A2A SpA   47,061
  2,213      AES Corp. (The)   40,077
  200      Alliant Energy Corp.   10,330
  200      Ameren Corp.   15,816
  100      American Electric Power Co., Inc.   8,173
  152      American Water Works Co., Inc.   22,022
  300      Atmos Energy Corp.   28,677
  7,100      CenterPoint Energy, Inc.   137,385
  48,100      Centrica plc   24,888
  100      Chubu Electric Power Co., Inc.   1,216
  100      Chugoku Electric Power Co., Inc. (The)   1,250
  440      CMS Energy Corp.   27,020
  2,400      Consolidated Edison, Inc.   186,720
  1,870      ContourGlobal plc   4,670
  400      Dominion Energy, Inc.   31,572
  9,400      Drax Group plc   32,271
  1,100      DTE Energy Co.   126,544
  2,200      Duke Energy Corp.   194,832
  4,000      E.ON SE   44,090
  2,800      Edison International   142,352
  19,900      EDP—Energias de Portugal SA   97,847
  1,895      Electricite de France SA   20,018
  1,800      Enagas SA   41,532
  700      Endesa SA   18,724
  10,100      Enel SpA   87,627
  7,900      Engie SA*   105,572
  500      Entergy Corp.   49,265
  2,900      Evergy, Inc.   147,378
  200      Eversource Energy   16,710
  6,000      Exelon Corp.   214,560
  3,512      FirstEnergy Corp.   100,829
  2,700      Fortum OYJ   54,589
  8,900      Hera SpA   32,817
  1,500      Hokuriku Electric Power Co.   11,232

 

 

Shares      Description   Value
  Common Stocks – (continued)
 

Utilities – (continued)

  17,200      Iberdrola SA   $          211,708
  5,300      Italgas SpA   33,426
  100      Kyushu Electric Power Co., Inc.   907
  1,400      Naturgy Energy Group SA   28,077
  100      NextEra Energy, Inc.   27,756
  3,900      NiSource, Inc.   85,800
  5,198      NRG Energy, Inc.   159,786
  300      Osaka Gas Co. Ltd.   5,841
  1,100      Pennon Group plc   14,635
  700      Pinnacle West Capital Corp.   52,185
  2,300      Public Service Enterprise Group, Inc.   126,293
  300      Red Electrica Corp. SA   5,627
  643      Rubis SCA   25,744
  900      RWE AG   33,704
  400      Severn Trent plc   12,594
  1,100      Shikoku Electric Power Co., Inc.   8,388
  1,050      Siemens Energy AG*   28,315
  800      Snam SpA   4,114
  400      Southern Co. (The)   21,688
  4,700      SSE plc   73,152
  4,200      Suez SA   77,604
  300      Telecom Plus plc   5,151
  1,800      Terna Rete Elettrica Nazionale SpA   12,594
  100      Toho Gas Co. Ltd.   4,948
  800      Tohoku Electric Power Co., Inc.   8,018
  400      Tokyo Gas Co. Ltd.   9,128
  200      United Utilities Group plc   2,209
  3,200      Veolia Environnement SA   69,043
  400      Verbund AG Class A   21,845
  300      WEC Energy Group, Inc.   29,070
  300      Xcel Energy, Inc.   20,703
    

 

     3,345,719

 

 

 

 TOTAL COMMON STOCKS

(Cost $619,837,875)

   $   739,538,327

 

 

    
  Exchange-Traded Funds – 15.2%
  118,859      Invesco Emerging Markets Sovereign Debt ETF(a)   $       3,223,456
  3,434,684      Invesco Senior Loan ETF(a)   74,670,030
  7,162,314      iShares Core MSCI Emerging Markets ETF   378,170,179
  595,292      SPDR Bloomberg Barclays Convertible Securities ETF   41,009,666
  168,414      SPDR Dow Jones International Real Estate ETF(a)   5,003,580
  54,112      SPDR Dow Jones REIT ETF(a)   4,219,113

 

 

 

 TOTAL EXCHANGE-TRADED FUNDS

(Cost $511,541,223)

   $   506,296,024

 

 

    
 

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Shares      Dividend
Rate		   Value
  Investment Company(c) – 56.2%
 

Goldman Sachs Financial Square Government Fund — Institutional
Shares

  1,874,825,652      0.027%   $1,874,825,652
  (Cost $1,874,825,652)  

 

 

 

 TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
(Cost $3,006,204,750)		   $3,120,660,003

 

 

    
Shares      Dividend
Rate		   Value
  Securities Lending Reinvestment Vehicle(c) – 2.5%
 

Goldman Sachs Financial Square Government Fund — Institutional
Shares

  83,725,625      0.027%   $     83,725,625
  (Cost $83,725,625)  

 

 

 
 TOTAL INVESTMENTS – 96.0%
(Cost $3,089,930,375)		   $3,204,385,628

 

 

 

 OTHER ASSETS IN EXCESS OF

    LIABILITIES – 4.0%

   132,801,979

 

 

  NET ASSETS – 100.0%   $3,337,187,607

 

 

The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net assets.
*    Security is currently in default and/or non-income producing.
(a)    All or a portion of security is on loan.
(b)    Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3.
(c)    Represents an Affiliated Issuer.

 

 

Investment Abbreviations:
CVA  

— Dutch Certification

REIT  

— Real Estate Investment Trust

SPDR  

— Standard and Poor’s Depositary Receipts

Currency Abbreviations:
AUD  

— Australian Dollar

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

EUR  

— Euro

GBP  

— British Pound

INR  

— Indian Rupee

JPY  

— Japanese Yen

KRW  

— South Korean Won

NZD  

— New Zealand Dollar

PHP  

— Philippines Peso

SEK  

— Swedish Krona

TWD  

— Taiwan Dollar

USD  

— United States Dollar

 

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

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

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

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
Date		        Unrealized
Gain		  

 

  

JPMorgan Chase Bank NA

     

INR

      432,160,000          USD        5,847,642          10/29/2020        $ 11,641  
    

KRW

      4,047,000,000          USD        3,465,135          10/29/2020          5,654  
    

PHP

      295,320,000          USD        6,076,872          10/29/2020          13,483  
    

USD

      7,443,144          EUR        6,330,000          10/23/2020          18,225  

 

  

TOTAL

 

                   $ 49,003  

 

  
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
Date		        Unrealized
Loss		  

 

  

JPMorgan Chase Bank NA

     

AUD

      8,260,000          USD        5,968,075          10/23/2020        $ (51,567 ) 
    

CAD

      11,070,000          USD        8,340,340          10/23/2020          (26,153 ) 
    

CHF

      9,670,000          USD        10,574,173          10/23/2020          (68,997 ) 
    

JPY

      439,040,000          USD        4,199,639          10/23/2020          (35,758 ) 
    

NZD

      10,510,000          USD        7,025,860          10/23/2020          (72,992 ) 
    

SEK

      35,220,000          USD        3,981,352          10/23/2020          (47,873 ) 
    

TWD

      101,470,000          USD        3,521,699          10/29/2020          (3,617 ) 
    

USD

      3,638,185          CAD        4,870,000          10/23/2020          (19,456 ) 
    

USD

      3,681,390          CHF        3,390,000          10/23/2020          (1,397 ) 
    

USD

      3,432,234          GBP        2,670,000          10/23/2020          (13,383 ) 

 

  

TOTAL

 

                   $ (341,193 ) 

 

  

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

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

 

  

Long position contracts:

                  

100 oz Gold

      74      12/29/2020      $ 13,997,100      $ (201,594 ) 

3 Month Canadian Bankers Acceptance

      19      12/14/2020        3,549,078        40,856  

3 Month Canadian Bankers Acceptance

      18      03/15/2021        3,362,622        2,750  

3 Month Canadian Bankers Acceptance

      19      06/14/2021        3,548,900        140  

3 Month Eurodollar

      15      12/14/2020        3,740,812        1,653  

Australia 10 Year Bond

      303      12/15/2020        32,316,777        175,185  

Canada 10 Year Bond

      269      12/18/2020        30,674,747        (18,241 ) 

Copper

      57      12/29/2020        4,308,487        296,243  

DAX Index

      25      12/18/2020        9,364,212        (323,669 ) 

EURO STOXX 50 Index

      3,202      12/18/2020        119,908,667        (4,820,782 ) 

Euro-Bobl

      511      12/08/2020        80,983,315        (34,380 ) 

Euro-BTP

      103      12/08/2020        17,822,108        199,045  

Euro-Bund

      378      12/08/2020        77,331,543        96,392  

Euro-Buxl

      28      12/08/2020        7,310,929        62,959  

Euro-OAT

      148      12/08/2020        29,233,353        112,001  

Euro-Schatz

      315      12/08/2020        41,469,293        (2,400 ) 

FTSE 100 Index

      481      12/18/2020        36,255,758        (1,546,828 ) 

Japan 10 Year Bond

      3      12/14/2020        4,325,985        551  

KOSPI 200 Index

      77      12/10/2020        5,101,785        (45,456 ) 

LME Nickel Base Metal

      40      11/18/2020        3,480,300        (90,543 ) 

Long Gilt

      210      12/29/2020        36,865,945        122,901  

MSCI Taiwan Index

      89      10/29/2020        4,387,700        106,390  

NASDAQ 100 E-Mini Index

      31      12/18/2020        7,072,495        87,315  

OMXS30 Index

      193      10/16/2020        3,946,373        24,069  

S&P Midcap 400 E-Mini Index

      32      12/18/2020        5,938,880        (1,109 ) 

S&P/TSX 60 Index

      23      12/17/2020        3,321,618        (52,361 ) 

Soybean

      69      11/13/2020        3,525,900        89,483  

TOPIX Index

      220      12/10/2020        33,907,931        797,447  

U.S. Treasury 2 Year Note

      364      12/31/2020        80,421,250        27,818  

U.S. Treasury 5 Year Note

      861      12/31/2020        108,492,726        79,946  

U.S. Treasury 10 Year Note

      901      12/21/2020        125,689,500        222,677  

U.S. Treasury Long Bond

      159      12/21/2020        28,008,844        (54,521 ) 

 

  

Total

                   $ (4,646,063 ) 

 

  

Short position contracts:

                  

3 Month Euroswiss

      (9)      12/14/2020        (2,461,919 )       (692 ) 

Russell 2000 E-Mini Index

      (252)      12/18/2020        (18,955,440 )       (188,836 ) 

S&P 500 E-Mini Index

      (228)      12/18/2020        (38,212,800 )       241,513  

 

  

Total

                   $ 51,985  

 

  

Total Futures Contracts

 

    $ (4,594,078 ) 

 

  

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

SWAP CONTRACTS — At September 30, 2020, the Fund had the following swap contracts:

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

 

Reference

Obligation/Index(a)

   Financing Rate
Received (Paid) by
the Fund		     Credit
Spread at
September 30,
2020(b)		     Termination
Date		    

Notional
Amount

(000’s)

     Value    

Upfront
Premium

(Received)
Paid

     Unrealized
Appreciation/
(Depreciation)		  

 

  

Protection Sold:

 

            

iTraxx Europe Crossover Index

     5.000%       3.450%       12/20/2025     EUR   92,350     $ 7,906,836     $ 8,603,368     $ (696,532 ) 

iTraxx Europe Index

     1.000          0.595          12/20/2025       10,950       275,260       283,575       (8,315 ) 

Markit CDX North America High Yield Index

     5.000          4.072          12/20/2025     USD   206,900       8,977,161       8,388,291       588,870  

Markit CDX North America Investment Grade Index

     1.000          0.592          12/20/2025       9,850       208,834       237,886       (29,052 ) 

 

  

TOTAL

           $  17,368,091     $  17,513,120     $ (145,029 ) 

 

  

 

(a)   Payments received quarterly.
(b)   Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

 

Referenced

Obligation/Index

   Financing Rate
Received (Paid) by
the Fund		     Counterparty   Termination
Date		     Notional
Amount
(000’s)		     Unrealized
Appreciation /
(Depreciation)(a)		  

 

  
Alerian MLP Index Total Return(b)     (0.152)%     Bank of America NA     05/17/2021     USD   11,164     $ (735,990 ) 
Bloomberg Roll Select Commodity Index Total Return(c)     (0.000)        JPMorgan Chase Bank NA     02/26/2021       5,337       48,497  
Euro Stoxx Gross Total Return Index(d)     0.526            06/16/2021     EUR   11,718       456,752  
FTSE 100 Total Return Index(d)     0.049            09/15/2021     GBP   3,234       163,623  
J.P. Morgan Bespoke Global Energy Sector Index(b)     (0.152)            08/24/2021     USD   1,310       (105,641 ) 
J.P. Morgan Bespoke Global Healthcare Sector Index(b)     (0.152)            08/24/2021       56,046       (548,097 ) 
J.P. Morgan Bespoke Global Materials Sector Index(b)     (0.152)            08/24/2021       19,375       (867,547 ) 
J.P. Morgan Bespoke Global Technology Sector Index(b)     (0.152)            08/24/2021       32,725       289,320  
MSCI The World Growth Net Return Index(b)     (0.152)            08/25/2021       198,424       (1,143,140 ) 
MSCI The World Net Return Index(d)     0.152            08/25/2021       345,067       5,519,403  

 

  

TOTAL

           $ 3,077,180  

 

  

 

(a)   There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value.
(b)   Payments made monthly.
(c)   Payments made weekly.
(d)   Payments received monthly.

GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

PURCHASED OPTIONS CONTRACTS and WRITTEN OPTIONS CONTRACTS — At September 30, 2020, the Fund had the following purchased & written options contracts:

 

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

 

  

Purchased options contracts:

 

      

Puts

 

      

S&P 500 Index

    Morgan Stanley Co., Inc.   2,525  USD     10/30/2020       74     $ 24,886,200     $ 16,095     $ 71,782     $ (55,687 ) 
     2,670  USD     10/30/2020       20       6,726,000       6,900       28,215       (21,315 ) 
     2,740  USD     10/30/2020       305       102,571,500       137,250       289,650       (152,400 ) 
     2,825  USD     10/30/2020       234       78,694,200       152,100       124,455       27,645  

 

  

Total purchased options contracts

 

     633       $ 312,345     $ 514,102     $ (201,757 ) 

 

  

Written options contracts:

 

      

Puts

 

      

S&P 500 Index

    Morgan Stanley Co., Inc.   3,260  USD     10/30/2020       180     $ (60,534,000 )    $ (1,064,700 )    $ (1,532,185 )    $ 467,485  
     3,265  USD     10/30/2020       74       (24,886,200 )      (448,070 )      (603,105 )      155,035  
     3,290  USD     10/30/2020       234       (78,694,200 )      (1,593,540 )      (1,313,508 )      (280,032 ) 
     3,350  USD     10/30/2020       125       (42,037,500 )      (1,125,000 )      (1,025,924 )      (99,076 ) 
     3,480  USD     10/30/2020       20       (6,726,000 )      (324,800 )      (201,685 )      (123,115 ) 

 

  

Total written options contracts

 

     633       $ (4,556,110 )    $ (4,676,407 )    $ 120,297  

 

  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares   Dividend
Rate		   Value
Investment Company(a) – 72.3%

Goldman Sachs Financial Square Government Fund — Institutional Shares

30,453,151

   0.027%   $30,453,151

 

TOTAL INVESTMENTS – 72.3%
(Cost $30,453,151)		   $30,453,151

 

OTHER ASSETS IN EXCESS OF     LIABILITIES – 27.7%   11,689,324

 

NET ASSETS – 100.0%   $42,142,475

 

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

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

BRL  

— Brazilian Real

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

CLP  

— Chilean Peso

CZK  

— Czech Koruna

EUR  

— Euro

GBP  

— British Pound

HUF  

— Hungarian Forint

IDR  

— Indonesian Rupiah

ILS  

— Israel New Shekel

INR  

— Indian Rupee

JPY  

— Japanese Yen

KRW  

— South Korean Won

MXN  

— Mexican Peso

NOK  

— Norwegian Krone

NZD  

— New Zealand Dollar

PHP  

— Philippines Peso

PLN  

— Polish Zloty

RUB  

— Russian Ruble

SEK  

— Swedish Krona

THB  

— Thailand Baht

TWD  

— Taiwan Dollar

USD  

— United States Dollar

ZAR  

— South African Rand

 

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 ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

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

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
Date		        Unrealized
Gain		  

 

  

Morgan Stanley Co., Inc.

     

INR

      90,050,000          USD        1,218,569          10/29/2020        $ 2,341  
    

USD

      139,829          BRL        760,000          10/29/2020          4,597  
    

USD

      453,472          CLP        350,180,000          10/29/2020          7,312  
    

USD

      1,082,288          CZK        24,970,000          10/23/2020          278  
    

USD

      909,613          HUF        280,800,000          10/26/2020          4,202  
    

USD

      440,316          KRW        513,250,000          10/29/2020          143  
    

USD

      4,041,360          NOK        37,490,000          10/23/2020          21,969  
    

USD

      254,024          RUB        19,450,000          10/29/2020          4,269  
    

USD

      609,281          SEK        5,390,000          10/23/2020          7,309  
    

USD

      1,239,716          THB        38,790,000          10/26/2020          15,641  
    

USD

      179,095          TWD        5,130,000          10/29/2020          1,232  
    

ZAR

      14,240,000          USD        846,455          10/23/2020          1,495  

 

  

TOTAL

                           $ 70,788  

 

  
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
Date		        Unrealized
Loss		  

 

  

Morgan Stanley Co., Inc.

