N-CSRS 1 d528911dncsrs.htm GOLDMAN SACHS TRUST Goldman Sachs Trust
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05349

 

Goldman Sachs Trust

 

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606

 

(Address of principal executive offices) (Zip code)

 

Caroline Kraus, Esq.    Copies to:
Goldman Sachs & Co. LLC    Geoffrey R.T. Kenyon, Esq.
200 West Street    Dechert LLP
New York, New York 10282    100 Oliver Street
   40th Floor
   Boston, MA 02110-2605

 

(Name and address of agents for service)

 

Registrant’s telephone number, including area code: (312) 655-4400

 

Date of fiscal year end: October 31

 

Date of reporting period: April 30, 2018

 

 

ITEM 1. REPORTS TO STOCKHOLDERS.

 

     The Semi-Annual Report to Shareholders is filed herewith.


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Goldman Sachs Funds

 

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Semi-Annual Report      

April 30, 2018

 
     

Absolute Return Multi-Asset Fund

 

 

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Table of Contents

Goldman Sachs Absolute Return Multi-Asset Fund

 

TABLE OF CONTENTS

 

Investment Process

    1  

Portfolio Management Discussion and Performance Summary

    2  

Schedule of Investments

    12  

Financial Statements

    19  

Financial Highlights

    22  

Notes to the Financial Statements

    24  

Other Information

    39  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

What Differentiates Goldman Sachs Absolute Return Multi-Asset Fund’s Investment Process?

 

The Goldman Sachs Absolute Return Multi-Asset Fund (the “Fund”) seeks to deliver consistent returns in all market environments through broad diversification and dynamic management. The Fund aims to provide exposure beyond traditional asset classes, with less dependence on the direction of stock and bond markets, and thoughtfully combines the investment capabilities across Goldman Sachs Asset Management (GSAM).

 

 

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  By investing across asset classes using less-traditional strategies and techniques, we aim to incorporate distinct sources of return into the portfolio that are different from traditional core equities and bond returns

 

  We use a proprietary, factor-based risk-budgeting framework that seeks to balance risk across unique return drivers and active strategies

 

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  The Fund seeks to capitalize on the changing economic cycle and tactically adjusts for dislocations in the current environment, with the aim of enhancing returns and mitigating portfolio losses

 

  We seek to profit from opportunities across medium- to shorter-term time horizons and multiple geographies

 

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  For over two decades, we have managed multi-asset class solutions for clients including sovereign wealth funds, pension plans, endowments, and foundations

 

  We leverage the insights and alpha generation of GSAM’s 700+ investment professionals in 30 offices around the globe (as of September 30, 2017)

 

  We monitor portfolio risk daily and have a robust risk management framework with multiple layers of oversight at the strategic allocation, security selection and firm levels

Diversification does not protect an investor from market risk and does not ensure a profit. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

 

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Goldman Sachs Absolute Return Multi-Asset Fund

 

Investment Objective

The Fund seeks to achieve long-term absolute return.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Absolute Return Multi-Asset Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class R and Class R6 shares generated cumulative total returns, without sales charges, of -0.95%, -1.31%, -0.81%, -0.95%, -1.10% and -0.79%, respectively. These returns compare to the 0.69% cumulative total return of the Fund’s benchmark, the ICE Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”), during the same time period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of 0.20% compared to the 0.09% cumulative total return of the Index.

 

    References to the Fund’s benchmark and to other indices mentioned herein are for informational purposes only, and unless otherwise noted, are not indications of how the Fund is managed. The use of the Index as the Fund’s benchmark does not imply the Fund is being managed like cash and does not imply low risk or low volatility.

 

Q   What economic and market factors most influenced the Fund during the Reporting Period?

 

A   During the Reporting Period overall, investor sentiment was dominated by global economic data, central bank monetary policy, rising commodity prices and political events.