     

IDR

      3,606,920,000          USD        242,972          11/03/2020        $ (955 ) 
    

MXN

      14,200,000          USD        658,525          10/23/2020          (17,971 ) 
    

PLN

      760,000          USD        199,010          10/23/2020          (2,385 ) 
    

USD

      6,062          CZK        140,000          10/23/2020          (4 ) 
    

USD

      202,806          ILS        700,000          10/23/2020          (1,571 ) 
    

USD

      699,607          NOK        6,550,000          10/23/2020          (2,634 ) 
    

USD

      63,440          PHP        3,080,000          10/29/2020          (78 ) 
    

USD

      280,122          SEK        2,510,000          10/23/2020          (202 ) 

 

  

TOTAL

                           $  (25,800 ) 

 

  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

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

 

  

Long position contracts:

                    

100 oz Gold

      6      12/29/2020      $ 1,134,900        $  (41,407 ) 

3 Month Canadian Bankers Acceptance

      1      12/14/2020        186,794          27  

3 Month Canadian Bankers Acceptance

      1      03/15/2021        186,812          73  

3 Month Canadian Bankers Acceptance

      1      06/14/2021        186,784          7  

Australia 10 Year Bond

      162      12/15/2020        17,278,277          78,353  

Brent Crude Oil

      10      01/29/2021        432,800          6,420  

Canada 10 Year Bond

      23      12/18/2020        2,622,748          (2,150 ) 

Cocoa

      17      03/16/2021        428,230          2,076  

Coffee ‘C’

      11      03/19/2021        464,887          (23,847 ) 

Copper

      6      03/29/2021        454,725          7,133  

Corn

      24      03/12/2021        464,400          46,712  

Cotton No. 2

      14      03/09/2021        465,850          9,771  

Euro-Bobl

      4      12/08/2020        633,920          (65 ) 

Euro-BTP

      1      12/08/2020        173,030          2,355  

Euro-OAT

      2      12/08/2020        395,045          165  

Feeder Cattle

      6      11/19/2020        425,775          21  

Foreign Exchange AUD/USD

      5      12/14/2020        358,050          (448 ) 

Foreign Exchange NZD/USD

      33      12/14/2020        2,182,950          (16,103 ) 

KC HRW Wheat

      18      03/12/2021        465,750          53,142  

KOSPI 200 Index

      1      12/10/2020        66,257          (675 ) 

Lean Hogs

      16      02/12/2021        435,520          33,310  

Live Cattle

      10      02/26/2021        462,800          5,928  

LME Aluminum Base Metal

      13      10/21/2020        565,419          32,118  

LME Aluminum Base Metal

      4      11/18/2020        175,225          14,485  

LME Aluminum Base Metal

      7      12/16/2020        308,744          12,896  

LME Aluminum Base Metal

      8      01/20/2021        353,900          (5,678 ) 

LME Aluminum Base Metal

      10      02/17/2021        443,812          (6,225 ) 

LME Lead Base Metal

      2      10/21/2020        90,375          (6,375 ) 

LME Lead Base Metal

      2      11/18/2020        90,750          (4,181 ) 

LME Nickel Base Metal

      2      10/21/2020        173,844          (4,979 ) 

LME Nickel Base Metal

      3      11/18/2020        261,023          (6,908 ) 

LME Zinc Base Metal

      9      10/21/2020        537,975          48,511  

LME Zinc Base Metal

      5      11/18/2020        299,625          31,377  

LME Zinc Base Metal

      5      12/16/2020        300,281          29,667  

LME Zinc Base Metal

      6      01/20/2021        361,200          (3,623 ) 

LME Zinc Base Metal

      8      02/17/2021        482,600          (6,211 ) 

Low Sulphur Gasoil

      13      02/11/2021        455,650          5,529  

MSCI Taiwan Index

      1      10/29/2020        49,300          1,205  

Natural Gas

      13      01/27/2021        420,030          (9,156 ) 

NY Harbor ULSD

      9      01/29/2021        450,765          (1,968 ) 

OMXS30 Index

      3      10/16/2020        61,343          375  

RBOB Gasoline

      9      01/29/2021        442,487          15,146  

S&P 500 E-Mini Index

      3      12/18/2020        502,800          (1,956 ) 

Silver

      3      12/29/2020        350,250          (38,998 ) 

Soybean

      9      03/12/2021        458,888          14,772  

Soybean Oil

      23      03/12/2021        459,264          (2,634 ) 

TOPIX Index

      1      12/10/2020        154,127          3,681  

U.S. Treasury 2 Year Note

      3      12/31/2020        662,813          229  

U.S. Treasury 5 Year Note

      8      12/31/2020        1,008,062          713  

U.S. Treasury 10 Year Note

      74      12/21/2020        10,323,000          18,344  

U.S. Treasury Long Bond

      1      12/21/2020        176,156          (346 ) 

Wheat

      16      03/12/2021        466,800          40,925  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

FUTURES CONTRACTS (continued)

 

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

 

  

Long position contracts: (continued)

                  

WTI Crude Oil

      11      01/20/2021      $ 450,340      $ 7,571  

 

  

Total

                   $ 339,104  

 

  

Short position contracts:

                  

Brent Crude Oil

      (11)      10/30/2020        (462,770 )       (6,872 ) 

CAC 40 10 Euro Index

      (1)      10/16/2020        (56,289 )       192  

CBOE Volatility Index

      (23)      10/21/2020        (698,625 )       23,666  

CBOE Volatility Index

      (27)      11/18/2020        (887,625 )       (106,194 ) 

CBOE Volatility Index

      (25)      12/16/2020        (773,125 )       (33,789 ) 

Cocoa

      (11)      12/15/2020        (279,180 )       6,525  

Coffee ‘C’

      (16)      12/18/2020        (665,100 )       54,400  

Copper

      (11)      12/29/2020        (831,462 )       (35,393 ) 

Corn

      (38)      12/14/2020        (718,200 )       (18,720 ) 

Cotton No. 2

      (28)      12/08/2020        (921,620 )       (18,168 ) 

Euro-Bund

      (113)      12/08/2020        (23,117,631 )       (23,332 ) 

Euro-Schatz

      (1)      12/08/2020        (131,649 )       (2 ) 

Foreign Exchange CAD/USD

      (9)      12/15/2020        (675,990 )       7,785  

Foreign Exchange CHF/USD

      (20)      12/14/2020        (2,719,500 )       36,171  

Foreign Exchange EUR/USD

      (36)      12/14/2020        (5,283,000 )       61,252  

Foreign Exchange GBP/USD

      (23)      12/14/2020        (1,855,525 )       (6,483 ) 

Foreign Exchange JPY/USD

      (25)      12/14/2020        (2,964,844 )       (6,333 ) 

FTSE 100 Index

      (1)      12/18/2020        (75,376 )       3,196  

Hang Seng Index

      (1)      10/29/2020        (151,160 )       (1,859 ) 

HSCEI

      (2)      10/29/2020        (121,031 )       (214 ) 

IBEX 35 Index

      (1)      10/16/2020        (78,911 )       4,209  

Japan 10 Year Bond

      (6)      12/14/2020        (8,651,970 )       (6,454 ) 

KC HRW Wheat

      (23)      12/14/2020        (585,638 )       (35,736 ) 

Lean Hogs

      (30)      12/14/2020        (758,400 )       (9,954 ) 

Live Cattle

      (9)      12/31/2020        (404,100 )       (6,138 ) 

LME Aluminum Base Metal

      (13)      10/21/2020        (565,419 )       (20,778 ) 

LME Aluminum Base Metal

      (13)      11/18/2020        (569,481 )       (4,074 ) 

LME Aluminum Base Metal

      (7)      12/16/2020        (308,744 )       3,728  

LME Aluminum Base Metal

      (8)      01/20/2021        (353,900 )       5,763  

LME Lead Base Metal

      (2)      10/21/2020        (90,375 )       4,086  

LME Lead Base Metal

      (3)      11/18/2020        (136,125 )       2,719  

LME Nickel Base Metal

      (2)      10/21/2020        (173,844 )       4,446  

LME Nickel Base Metal

      (2)      11/18/2020        (174,015 )       4,920  

LME Zinc Base Metal

      (9)      10/21/2020        (537,975 )       (42,275 ) 

LME Zinc Base Metal

      (11)      11/18/2020        (659,175 )       (23,476 ) 

LME Zinc Base Metal

      (5)      12/16/2020        (300,281 )       825  

LME Zinc Base Metal

      (6)      01/20/2021        (361,200 )       7,070  

LME Zinc Base Metal

      (1)      02/17/2021        (60,325 )       1,347  

Long Gilt

      (12)      12/29/2020        (2,106,625 )       1,576  

Low Sulphur Gasoil

      (14)      11/12/2020        (473,550 )       (10,375 ) 

Natural Gas

      (22)      10/28/2020        (558,360 )       60,699  

NY Harbor ULSD

      (7)      10/30/2020        (337,571 )       (3,124 ) 

RBOB Gasoline

      (3)      10/30/2020        (148,277 )       (3,385 ) 

SET50 Index

      (12)      12/29/2020        (58,971 )       207  

Soybean

      (26)      11/13/2020        (1,328,600 )       (122,822 ) 

Soybean Oil

      (23)      12/14/2020        (458,850 )       (21,702 ) 

Sugar No. 11

      (1)      02/26/2021        (15,075 )       (989 ) 

Wheat

      (10)      12/14/2020        (286,750 )       (7,794 ) 

WTI Crude Oil

      (8)      10/20/2020        (319,680 )       (9,777 ) 

 

  

Total

                   $  (291,430 ) 

 

  

Total Futures Contracts

 

    $ 47,674  

 

  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

SWAP CONTRACTS — At September 30, 2020, the Fund had the following swap contracts:

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

 

Reference
Obligation/Index(a)		   Financing Rate
Received (Paid) by
the Fund		     Credit
Spread at
September 30,
2020(b)		     Termination
Date		       

Notional
Amount

(000’s)

     Value    

Upfront
Premium

(Received)
Paid

     Unrealized
Appreciation/
(Depreciation)		  

 

  

Protection Sold:

  

iTraxx Europe Index

     1.000%       0.595%       12/20/2025        EUR   450     $ 11,312     $ 11,654     $ (342 ) 

Markit CDX North America Investment Grade Index

     1.000          0.592          12/20/2025        USD   400       3,249       3,622       (373 ) 

 

  

TOTAL

              $  14,561     $  15,276     $ (715 ) 

 

  

 

(a)   Payments received quarterly.
(b)   Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

 

Referenced

Obligation/Index

   Financing Rate
Received (Paid) by
the Fund		     Counterparty   Termination
Date		     Notional
Amount
(000’s)		     Unrealized
Appreciation /
(Depreciation)(a)		  

 

  
A basket (MLGSFDJP) of common stocks(b)*     (0.097)%     Bank of America NA     01/28/2021     JPY   1,518,127     $ (157,022 ) 
A basket (MLGSFDUS) of common stock(b)*     (0.146)            09/01/2021     USD   23,260       81,105  
Russell 1000 Index Total Return(c)     0.146            09/01/2021       7,853       (27,555 ) 
S&P 500 Total Return Index(c)     0.146            09/01/2021       14,540       (51,677 ) 
TOPIX Total Retun Index(c)     0.097            01/28/2021     JPY   1,478,569       192,057  
A basket (JPGSFDEU) of common stocks(b)*     (0.523)        JPMorgan Chase Bank NA     06/16/2021     EUR   12,207       (77,450 ) 
A basket (JPGSFDUK) of common stocks(b)*     (0.047)            05/05/2021     GBP   2,803       (25,835 ) 
Euro Stoxx Gross Total Return Index(c)     0.523            06/16/2021     EUR   11,319       89,610  
FTSE 100 Total Return Index(c)     0.047            05/05/2021     GBP   2,482       33,434  

 

  

TOTAL

           $ 56,667  

 

  

 

(a)   There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value.
(b)   Payments made weekly.
(c)   Payments received weekly.
*   The components of the basket shown below.

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

NTT DOCOMO Inc

    Communication Services        9,970        $ 367,039          2.55 % 

Nippon Telegraph & Telephone Corp

    Communication Services        17,148          349,365          2.43  

Hoya Corp

    Health Care        2,739          307,870          2.14  

Nintendo Co Ltd

    Communication Services        468          264,320          1.84  

Kakaku.com Inc

    Communication Services        8,983          235,523          1.64  

Chugai Pharmaceutical Co Ltd

    Health Care        5,095          227,663          1.58  

Recruit Holdings Co Ltd

    Industrials        4,905          193,348          1.34  

Daiichi Sankyo Co Ltd

    Health Care        6,278          192,081          1.34  

Daikin Industries Ltd

    Industrials        1,035          189,260          1.32  

Kao Corp

    Consumer Staples        2,025          151,322          1.05  

Tokio Marine Holdings Inc

    Financials        3,393          147,907          1.03  

Asahi Intecc Co Ltd

    Health Care        4,515          141,179          0.98  

ITOCHU Corp

    Industrials        5,176          131,687          0.92  

NEC Corp

    Information Technology        2,109          122,703          0.85  

Nitori Holdings Co Ltd

    Consumer Discretionary        584          120,912          0.84  

Japan Exchange Group Inc

    Financials        4,285          119,303          0.83  

Tokyo Gas Co Ltd

    Utilities        5,158          117,604          0.82  

Sompo Holdings Inc

    Financials        3,398          116,844          0.81  

Welcia Holdings Co Ltd

    Consumer Staples        2,590          113,501          0.79  

Fujitsu Ltd

    Information Technology        833          113,224          0.79  

Omron Corp

    Information Technology        1,435          111,232          0.77  

Honda Motor Co Ltd

    Consumer Discretionary        4,736          111,009          0.77  

MEIJI Holdings Co Ltd

    Consumer Staples        1,439          109,670          0.76  

TOTO Ltd

    Industrials        2,294          104,879          0.73  

Hoshizaki Corp

    Industrials        1,310          103,994          0.72  

Cosmos Pharmaceutical Corp

    Consumer Staples        592          102,957          0.72  

LIXIL Group Corp

    Industrials        5,137          102,719          0.71  

Japan Airlines Co Ltd

    Industrials        5,461          101,738          0.71  

Keyence Corp

    Information Technology        218          100,991          0.70  

DMG Mori Co Ltd

    Industrials        7,244          99,664          0.69  

Sugi Holdings Co Ltd

    Consumer Staples        1,412          99,530          0.69  

Bridgestone Corp

    Consumer Discretionary        3,156          99,185          0.69  

Hulic Co Ltd

    Real Estate        10,558          98,445          0.68  

Nabtesco Corp

    Industrials        2,695          97,417          0.68  

Azbil Corp

    Information Technology        2,569          95,445          0.66  

T&D Holdings Inc

    Financials        9,705          94,904          0.66  

Kirin Holdings Co Ltd

    Consumer Staples        5,072          94,847          0.66  

Nomura Research Institute Ltd

    Information Technology        3,125          91,642          0.64  

Mitsubishi Estate Co Ltd

    Real Estate        6,076          91,377          0.64  

K’s Holdings Corp

    Consumer Discretionary        6,775          91,160          0.63  

FUJIFILM Holdings Corp

    Information Technology        1,848          90,800          0.63  

Kurita Water Industries Ltd

    Industrials        2,686          88,071          0.61  

Dentsu Group Inc

    Communication Services        2,946          86,415          0.60  

Advantest Corp

    Information Technology        1,775          85,615          0.60  

Ito En Ltd

    Consumer Staples        1,199          85,320          0.59  

Resona Holdings Inc

    Financials        25,081          84,991          0.59  

Canon Inc

    Information Technology        5,062          83,771          0.58  

Yamazaki Baking Co Ltd

    Consumer Staples        4,773          83,170          0.58  

Shimano Inc

    Consumer Discretionary        417          81,923          0.57  

Toho Gas Co Ltd

    Utilities        1,644          81,301          0.57  

Yamada Holdings Co Ltd

    Consumer Discretionary        16,258          80,729          0.56  

Mitsubishi Electric Corp

    Industrials        5,947          80,100          0.56  

Amada Co Ltd

    Industrials        8,599          80,022          0.56  

Seven Bank Ltd

    Financials        32,057          77,461          0.54  

Hitachi Construction Machinery Co Ltd

    Industrials        2,139          77,035          0.54  

Calbee Inc

    Consumer Staples        2,332          76,560          0.53  

Trend Micro Inc/Japan

    Information Technology        1,240          75,308          0.52  

Infomart Corp

    Information Technology        8,482          74,752          0.52  

MISUMI Group Inc

    Industrials        2,685          74,685          0.52  

Komatsu Ltd

    Industrials        3,409          74,631          0.52  

Otsuka Corp

    Information Technology        1,426          72,693          0.51  

Relo Group Inc

    Real Estate        3,043          72,561          0.50  

FP Corp

    Materials        1,705          71,556          0.50  

KDDI Corp

    Communication Services        2,811          70,755          0.49  

SG Holdings Co Ltd

    Industrials        1,318          68,053          0.47  

Sekisui House Ltd

    Consumer Discretionary        3,838          67,550          0.47  

Toyo Suisan Kaisha Ltd

    Consumer Staples        1,270          66,909          0.47  

Bandai Namco Holdings Inc

    Consumer Discretionary        914          66,569          0.46  

Nihon Kohden Corp

    Health Care        2,023          66,320          0.46  

Takeda Pharmaceutical Co Ltd

    Health Care        1,796          63,726          0.44  

ENEOS Holdings Inc

    Energy        17,919          63,675          0.44  

Casio Computer Co Ltd

    Consumer Discretionary        3,795          60,912          0.42  

Kobe Bussan Co Ltd

    Consumer Staples        1,104          60,471          0.42  

Skylark Holdings Co Ltd

    Consumer Discretionary        4,220          59,980          0.42  

M3 Inc

    Health Care        967          59,537          0.41  

OKUMA Corp

    Industrials        1,248          58,142          0.40  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Sega Sammy Holdings Inc

    Consumer Discretionary        4,780        $ 57,883          0.40 % 

Zenkoku Hosho Co Ltd

    Financials        1,418          55,575          0.39  

Hikari Tsushin Inc

    Consumer Discretionary        233          55,187          0.38  

Fujikura Ltd

    Industrials        19,817          54,457          0.38  

TechnoPro Holdings Inc

    Industrials        878          54,215          0.38  

Kewpie Corp

    Consumer Staples        2,626          53,897          0.37  

Asics Corp

    Consumer Discretionary        3,874          53,742          0.37  

Shionogi & Co Ltd

    Health Care        998          53,256          0.37  

Unicharm Corp

    Consumer Staples        1,182          52,782          0.37  

Nissan Motor Co Ltd

    Consumer Discretionary        14,893          52,472          0.36  

Nifco Inc/Japan

    Consumer Discretionary        1,837          49,812          0.35  

Amano Corp

    Information Technology        2,135          49,455          0.34  

Denso Corp

    Consumer Discretionary        1,135          49,455          0.34  

Oriental Land Co Ltd/Japan

    Consumer Discretionary        354          49,414          0.34  

ABC-Mart Inc

    Consumer Discretionary        953          49,399          0.34  

Coca-Cola Bottlers Japan Holdings Inc

    Consumer Staples        2,956          49,269          0.34  

Benesse Holdings Inc

    Consumer Discretionary        1,921          49,234          0.34  

Zensho Holdings Co Ltd

    Consumer Discretionary        2,075          48,780          0.34  

Izumi Co Ltd

    Consumer Discretionary        1,337          48,473          0.34  

Brother Industries Ltd

    Information Technology        2,930          46,262          0.32  

Sony Corp

    Consumer Discretionary        608          46,249          0.32  

Ricoh Co Ltd

    Information Technology        6,882          46,042          0.32  

Yoshinoya Holdings Co Ltd

    Consumer Discretionary        2,453          45,790          0.32  

Park24 Co Ltd

    Industrials        2,833          45,564          0.32  

Seven & i Holdings Co Ltd

    Consumer Staples        1,475          45,432          0.32  

THK Co Ltd

    Industrials        1,798          44,793          0.31  

Osaka Gas Co Ltd

    Utilities        2,263          43,956          0.31  

Sumitomo Mitsui Trust Holdings Inc

    Financials        1,655          43,797          0.30  

Miura Co Ltd

    Industrials        893          43,511          0.30  

MS&AD Insurance Group Holdings Inc

    Financials        1,625          43,489          0.30  

Yamaha Corp

    Consumer Discretionary        913          43,442          0.30  

Mitsubishi Chemical Holdings Corp

    Materials        7,464          42,838          0.30  

Pan Pacific International Holdings Corp

    Consumer Discretionary        1,844          42,813          0.30  

Goldwin Inc

    Consumer Discretionary        541          42,730          0.30  

Furukawa Electric Co Ltd

    Industrials        1,795          42,559          0.30  

Fancl Corp

    Consumer Staples        1,310          42,517          0.30  

Yokohama Rubber Co Ltd/The

    Consumer Discretionary        2,996          42,333          0.29  

Astellas Pharma Inc

    Health Care        2,817          41,836          0.29  

Seiko Epson Corp

    Information Technology        3,661          41,809          0.29  

Obic Co Ltd

    Information Technology        239          41,742          0.29  

Sanwa Holdings Corp

    Industrials        3,954          41,630          0.29  

Pola Orbis Holdings Inc

    Consumer Staples        2,212          41,566          0.29  

Nisshinbo Holdings Inc

    Industrials        5,979          40,509          0.28  

NOK Corp

    Consumer Discretionary        3,891          40,223          0.28  

Ajinomoto Co Inc

    Consumer Staples        1,961          40,116          0.28  

Aeon Co Ltd

    Consumer Staples        1,496          40,060          0.28  

Ain Holdings Inc

    Consumer Staples        570          39,741          0.28  

Japan Tobacco Inc

    Consumer Staples        2,115          38,477          0.27  

NOF Corp

    Materials        979          38,394          0.27  

ZOZO Inc

    Consumer Discretionary        1,381          38,318          0.27  

Sumitomo Rubber Industries Ltd

    Consumer Discretionary        4,156          38,318          0.27  

Kaken Pharmaceutical Co Ltd

    Health Care        834          38,076          0.26  

Lion Corp

    Consumer Staples        1,843          37,772          0.26  

NGK Spark Plug Co Ltd

    Consumer Discretionary        2,176          37,730          0.26  

DIC Corp

    Materials        1,519          37,685          0.26  

Hino Motors Ltd

    Industrials        5,852          37,654          0.26  

Tsuruha Holdings Inc

    Consumer Staples        265          37,414          0.26  

Sankyo Co Ltd

    Consumer Discretionary        1,424          37,170          0.26  

Rinnai Corp

    Consumer Discretionary        383          37,165          0.26  

Glory Ltd

    Industrials        1,664          37,034          0.26  

Nexon Co Ltd

    Communication Services        1,452          36,082          0.25  

Stanley Electric Co Ltd

    Consumer Discretionary        1,236          35,318          0.25  

Nissin Foods Holdings Co Ltd

    Consumer Staples        374          35,055          0.24  

Nichirei Corp

    Consumer Staples        1,318          34,762          0.24  

Tobu Railway Co Ltd

    Industrials        1,129          34,729          0.24  

Sumitomo Electric Industries Ltd

    Consumer Discretionary        3,103          34,669          0.24  

Kobayashi Pharmaceutical Co Ltd

    Consumer Staples        358          34,485          0.24  

Canon Marketing Japan Inc

    Information Technology        1,694          33,735          0.23  

Teijin Ltd

    Materials        2,166          33,437          0.23  

Kansai Paint Co Ltd

    Materials        1,344          33,216          0.23  

Lawson Inc

    Consumer Staples        689          32,785          0.23  

Terumo Corp

    Health Care        825          32,660          0.23  

Square Enix Holdings Co Ltd

    Communication Services        494          32,582          0.23  

Iwatani Corp

    Energy        869          32,474          0.23  

Chugoku Electric Power Co Inc/The

    Utilities        2,598          32,469          0.23  

Keikyu Corp

    Industrials        2,116          32,370          0.23  

Tokai Carbon Co Ltd

    Materials        3,034          32,258          0.22  

Mitsubishi Gas Chemical Co Inc

    Materials        1,719          31,704          0.22  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Suntory Beverage & Food Ltd

    Consumer Staples        847        $ 31,702          0.22 % 

Nagoya Railroad Co Ltd

    Industrials        1,150          31,418          0.22  

Morinaga Milk Industry Co Ltd

    Consumer Staples        595          31,253          0.22  

Capcom Co Ltd

    Communication Services        559          31,058          0.22  

Toho Co Ltd/Tokyo

    Communication Services        752          30,878          0.21  

Secom Co Ltd

    Industrials        337          30,711          0.21  

Hitachi Metals Ltd

    Materials        2,000          30,610          0.21  

MonotaRO Co Ltd

    Industrials        619          30,605          0.21  

Rohm Co Ltd

    Information Technology        398          30,552          0.21  

Wacoal Holdings Corp

    Consumer Discretionary        1,615          30,409          0.21  

Toray Industries Inc

    Materials        6,601          29,981          0.21  

Itochu Techno-Solutions Corp

    Information Technology        790          29,814          0.21  

Oki Electric Industry Co Ltd

    Information Technology        2,784          29,806          0.21  

ANA Holdings Inc

    Industrials        1,268          29,197          0.20  

Ezaki Glico Co Ltd

    Consumer Staples        651          29,096          0.20  

Tokuyama Corp

    Materials        1,213          29,013          0.20  

Ulvac Inc

    Information Technology        800          28,861          0.20  

Yakult Honsha Co Ltd

    Consumer Staples        521          28,854          0.20  

Nitto Denko Corp

    Materials        443          28,733          0.20  

Fuji Oil Holdings Inc

    Consumer Staples        911          28,587          0.20  

Autobacs Seven Co Ltd

    Consumer Discretionary        2,204          28,532          0.20  

Marui Group Co Ltd

    Consumer Discretionary        1,491          28,411          0.20  

Central Japan Railway Co

    Industrials        196          27,988          0.19  

Oracle Corp Japan

    Information Technology        260          27,909          0.19  

Shimachu Co Ltd

    Consumer Discretionary        825          27,777          0.19  

Sysmex Corp

    Health Care        291          27,645          0.19  

CyberAgent Inc

    Communication Services        448          27,488          0.19  

Kagome Co Ltd

    Consumer Staples        788          27,473          0.19  

Alps Alpine Co Ltd

    Information Technology        2,055          27,418          0.19  

Sundrug Co Ltd

    Consumer Staples        725          27,242          0.19  

Mitsui Chemicals Inc

    Materials        1,130          27,148          0.19  

Chubu Electric Power Co Inc

    Utilities        2,225          27,011          0.19  

Kintetsu Group Holdings Co Ltd

    Industrials        630          26,754          0.19  

PALTAC Corp

    Consumer Discretionary        523          26,324          0.18  

Nippon Light Metal Holdings Co Ltd

    Materials        1,663          26,201          0.18  

Acom Co Ltd

    Financials        6,024          25,972          0.18  

Shimizu Corp

    Industrials        3,424          25,601          0.18  

Sumitomo Bakelite Co Ltd

    Materials        932          25,453          0.18  

Aisin Seiki Co Ltd

    Consumer Discretionary        798          25,347          0.18  

JSR Corp

    Materials        1,026          24,196          0.17  

Kyushu Electric Power Co Inc

    Utilities        2,633          23,874          0.17  

Ship Healthcare Holdings Inc

    Health Care        490          23,818          0.17  

Kinden Corp

    Industrials        1,342          23,571          0.16  

Tohoku Electric Power Co Inc

    Utilities        2,331          23,324          0.16  

Shimamura Co Ltd

    Consumer Discretionary        238          23,117          0.16  

Morinaga & Co Ltd/Japan

    Consumer Staples        588          23,113          0.16  

Ube Industries Ltd

    Materials        1,354          22,716          0.16  

House Foods Group Inc

    Consumer Staples        633          22,424          0.16  

Tokai Rika Co Ltd

    Consumer Discretionary        1,511          22,407          0.16  

Daicel Corp

    Materials        3,050          21,880          0.15  

GMO Payment Gateway Inc

    Information Technology        205          21,847          0.15  

Keihan Holdings Co Ltd

    Industrials        524          21,632          0.15  

East Japan Railway Co

    Industrials        351          21,526          0.15  

Toyo Tire Corp

    Consumer Discretionary        1,295          20,757          0.14  

Nihon Unisys Ltd

    Information Technology        650          20,338          0.14  

Keio Corp

    Industrials        330          20,315          0.14  

Hamamatsu Photonics KK

    Information Technology        400          20,045          0.14  

Toda Corp

    Industrials        2,861          19,522          0.14  

Sanrio Co Ltd

    Consumer Discretionary        1,069          19,189          0.13  

Horiba Ltd

    Information Technology        368          19,099          0.13  

Maruha Nichiro Corp

    Consumer Staples        833          19,048          0.13  

Kuraray Co Ltd

    Materials        1,960          18,907          0.13  

Ariake Japan Co Ltd

    Consumer Staples        273          18,421          0.13  

Kusuri no Aoki Holdings Co Ltd

    Consumer Staples        219          17,771          0.12  

Murata Manufacturing Co Ltd

    Information Technology        272          17,436          0.12  

Odakyu Electric Railway Co Ltd

    Industrials        694          17,390          0.12  

PeptiDream Inc

    Health Care        370          17,232          0.12  

Citizen Watch Co Ltd

    Information Technology        6,181          17,219          0.12  

Daito Trust Construction Co Ltd

    Real Estate        193          17,064          0.12  

Megmilk Snow Brand Co Ltd

    Consumer Staples        685          16,539          0.12  

COMSYS Holdings Corp

    Industrials        589          16,292          0.11  

Toyoda Gosei Co Ltd

    Consumer Discretionary        710          16,182          0.11  

JFE Holdings Inc

    Materials        2,323          16,113          0.11  

NET One Systems Co Ltd

    Information Technology        354          16,043          0.11  

Toho Holdings Co Ltd

    Health Care        746          15,992          0.11  

Duskin Co Ltd

    Industrials        578          15,696          0.11  

NH Foods Ltd

    Consumer Staples        343          15,249          0.11  

DeNA Co Ltd

    Communication Services        801          14,667          0.10  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

SMC Corp/Japan

    Industrials        26        $ 14,592          0.10 % 

Pigeon Corp

    Consumer Staples        323          14,383          0.10  

Maruichi Steel Tube Ltd

    Materials        578          14,375          0.10  

Rengo Co Ltd

    Materials        1,893          14,243          0.10  

Nagase & Co Ltd

    Industrials        1,009          14,043          0.10  

Kyowa Exeo Corp

    Industrials        516          13,401          0.09  

Tsumura & Co

    Health Care        431          13,384          0.09  

Nippon Paint Holdings Co Ltd

    Materials        130          13,333          0.09  

Tokyo Electron Ltd

    Information Technology        51          13,135          0.09  

Daifuku Co Ltd

    Industrials        131          13,106          0.09  

Hokuriku Electric Power Co

    Utilities        1,685          12,601          0.09  

Yamaha Motor Co Ltd

    Consumer Discretionary        868          12,520          0.09  

Nihon M&A Center Inc

    Industrials        215          12,171          0.08  

Lintec Corp

    Materials        522          12,087          0.08  

Sotetsu Holdings Inc

    Industrials        449          12,052          0.08  

Ono Pharmaceutical Co Ltd

    Health Care        367          11,480          0.08  

Lasertec Corp

    Information Technology        141          11,477          0.08  

Nishi-Nippon Railroad Co Ltd

    Industrials        397          11,465          0.08  

Tokyu Corp

    Industrials        884          11,411          0.08  

Nippon Paper Industries Co Ltd

    Materials        924          11,404          0.08  

Fujitsu General Ltd

    Consumer Discretionary        380          10,974          0.08  

Meitec Corp

    Industrials        214          10,846          0.08  

Shikoku Electric Power Co Inc

    Utilities        1,418          10,806          0.08  

Olympus Corp

    Health Care        518          10,716          0.07  

Sumitomo Osaka Cement Co Ltd

    Materials        328          10,561          0.07  

Nippon Shinyaku Co Ltd

    Health Care        128          10,462          0.07  

Nomura Holdings Inc

    Financials        2,304          10,447          0.07  

Iida Group Holdings Co Ltd

    Consumer Discretionary        506          10,187          0.07  

Toyo Seikan Group Holdings Ltd

    Materials        1,003          9,904          0.07  

Mitsubishi Corp

    Industrials        414          9,864          0.07  

Eisai Co Ltd

    Health Care        108          9,823          0.07  

Hitachi Ltd

    Information Technology        292          9,812          0.07  

Yamato Holdings Co Ltd

    Industrials        364          9,523          0.07  

Shin-Etsu Chemical Co Ltd

    Materials        73          9,502          0.07  

Sawai Pharmaceutical Co Ltd

    Health Care        188          9,482          0.07  

SUMCO Corp

    Information Technology        671          9,384          0.07  

Kyowa Kirin Co Ltd

    Health Care        322          9,102          0.06  

Nippon Television Holdings Inc

    Communication Services        835          8,938          0.06  

Taiyo Yuden Co Ltd

    Information Technology        286          8,924          0.06  

SMS Co Ltd

    Industrials        309          8,908          0.06  

Sangetsu Corp

    Consumer Discretionary        577          8,830          0.06  

Panasonic Corp

    Consumer Discretionary        1,033          8,697          0.06  

Tokyo Ohka Kogyo Co Ltd

    Materials        168          8,630          0.06  

West Japan Railway Co

    Industrials        173          8,491          0.06  

Kansai Electric Power Co Inc/The

    Utilities        869          8,396          0.06  

Hankyu Hanshin Holdings Inc

    Industrials        259          8,302          0.06  

Mitsui & Co Ltd

    Industrials        429          7,323          0.05  

Mizuho Financial Group Inc

    Financials        587          7,285          0.05  

Japan Post Holdings Co Ltd

    Financials        1,055          7,156          0.05  

Sohgo Security Services Co Ltd

    Industrials        150          7,116          0.05  

H2O Retailing Corp

    Consumer Discretionary        1,095          7,088          0.05  

Marubeni Corp

    Industrials        1,151          6,485          0.05  

Sumitomo Corp

    Industrials        532          6,344          0.04  

Nippon Kayaku Co Ltd

    Materials        711          6,252          0.04  

Medipal Holdings Corp

    Health Care        308          6,151          0.04  

Japan Post Insurance Co Ltd

    Financials        388          6,070          0.04  

ORIX Corp

    Financials        490          6,064          0.04  

TV Asahi Holdings Corp

    Communication Services        360          5,689          0.04  

Toyobo Co Ltd

    Materials        414          5,683          0.04  

Topcon Corp

    Information Technology        617          5,607          0.04  

AEON Financial Service Co Ltd

    Financials        593          5,351          0.04  

Nankai Electric Railway Co Ltd

    Industrials        237          5,225          0.04  

Rakuten Inc

    Consumer Discretionary        484          5,193          0.04  

Kamigumi Co Ltd

    Industrials        263          5,148          0.04  

Haseko Corp

    Consumer Discretionary        388          5,070          0.04  

Kissei Pharmaceutical Co Ltd

    Health Care        222          4,996          0.03  

Hitachi Capital Corp

    Financials        210          4,892          0.03  

TDK Corp

    Information Technology        45          4,848          0.03  

Makita Corp

    Industrials        102          4,845          0.03  

Ibiden Co Ltd

    Information Technology        144          4,845          0.03  

Otsuka Holdings Co Ltd

    Health Care        113          4,742          0.03  

Taisho Pharmaceutical Holdings Co Ltd

    Health Care        70          4,621          0.03  

Hanwa Co Ltd

    Industrials        231          4,595          0.03  

Hokuhoku Financial Group Inc

    Financials        449          4,494          0.03  

Renesas Electronics Corp

    Information Technology        614          4,454          0.03  

Toyota Tsusho Corp

    Industrials        159          4,445          0.03  

Obayashi Corp

    Industrials        485          4,393          0.03  

Asahi Group Holdings Ltd

    Consumer Staples        127          4,393          0.03  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Rohto Pharmaceutical Co Ltd

    Consumer Staples        134        $ 4,381          0.03 % 

Alfresa Holdings Corp

    Health Care        200          4,345          0.03  

Disco Corp

    Information Technology        18          4,318          0.03  

Daishi Hokuetsu Financial Group Inc

    Financials        209          4,303          0.03  

Mitsubishi UFJ Lease & Finance Co Ltd

    Financials        935          4,297          0.03  

Sapporo Holdings Ltd

    Consumer Staples        240          4,287          0.03  

Mitsubishi Heavy Industries Ltd

    Industrials        189          4,180          0.03  

Maeda Corp

    Industrials        570          4,152          0.03  

Aica Kogyo Co Ltd

    Industrials        111          3,927          0.03  

Sumitomo Dainippon Pharma Co Ltd

    Health Care        297          3,891          0.03  

Iyo Bank Ltd/The

    Financials        571          3,765          0.03  

NTT Data Corp

    Information Technology        274          3,480          0.02  

Nishi-Nippon Financial Holdings Inc

    Financials        489          3,393          0.02  

Hakuhodo DY Holdings Inc

    Communication Services        260          3,341          0.02  

Taisei Corp

    Industrials        96          3,224          0.02  

Takashimaya Co Ltd

    Consumer Discretionary        409          3,223          0.02  

JGC Holdings Corp

    Industrials        309          3,181          0.02  

Dai Nippon Printing Co Ltd

    Industrials        151          3,048          0.02  

Credit Saison Co Ltd

    Financials        288          3,038          0.02  

Kyudenko Corp

    Industrials        105          3,010          0.02  

Ebara Corp

    Industrials        103          2,771          0.02  

GS Yuasa Corp

    Industrials        158          2,703          0.02  

Shinsei Bank Ltd

    Financials        204          2,496          0.02  

J Front Retailing Co Ltd

    Consumer Discretionary        332          2,387          0.02  

Open House Co Ltd

    Real Estate        64          2,291          0.02  

Hisamitsu Pharmaceutical Co Inc

    Health Care        44          2,217          0.02  

Sojitz Corp

    Industrials        969          2,185          0.02  

TIS Inc

    Information Technology        97          2,038          0.01  

Toppan Printing Co Ltd

    Industrials        140          1,958          0.01  

Tokyo Century Corp

    Financials        36          1,926          0.01  

Sumitomo Metal Mining Co Ltd

    Materials        62          1,913          0.01  

77 Bank Ltd/The

    Financials        123          1,888          0.01  

MINEBEA MITSUMI Inc

    Industrials        95          1,797          0.01  

Nippon Electric Glass Co Ltd

    Information Technology        97          1,791          0.01  

Hokkaido Electric Power Co Inc

    Utilities        408          1,738          0.01  

Taiheiyo Cement Corp

    Materials        68          1,733          0.01  

Oji Holdings Corp

    Materials        358          1,637          0.01  

Sumitomo Chemical Co Ltd

    Materials        489          1,607          0.01  

Daiichikosho Co Ltd

    Communication Services        50          1,595          0.01  

Persol Holdings Co Ltd

    Industrials        98          1,587          0.01  

Dowa Holdings Co Ltd

    Materials        53          1,538          0.01  

Nishimatsu Construction Co Ltd

    Industrials        77          1,530          0.01  

Yamato Kogyo Co Ltd

    Materials        60          1,451          0.01  

Fuji Electric Co Ltd

    Industrials        45          1,424          0.01  

Tosoh Corp

    Materials        79          1,274          0.01  

Japan Steel Works Ltd/The

    Industrials        71          1,236          0.01  

Mochida Pharmaceutical Co Ltd

    Health Care        31          1,208          0.01  

TS Tech Co Ltd

    Consumer Discretionary        41          1,160          0.01  

Konica Minolta Inc

    Information Technology        408          1,143          0.01  

Central Glass Co Ltd

    Industrials        49          1,006          0.01  

Gunma Bank Ltd/The

    Financials        272          901          0.01  

Suzuken Co Ltd/Aichi Japan

    Health Care        23          856          0.01  

Sankyu Inc

    Industrials        20          769          0.01  

Pilot Corp

    Industrials        26          759          0.01  

SCSK Corp

    Information Technology        12          670          0.00  

ADEKA Corp

    Materials        46          654          0.00  

Mebuki Financial Group Inc

    Financials        286          645          0.00  

Nippon Sanso Holdings Corp

    Materials        34          523          0.00  

Nachi-Fujikoshi Corp

    Industrials        13          456          0.00  

Kokuyo Co Ltd

    Industrials        26          330          0.00  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Microsoft Corp