 

    In November and December 2017, the first two months of the Reporting Period, a mix of strong global economic growth data, higher commodity prices and the absence of hawkish surprises from major central banks supported a continued rally in global equities. (Hawkish tends to suggest higher interest rates; opposite of dovish.) In the fourth calendar quarter overall, Japanese equities performed best, as the Prime Minister’s big win in Japan’s national election reinforced “Abenomics,” pushing stock prices higher. (Abenomics refers to the multi-pronged economic program of Japanese Prime Minister Shinzo Abe. It seeks to remedy two decades of economic stagnation by increasing Japan’s money supply, boosting government spending and enacting reforms to make the economy more competitive.) Meanwhile, U.S. equities outpaced global equities, as investors priced in a higher probability of a U.S. corporate tax rate cut. Conversely, European and U.K. equities lagged, as strength in the euro and British pound weighed on their respective equity markets. Emerging markets stocks outperformed their developed markets peers, thanks to steady economic data emanating from China, higher commodity prices and improving exports. In November 2017, the U.S. President nominated Jerome Powell to replace Janet Yellen as Federal Reserve (“Fed”) chair. In December, Fed policymakers raised interest rates and upgraded their cumulative growth projections after taking into account the potential impact of a corporate tax cut included in the tax reform legislation passed by the U.S. Congress that same month. During the fourth calendar quarter overall, the 10-year U.S. Treasury yield rose, driven by low inflation and market expectations of tax cuts. In commodities, crude oil prices rallied more than 10% as the market anticipated an extension of the Organization of the Petroleum Exporting Countries’ (“OPEC”) production cuts. Metals also rallied, with base metals outperforming precious metals amid continuing strong global economic growth and steady Chinese economic data. Overall, the fourth quarter of 2017 was noteworthy for investors’ broad “risk on” sentiment, or reduced risk aversion, as equities, bond yields and commodity prices all moved higher. The U.S. dollar weakened versus other developed markets currencies during the fourth calendar quarter.

 

   

After a strong finish to 2017, the first quarter of 2018 saw increased volatility, and global equity markets experienced their first pullback after rallying for eight consecutive

 

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calendar quarters. Global equity prices peaked during the last week of January 2018 before retreating on news of stronger than expected U.S. wage growth data in early February. In addition to the wage growth data, which led investors to anticipate a faster pace of Fed interest rate hikes, rising concerns about potential trade protectionism and worsening market sentiment about U.S. information technology stocks weighed on global equity prices. In the second half of March 2018, U.S. information technology stocks sold off due to investor concerns about data privacy. During the first calendar quarter overall, macroeconomic data moderated in the developed markets, particularly in Europe and Japan. Emerging markets equities generally outperformed their developed markets peers because of what many considered to be attractive valuations and because of the comparatively stronger economic data within emerging markets countries as well as higher commodity prices. In the fixed income markets, the 10-year U.S. Treasury yield rose during the first quarter of 2018, driven by the Fed’s decision to raise interest rates at its March policy meeting as well as by a modest pickup in inflation and a higher than expected U.S. fiscal deficit. The outcome of the Fed’s policy meeting was generally considered dovish by investors but was also in line with market expectations. The U.S. dollar continued to weaken relative to other major developed markets currencies during the first calendar quarter.

 

    In April 2018, global equities overall recorded gains, recovering some of the losses they had sustained in February and March. The advance was supported by the absence of a trade war escalation, receding concerns about the potential regulation of U.S. information technology companies and better than consensus expected corporate earnings. Meanwhile, economic growth around the world, especially in Europe and Japan, continued to moderate from the strong pace seen during the 2017 calendar year. Overall, however, global economic growth remained healthy, driven primarily by the U.S. The 10-year U.S. Treasury yield rose in April 2018 as U.S. inflationary pressures increased and investors anticipated a faster pace of Fed interest rate hikes. Emerging markets stocks underperformed developed markets stocks amid softer macroeconomic data in the emerging markets, higher U.S. Treasury yields and strength in the U.S. dollar. Within developed markets equities, the U.K. and Europe outperformed despite somewhat weaker economic growth, benefiting from depreciation in the British pound and euro versus the U.S. dollar. In commodities, crude oil prices rallied as supply/demand conditions remained fairly constrained due to OPEC production cuts and supply disruptions in Venezuela.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A The Fund seeks to achieve its investment objective through investments in different asset classes, geographic regions and security selection strategies in a portfolio primarily of equity, fixed income, real assets and currency asset classes. Real assets are physical assets that derive their value from their own intrinsic qualities (e.g., precious metals, commodities and real estate). The Fund’s performance is driven by four sources of return: long-term strategic asset allocation to market exposures, medium-term cycle-aware allocation, short-term tactical allocation and excess returns from investments in underlying funds through which the Fund gains exposure to underlying asset classes. Strategic asset allocation is the process by which the Fund’s assets are allocated across underlying asset classes and strategies in a way that considers the risks of each underlying asset class and strategy. Medium-term cycle-aware allocation is the process by which we adjust the portfolio for changes in the business or economic cycle. Short-term tactical allocation is the implementation of tactical market views with the goal of improving the Fund’s risk-adjusted return. The risk-adjusted return on an investment takes into account the risk associated with that investment relative to other potential investments.

 

    During the Reporting Period, the Fund posted negative returns due to its strategic asset allocation, short-term tactical asset allocation and security selection within the underlying funds, all of which detracted from its performance. The Fund’s medium-term cycle-aware allocation added to its performance.

 

   

Strategic asset allocation overall hurt the Fund’s returns during the Reporting Period. At the asset class level, allocations to fixed income and currencies detracted from returns, while allocations to real assets contributed positively. Allocations to equities had a rather neutral impact on the Fund’s results during the Reporting Period. Within its strategic fixed income allocation, the Fund was hurt by our long U.S. interest rate options strategy, through which we seek to profit if interest rates fall, remain constant or rise less than anticipated. This strategy detracted from performance as U.S. Treasury yields rose over the course of the Reporting Period. (Our long U.S. interest rate options strategy is a macroeconomic hedge that buys put options on short-term interest rates. A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price within a specified time.) Our active macro fixed income strategy further detracted from the Fund’s performance. In addition,

 

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the Fund’s strategic allocation to high yield corporate bonds was a drag on results, mainly because of its sensitivity to the increase in yields during the Reporting Period. On the positive side, the Fund was helped by its strategic allocations to local emerging markets debt, which benefited from continued strength in emerging markets macroeconomic data. Within its strategic allocations to currencies, the Fund was hampered by our decision to hedge foreign currency exposure back to the U.S. dollar (accomplished through foreign exchange currency forward contracts), as the U.S. dollar broadly weakened and other developed markets currencies strengthened during the Reporting Period overall. A strategic allocation to a systematic currency carry strategy detracted from returns, while a strategic allocation to a systematic currency value strategy contributed positively. (The systematic currency carry strategy seeks to go long higher yielding currencies and short lower yielding currencies, with returns driven by short-term interest rate differentials. The systematic currency value strategy seeks to capture differences between a currency spot price and its estimated fair value relative to other currencies.) Within its strategic allocations to real assets, the Fund was aided by its exposure to international real estate securities and global infrastructure securities. A strategic allocation to a systematic commodity carry strategy also added to performance. On the other hand, a strategic allocation to a systematic momentum strategy detracted from returns. (The systematic commodity carry strategy seeks to construct a long/short commodity strategy that uses the shape of the commodity curve as a trading signal to benefit from information on supply and demand mismatches. The systematic commodity momentum strategy seeks to capture the momentum risk premium in commodities and is implemented by going long historically well performing commodities and going short the underperforming ones.) Within its strategic allocations to equities, the Fund’s performance was driven primarily by its exposure to emerging markets stocks, which outperformed amid U.S. dollar depreciation and strong emerging markets macroeconomic data. In addition, a strategic allocation to U.S. small-cap stocks bolstered returns. Offsetting these positive results was the Fund’s strategic allocation to a U.S. equity volatility strategy, which seeks to benefit from the difference between implied volatility (i.e., expectations of future volatility) and realized volatility (i.e., historical volatility) in equity markets, as market volatility spiked toward the end of the Reporting Period. In addition, the Fund was hurt by an equity hedge (implemented through short positions in futures on the S&P 500® Index and the MSCI EAFE Index), used to moderate exposure to equity beta, which detracted from performance as global equity markets recorded positive returns during the Reporting Period overall. (Beta refers to the component of returns that is attributable to market risk exposure, rather than manager skill.)