    Information Technology        5,874        $ 1,235,556          5.31 % 

Apple Inc

    Information Technology        8,805          1,019,679          4.38  

Amazon.com Inc

    Consumer Discretionary        246          775,191          3.33  

Facebook Inc

    Communication Services        2,179          570,596          2.45  

Alphabet Inc

    Communication Services        256          375,251          1.61  

Netflix Inc

    Communication Services        643          321,592          1.38  

Johnson & Johnson

    Health Care        1,962          292,037          1.26  

NVIDIA Corp

    Information Technology        475          257,224          1.11  

Adobe Inc

    Information Technology        519          254,703          1.10  

Kroger Co/The

    Consumer Staples        6,834          231,735          1.00  

Texas Instruments Inc

    Information Technology        1,562          223,042          0.96  

Alphabet Inc

    Communication Services        147          215,704          0.93  

Costco Wholesale Corp

    Consumer Staples        587          208,257          0.90  

Domino’s Pizza Inc

    Consumer Discretionary        482          205,113          0.88  

Oracle Corp

    Information Technology        3,215          191,951          0.83  

Walmart Inc

    Consumer Staples        1,235          172,781          0.74  

Equinix Inc

    Real Estate        225          171,276          0.74  

Visa Inc

    Information Technology        839          167,807          0.72  

Home Depot Inc/The

    Consumer Discretionary        591          164,218          0.71  

S&P Global Inc

    Financials        453          163,180          0.70  

Merck & Co Inc

    Health Care        1,930          160,125          0.69  

Linde PLC

    Materials        664          158,233          0.68  

Mastercard Inc

    Information Technology        451          152,554          0.66  

VeriSign Inc

    Information Technology        736          150,673          0.65  

Dollar General Corp

    Consumer Discretionary        708          148,480          0.64  

UnitedHealth Group Inc

    Health Care        462          143,934          0.62  

Danaher Corp

    Health Care        657          141,569          0.61  

Intuit Inc

    Information Technology        424          138,363          0.59  

Bristol Myers Squibb Co

    Health Care        2,276          137,205          0.59  

Gartner Inc

    Information Technology        1,089          136,113          0.59  

McDonald’s Corp

    Consumer Discretionary        607          133,136          0.57  

Hershey Co/The

    Consumer Staples        903          129,393          0.56  

Liberty Broadband Corp

    Communication Services        893          127,562          0.55  

Newmont Corp

    Materials        2,001          126,960          0.55  

General Mills Inc

    Consumer Staples        2,038          125,704          0.54  

AbbVie Inc

    Health Care        1,421          124,475          0.54  

Progressive Corp/The

    Financials        1,314          124,370          0.53  

Vertex Pharmaceuticals Inc

    Health Care        450          122,567          0.53  

Procter & Gamble Co/The

    Consumer Staples        875          121,589          0.52  

Delta Air Lines Inc

    Industrials        3,974          121,511          0.52  

Verizon Communications Inc

    Communication Services        2,018          120,069          0.52  

Charles River Laboratories International

    Health Care        527          119,358          0.51  

QUALCOMM Inc

    Information Technology        1,009          118,729          0.51  

Chipotle Mexican Grill Inc

    Consumer Discretionary        95          118,102          0.51  

Thermo Fisher Scientific Inc

    Health Care        264          116,359          0.50  

Gilead Sciences Inc

    Health Care        1,838          116,143          0.50  

Discovery Inc

    Communication Services        5,309          115,583          0.50  

Discovery Inc

    Communication Services        5,808          113,828          0.49  

Take-Two Interactive Software Inc

    Communication Services        670          110,716          0.48  

Cisco Systems Inc

    Information Technology        2,754          108,492          0.47  

NIKE Inc

    Consumer Discretionary        863          108,380          0.47  

ServiceNow Inc

    Information Technology        222          107,690          0.46  

NortonLifeLock Inc

    Information Technology        5,144          107,196          0.46  

Sherwin-Williams Co/The

    Materials        153          106,840          0.46  

Edwards Lifesciences Corp

    Health Care        1,280          102,204          0.44  

Cognizant Technology Solutions Corp

    Information Technology        1,468          101,909          0.44  

Celanese Corp

    Materials        942          101,228          0.44  

JPMorgan Chase & Co

    Financials        1,024          98,551          0.42  

American Tower Corp

    Real Estate        401          97,033          0.42  

EPAM Systems Inc

    Information Technology        292          94,370          0.41  

Constellation Brands Inc

    Consumer Staples        495          93,800          0.40  

Zebra Technologies Corp

    Information Technology        368          92,934          0.40  

Coca-Cola Co/The

    Consumer Staples        1,863          91,992          0.40  

Abbott Laboratories

    Health Care        833          90,637          0.39  

Berkshire Hathaway Inc

    Financials        424          90,369          0.39  

PepsiCo Inc

    Consumer Staples        649          89,887          0.39  

Verisk Analytics Inc

    Industrials        484          89,679          0.39  

Regeneron Pharmaceuticals Inc

    Health Care        157          87,807          0.38  

CH Robinson Worldwide Inc

    Industrials        859          87,743          0.38  

F5 Networks Inc

    Information Technology        714          87,624          0.38  

Skyworks Solutions Inc

    Information Technology        600          87,232          0.38  

FirstEnergy Corp

    Utilities        3,028          86,945          0.37  

Fidelity National Information Services I

    Information Technology        584          86,014          0.37  

Dominion Energy Inc

    Utilities        1,077          85,038          0.37  

DexCom Inc

    Health Care        206          84,960          0.37  

Coupa Software Inc

    Information Technology        309          84,620          0.36  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

McCormick & Co Inc/MD

    Consumer Staples        436        $ 84,558          0.36 % 

Marsh & McLennan Cos Inc

    Financials        737          84,499          0.36  

Synopsys Inc

    Information Technology        392          83,937          0.36  

Target Corp

    Consumer Discretionary        529          83,306          0.36  

Eli Lilly and Co

    Health Care        562          83,121          0.36  

Cerner Corp

    Health Care        1,146          82,850          0.36  

Intel Corp

    Information Technology        1,597          82,679          0.36  

Crown Castle International Corp

    Real Estate        491          81,748          0.35  

ABIOMED Inc

    Health Care        294          81,332          0.35  

Aon PLC

    Financials        391          80,634          0.35  

FedEx Corp

    Industrials        317          79,673          0.34  

Morgan Stanley

    Financials        1,635          79,072          0.34  

MarketAxess Holdings Inc

    Financials        164          79,042          0.34  

Clorox Co/The

    Consumer Staples        372          78,106          0.34  

RenaissanceRe Holdings Ltd

    Financials        457          77,568          0.33  

Henry Schein Inc

    Health Care        1,317          77,386          0.33  

Dell Technologies Inc

    Information Technology        1,128          76,388          0.33  

Seagate Technology PLC

    Information Technology        1,536          75,679          0.33  

Accenture PLC

    Information Technology        335          75,613          0.33  

Mettler-Toledo International Inc

    Health Care        78          75,404          0.32  

New York Times Co/The

    Communication Services        1,753          75,026          0.32  

Copart Inc

    Industrials        710          74,685          0.32  

Comcast Corp

    Communication Services        1,612          74,591          0.32  

Live Nation Entertainment Inc

    Communication Services        1,381          74,434          0.32  

Workday Inc

    Information Technology        342          73,543          0.32  

Colgate-Palmolive Co

    Consumer Staples        949          73,189          0.31  

News Corp

    Communication Services        4,976          69,759          0.30  

Consolidated Edison Inc

    Utilities        888          69,081          0.30  

Waters Corp

    Health Care        346          67,628          0.29  

Electronic Arts Inc

    Communication Services        518          67,575          0.29  

Activision Blizzard Inc

    Communication Services        828          67,057          0.29  

DR Horton Inc

    Consumer Discretionary        884          66,853          0.29  

SBA Communications Corp

    Real Estate        210          66,833          0.29  

Moody’s Corp

    Financials        229          66,330          0.29  

CMS Energy Corp

    Utilities        1,073          65,903          0.28  

AutoZone Inc

    Consumer Discretionary        56          65,440          0.28  

Amgen Inc

    Health Care        256          65,135          0.28  

Dollar Tree Inc

    Consumer Discretionary        711          64,977          0.28  

Church & Dwight Co Inc

    Consumer Staples        693          64,905          0.28  

Illumina Inc

    Health Care        209          64,643          0.28  

Whirlpool Corp

    Consumer Discretionary        351          64,545          0.28  

ANSYS Inc

    Information Technology        196          64,066          0.28  

HD Supply Holdings Inc

    Industrials        1,531          63,132          0.27  

PVH Corp

    Consumer Discretionary        1,058          63,122          0.27  

Hormel Foods Corp

    Consumer Staples        1,277          62,417          0.27  

CME Group Inc

    Financials        373          62,413          0.27  

NextEra Energy Inc

    Utilities        223          61,760          0.27  

United Rentals Inc

    Industrials        354          61,699          0.27  

Xcel Energy Inc

    Utilities        886          61,131          0.26  

Allstate Corp/The

    Financials        647          60,877          0.26  

Motorola Solutions Inc

    Information Technology        385          60,445          0.26  

DENTSPLY SIRONA Inc

    Health Care        1,378          60,269          0.26  

Campbell Soup Co

    Consumer Staples        1,238          59,882          0.26  

WEC Energy Group Inc

    Utilities        617          59,754          0.26  

Xilinx Inc

    Information Technology        572          59,587          0.26  

AT&T Inc

    Communication Services        2,090          59,581          0.26  

Atmos Energy Corp

    Utilities        619          59,125          0.25  

IQVIA Holdings Inc

    Health Care        374          59,024          0.25  

Applied Materials Inc

    Information Technology        970          57,680          0.25  

Pfizer Inc

    Health Care        1,557          57,129          0.25  

T-Mobile US Inc

    Communication Services        499          57,086          0.25  

Exact Sciences Corp

    Health Care        558          56,868          0.24  

Cboe Global Markets Inc

    Financials        647          56,759          0.24  

CoStar Group Inc

    Industrials        67          56,700          0.24  

Qorvo Inc

    Information Technology        439          56,656          0.24  

American Water Works Co Inc

    Utilities        388          56,186          0.24  

Medtronic PLC

    Health Care        538          55,920          0.24  

J M Smucker Co/The

    Consumer Staples        482          55,634          0.24  

3M Co

    Industrials        346          55,434          0.24  

Kimberly-Clark Corp

    Consumer Staples        375          55,395          0.24  

Public Storage

    Real Estate        248          55,250          0.24  

Duke Energy Corp

    Utilities        622          55,088          0.24  

AGNC Investment Corp

    Financials        3,943          54,841          0.24  

Waste Management Inc

    Industrials        483          54,635          0.23  

Citrix Systems Inc

    Information Technology        395          54,374          0.23  

Lennar Corp

    Consumer Discretionary        665          54,313          0.23  

Old Dominion Freight Line Inc

    Industrials        293          53,067          0.23  

Philip Morris International Inc

    Consumer Staples        685          51,394          0.22  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Tyler Technologies Inc

    Information Technology        147        $ 51,324          0.22 % 

Yum! Brands Inc

    Consumer Discretionary        562          51,291          0.22  

Becton Dickinson and Co

    Health Care        219          50,846          0.22  

LKQ Corp

    Consumer Discretionary        1,825          50,617          0.22  

Burlington Stores Inc

    Consumer Discretionary        245          50,593          0.22  

Ameren Corp

    Utilities        631          49,933          0.21  

Pegasystems Inc

    Information Technology        410          49,637          0.21  

Illinois Tool Works Inc

    Industrials        256          49,424          0.21  

Amphenol Corp

    Information Technology        456          49,376          0.21  

Ameriprise Financial Inc

    Financials        319          49,178          0.21  

Intercontinental Exchange Inc

    Financials        491          49,146          0.21  

Southern Co/The

    Utilities        902          48,881          0.21  

Kellogg Co

    Consumer Staples        732          47,296          0.20  

Northern Trust Corp

    Financials        600          46,746          0.20  

Williams Cos Inc/The

    Energy        2,367          46,520          0.20  

West Pharmaceutical Services Inc

    Health Care        167          45,892          0.20  

Eversource Energy

    Utilities        545          45,566          0.20  

Republic Services Inc

    Industrials        483          45,110          0.19  

MSCI Inc

    Financials        125          44,420          0.19  

Union Pacific Corp

    Industrials        224          44,129          0.19  

HCA Healthcare Inc

    Health Care        353          44,026          0.19  

Mondelez International Inc

    Consumer Staples        761          43,724          0.19  

Cadence Design Systems Inc

    Information Technology        409          43,627          0.19  

Paychex Inc

    Information Technology        544          43,430          0.19  

Digital Realty Trust Inc

    Real Estate        294          43,116          0.19  

T Rowe Price Group Inc

    Financials        334          42,871          0.18  

United Therapeutics Corp

    Health Care        422          42,579          0.18  

Ralph Lauren Corp

    Consumer Discretionary        624          42,440          0.18  

Rockwell Automation Inc

    Industrials        190          41,911          0.18  

Western Digital Corp

    Information Technology        1,144          41,812          0.18  

Genuine Parts Co

    Consumer Discretionary        439          41,773          0.18  

Incyte Corp

    Health Care        460          41,325          0.18  

Amdocs Ltd

    Information Technology        715          41,069          0.18  

Advance Auto Parts Inc

    Consumer Discretionary        266          40,850          0.18  

Honeywell International Inc

    Industrials        245          40,333          0.17  

Keysight Technologies Inc

    Information Technology        405          40,045          0.17  

Las Vegas Sands Corp

    Consumer Discretionary        855          39,877          0.17  

Baxter International Inc

    Health Care        494          39,692          0.17  

Masco Corp

    Industrials        713          39,334          0.17  

Credit Acceptance Corp

    Financials        116          39,303          0.17  

Chevron Corp

    Energy        541          38,929          0.17  

NiSource Inc

    Utilities        1,763          38,775          0.17  

Arthur J Gallagher & Co

    Financials        364          38,445          0.17  

Lowe’s Cos Inc

    Consumer Discretionary        230          38,111          0.16  

Rollins Inc

    Industrials        686          37,190          0.16  

Exelon Corp

    Utilities        1,034          36,959          0.16  

American Express Co

    Financials        364          36,457          0.16  

Robert Half International Inc

    Industrials        682          36,109          0.16  

AmerisourceBergen Corp

    Health Care        364          35,269          0.15  

Camden Property Trust

    Real Estate        396          35,258          0.15  

Guardant Health Inc

    Health Care        308          34,412          0.15  

A O Smith Corp

    Industrials        647          34,156          0.15  

Invitation Homes Inc

    Real Estate        1,205          33,720          0.14  

PPG Industries Inc

    Materials        276          33,690          0.14  

SVB Financial Group

    Financials        140          33,625          0.14  

Newell Brands Inc

    Consumer Discretionary        1,932          33,157          0.14  

Charter Communications Inc

    Communication Services        52          32,205          0.14  

Pinnacle West Capital Corp

    Utilities        430          32,075          0.14  

Tractor Supply Co

    Consumer Discretionary        221          31,693          0.14  

Ingersoll Rand Inc

    Industrials        889          31,660          0.14  

Sarepta Therapeutics Inc

    Health Care        217          30,424          0.13  

Quanta Services Inc

    Industrials        573          30,279          0.13  

US Bancorp

    Financials        843          30,210          0.13  

Emerson Electric Co

    Industrials        460          30,148          0.13  

Huntington Bancshares Inc/OH

    Financials        3,274          30,019          0.13  

Gentex Corp

    Consumer Discretionary        1,162          29,928          0.13  

ICU Medical Inc

    Health Care        163          29,824          0.13  

Travelers Cos Inc/The

    Financials        270          29,198          0.13  

Ecolab Inc

    Materials        141          28,207          0.12  

Edison International

    Utilities        553          28,096          0.12  

Packaging Corp of America

    Materials        257          27,972          0.12  

Leggett & Platt Inc

    Consumer Discretionary        669          27,531          0.12  

OneMain Holdings Inc

    Financials        877          27,403          0.12  

American Electric Power Co Inc

    Utilities        329          26,924          0.12  

Alliant Energy Corp

    Utilities        517          26,691          0.11  

Jack Henry & Associates Inc

    Information Technology        163          26,457          0.11  

NRG Energy Inc

    Utilities        853          26,221          0.11  

LyondellBasell Industries NV

    Materials        369          26,015          0.11  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