 

    Our tactical asset allocation decisions hurt the Fund’s performance during the Reporting Period. The primary detractor was a tactical position in a long-short emerging markets currencies basket. In addition, tactical positioning in real assets, specifically a short position in gold, hampered returns. The Fund’s tactical long position in U.S. dollar-denominated emerging markets debt also detracted amid broad weakness in emerging markets currencies. However, the Fund benefited from a tactical breakeven inflation position, in which the Fund held a long position in Treasury inflation protected securities and a short position in U.S. Treasury futures, which added to returns as inflation increased during the Reporting Period overall. (The breakeven inflation rate is the difference between the nominal yield on a fixed-rate investment and the real yield on an inflation-linked investment of similar maturity and credit quality. If inflation averages more than the breakeven, the inflation-linked investment will outperform the fixed-rate. Conversely, if inflation averages below the breakeven, the fixed-rate will outperform the inflation-linked.)

 

    Security selection overall detracted from the Fund’s returns during the Reporting Period. The Fund was hurt most by security selection within our active macro fixed income strategy (implemented primarily through the Goldman Sachs Strategic Macro Fund) and our emerging markets equity strategy (implemented primarily through the Goldman Sachs Emerging Markets Equity Fund). (The Goldman Sachs Strategic Macro Fund was liquidated on March 26, 2018.)

 

   

The Fund’s medium-term cycle-aware allocation bolstered the Fund’s performance. We held two medium-term cycle-aware views during the Reporting Period. The first was to have a short duration position, which we expressed through a short position in long-maturity German government bonds and a tactical steepening position on the U.S. Treasury yield curve. (Duration is a measure of the Fund’s sensitivity to changes in interest rates. A steepening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities widens. Yield curve is a spectrum of maturities.) Collectively, these positions added to the Fund’s performance. Our second medium-term cycle-aware view was to hold a long position in emerging markets equities

 

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versus developed markets equities. This positioning also contributed positively to the Fund’s returns, as emerging markets equities outperformed developed markets equities during the Reporting Period.

 

Q   How was the Fund positioned at the beginning of the Reporting Period?

 

A   At the beginning of the Reporting Period, the Fund had approximately 48% of its total net assets in long equity-related investments; approximately 63% of its total net assets in long fixed income-related investments; approximately 9% of its total net assets in long real assets investments; and approximately 25% of its total net assets in long currency-related investments. It had short positions of approximately -25% of its total net assets in equity-related investments; approximately -39% of its total net assets in fixed income-related assets; approximately -5% of its total net assets in real asset investments; and approximately -25% of its total net assets in currency-related investments. These positions were accomplished through the use of equity index futures, equity options, interest rate futures, commodity futures and currency forwards.

 

Q   How did you manage the Fund’s allocations during the Reporting Period?

 

A   When the Reporting Period started, we maintained the Fund’s overall exposure to risk assets, focusing primarily on equities. Within equities, we favored emerging markets stocks, as we believed they remained undervalued and thought they would continue to outperform due to the relatively stronger economic growth in emerging markets countries. We maintained the Fund’s tactical long positions in the stocks of select emerging markets countries, such as Brazil, Singapore and China, and we added a tactical long position in South African equities. Within developed markets stocks, we added a tactical long position in Japanese equities because of improved corporate earnings and what we considered to be inexpensive valuations. The Fund held tactical positions in certain market sectors, including long positions in European bank stocks and U.S. health care stocks as well as a short position in consumer stocks broadly. With regard to fixed income, we believed yields were likely to rise, a view we expressed through a tactical steepening position on the U.S. Treasury yield curve and a tactical breakeven inflation position. Within real assets at the beginning of the Reporting Period, we added a tactical short position in copper, as copper prices had rallied significantly, and we thought they were higher than fair value, making them vulnerable to a sell-off, in our view.