News Corp

    Communication Services        1,852        $ 25,892          0.11 % 

ConocoPhillips

    Energy        774          25,425          0.11  

Advanced Micro Devices Inc

    Information Technology        310          25,414          0.11  

Bruker Corp

    Health Care        631          25,090          0.11  

Mohawk Industries Inc

    Consumer Discretionary        256          24,964          0.11  

Comerica Inc

    Financials        649          24,842          0.11  

IDEX Corp

    Industrials        136          24,763          0.11  

First Horizon National Corp

    Financials        2,584          24,370          0.10  

Nexstar Media Group Inc

    Communication Services        265          23,848          0.10  

Entergy Corp

    Utilities        240          23,680          0.10  

PayPal Holdings Inc

    Information Technology        119          23,514          0.10  

EOG Resources Inc

    Energy        650          23,359          0.10  

Gaming and Leisure Properties Inc

    Real Estate        615          22,695          0.10  

Everest Re Group Ltd

    Financials        114          22,510          0.10  

Host Hotels & Resorts Inc

    Real Estate        2,069          22,326          0.10  

Sysco Corp

    Consumer Staples        355          22,102          0.10  

Nucor Corp

    Materials        482          21,625          0.09  

Halliburton Co

    Energy        1,787          21,538          0.09  

Fortive Corp

    Industrials        280          21,317          0.09  

Dover Corp

    Industrials        191          20,703          0.09  

ResMed Inc

    Health Care        121          20,660          0.09  

Tyson Foods Inc

    Consumer Staples        347          20,626          0.09  

Autodesk Inc

    Information Technology        89          20,474          0.09  

Synchrony Financial

    Financials        766          20,040          0.09  

Huntington Ingalls Industries Inc

    Industrials        141          19,900          0.09  

Best Buy Co Inc

    Consumer Discretionary        178          19,779          0.09  

DTE Energy Co

    Utilities        170          19,556          0.08  

Cooper Cos Inc/The

    Health Care        58          19,524          0.08  

salesforce.com Inc

    Information Technology        74          18,680          0.08  

eBay Inc

    Consumer Discretionary        358          18,666          0.08  

Bio-Rad Laboratories Inc

    Health Care        36          18,491          0.08  

Air Products and Chemicals Inc

    Materials        62          18,437          0.08  

Walgreens Boots Alliance Inc

    Consumer Staples        511          18,369          0.08  

Hanesbrands Inc

    Consumer Discretionary        1,157          18,217          0.08  

Eastman Chemical Co

    Materials        226          17,621          0.08  

Conagra Brands Inc

    Consumer Staples        485          17,332          0.07  

Cabot Oil & Gas Corp

    Energy        998          17,328          0.07  

Dow Inc

    Materials        365          17,154          0.07  

Align Technology Inc

    Health Care        52          17,117          0.07  

Pentair PLC

    Industrials        368          16,859          0.07  

Duke Realty Corp

    Real Estate        429          15,824          0.07  

Lam Research Corp

    Information Technology        48          15,790          0.07  

Fortune Brands Home & Security Inc

    Industrials        176          15,194          0.07  

Phillips 66

    Energy        290          15,048          0.06  

Roper Technologies Inc

    Industrials        36          14,359          0.06  

CenterPoint Energy Inc

    Utilities        733          14,187          0.06  

Xylem Inc/NY

    Industrials        156          13,096          0.06  

National Oilwell Varco Inc

    Energy        1,437          13,018          0.06  

Schlumberger NV

    Energy        818          12,733          0.05  

Aptiv PLC

    Consumer Discretionary        136          12,446          0.05  

IPG Photonics Corp

    Information Technology        68          11,477          0.05  

Kraft Heinz Co/The

    Consumer Staples        379          11,341          0.05  

AES Corp/The

    Utilities        608          11,015          0.05  

Assurant Inc

    Financials        91          10,979          0.05  

Public Service Enterprise Group Inc

    Utilities        173          9,489          0.04  

International Business Machines Corp

    Information Technology        77          9,386          0.04  

Stanley Black & Decker Inc

    Industrials        57          9,242          0.04  

CVS Health Corp

    Health Care        143          8,353          0.04  

Bank of America Corp

    Financials        344          8,280          0.04  

Cigna Corp

    Health Care        46          7,825          0.03  

Anthem Inc

    Health Care        29          7,683          0.03  

Broadcom Inc

    Information Technology        20          7,432          0.03  

Hologic Inc

    Health Care        108          7,185          0.03  

Citigroup Inc

    Financials        161          6,934          0.03  

Fiserv Inc

    Information Technology        66          6,814          0.03  

HP Inc

    Information Technology        358          6,808          0.03  

CenturyLink Inc

    Communication Services        672          6,778          0.03  

International Paper Co

    Materials        167          6,758          0.03  

Alexandria Real Estate Equities Inc

    Real Estate        42          6,640          0.03  

PerkinElmer Inc

    Health Care        53          6,621          0.03  

Fortinet Inc

    Information Technology        56          6,547          0.03  

DaVita Inc

    Health Care        75          6,466          0.03  

Mylan NV

    Health Care        424          6,290          0.03  

Leidos Holdings Inc

    Information Technology        70          6,271          0.03  

Fox Corp

    Communication Services        223          6,218          0.03  

Centene Corp

    Health Care        104          6,086          0.03  

Avery Dennison Corp

    Materials        47          6,055          0.03  

Fox Corp

    Communication Services        216          6,047          0.03  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

DXC Technology Co

    Information Technology        328        $ 5,859          0.03 % 

Universal Health Services Inc

    Health Care        54          5,821          0.03  

Molson Coors Beverage Co

    Consumer Staples        171          5,736          0.02  

McKesson Corp

    Health Care        38          5,692          0.02  

Invesco Ltd

    Financials        498          5,688          0.02  

ViacomCBS Inc

    Communication Services        196          5,490          0.02  

Akamai Technologies Inc

    Information Technology        49          5,417          0.02  

CDW Corp/DE

    Information Technology        44          5,269          0.02  

NetApp Inc

    Information Technology        117          5,150          0.02  

Alexion Pharmaceuticals Inc

    Health Care        44          5,071          0.02  

Juniper Networks Inc

    Information Technology        234          5,041          0.02  

FLIR Systems Inc

    Information Technology        140          5,010          0.02  

Laboratory Corp of America Holdings

    Health Care        26          4,944          0.02  

Unum Group

    Financials        290          4,885          0.02  

Biogen Inc

    Health Care        17          4,855          0.02  

General Electric Co

    Industrials        774          4,822          0.02  

Hartford Financial Services Group Inc/Th

    Financials        129          4,771          0.02  

Aflac Inc

    Financials        128          4,645          0.02  

TE Connectivity Ltd

    Information Technology        46          4,515          0.02  

Global Payments Inc

    Information Technology        25          4,497          0.02  

Principal Financial Group Inc

    Financials        111          4,476          0.02  

Citizens Financial Group Inc

    Financials        175          4,422          0.02  

FleetCor Technologies Inc

    Information Technology        19          4,410          0.02  

Wells Fargo & Co

    Financials        185          4,355          0.02  

Ford Motor Co

    Consumer Discretionary        649          4,324          0.02  

Perrigo Co PLC

    Health Care        93          4,284          0.02  

Bank of New York Mellon Corp/The

    Financials        123          4,211          0.02  

Cardinal Health Inc

    Health Care        88          4,128          0.02  

Hewlett Packard Enterprise Co

    Information Technology        432          4,047          0.02  

Fifth Third Bancorp

    Financials        188          4,014          0.02  

Microchip Technology Inc

    Information Technology        38          3,855          0.02  

BlackRock Inc

    Financials        7          3,832          0.02  

Agilent Technologies Inc

    Health Care        38          3,787          0.02  

Interpublic Group of Cos Inc/The

    Communication Services        225          3,756          0.02  

Southwest Airlines Co

    Industrials        96          3,614          0.02  

Arista Networks Inc

    Information Technology        17          3,542          0.02  

Omnicom Group Inc

    Communication Services        72          3,540          0.02  

Western Union Co/The

    Information Technology        162          3,477          0.01  

Kohl’s Corp

    Consumer Discretionary        186          3,454          0.01  

PulteGroup Inc

    Consumer Discretionary        73          3,375          0.01  

Altria Group Inc

    Consumer Staples        87          3,352          0.01  

KeyCorp

    Financials        275          3,284          0.01  

Marathon Oil Corp

    Energy        794          3,248          0.01  

Carrier Global Corp

    Industrials        104          3,187          0.01  

Micron Technology Inc

    Information Technology        67          3,160          0.01  

Alaska Air Group Inc

    Industrials        85          3,126          0.01  

Eaton Corp PLC

    Industrials        30          3,038          0.01  

CSX Corp

    Industrials        39          3,005          0.01  

Parker-Hannifin Corp

    Industrials        15          2,989          0.01  

CBRE Group Inc

    Real Estate        62          2,918          0.01  

JB Hunt Transport Services Inc

    Industrials        23          2,845          0.01  

General Dynamics Corp

    Industrials        20          2,791          0.01  

Nielsen Holdings PLC

    Industrials        196          2,776          0.01  

BorgWarner Inc

    Consumer Discretionary        71          2,743          0.01  

M&T Bank Corp

    Financials        29          2,699          0.01  

Westinghouse Air Brake Technologies Corp

    Industrials        43          2,655          0.01  

Evergy Inc

    Utilities        52          2,633          0.01  

Zions Bancorp NA

    Financials        90          2,624          0.01  

Automatic Data Processing Inc

    Information Technology        18          2,518          0.01  

Westrock Co

    Materials        72          2,509          0.01  

State Street Corp

    Financials        42          2,504          0.01  

Cummins Inc

    Industrials        12          2,476          0.01  

Snap-on Inc

    Industrials        17          2,449          0.01  

CarMax Inc

    Consumer Discretionary        24          2,220          0.01  

O’Reilly Automotive Inc

    Consumer Discretionary        5          2,162          0.01  

Raymond James Financial Inc

    Financials        30          2,150          0.01  

Ulta Beauty Inc

    Consumer Discretionary        9          2,101          0.01  

Hilton Worldwide Holdings Inc

    Consumer Discretionary        25          2,101          0.01  

Analog Devices Inc

    Information Technology        18          2,053          0.01  

General Motors Co

    Consumer Discretionary        68          2,019          0.01  

Marriott International Inc/MD

    Consumer Discretionary        22          2,019          0.01  

Quest Diagnostics Inc

    Health Care        17          1,986          0.01  

Mosaic Co/The

    Materials        106          1,945          0.01  

NVR Inc

    Consumer Discretionary        0          1,915          0.01  

AMETEK Inc

    Industrials        19          1,841          0.01  

Franklin Resources Inc

    Financials        89          1,813          0.01  

Flowserve Corp

    Industrials        66          1,811          0.01  

Zimmer Biomet Holdings Inc

    Health Care        13          1,724          0.01  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Corning Inc

    Information Technology        53        $ 1,710          0.01 % 

Baker Hughes Co

    Energy        127          1,683          0.01  

HollyFrontier Corp

    Energy        84          1,664          0.01  

Valero Energy Corp

    Energy        36          1,574          0.01  

Teledyne Technologies Inc

    Industrials        5          1,455          0.01  

Kinder Morgan Inc

    Energy        118          1,451          0.01  

Expeditors International of Washington I

    Industrials        16          1,422          0.01  

DuPont de Nemours Inc

    Materials        25          1,405          0.01  

Johnson Controls International plc

    Industrials        34          1,389          0.01  

L Brands Inc

    Consumer Discretionary        43          1,380          0.01  

Marathon Petroleum Corp

    Energy        46          1,355          0.01  

Corteva Inc

    Materials        46          1,331          0.01  

CF Industries Holdings Inc

    Materials        41          1,253          0.01  

Martin Marietta Materials Inc

    Materials        5          1,214          0.01  

Concho Resources Inc

    Energy        27          1,190          0.01  

Trane Technologies PLC

    Industrials        9          1,137          0.00  

Carnival Corp

    Consumer Discretionary        73          1,107          0.00  

Regions Financial Corp

    Financials        95          1,095          0.00  

Jacobs Engineering Group Inc

    Industrials        11          1,022          0.00  

Vulcan Materials Co

    Materials        7          985          0.00  

Globe Life Inc

    Financials        10          768          0.00  

Tapestry Inc

    Consumer Discretionary        45          704          0.00  

Norwegian Cruise Line Holdings Ltd

    Consumer Discretionary        39          670          0.00  

Gap Inc/The

    Consumer Discretionary        32          539          0.00  

MGM Resorts International

    Consumer Discretionary        21          464          0.00  

Sealed Air Corp

    Materials        11          419          0.00  

Under Armour Inc

    Consumer Discretionary        29          321          0.00  

Under Armour Inc

    Consumer Discretionary        31          307          0.00  

Devon Energy Corp

    Energy        29          273          0.00  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

SAP SE

    Information Technology        3,411        $ 530,832          3.71 % 

Enel SpA

    Utilities        34,360          298,778          2.09  

Koninklijke Ahold Delhaize NV

    Consumer Staples        8,596          254,440          1.78  

L’Oreal SA

    Consumer Staples        766          249,276          1.74  

Allianz SE

    Financials        1,204          230,975          1.61  

Danone SA

    Consumer Staples        3,425          221,674          1.55  

Schneider Electric SE

    Industrials        1,659          206,219          1.44  

TOTAL SE

    Energy        5,906          202,143          1.41  

Daimler AG

    Consumer Discretionary        3,724          200,938          1.40  

Deutsche Telekom AG

    Communication Services        11,925          199,759          1.40  

Bayer AG

    Health Care        3,152          196,974          1.38  

Deutsche Boerse AG

    Financials        1,116          196,009          1.37  

HelloFresh SE

    Consumer Discretionary        3,491          194,731          1.36  

Industria de Diseno Textil SA

    Consumer Discretionary        6,474          180,625          1.26  

Michelin

    Consumer Discretionary        1,680          180,586          1.26  

Adyen NV

    Information Technology        98          179,775          1.26  

Fresenius Medical Care AG & Co KGaA

    Health Care        2,014          170,018          1.19  

Kering SA

    Consumer Discretionary        246          163,929          1.15  

Fiat Chrysler Automobiles NV

    Consumer Discretionary        13,316          163,395          1.14  

Sanofi

    Health Care        1,541          154,169          1.08  

Beiersdorf AG

    Consumer Staples        1,314          149,367          1.04  

Suez SA

    Utilities        8,036          148,886          1.04  

BASF SE

    Materials        2,381          145,072          1.01  

Dassault Systemes SE

    Information Technology        716          134,113          0.94  

Nokian Renkaat Oyj

    Consumer Discretionary        4,693          132,852          0.93  

HeidelbergCement AG

    Materials        2,059          126,265          0.88  

Ubisoft Entertainment SA

    Communication Services        1,393          125,834          0.88  

Covestro AG

    Materials        2,493          123,763          0.86  

Deutsche Post AG

    Industrials        2,711          123,602          0.86  

FinecoBank Banca Fineco SpA

    Financials        8,947          123,279          0.86  

ArcelorMittal SA

    Materials        9,072          121,056          0.85  

Intesa Sanpaolo SpA

    Financials        64,200          120,632          0.84  

Euronext NV

    Financials        954          119,593          0.84  

Naturgy Energy Group SA

    Utilities        5,801          116,419          0.81  

Unilever NV

    Consumer Staples        1,825          110,180          0.77  

Iberdrola SA

    Utilities        8,704          107,228          0.75  

Brenntag AG

    Industrials        1,680          106,938          0.75  

Ageas SA/NV

    Financials        2,574          105,190          0.74  

Flutter Entertainment PLC

    Consumer Discretionary        657          104,503          0.73  

Carl Zeiss Meditec AG

    Health Care        824          104,311          0.73  

BioMerieux

    Health Care        660          103,476          0.72  

Smurfit Kappa Group PLC

    Materials        2,631          103,393          0.72  

Orion Oyj

    Health Care        2,225          100,859          0.70  

Air Liquide SA

    Materials        629          99,936          0.70  

UCB SA

    Health Care        876          99,606          0.70  

EXOR NV

    Financials        1,785          97,273          0.68  

Randstad NV

    Industrials        1,860          97,093          0.68  

MorphoSys AG

    Health Care        764          96,998          0.68  

Prysmian SpA

    Industrials        3,330          96,950          0.68  

Atos SE

    Information Technology        1,195          96,367          0.67  

Nokia Oyj

    Information Technology        24,538          96,357          0.67  

DiaSorin SpA

    Health Care        475          95,787          0.67  

Koninklijke KPN NV

    Communication Services        40,588          95,487          0.67  

Knorr-Bremse AG

    Industrials        794          93,632          0.65  

ACS Actividades de Construccion y Servic

    Industrials        4,121          93,554          0.65  

Recordati Industria Chimica e Farmaceuti

    Health Care        1,823          93,451          0.65  

Tenaris SA

    Energy        18,671          93,258          0.65  

CRH PLC

    Materials        2,512          90,886          0.64  

Carrefour SA

    Consumer Staples        5,649          90,488          0.63  

Elisa Oyj

    Communication Services        1,522          89,705          0.63  

ASM International NV

    Information Technology        614          88,015          0.62  

Enagas SA

    Utilities        3,810          87,955          0.61  

ASR Nederland NV

    Financials        2,559          86,096          0.60  

GEA Group AG

    Industrials        2,440          85,823          0.60  

Poste Italiane SpA

    Financials        9,527          84,514          0.59  

Amadeus IT Group SA

    Information Technology        1,505          83,935          0.59  

Vonovia SE

    Real Estate        1,215          83,438          0.58  

LANXESS AG

    Materials        1,436          82,390          0.58  

BE Semiconductor Industries NV

    Information Technology        1,856          79,624          0.56  

STMicroelectronics NV

    Information Technology        2,584          79,516          0.56  

Signify NV

    Industrials        2,145          79,417          0.55  

TeamViewer AG

    Information Technology        1,462          72,194          0.50  

Hannover Rueck SE

    Financials        458          71,037          0.50  

EDP—Energias de Portugal SA

    Utilities        14,412          70,870          0.50  

Hera SpA

    Utilities        19,132          70,691          0.49  

Eiffage SA

    Industrials        862          70,583          0.49  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