 

    At the beginning of January 2018, we added a tactical allocation to the Goldman Sachs Hedge Industry VIP ETF, which seeks to track fundamentally driven hedge fund managers’ top conviction long positions.

 

    Heading into February 2018, we reduced the Fund’s overall exposure to risk assets. We believed they could experience a short-term pullback, given their especially strong performance during the 2017 calendar year. Indeed, market volatility increased during the second half of the Reporting Period, and risk assets experienced two large sell-offs, one in February 2018 and the other in March. These sell-offs, which we expected to be short-lived, gave us opportunities to increase the Fund’s exposure to equities at what we saw as attractive valuations. After the February sell-off, we added tactical long positions in U.S. and emerging markets stocks. At the same time, we added some downside protection through the purchase of put options on the iShares MSCI Emerging Markets Index ETF. (Downside protection refers to the use of an option or other hedging instrument to limit or reduce losses in the case of decline in the value of an underlying security or asset class.) After the March sell-off, we established and subsequently increased the size of a basket containing relative value positions in U.S. and Japanese short-term interest rates.

 

   

Within equities during the second half of the Reporting Period, we eliminated the Fund’s tactical long positions in Taiwanese and Singaporean equities. We added tactical long positions in Thai, South Korean and Chinese equities and a tactical short position in Mexican equities. In terms of sector positioning, we exited the Fund’s tactical short position in consumer staples, as this sector had declined significantly along with other defensive sectors. We eliminated the Fund’s tactical long position in the U.S. health care sector and added tactical long positions in the U.S. information technology and banking sectors. Within fixed income, we changed the Fund’s tactical steepening position on the U.S. Treasury yield curve to an outright short duration position at the front, or short-term, end of the curve as we sought to mitigate the Fund’s exposure to market expectations about Fed monetary policy. We increased the Fund’s tactical short duration position on the U.S. Treasury yield curve as U.S. inflationary pressures continued to build. Within real assets, we added a tactical short position in crude oil as we believed West Texas Intermediate crude oil prices had risen higher than supply/demand conditions warranted. We also initiated a tactical long position in U.S. energy master limited partnerships, as these securities had sold off at the beginning of March 2018 in response to a U.S. Tax Court ruling. In addition, we

 

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eliminated the Fund’s short position in gold during the second half of the Reporting Period.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, the Fund used exchange-traded index futures contracts to gain short exposure to U.S. large-cap equities (negative impact on performance); short exposure to international developed equities (negative impact); long exposure to U.S. small-cap equities (positive impact); long exposure to broad emerging markets equities (positive impact); long and short exposure to non-U.S. developed markets and emerging markets equities (positive impact); long exposure to Chinese, Singaporean, South Korean and Thai equities (positive impact); long exposure to Taiwanese, Japanese and European stocks (negative impact); short exposure to Australian, Mexican and U.K. equities (negative impact); short exposure to South African equities (positive impact); and long exposure to European bank stocks (positive impact).

 

    In addition, the Fund employed listed equity options to gain or reduce exposure to the equity markets of certain developed markets and emerging markets countries. The Fund used listed equity options to modulate the Fund’s participation in Brazilian and U.S. equities (positive impact on performance), European and Japanese equities (negative impact) and South Korean equities (neutral impact). The Fund utilized listed equity options to gain exposure to the U.S. energy sector (positive impact). Also, the Fund used options on fixed income assets to obtain exposure to U.S. high yield corporate bonds (negative impact) and European investment grade government bonds (neutral impact).