QIAGEN NV

    Health Care        1,352        $ 70,220          0.49 % 

Symrise AG

    Materials        503          69,615          0.49  

Telefonica Deutschland Holding AG

    Communication Services        27,005          69,291          0.48  

Kingspan Group PLC

    Industrials        757          68,933          0.48  

Colruyt SA

    Consumer Staples        1,057          68,613          0.48  

Worldline SA/France

    Information Technology        823          67,617          0.47  

Ipsen SA

    Health Care        637          66,906          0.47  

Cellnex Telecom SA

    Communication Services        1,084          66,098          0.46  

Kone Oyj

    Industrials        750          66,012          0.46  

SEB SA

    Consumer Discretionary        389          63,400          0.44  

Verbund AG

    Utilities        1,139          62,312          0.44  

Kesko Oyj

    Consumer Staples        2,358          60,797          0.42  

Kerry Group PLC

    Consumer Staples        470          60,284          0.42  

Bechtle AG

    Information Technology        291          58,915          0.41  

Cie de Saint-Gobain

    Industrials        1,366          57,648          0.40  

HOCHTIEF AG

    Industrials        739          57,552          0.40  

Huhtamaki Oyj

    Materials        1,162          57,447          0.40  

OMV AG

    Energy        2,078          57,005          0.40  

Legrand SA

    Industrials        712          56,911          0.40  

Solvay SA

    Materials        659          56,736          0.40  

Zalando SE

    Consumer Discretionary        583          54,615          0.38  

Grifols SA

    Health Care        1,885          54,341          0.38  

Wienerberger AG

    Materials        2,050          54,161          0.38  

Rexel SA

    Industrials        4,298          54,113          0.38  

Interpump Group SpA

    Industrials        1,435          53,341          0.37  

Deutsche Wohnen SE

    Real Estate        1,036          51,849          0.36  

Arkema SA

    Materials        480          51,039          0.36  

Koninklijke Vopak NV

    Energy        898          50,587          0.35  

Red Electrica Corp SA

    Utilities        2,661          49,948          0.35  

Jeronimo Martins SGPS SA

    Consumer Staples        3,072          49,346          0.34  

CTS Eventim AG & Co KGaA

    Communication Services        1,019          49,323          0.34  

E.ON SE

    Utilities        4,426          48,912          0.34  

Gecina SA

    Real Estate        365          48,273          0.34  

Wolters Kluwer NV

    Industrials        560          47,854          0.33  

Gerresheimer AG

    Health Care        427          47,739          0.33  

BAWAG Group AG

    Financials        1,305          47,127          0.33  

Cofinimmo SA

    Real Estate        312          46,826          0.33  

Terna Rete Elettrica Nazionale SpA

    Utilities        6,598          46,207          0.32  

Sartorius Stedim Biotech

    Health Care        134          46,203          0.32  

Eurofins Scientific SE

    Health Care        58          45,611          0.32  

Deutsche Lufthansa AG

    Industrials        5,243          45,233          0.32  

Nemetschek SE

    Information Technology        611          44,746          0.31  

Proximus SADP

    Communication Services        2,396          43,744          0.31  

Inmobiliaria Colonial Socimi SA

    Real Estate        5,192          42,936          0.30  

Hermes International

    Consumer Discretionary        50          42,903          0.30  

Merck KGaA

    Health Care        292          42,568          0.30  

Accor SA

    Consumer Discretionary        1,510          42,469          0.30  

Acciona SA

    Utilities        388          42,246          0.30  

ANDRITZ AG

    Industrials        1,333          41,183          0.29  

Koninklijke DSM NV

    Materials        249          40,992          0.29  

Iliad SA

    Communication Services        220          40,458          0.28  

ASML Holding NV

    Information Technology        108          40,023          0.28  

Publicis Groupe SA

    Communication Services        1,232          39,836          0.28  

LEG Immobilien AG

    Real Estate        274          39,102          0.27  

Orange SA

    Communication Services        3,739          38,942          0.27  

Snam SpA

    Utilities        7,488          38,523          0.27  

Elia Group SA/NV

    Utilities        385          38,421          0.27  

ProSiebenSat.1 Media SE

    Communication Services        2,910          38,227          0.27  

Pernod Ricard SA

    Consumer Staples        239          38,201          0.27  

Heineken NV

    Consumer Staples        422          37,574          0.26  

UPM-Kymmene Oyj

    Materials        1,146          34,907          0.24  

Viscofan SA

    Consumer Staples        520          34,651          0.24  

Siemens AG

    Industrials        273          34,578          0.24  

A2A SpA

    Utilities        23,534          34,206          0.24  

Sofina SA

    Financials        116          31,749          0.22  

Amplifon SpA

    Health Care        871          31,182          0.22  

Elis SA

    Industrials        2,435          30,850          0.22  

TAG Immobilien AG

    Real Estate        1,020          30,768          0.21  

Merlin Properties Socimi SA

    Real Estate        3,501          29,244          0.20  

Raiffeisen Bank International AG

    Financials        1,868          28,612          0.20  

RWE AG

    Utilities        760          28,487          0.20  

KBC Group NV

    Financials        566          28,383          0.20  

United Internet AG

    Communication Services        725          27,757          0.19  

Aalberts NV

    Industrials        752          27,158          0.19  

alstria office REIT-AG

    Real Estate        1,776          24,686          0.17  

Heineken Holding NV

    Consumer Staples        299          23,303          0.16  

Valmet Oyj

    Industrials        938          23,233          0.16  

Teleperformance

    Industrials        75          23,178          0.16  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

IMCD NV

    Industrials        185        $ 21,994          0.15 % 

Glanbia PLC

    Consumer Staples        2,058          21,255          0.15  

Linde PLC

    Materials        89          21,075          0.15  

Telecom Italia SpA/Milano

    Communication Services        52,184          20,921          0.15  

Endesa SA

    Utilities        764          20,450          0.14  

Ackermans & van Haaren NV

    Financials        153          19,866          0.14  

Rubis SCA

    Utilities        486          19,490          0.14  

Telefonica SA

    Communication Services        5,657          19,476          0.14  

Infineon Technologies AG

    Information Technology        681          19,237          0.13  

Evonik Industries AG

    Materials        732          18,966          0.13  

Rational AG

    Industrials        24          18,461          0.13  

Warehouses De Pauw CVA

    Real Estate        487          17,717          0.12  

Freenet AG

    Communication Services        862          17,444          0.12  

Remy Cointreau SA

    Consumer Staples        89          16,209          0.11  

Delivery Hero SE

    Consumer Discretionary        120          13,858          0.10  

Nexi SpA

    Information Technology        688          13,798          0.10  

Davide Campari-Milano NV

    Consumer Staples        1,223          13,360          0.09  

Siemens Gamesa Renewable Energy SA

    Industrials        492          13,314          0.09  

Argenx SE

    Health Care        50          13,074          0.09  

CANCOM SE

    Information Technology        243          12,585          0.09  

KION Group AG

    Industrials        145          12,468          0.09  

Rheinmetall AG

    Industrials        135          12,170          0.09  

Bureau Veritas SA

    Industrials        525          11,855          0.08  

EssilorLuxottica SA

    Consumer Discretionary        86          11,766          0.08  

Alstom SA

    Industrials        233          11,617          0.08  

Fresenius SE & Co KGaA

    Health Care        250          11,388          0.08  

Bayerische Motoren Werke AG

    Consumer Discretionary        152          11,061          0.08  

Kojamo Oyj

    Real Estate        498          10,710          0.07  

La Francaise des Jeux SAEM

    Consumer Discretionary        279          10,270          0.07  

BNP Paribas SA

    Financials        258          9,360          0.07  

Umicore SA

    Materials        215          8,969          0.06  

Sodexo SA

    Consumer Discretionary        120          8,618          0.06  

Grand City Properties SA

    Real Estate        338          8,178          0.06  

Capgemini SE

    Information Technology        62          7,938          0.06  

Scout24 AG

    Communication Services        88          7,662          0.05  

Vinci SA

    Industrials        91          7,649          0.05  

Aegon NV

    Financials        2,727          7,097          0.05  

Orpea

    Health Care        61          6,921          0.05  

Alten SA

    Information Technology        71          6,733          0.05  

Sopra Steria Group

    Information Technology        42          6,694          0.05  

Anheuser-Busch InBev SA/NV

    Consumer Staples        121          6,544          0.05  

Continental AG

    Consumer Discretionary        60          6,531          0.05  

Engie SA

    Utilities        482          6,448          0.05  

CNP Assurances

    Financials        515          6,445          0.05  

Credit Agricole SA

    Financials        726          6,360          0.04  

voestalpine AG

    Materials        238          6,286          0.04  

Banco de Sabadell SA

    Financials        17,864          6,224          0.04  

ING Groep NV

    Financials        870          6,174          0.04  

SPIE SA

    Industrials        339          6,107          0.04  

Banco BPM SpA

    Financials        3,412          5,778          0.04  

Stora Enso Oyj

    Materials        353          5,541          0.04  

AXA SA

    Financials        299          5,530          0.04  

Bollore SA

    Communication Services        1,325          4,950          0.03  

Galapagos NV

    Health Care        34          4,778          0.03  

Dialog Semiconductor PLC

    Information Technology        104          4,533          0.03  

Renault SA

    Consumer Discretionary        169          4,401          0.03  

Veolia Environnement SA

    Utilities        195          4,209          0.03  

Bouygues SA

    Industrials        120          4,183          0.03  

Atlantia SpA

    Industrials        239          3,768          0.03  

Siemens Energy AG

    N/A        137          3,686          0.03  

Mapfre SA

    Financials        2,135          3,346          0.02  

Assicurazioni Generali SpA

    Financials        230          3,246          0.02  

Fortum Oyj

    Utilities        158          3,204          0.02  

Erste Group Bank AG

    Financials        135          2,834          0.02  

CaixaBank SA

    Financials        1,315          2,796          0.02  

Edenred

    Information Technology        61          2,738          0.02  

Italgas SpA

    Utilities        330          2,085          0.01  

Faurecia SE

    Consumer Discretionary        48          2,063          0.01  

Thales SA

    Industrials        25          1,869          0.01  

Valeo SA

    Consumer Discretionary        59          1,827          0.01  

Siemens Healthineers AG

    Health Care        30          1,326          0.01  

Electricite de France SA

    Utilities        120          1,267          0.01  

Natixis SA

    Financials        517          1,165          0.01  

Puma SE

    Consumer Discretionary        12          1,120          0.01  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

 

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

 

  

Reckitt Benckiser Group PLC

    Consumer Staples        1,752        $ 170,962          4.72 % 

AstraZeneca PLC

    Health Care        1,406          153,548          4.24  

GlaxoSmithKline PLC

    Health Care        7,840          146,981          4.06  

Unilever PLC

    Consumer Staples        2,035          125,465          3.47  

Rio Tinto PLC

    Materials        1,401          84,209          2.33  

British American Tobacco PLC

    Consumer Staples        2,311          82,875          2.29  

Ocado Group PLC

    Consumer Discretionary        1,903          67,416          1.86  

Royal Dutch Shell PLC

    Energy        4,579          56,989          1.57  

SSE PLC

    Utilities        3,376          52,660          1.45  

Tate & Lyle PLC

    Consumer Staples        5,722          49,140          1.36  

ConvaTec Group PLC

    Health Care        19,816          45,744          1.26  

CRH PLC

    Materials        1,250          45,118          1.25  

Petropavlovsk PLC

    Materials        104,406          44,352          1.23  

Ferguson PLC

    Industrials        433          43,660          1.21  

Severn Trent PLC

    Utilities        1,386          43,631          1.21  

IG Group Holdings PLC

    Financials        3,916          40,022          1.11  

Pennon Group PLC

    Utilities        2,994          39,854          1.10  

Polymetal International PLC

    Materials        1,801          39,285          1.09  

Flutter Entertainment PLC

    Consumer Discretionary        240          37,988          1.05  

Plus500 Ltd

    Financials        1,875          37,961          1.05  

Croda International PLC

    Materials        468          37,740          1.04  

Smurfit Kappa Group PLC

    Materials        958          37,610          1.04  

Diageo PLC

    Consumer Staples        1,058          36,204          1.00  

Ashtead Group PLC

    Industrials        980          35,429          0.98  

Admiral Group PLC

    Financials        1,027          34,618          0.96  

Wm Morrison Supermarkets PLC

    Consumer Staples        15,696          34,482          0.95  

HSBC Holdings PLC

    Financials        8,717          33,931          0.94  

Imperial Brands PLC

    Consumer Staples        1,859          32,824          0.91  

Rentokil Initial PLC

    Industrials        4,594          31,770          0.88  

J Sainsbury PLC

    Consumer Staples        12,562          30,971          0.86  

Games Workshop Group PLC

    Consumer Discretionary        229          30,101          0.83  

Assura PLC

    Real Estate        30,197          30,098          0.83  

Royal Dutch Shell PLC

    Energy        2,439          29,606          0.82  

GVC Holdings PLC

    Consumer Discretionary        2,315          29,113          0.80  

Hikma Pharmaceuticals PLC

    Health Care        867          29,043          0.80  

Domino’s Pizza Group PLC

    Consumer Discretionary        5,964          28,106          0.78  

Spirax-Sarco Engineering PLC

    Industrials        191          27,328          0.75  

John Wood Group PLC

    Energy        9,678          26,591          0.73  

Evraz PLC

    Materials        5,963          26,531          0.73  

Segro PLC

    Real Estate        2,167          26,091          0.72  

Aviva PLC

    Financials        7,053          26,017          0.72  

Spirent Communications PLC

    Information Technology        7,020          25,920          0.72  

BHP Group PLC

    Materials        1,204          25,701          0.71  

Tesco PLC

    Consumer Staples        9,001          24,696          0.68  

Centamin PLC

    Materials        9,232          24,138          0.67  

UDG Healthcare PLC

    Health Care        2,391          23,848          0.66  

Fresnillo PLC

    Materials        1,506          23,282          0.64  

St James’s Place PLC

    Financials        1,877          22,563          0.62  

Glencore PLC

    Materials        10,857          22,563          0.62  

Cineworld Group PLC

    Communication Services        42,796          22,536          0.62  

Primary Health Properties PLC

    Real Estate        11,685          22,389          0.62  

Genus PLC

    Health Care        425          21,153          0.58  

Prudential PLC

    Financials        1,476          21,138          0.58  

B&M European Value Retail SA

    Consumer Discretionary        3,277          20,931          0.58  

Legal & General Group PLC

    Financials        8,529          20,740          0.57  

Antofagasta PLC

    Materials        1,538          20,319          0.56  

Intermediate Capital Group PLC

    Financials        1,314          20,238          0.56  

Rightmove PLC

    Communication Services        2,437          19,720          0.54  

Anglo American PLC

    Materials        810          19,627          0.54  

Persimmon PLC

    Consumer Discretionary        592          18,895          0.52  

United Utilities Group PLC

    Utilities        1,684          18,605          0.51  

Dunelm Group PLC

    Consumer Discretionary        997          17,979          0.50  

M&G PLC

    Financials        8,572          17,652          0.49  

Pets at Home Group Plc

    Consumer Discretionary        3,161          17,257          0.48  

Diploma PLC

    Industrials        602          17,115          0.47  

Halma PLC

    Information Technology        560          16,952          0.47  

Investec PLC

    Financials        8,957          16,515          0.46  

AO World PLC

    Consumer Discretionary        5,800          16,174          0.45  

Vodafone Group PLC

    Communication Services        12,104          16,047          0.44  

IMI PLC

    Industrials        1,177          15,955          0.44  

Experian PLC

    Industrials        414          15,590          0.43  

Pearson PLC

    Communication Services        2,148          15,234          0.42  

Royal Mail PLC

    Industrials        4,894          15,100          0.42  

Barclays PLC

    Financials        11,927          15,030          0.42  

Dechra Pharmaceuticals PLC

    Health Care        360          14,968          0.41  

IntegraFin Holdings PLC

    Financials        2,258          14,808          0.41  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Cranswick PLC

    Consumer Staples        309        $ 14,466          0.40 % 

G4S PLC

    Industrials        5,371          13,889          0.38  

Renishaw PLC

    Information Technology        191          13,877          0.38  

Centrica PLC

    Utilities        26,561          13,748          0.38  

Electrocomponents PLC

    Industrials        1,484          13,649          0.38  

Safestore Holdings PLC

    Real Estate        1,320          13,294          0.37  

Schroders PLC

    Financials        374          13,027          0.36  

Ferrexpo PLC

    Materials        5,603          12,775          0.35  

Grainger PLC

    Real Estate        3,297          12,651          0.35  

Drax Group PLC

    Utilities        3,665          12,596          0.35  

Standard Chartered PLC

    Financials        2,652          12,192          0.34  

John Laing Group PLC

    Industrials        2,979          12,062          0.33  

Avast PLC

    Information Technology        1,767          12,020          0.33  

KAZ Minerals PLC

    Materials        1,714          11,593          0.32  

Auto Trader Group PLC

    Communication Services        1,559          11,334          0.31  

Bunzl PLC

    Industrials        347          11,216          0.31  

OneSavings Bank PLC

    Financials        3,091          11,135          0.31  

DCC PLC

    Industrials        143          11,130          0.31  

Avon Rubber PLC

    Industrials        198          10,886          0.30  

BT Group PLC

    Communication Services        8,548          10,858          0.30  

Civitas Social Housing PLC

    Real Estate        7,924          10,803          0.30  

Aggreko PLC

    Industrials        2,236          10,674          0.29  

Quilter PLC

    Financials        6,309          10,443          0.29  

Lloyds Banking Group PLC

    Financials        30,479          10,372          0.29  

Phoenix Group Holdings PLC

    Financials        1,159          10,300          0.28  

Mediclinic International PLC

    Health Care        2,701          9,918          0.27  

C&C Group PLC

    Consumer Staples        3,889          9,842          0.27  

Sage Group PLC/The

    Information Technology        1,044          9,713          0.27  

Greencore Group PLC

    Consumer Staples        7,634          9,659          0.27  

Standard Life Aberdeen PLC

    Financials        3,309          9,655          0.27  

Howden Joinery Group PLC

    Industrials        1,263          9,633          0.27  

Compass Group PLC

    Consumer Discretionary        632          9,537          0.26  

Associated British Foods PLC

    Consumer Staples        391          9,433          0.26  

Cairn Energy PLC

    Energy        4,968          9,231          0.25  

Kingfisher PLC

    Consumer Discretionary        2,406          9,217          0.25  

Direct Line Insurance Group PLC

    Financials        2,632          9,154          0.25  

Hargreaves Lansdown PLC

    Financials        454          9,151          0.25  

Petrofac Ltd

    Energy        6,071          8,735          0.24  

Kainos Group PLC

    Information Technology        660          8,468          0.23  

Rotork PLC

    Industrials        2,273          8,281          0.23  

JD Sports Fashion PLC

    Consumer Discretionary        786          8,214          0.23  

Synthomer PLC

    Materials        1,990          8,130          0.22  

Ultra Electronics Holdings PLC

    Industrials        301          8,109          0.22  

Close Brothers Group PLC

    Financials        613          8,075          0.22  

Lancashire Holdings Ltd

    Financials        898          8,022          0.22  

Savills PLC

    Real Estate        792          7,970          0.22  

Wizz Air Holdings Plc

    Industrials        198          7,965          0.22  

Intertek Group PLC

    Industrials        95          7,775          0.21  

Man Group PLC/Jersey

    Financials        5,161          7,663          0.21  

IWG PLC

    Real Estate        2,281          7,657          0.21  

Liontrust Asset Management PLC

    Financials        476          7,620          0.21  

Countryside Properties PLC

    Consumer Discretionary        1,742          7,559          0.21  

888 Holdings PLC

    Consumer Discretionary        2,293          7,459          0.21  

Weir Group PLC/The

    Industrials        459          7,425          0.21  

Vistry Group PLC

    Consumer Discretionary        992          7,281          0.20  

AVEVA Group PLC

    Information Technology        108          6,670          0.18  

AJ Bell PLC

    Financials        1,119          6,514          0.18  

Dixons Carphone PLC

    Consumer Discretionary        5,329          6,420          0.18  

HomeServe PLC

    Industrials        395          6,295          0.17  

RSA Insurance Group PLC

    Financials        1,071          6,248          0.17  

DS Smith PLC

    Materials        1,581          6,016          0.17  

Pagegroup PLC

    Industrials        1,244          6,013          0.17  

Burberry Group PLC

    Consumer Discretionary        295          5,925          0.16  

Paragon Banking Group PLC

    Financials        1,374          5,908          0.16  

Computacenter PLC

    Information Technology        191          5,820          0.16  

Ninety One PLC

    Financials        2,186          5,758          0.16  

Spectris PLC

    Information Technology        182          5,736          0.16  

Polypipe Group plc

    Industrials        1,008          5,634          0.16  

RHI Magnesita NV

    Materials        172          5,633          0.16  

Ashmore Group PLC

    Financials        1,191          5,510          0.15  

Jupiter Fund Management PLC

    Financials        1,903          5,504          0.15  

Vesuvius PLC

    Industrials        1,076          5,495          0.15  

Bank of Georgia Group PLC

    Financials        474          5,466          0.15  

Melrose Industries PLC

    Industrials        3,656          5,451          0.15  

XP Power Ltd

    Industrials        94          5,369          0.15  

PZ Cussons PLC

    Consumer Staples        1,740          5,279          0.15  

Frasers Group PLC

    Consumer Discretionary        1,168          5,195          0.14  

LondonMetric Property PLC

    Real Estate        1,770          5,072          0.14  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

  

Hill & Smith Holdings PLC

    Materials        324        $ 4,989          0.14 % 

Coats Group PLC

    Consumer Discretionary        6,861          4,951          0.14  

Firstgroup PLC

    Industrials        10,002          4,918          0.14  

Playtech Plc

    Consumer Discretionary        1,042          4,882          0.13  

Serco Group PLC

    Industrials        2,907          4,774          0.13  

Telecom Plus PLC

    Utilities        272          4,696          0.13  

FDM Group Holdings PLC

    Information Technology        349          4,581          0.13  

Softcat PLC

    Information Technology        293          4,574          0.13  

Morgan Sindall Group PLC

    Industrials        308          4,538          0.13  

Biffa PLC

    Industrials        1,597          4,485          0.12  

William Hill PLC

    Consumer Discretionary        1,228          4,406          0.12  

Just Group PLC

    Financials        7,564          4,389          0.12  

Go-Ahead Group PLC/The

    Industrials        558          4,176          0.12  

SSP Group Plc

    Consumer Discretionary        1,792          4,175          0.12  

Tritax Big Box REIT PLC

    Real Estate        2,085          4,172          0.12  

Hilton Food Group PLC

    Consumer Staples        268          4,135          0.11  

Brewin Dolphin Holdings PLC

    Financials        1,358          4,093          0.11  

Meggitt PLC

    Industrials        1,227          4,080          0.11  

PayPoint PLC

    Industrials        612          3,983          0.11  

Land Securities Group PLC

    Real Estate        561          3,781          0.10  

Natwest Group PLC

    Financials        2,670          3,656          0.10  

Next PLC

    Consumer Discretionary        47          3,603          0.10  

AG Barr PLC

    Consumer Staples        571          3,592          0.10  

Marks & Spencer Group PLC

    Consumer Discretionary        2,852          3,591          0.10  

Travis Perkins PLC

    Industrials        247          3,458          0.10  

TBC Bank Group PLC

    Financials        256          3,350          0.09  

4imprint Group PLC

    Communication Services        130          3,137          0.09  

Sabre Insurance Group PLC

    Financials        943          3,097          0.09  

LXI REIT plc

    Real Estate        2,189          3,052          0.08  

Inchcape PLC

    Consumer Discretionary        534          3,040          0.08  

Moneysupermarket.com Group PLC

    Consumer Discretionary        870          3,002          0.08  

Morgan Advanced Materials PLC

    Industrials        971          2,984          0.08  

Chemring Group PLC

    Industrials        955          2,978          0.08  

Big Yellow Group PLC

    Real Estate        221          2,966          0.08  

PureTech Health PLC

    Health Care        885          2,909          0.08  

Clarkson PLC

    Industrials        99          2,885          0.08  

Berkeley Group Holdings PLC

    Consumer Discretionary        53          2,883          0.08  

easyJet PLC

    Industrials        405          2,625          0.07  

James Fisher & Sons PLC

    Industrials        178          2,600          0.07  

Johnson Matthey PLC

    Materials        85          2,593          0.07  

Rolls-Royce Holdings PLC

    Industrials        1,521          2,552          0.07  

Sirius Real Estate Ltd

    Real Estate        2,644          2,492          0.07  

Bodycote PLC

    Industrials        326          2,454          0.07  

TI Fluid Systems PLC

    Consumer Discretionary        1,202          2,389          0.07  

Bellway PLC

    Consumer Discretionary        61          1,856          0.05  

Mitchells & Butlers PLC

    Consumer Discretionary        1,038          1,815          0.05  

ContourGlobal PLC

    Utilities        718          1,795          0.05  

Equiniti Group PLC

    Information Technology        1,169          1,720          0.05  

J D Wetherspoon PLC

    Consumer Discretionary        159          1,713          0.05  

CLS Holdings PLC

    Real Estate        578          1,591          0.04  

Workspace Group PLC

    Real Estate        225          1,564          0.04  

Micro Focus International PLC

    Information Technology        452          1,437          0.04  

Vivo Energy PLC

    Consumer Discretionary        1,452          1,406          0.04  

Rathbone Brothers PLC

    Financials        69          1,373          0.04  

Great Portland Estates PLC

    Real Estate        174          1,346          0.04  

Watches of Switzerland Group PLC

    Consumer Discretionary        283          1,229          0.03  

Crest Nicholson Holdings plc

    Consumer Discretionary        417          1,063          0.03  

Trainline PLC

    Consumer Discretionary        206          965          0.03  

WH Smith PLC

    Consumer Discretionary        78          955          0.03  

GCP Student Living PLC

    Real Estate        566          902          0.02  

Oxford Instruments PLC

    Information Technology        44          900          0.02  

Rank Group PLC

    Consumer Discretionary        657          791          0.02  

BMO Commercial Property Trust Ltd

    Real Estate        769          641          0.02  

PPHE Hotel Group Ltd

    Consumer Discretionary        35          449          0.01  

TalkTalk Telecom Group PLC

    Communication Services        381          395          0.01  

GOLDMAN SACHS ALTERNATIVE PREMIA FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

PURCHASED OPTIONS CONTRACTS — At September 30, 2020, the Fund had the following :

 

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

 

  

Purchased options contracts:

 

      

Calls

 

      

CBOE Volatility Index

   Morgan Stanley Co., Inc.   35     USD       10/21/2020       230        $  606,510     $ 37,950     $  101,835     $  (63,885 ) 
    30     USD       11/18/2020       270          711,990       167,400       134,976       32,424  
    32.50     USD       12/16/2020       250          659,250       122,500       113,605       8,895  

 

  

Total purchased options contracts

 

     750          $  327,850     $ 350,416     $  (22,566 ) 

 

  

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Schedule of Investments

September 30, 2020 (Unaudited)

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Mortgage-Backed Securities – 3.2%

FHLMC – 1.7%

$

     24,653       5.000 %    11/01/2025   $         27,016
    22,612       5.000     08/01/2028   24,964
    10,390       5.000     01/01/2033   11,883
    262       5.000     03/01/2033   300
    5,628       5.000     04/01/2033   6,448
    576       5.000     05/01/2033   659
    1,995       5.000     06/01/2033   2,285
    15,653       5.000     07/01/2033   17,935
    22,975       5.000     08/01/2033   26,314
    1,740       5.000     09/01/2033   1,994
    4,857       5.000     10/01/2033   5,566
    11,197       5.000     11/01/2033   12,828
    5,500       5.000     12/01/2033   6,302
    4,674       5.000     01/01/2034   5,355
    16,468       5.000     02/01/2034   18,889
    7,028       5.000     03/01/2034   8,088
    13,579       5.000     04/01/2034   15,640
    17,025       5.000     05/01/2034   19,512
    245,666       5.000     06/01/2034   281,633
    3,980       5.000     11/01/2034   4,584
    64,514       5.000     04/01/2035   73,917
    1,141,291       5.000     07/01/2035   1,314,476
    2,292       5.000     11/01/2035   2,627
    53,916       5.000     03/01/2036   62,031
    17,382       5.000     03/01/2037   19,916
    56,217       5.000     12/01/2037   64,412
    102,214       5.000     02/01/2038   117,116
    246,707       5.000     03/01/2038   282,733
    122,472       5.000     07/01/2038   140,356
    97,606       5.000     11/01/2038   111,859
    266,323       5.000     12/01/2038   305,145
    149,535       5.000     01/01/2039   171,370
    37,220       5.000     02/01/2039   42,655
    243,928       5.000     06/01/2041   279,485
       

 

        3,486,293

 

UMBS – 1.5%

    3,860       6.000     03/01/2034   4,518
    14,243       6.000     08/01/2034   16,749
    64,077       6.000     08/01/2035   76,402
    102,739       6.000     09/01/2035   122,962
    182,425       6.000     11/01/2035   218,263
    380,043       6.000     03/01/2036   452,776
    3,640       6.000     06/01/2036   4,338
    721,218       6.000     09/01/2036   824,249
    142,620       6.000     12/01/2036   171,495
    9,497       6.000     02/01/2037   11,332
    1,828       6.000     04/01/2037   2,147
    3,004       6.000     05/01/2037   3,588
    87,998       6.000     06/01/2037   105,507
    45,734       6.000     07/01/2037   54,839
    121,325       6.000     08/01/2037   143,961
    54,362       6.000     09/01/2037   65,297
    10,250       6.000     10/01/2037   12,327
    30,901       6.000     11/01/2037   37,176
    2,528       6.000     12/01/2037   3,040
    274,205       6.000     01/01/2038   329,555
    34,186       6.000     03/01/2038   41,090
    1,896       6.000     04/01/2038   2,275
    511       6.000     05/01/2038   577
    837       6.000     09/01/2038   1,008
    53,727       6.000     10/01/2038   64,460
    2,038       6.000     12/01/2038   2,446
Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
Mortgage-Backed Securities – (continued)

UMBS – (continued)

$

     1,897       6.000 %    01/01/2039   $           2,272
    6,981       4.000     08/01/2039   7,693
    24,812       4.500     02/01/2040   27,737
    2,151       6.000     04/01/2040   2,577
    90,092       6.000     06/01/2040   107,938
    208,557       6.000     05/01/2041   250,313
    80,765       4.500     08/01/2041   90,214
       

 

        3,261,121

 

TOTAL MORTGAGE-BACKED SECURITIES
(Cost $6,352,514)		   $    6,747,414

 

       
Collateralized Mortgage Obligations – 1.6%

Regular Floater(a)(b) – 0.1%

FHLMC REMIC Series 3371, Class FA

$

     140,557       0.752 %    09/15/2037   $       142,856

NCUA Guaranteed Notes Trust Series 2010-R1, Class 1A

    112,929       0.605     10/07/2020   112,953
       

 

        255,809

 

Sequential Fixed Rate – 1.5%

FHLMC REMIC Series 2755, Class ZA

    337,684       5.000     02/15/2034   381,581

FHLMC REMIC Series 4246, Class PT

    171,986       6.500     02/15/2036   204,695

FHLMC REMIC Series 4273, Class PD

    880,371       6.500     11/15/2043   1,067,757

FNMA REMIC Series 2012-111, Class B

    235,197       7.000     10/25/2042   290,758

FNMA REMIC Series 2012-153, Class B

    846,654       7.000     07/25/2042   1,069,637
       

 

        3,014,428

 

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $3,018,709)		   $    3,270,237

 

       
Commercial Mortgage-Backed Securities(a)(b) – 1.5%

Agency Multi-Family – 1.5%

FHLMC Multifamily Structured Pass-Through Certificates REMIC
Series K011, Class A2

$

     3,136,755       4.084 %    11/25/2020   $    3,144,559

FHLMC Multifamily Structured Pass-Through Certificates REMIC
Series K714, Class A2

    44,196       3.034     10/25/2020   44,211

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $3,642,789)		   $    3,188,770

 

       
Asset-Backed Securities(a)(b) – 0.1%

Home Equity – 0.1%

GMACM Home Equity Loan Trust Series 2007-HE3, Class 2A1

$

     50,970       7.000 %    09/25/2037   $         51,860

NCUA Guaranteed Notes Trust Series 2010-A1, Class A

    162,919       0.506     12/07/2020   162,527

 

TOTAL ASSET-BACKED SECURITIES
(Cost $213,889)		   $       214,387

 

 

GOLDMAN SACHS COMMODITY STRATEGY FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

Principal
Amount		     Interest
Rate		     Maturity
Date		   Value
U.S. Treasury Obligations – 6.5%

U.S. Treasury Bonds(c)

  

$

     1,100,000       2.750 %    11/15/2042   $    1,408,515
    1,990,000       3.750     11/15/2043   2,956,083
    20,000       3.375     05/15/2044   28,225
    4,780,000       3.000     05/15/2047   6,476,153

U.S. Treasury Notes

    2,490,000       2.625     12/31/2025   2,790,551
    40,000       1.375     08/31/2026   42,353

 

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $10,450,186)		   $  13,701,880

 

       

Shares

    

Dividend

Rate

   Value
Investment Company(d) – 70.5%

Goldman Sachs Financial Square Government Fund — Institutional Shares

    148,437,269       0.027%   $148,437,269
(Cost $148,437,269)  

 

TOTAL INVESTMENTS – 83.4%
(Cost $172,115,356)		   $175,559,957

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 16.6%

   34,998,479

 

NET ASSETS – 100.0%   $210,558,436

 

The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net assets.
(a)   Securities with “Call” features. Maturity dates disclosed are the final maturity dates.
(b)   Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on September 30, 2020.
(c)   All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(d)   Represents an Affiliated Issuer.

 

 

Investment Abbreviations:
FHLMC  

— Federal Home Loan Mortgage Corp.

FNMA  

— Federal National Mortgage Association

LIBOR  

— London Interbank Offered Rate

REMIC  

— Real Estate Mortgage Investment Conduit

UMBS  

— Uniform Mortgage-Backed Securities

Currency Abbreviation:
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 COMMODITY STRATEGY FUND

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

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

 

Description      Number of
Contracts		     

Expiration

Date

      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

 

  

Long position contracts:

 

3 Month Eurodollar

      1      12/14/2020      $ 249,387      $ 4,305  

U.S. Treasury Long Bond

      18      12/21/2020        3,170,813        23,488  

 

  

Total

                   $ 27,793  

 

  

Short position contracts:

                  

U.S. Treasury 2 Year Note

      (49)      12/31/2020        (10,825,938 )       (4,766 ) 

U.S. Treasury 5 Year Note

      (42)      12/31/2020        (5,292,328 )       (4,458 ) 

U.S. Treasury 10 Year Note

      (9)      12/21/2020        (1,255,500 )       (157 ) 

U.S. Treasury 10 Year Ultra Note

      (16)      12/21/2020        (2,556,750 )       4,007  

U.S. Treasury Ultra Bond

      (53)      12/21/2020        (11,734,531 )       (52,427 ) 

 

  

Total

                   $ (57,801 ) 

 

  

Total Futures Contracts

 

    $ (30,008 ) 

 

  

SWAP CONTRACTS — At September 30, 2020, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

 

Payments Made
by the Fund(a)		   

Payments

Received by

the Fund

      Termination
Date		      Notional
Amount
(000’s)(b)		        Value        Upfront
Premium
(Received)
Paid		        Unrealized
Appreciation/
(Depreciation)		  

 

  

1 Month LIBOR

    3 Month LIBOR      07/25/2024        USD  9,100        $ 5,623        $ 229        $ 5,394  

 

  

 

(a)   Payments made quarterly
(b)   Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2020.

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

 

Referenced
Obligation/Index(a)		   Financing Rate
Received (Paid) by
the Fund		     Counterparty   Termination
Date		     Notional
Amount
(000’s)		    

Unrealized
Appreciation/

(Depreciation)(b)

  

 

  
S&P GSCI Energy 1 Month Forward Index     (0.000)%     BNP Paribas SA     04/08/2021       USD  53,588     $ —  
S&P GSCI Energy 1 Month Forward Index     (0.000)     Macquarie Bank Ltd.     04/16/2021       53,785       —  
S&P GSCI Energy 1 Month Forward Index     (0.000)     Merrill Lynch & Co., Inc.     10/22/2020       84,044       —  
S&P GSCI Energy 1 Month Forward Index     (0.000)         10/26/2020       18,226       —  

 

  

TOTAL

           $ —  

 

  

 

(a)   Payments made monthly.
(b)   There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value.

GOLDMAN SACHS MANAGED FUTURES STRATEGY

 

Consolidated Schedule of Investments

September 30, 2020 (Unaudited)

 

Shares    

Dividend

Rate

   Value  
  Investment Companies(a) – 63.7%  
 

Goldman Sachs Financial Square Government Fund — Institutional
Shares

  
 
  160,391,235     0.027%   $ 160,391,235  

 

 

  
 
 TOTAL INVESTMENTS – 63.7%
(Cost $160,391,235)		   $ 160,391,235  

 

 

  
 
 OTHER ASSETS IN EXCESS OF
    LIABILITIES – 36.3%		     91,455,751  

 

 

  
  NET ASSETS – 100.0%   $ 251,846,986  

 

 

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

 

 

Investment Abbreviations:
BA  

— Banker Acceptance Rate

BBR  

— Bank Bill Reference Rate

BUBOR  

— Budapest Interbank Offered Rate

EURIBOR  

— Euro Interbank Offered Rate

JIBAR  

— Johannesburg Interbank Agreed Rate

LIBOR  

— London Interbank Offered Rate

PRIBOR  

— Prague Interbank Offered Rate

STIBOR  

— Stockholm Interbank Offered Rate

TIIE  

— Interbank Equilibrium Interest Rate

WIBOR  

— Warsaw Interbank Offered Rate

Currency Abbreviations:
AUD  

— Australian  Dollar

BRL  

— Brazilian Real

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

CLP  

— Chilean Peso

COP  

— Colombian Peso

CZK  

— Czech Koruna

EUR  

— Euro

GBP  

— British Pound

HUF  

— Hungarian Forint

IDR  

— Indonesian Rupiah

INR  

— Indian Rupee

JPY  

— Japanese Yen

KRW  

— South Korean Won

MXN  

— Mexican Peso

NOK  

— Norwegian Krone

NZD  

— New Zealand Dollar

PLN  

— Polish Zloty

RUB  

— Russian Ruble

SEK  

— Swedish Krona

TRY  

— Turkish Lira

USD  

— United States Dollar

ZAR  

— South African Rand

 

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 MANAGED FUTURES STRATEGY

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

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

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
Date		        Unrealized
Gain		  

 

  

Morgan Stanley Co., Inc.