 

    Interest rate futures were used to manage the Fund’s interest rate exposures and to facilitate the implementation of specific duration and yield curve views (positive impact on performance). The Fund employed U.S. Treasury futures as part of a breakeven inflation position during the Reporting Period (negative impact). In addition, the Fund used German bund futures to express a view on the direction of long-term German interest rates (negative impact). The Fund also utilized options on Eurodollar futures to take tactical positions on the U.S. interest rate yield curve (negative impact). (Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S.) Different positions may be taken within the Fund based on expectations of changes in interest rates and expectations of changes in the yield curve. Changes in the shape of the yield curve will change the relative price of bonds represented by the curve.

 

    Options and futures on individual commodities and total return swaps on commodity indices were used to implement directional views or to implement systematic curve and carry strategies (positive impact overall).

 

    In addition, the Fund used forward foreign currency exchange contracts to take long and short positions in select non-U.S. developed markets and in emerging markets as well as to take advantage of relative-value, momentum-based investment opportunities (negative impact overall).

 

    Lastly, the Fund obtained exposure to the underlying asset classes through the use of underlying funds, which may also invest in derivatives to provide exposure to equity, fixed income and commodity asset classes. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement.

 

Q   How was the Fund positioned at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund had approximately 28% of its total net assets in long equity-related investments; approximately 42% of its total net assets in long fixed income-related investments; approximately 11% of its total net assets in long real assets investments; approximately 12% of its total net assets in long currency-related investments; and approximately 35% of its total net assets in long multi-strategy investments. It had short positions of approximately -11% of its total net assets in equity-related investments; approximately -31% of its total net assets in fixed income-related assets; approximately -0.2% of its total net assets in real asset investments; and approximately -12% of its total net assets in currency-related investments. These positions were accomplished through the use of equity index futures, equity options, interest rates futures, commodity futures and currency forwards.

 

Q   What is the Fund’s tactical asset allocation view and strategy for the months ahead?

 

A  

At the end of the Reporting Period, we emphasized three macro themes. First, we expected the global economic expansion to continue in 2018, with growth remaining above trend, although we thought the pace of growth was likely to moderate relative to the momentum seen in the middle of

 

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2017. Second, we believed Fed monetary policy tightening would continue to have an impact on interest rates. In 2017, broader market developments offset hawkish monetary policy surprises, and benign inflation led to the easing of U.S. financial conditions. This is likely changing in 2018, in our view, as supply-side constraints increase and financial conditions tighten. (Supply-side constraints mean production is unable to keep pace with rising demand.) Third, we expected the global economic expansion to push global equity prices to new highs, but we thought the markets may experience temporary bouts of volatility. Accordingly, at the end of the Reporting Period, we believed the environment may favor a dynamic approach to asset allocation.

 

    On the asset class level, we expect global equities to generate positive but moderate returns over the medium term. In our opinion, global equity performance may well be supported by ongoing global economic expansion, corporate earnings growth and inexpensive valuations relative to macroeconomic conditions, though valuations are likely to remain high in absolute terms. Regarding fixed income, we think the 10-year U.S. Treasury yield was at a reasonable level at the end of the Reporting Period, but we believe it could move higher before the end of 2018. We are monitoring credit spreads (or yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity), which were tight relative to macroeconomic conditions at the end of the Reporting Period, because we believe the corporate bond market may be approaching the point in the economic cycle when credit spreads historically start to widen. Overall, at the end of the Reporting Period, we favored emerging markets debt over developed markets debt. We held this view because of the strong economic growth backdrop in emerging markets countries as well as investor uncertainty about when global yields might rise, which allowed us to remain confident about a widening gap between the economic growth trajectories of emerging and developed markets.