     

CZK

      19,600,000          USD        849,578          12/16/2020        $ 390  
    

GBP

      4,467,000          USD        5,720,723          12/16/2020          46,175  
    

INR

      1,051,000,000          USD        14,122,168          12/16/2020          49,929  
    

JPY

      56,276,000          USD        530,353          12/16/2020          3,817  
    

KRW

      10,240,000,000          USD        8,627,685          12/16/2020          155,459  
    

USD

      1,470,813          AUD        2,020,000          12/16/2020          23,684  
    

USD

      3,990,372          BRL        22,380,000          10/02/2020          5,258  
    

USD

      2,470,588          BRL        13,740,000          11/04/2020          26,137  
    

USD

      142,277          CAD        187,000          12/16/2020          1,790  
    

USD

      7,708,302          CHF        7,011,000          12/16/2020          78,400  
    

USD

      5,202,229          COP        19,602,000,000          12/16/2020          100,750  
    

USD

      1,012,208          CZK        22,799,000          12/16/2020          23,513  
    

USD

      16,457,280          EUR        13,877,000          12/16/2020          158,535  
    

USD

      1,694,420          GBP        1,280,250          12/16/2020          41,618  
    

USD

      743,427          HUF        224,894,000          12/16/2020          18,929  
    

USD

      2,575,635          IDR        38,340,000,000          12/16/2020          18,817  
    

USD

      1,245,858          MXN        27,245,000          12/16/2020          24,448  
    

USD

      601,514          NZD        900,000          12/16/2020          6,159  
    

USD

      365,348          PLN        1,373,000          12/16/2020          10,067  
    

USD

      7,502,189          RUB        557,000,000          12/16/2020          388,264  
    

USD

      1,228,717          SEK        10,730,600          12/16/2020          29,368  
    

USD

      8,641,490          TRY        66,640,000          12/16/2020          206,225  
    

ZAR

      21,280,000          USD        1,253,749          12/17/2020          4,994  

 

  

TOTAL

                           $ 1,422,726  

 

  
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased		        Currency
Sold		        Settlement
Date		        Unrealized
Loss		  

 

  

Morgan Stanley Co., Inc.

     

AUD

      22,050,000          USD        16,092,822          12/16/2020        $ (296,203 ) 
    

CAD

      21,359,000          USD        16,302,743          12/16/2020          (256,374 ) 
    

CHF

      4,769,000          USD        5,249,626          12/16/2020          (59,638 ) 
    

CLP

      3,120,000,000          USD        4,045,120          12/16/2020          (67,771 ) 
    

COP

      23,100,000,000          USD        6,210,922          12/16/2020          (199,078 ) 
    

CZK

      151,305,000          USD        6,798,449          12/16/2020          (236,999 ) 
    

EUR

      39,591,000          USD        46,919,571          12/16/2020          (419,347 ) 
    

GBP

      5,930,000          USD        7,735,582          12/16/2020          (79,952 ) 
    

HUF

      1,724,844,000          USD        5,677,654          12/16/2020          (121,049 ) 
    

IDR

      121,500,000,000          USD        8,237,288          12/16/2020          (134,696 ) 
    

JPY

      396,000,000          USD        3,792,980          12/16/2020          (34,157 ) 
    

KRW

      1,740,000,000          USD        1,494,770          12/16/2020          (2,321 ) 
    

MXN

      97,568,000          USD        4,520,541          12/16/2020          (146,508 ) 
    

NOK

      50,500,000          USD        5,667,624          12/16/2020          (252,383 ) 
    

NZD

      10,080,000          USD        6,791,329          12/16/2020          (123,359 ) 
    

PLN

      29,536,000          USD        7,908,813          12/16/2020          (265,999 ) 
    

SEK

      79,174,000          USD        9,074,620          12/16/2020          (225,421 ) 
    

USD

      575,771          EUR        493,000          12/16/2020          (3,265 ) 
    

USD

      9,475,792          GBP        7,391,000          12/16/2020          (65,990 ) 
    

USD

      13,598,551          JPY        1,442,949,000          12/16/2020          (97,888 ) 
    

USD

      4,110,822          ZAR        70,008,000          12/17/2020          (30,255 ) 
    

ZAR

      79,400,000          USD        4,715,754          12/17/2020          (19,125 ) 

 

  

TOTAL

                           $ (3,137,778 ) 

 

  

GOLDMAN SACHS MANAGED FUTURES STRATEGY

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

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

 

Description     

Number of

Contracts

     

Expiration

Date

      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

 

  

Long position contracts:

                  

100 oz Gold

      19      12/29/2020      $ 3,593,850      $ 122,937  

Amsterdam Exchange Index

      46      10/16/2020        5,906,494        1,406  

CAC 40 10 Euro Index

      101      10/16/2020        5,685,222        (119,643 ) 

Coffee ‘C’

      46      12/18/2020        1,912,163        (142,284 ) 

Cotton No. 2

      92      12/08/2020        3,028,180        118,688  

DAX Index

      15      12/18/2020        5,618,527        13,356  

DJIA CBOT E-Mini Index

      24      12/18/2020        3,319,680        (11,219 ) 

EURO STOXX 50 Index

      88      12/18/2020        3,295,429        (92,975 ) 

Feeder Cattle

      10      11/19/2020        709,625        1,382  

FTSE 100 Index

      3      12/18/2020        226,127        111  

FTSE/JSE Top 40 Index

      202      12/17/2020        6,075,919        (264,113 ) 

FTSE/MIB Index

      54      12/18/2020        6,003,589        (98,818 ) 

Hang Seng Index

      23      10/29/2020        3,476,687        (39,089 ) 

HSCEI

      28      10/29/2020        1,694,441        (36,186 ) 

IBEX 35 Index

      2      10/16/2020        157,821        (146 ) 

KOSPI 200 Index

      55      12/10/2020        3,644,132        (17,318 ) 

LME Aluminum Base Metal

      63      10/21/2020        2,740,106        (50,400 ) 

LME Aluminum Base Metal

      79      11/18/2020        3,460,694        (49,025 ) 

LME Copper Base Metal

      24      10/21/2020        4,005,600        145,726  

LME Copper Base Metal

      23      11/18/2020        3,838,413        (20,871 ) 

LME Lead Base Metal

      51      10/21/2020        2,304,562        (187,457 ) 

LME Lead Base Metal

      63      11/18/2020        2,858,625        (177,119 ) 

LME Nickel Base Metal

      36      10/21/2020        3,129,192        33,837  

LME Nickel Base Metal

      35      11/18/2020        3,045,263        (70,927 ) 

LME Zinc Base Metal

      51      10/21/2020        3,048,525        (36,832 ) 

LME Zinc Base Metal

      56      11/18/2020        3,355,800        (55,685 ) 

MSCI Emerging Markets E-Mini Index

      20      12/18/2020        1,088,500        (10,568 ) 

NASDAQ 100 E-Mini Index

      12      12/18/2020        2,737,740        19,758  

Natural Gas

      12      10/28/2020        304,560        (36,393 ) 

Nikkei 225 Index

      14      12/10/2020        3,078,367        16,899  

OMXS30 Index

      300      10/16/2020        6,134,259        46,960  

RBOB Gasoline

      17      10/30/2020        840,235        14,162  

S&P 500 E-Mini Index

      214      12/18/2020        35,866,400        301,311  

S&P/TSX 60 Index

      70      12/17/2020        10,109,271        6,776  

SGX FTSE China A50 Index

      336      10/29/2020        5,080,320        (51,176 ) 

Silver

      13      12/29/2020        1,517,750        (290,894 ) 

Soybean

      36      11/13/2020        1,839,600        97,887  

SPI 200 Index

      70      12/17/2020        7,272,444        (30,867 ) 

Sugar No. 11

      170      02/26/2021        2,562,784        178,104  

TOPIX Index

      42      12/10/2020        6,473,332        60,007  

VSTOXX

      135      10/21/2020        420,235        (30,072 ) 

Wheat

      55      12/14/2020        1,577,125        65,924  

 

  

Total

                   $ (674,846 ) 

 

  

Short position contracts:

                  

BIST 30 Index

      (3,721)      10/30/2020        (6,225,156 )       (70,515 ) 

Brent Crude Oil

      (1)      10/30/2020        (42,070 )       437  

CBOE Volatility Index

      (52)      10/21/2020        (1,579,500 )       133,741  

Corn

      (5)      12/14/2020        (94,500 )       (14,200 ) 

KC HRW Wheat

      (3)      12/14/2020        (76,387 )       (12,122 ) 

Lean Hogs

      (3)      12/14/2020        (75,840 )       (6,120 ) 

Live Cattle

      (2)      12/31/2020        (89,800 )       (2,290 ) 

LME Aluminum Base Metal

      (63)      10/21/2020        (2,740,106 )       44,300  

LME Copper Base Metal

      (24)      10/21/2020        (4,005,600 )       18,264  

GOLDMAN SACHS MANAGED FUTURES STRATEGY

 

Consolidated Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

FUTURES CONTRACTS (continued)

 

Description     

Number of

Contracts

     

Expiration

Date

      Notional
Amount		      Unrealized
Appreciation/
(Depreciation)		  

 

  

Short position contracts: (continued)

                  

LME Lead Base Metal

      (51)      10/21/2020      $ (2,304,563 )     $ 158,580  

LME Nickel Base Metal

      (36)      10/21/2020        (3,129,192 )       95,697  

LME Zinc Base Metal

      (51)      10/21/2020        (3,048,525 )       48,293  

Low Sulphur Gasoil

      (40)      11/12/2020        (1,353,000 )       (43,930 ) 

MSCI EAFE E-Mini Index

      (169)      12/18/2020        (15,659,540 )       396,804  

NY Harbor ULSD

      (28)      10/30/2020        (1,350,283 )       (51,565 ) 

Russell 2000 E-Mini Index

      (85)      12/18/2020        (6,393,700 )       68,268  

SET50 Index

      (1,125)      12/29/2020        (5,528,521 )       183,708  

 

  

Total

                   $ 947,350  

 

  

Total Futures Contracts

                   $ 272,504  

 

  

SWAP CONTRACTS — At September 30, 2020, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

 

Payments Made

by the Fund

  

Payments

Received by

the Fund

     Termination
Date		     Notional
Amount
(000’s)(a)		     Value    

Upfront
Premium
(Received)

Paid

     Unrealized
Appreciation/
(Depreciation)		  

 

  

3 Month BBR(b)

     0.250%       12/16/2021     AUD   564,760     $ 647,837     $ (27,512 )    $ 675,349  

3 Month BA(c)

     0.500          12/16/2021     CAD   365,170       (43,760 )      (58,139 )      14,379  

6 Month LIBOR(c)

     0.000          12/16/2021     CHF   125,800       1,007,918       1,017,570       (9,652 ) 

6 Month EURIBOR(c)

     0.000          12/16/2021     EUR   700,510       4,005,176       3,865,940       139,236  

6 Month LIBOR(c)

     0.000          12/16/2021     GBP   680,190       (568,151 )      (461,334 )      (106,817 ) 

3 Month STIBOR(b)

     0.000          12/16/2021     SEK   3,054,430       175,465       195,921       (20,456 ) 

3 Month LIBOR(b)

     0.250          12/16/2021     USD   802,310       301,837       273,670       28,167  

0.000%(d)

     6 Month EURIBOR       12/16/2022     EUR   56,550       (651,173 )      (620,348 )      (30,825 ) 

6 Month LIBOR(c)

     0.000          12/16/2022     GBP   150,260       (350,485 )      (186,521 )      (163,964 ) 

3 Month LIBOR(b)

     0.250          12/16/2022     USD   328,460       175,968       259,994       (84,026 ) 

6 Month PRIBOR(c)

     1.000          03/17/2026     CZK   627,350       486,114       336,768       149,346  

1.500(d)

     6 Month BUBOR       03/17/2026     HUF   2,270,480       (11,128 )      (135,239 )      124,111  

1 Month TIIE(e)

     5.500          03/17/2026     MXN   332,150       171,199       (774,424 )      945,623  

6 Month WIBOR(c)

     0.750         03/17/2026     PLN   114,090       259,302       (201,262 )      460,564  

3 Month JIBAR(b)

     5.250          03/17/2026     ZAR   260,980       (108,962 )      (1,439,074 )      1,330,112  

3 Month BA(c)

     1.000          12/16/2030     CAD   25,860       (150,660 )      (137,081 )      (13,579 ) 

6 Month LIBOR(c)

     0.000          12/16/2030     CHF   21,520       797,225       767,138       30,087  

6 Month EURIBOR(c)

     0.000          12/16/2030     EUR   68,730       1,224,194       1,028,957       195,237  

6 Month LIBOR(c)

     0.500          12/16/2030     GBP   57,780       472,335       528,358       (56,023 ) 

3 Month STIBOR(b)

     0.500          12/16/2030     SEK   210,210       426,391       342,434       83,957  

3 Month LIBOR(b)

     0.750          12/16/2030     USD   61,860       52,896       118,249       (65,353 ) 

0.250(d)

     6 Month EURIBOR       12/16/2050     EUR   4,830       (457,635 )      (407,525 )      (50,110 ) 

0.750(c)

     6 Month LIBOR       12/16/2050     GBP   16,310       (1,115,697 )      (1,120,482 )      4,785  

1.000(c)

     3 Month LIBOR       12/16/2050     USD   34,830       1,216,294       576,558       639,736  

 

  

TOTAL

         $ 7,962,500     $ 3,742,616     $ 4,219,884  

 

  

 

(a)   Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2020.
(b)   Payments made quarterly.
(c)   Payments made semi-annually.
(d)   Payments made annually.
(e)   Payments made monthly.

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS

 

 

Investment Valuation — The Funds’ valuation policy 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 Funds’ 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 Funds, 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 Funds’ 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.

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

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

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

i. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.

Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.

ii. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.

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

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

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

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

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

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

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

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

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

A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.

As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.

The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.

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

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 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 Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

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

 

                                                                    
ABSOLUTE RETURN TRACKER           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Common Stock and/or Other Equity Investments(a)

           

Africa

      $ 5,903      $ 93,030      $ —  

Asia

        8,771        3,275,531        —  

Australia and Oceania

        —        143,146        —  

Europe

        6,166,550        17,047,664        18,292  

North America

        712,638,972        116,713        —  

South America

        —        23,755        —  

Exchange Traded Funds

        506,296,024        —        —  

Investment Company

        1,874,825,652        —        —  

Securities Lending Reinvestment Vehicle

        83,725,625        —        —  
Total      $ 3,183,667,497      $ 20,699,839      $ 18,292  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ 49,003      $ —  

Futures Contracts(b)

        2,787,334        —        —  

Credit Default Swap Contracts(b)

        —        588,870        —  

Total Return Swap Contracts(b)

        —        6,477,595        —  

Purchased Options Contracts

        312,345        —        —  
Total      $ 3,099,679      $ 7,115,468      $ —  
Liabilities           

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ (341,193 )     $ —  

Futures Contracts(b)

        (7,381,412 )       —        —  

Credit Default Swap Contracts(b)

        —        (733,899 )       —  

Total Return Swap Contracts(b)

        —        (3,400,415 )       —  

Written Options Contracts

        (4,556,110 )       —        —  
Total      $ (11,937,522 )     $ (4,475,507 )     $ —  
ALTERNATIVE PREMIA           
Investment Type      Level 1      Level 2      Level 3  
Assets

 

Investment Company

      $ 30,453,151      $ —      $ —  
Derivative Type                          
Assets           

Forward Foreign Currency Exchange Contracts(b)

      $ —      $ 70,788      $ —  

Futures Contracts(b)

        817,819        —        —  

Total Return Swap Contracts(b)

        —        396,206        —  

Purchased Options Contracts

        327,850        —        —  
Total      $ 1,145,669      $ 466,994      $ —  
Liabilities(b)           

Forward Foreign Currency Exchange Contracts

      $ —      $ (25,800 )     $ —  

Futures Contracts

        (770,145 )       —        —  

Credit Default Swap Contracts

        —        (715 )       —  

Total Return Swap Contracts

        —        (339,539 )       —  
Total      $ (770,145 )     $ (366,054 )     $ —  

 

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

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

                                                                    
COMMODITY STRATEGY           
Investment Type      Level 1      Level 2      Level 3  
Assets

 

Fixed Income

           

Mortgage-Backed Securities

      $ —      $ 6,747,414      $ —  

Collateralized Mortgage Obligations

        —        3,270,237        —  

Commercial Mortgage-Backed Securities

        —        3,188,770        —  

Asset-Backed Securities

        —        214,387        —  

U.S. Treasury Obligations and/or Other U.S. Government Agencies

        13,701,880        —        —  

Investment Company

        148,437,269        —        —  
Total      $ 162,139,149      $ 13,420,808      $ —  
Derivative Type                          
Assets(a)           

Futures Contracts

      $ 31,800      $ —      $ —  

Interest Rate Swap Contracts

        —        5,394        —  
Total      $ 31,800      $ 5,394      $ —  
Liabilities(a)           

Futures Contracts

      $ (61,808 )     $ —      $ —  
MANAGED FUTURES STRATEGY           
Investment Type      Level 1      Level 2      Level 3  
Assets

 

Investment Company

      $ 160,391,235      $ —      $     —  
Derivative Type                          
Assets(a)           

Forward Foreign Currency Exchange Contracts

      $ —      $ 1,422,726      $ —  

Futures Contracts

        2,393,323        —        —  

Interest Rate Swap Contracts

        —        4,820,689        —  
Total      $ 2,393,323      $ 6,243,415      $ —  
Liabilities(a)           
Forward Foreign Currency Exchange Contracts      $ —      $ (3,137,778 )     $ —  

Futures Contracts

        (2,120,819 )       —        —  

Interest Rate Swap Contracts

        —        (600,805 )       —  
Total      $ (2,120,819 )     $ (3,738,583 )     $ —  

 

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

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

Securities Lending — Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Absolute Return Tracker Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The Absolute Return Tracker Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.

Both the Absolute Return Tracker Fund and GSAL received compensation relating to the lending of the Fund’s securities.

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

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

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the 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 Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.

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

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

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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

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

Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a 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 Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the 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 Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.

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

Tax Risk — Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. The IRS has issued such PLRs to the Absolute Return Tracker, Alternative Premia and Commodity Strategy Funds. Based on such rulings, these Funds may seek to gain exposure to the commodity markets through investments in commodity-linked notes and/or subsidiaries. The Managed Futures Strategy Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. The IRS recently issued final regulations that would generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion, or (B) such inclusion is derived with respect to the Funds’ business of investing in stock, securities, or currencies.

GOLDMAN SACHS ALTERNATIVE FUNDS

 

Schedule of Investments (continued)

September 30, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

The IRS also issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. In connection with issuing such revenue procedure, the IRS has revoked the Notes Ruling on a prospective basis. In light of the revocation of the Notes Rulings, the Funds have limited their investments in commodity index-linked structured notes. The Managed Futures Strategy Fund has obtained an opinion of counsel that the Fund’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the income from investments in the Subsidiary was not “qualifying income”, in which case the Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If a Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.


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