 

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Goldman Sachs Absolute Return Multi-Asset Fund

as of April 30, 2018

 

 

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  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018    Fund Total Return
(based on NAV)1
     ICE BofA ML U.S. Dollar 3-Month
LIBOR Constant Maturity Index2
 
 

Class A

     -0.95      0.69
 

Class C

     -1.31        0.69  
 

Institutional

     -0.81        0.69  
 

Investor

     -0.95        0.69  
 

Class R

     -1.10        0.69  
    Class R6      -0.79        0.69  
     April 16, 2018–April 30, 2018    Fund Total Return
(based on NAV)1
     ICE BofA ML U.S. Dollar 3-Month
LIBOR Constant Maturity Index2
 
    Class P      0.20      0.09

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The Fund’s benchmark index is the ICE Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”). The Index tracks the performance of a synthetic asset paying LIBOR to a stated maturity.

 

  STANDARDIZED TOTAL RETURNS3  
     For the period ended 3/31/18   One Year      Since Inception      Inception Date  
  Class A     -4.60      -2.14      9/2/2015  
  Class C     -0.90        -0.75        9/2/2015  
 

Institutional

    1.32        0.39        9/2/2015  
 

Investor

    1.17        0.25        9/2/2015  
 

Class P

    N/A        N/A        4/16/2018  
 

Class R

    0.61        -0.26        9/2/2015  
    Class R6     1.34        0.41        9/2/2015  

 

  3   The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class R, Class R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
 

Class A

    1.42      3.69
 

Class C

    2.17        4.44  
 

Institutional

    1.03        3.30  
 

Investor

    1.17        3.44  
 

Class P

    1.01        3.29  
 

Class R

    1.67        3.94  
   

Class R6

    1.01        3.29  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019 with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets      Line of Business
  Goldman Sachs Financial Square Government Fund6     24.8    Investment Companies
  Goldman Sachs Tactical Exposure Fund6     19.8      Investment Companies
  Goldman Sachs Alternative Premia Fund6     15.0      Investment Companies
  Goldman Sachs Short-Term Conservative Income Fund6     7.9      Investment Companies
  Goldman Sachs Emerging Markets Equity Fund6     6.0      Investment Companies
  Goldman Sachs International Real Estate Securities Fund6     4.5      Investment Companies
  Goldman Sachs Global Infrastructure Fund6     3.5      Investment Companies
  United States Treasury Bills     3.0      U.S. Treasury Obligations
  Goldman Sachs Real Estate Securities Fund6     2.6      Investment Companies
    Goldman Sachs Emerging Markets Debt Fund6     2.2      Investment Companies

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

  6    Institutional Shares.

 

9


Table of Contents

FUND BASICS

 

 

  SECTOR ALLOCATION7    
     As of April 30, 2018
    LOGO

 

  7    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.

 

10


Table of Contents

FUND BASICS

 

Index Definitions

The S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.

The MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Developed markets countries in the index include Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the U.K.

It is not possible to invest directly in an unmanaged index.

 

11


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Consolidated Schedule of Investments

April 30, 2018 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
U.S. Treasury Obligation(a)(b) – 3.0%  
 

United States Treasury Bills

 
$ 900,000       0.000     05/03/18     $ 899,922  
  (Cost $899,930)  

 

 

 

 

Shares   Distribution
Rate
    Value  
Investment Companies(c) – 88.3%  
Dynamic – 34.8%  

Goldman Sachs Alternative Premia Fund – Institutional Shares

 

506,293     0.000   $ 4,445,252  

Goldman Sachs Tactical Exposure Fund – Institutional Shares

 

592,952     0.000       5,882,080  
   

 

 

 
      10,327,332  

 

 
Equity – 16.6%  

Goldman Sachs Emerging Markets Equity Fund – Institutional Shares

 

77,536     0.000       1,782,548  

Goldman Sachs Global Infrastructure Fund – Institutional Shares

 

99,708     0.000       1,032,977  

Goldman Sachs International Real Estate Securities Fund – Institutional Shares

 

210,582     0.000       1,349,829  

Goldman Sachs Real Estate Securities Fund – Institutional Shares

 

51,432     0.000       770,959  
   

 

 

 
      4,936,313  

 

 
Fixed Income – 36.9%  

Goldman Sachs Emerging Markets Debt Fund – Institutional Shares

 

53,429     0.051       664,658  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

7,357,764     1.623       7,357,764  

Goldman Sachs Local Emerging Markets Debt Fund – Institutional Shares

 

90,057     0.035       591,673  

Goldman Sachs Short-Term Conservative Income Fund – Institutional Shares

 

234,601     0.017       2,350,698  
   

 

 

 
      10,964,793  

 

 
TOTAL INVESTMENT COMPANIES  
(Cost $26,211,053)     $ 26,228,438  

 

 
TOTAL INVESTMENTS – 91.3%  
(Cost $27,110,983)     $ 27,128,360  

 

 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 8.7%
      2,569,195  

 

 
NET ASSETS – 100.0%     $ 29,697,555  

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)

  Issued with a zero coupon. Income is recognized through the accretion of discount.

(b)

  All or a portion of security is segregated as collateral for initial margin requirements on centrally cleared swap contracts.

(c)

  Represents an affiliated fund.

 

 

Currency Abbreviations:

AUD

 

—Australian Dollar

BRL

 

—Brazilian Real

CAD

 

—Canadian Dollar

CHF

 

—Swiss Franc

CLP

 

—Chilean Peso

CNY

 

—Chinese Yuan Renminbi

CZK

 

—Czech Koruna

DKK

 

—Danish Krone

EUR

 

—Euro

GBP

 

—British Pound

HKD

 

—Hong Kong Dollar

HUF

 

—Hungarian Forint

IDR

 

—Indonesian Rupiah

ILS

 

—Israeli Shekel

INR

 

—Indian Rupee

JPY

 

—Japanese Yen

KRW

 

—South Korean Won

MXN

 

—Mexican Peso

NOK

 

—Norwegian Krone

NZD

 

—New Zealand Dollar

PHP

 

—Philippine Peso

PLN

 

—Polish Zloty

RUB

 

—Russian Ruble

SEK

 

—Swedish Krona

SGD

 

—Singapore Dollar

TRY

 

—Turkish Lira

TWD

 

—Taiwan Dollar

USD

 

—U.S. Dollar

ZAR

 

—South African Rand

Investment Abbreviations:

PLC

 

—Public Limited Company

 

 

12   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

ADDITIONAL INVESTMENT INFORMATION

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2018, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty  

Currency

Purchased

    

Currency

Sold

     Current
Value
     Settlement
Date
     Unrealized
Gain
 

MS & Co. Int. PLC

  CAD     390,000      USD     302,877      $ 304,116        06/20/18      $ 1,239  
  CNY     1,410,000      USD     221,409        222,362        06/20/18        953  
  JPY     21,000,000      USD     192,712        192,775        06/20/18        63  
  KRW     156,650,000      USD     145,236        146,347        05/31/18        1,111  
  PHP     11,500,000      USD     220,391        221,979        06/20/18        1,588  
  SGD     10,000      USD     7,538        7,550        06/20/18        12  
  TRY     240,000      USD     58,607        58,631        05/23/18        24  
  TRY     40,000      USD     9,533        9,692        06/20/18        160  
  TWD     5,500,000      USD     185,013        186,157        05/30/18        1,143  
  USD     226,979      AUD     300,000        225,865        05/23/18        1,116  
  USD     389,543      AUD     500,000        376,482        06/20/18        13,061  
  USD     219,019      BRL     740,000        211,166        05/03/18        7,853  
  USD     86,925      BRL     300,000        85,378        05/30/18        1,548  
  USD     77,959      CAD     100,000        77,922        05/23/18        37  
  USD     222,025      CAD     280,000        218,340        06/20/18        3,685  
  USD     523,228      CHF     510,000        515,678        05/23/18        7,550  
  USD     887,211      CHF     830,000        841,304        06/20/18        45,906  
  USD     23,674      CLP     14,500,000        23,638        05/30/18        36  
  USD     222,311      CNY     1,400,000        220,785        06/20/18        1,526  
  USD     74,733      CZK     1,560,000        73,694        05/23/18        1,039  
  USD     46,981      DKK     280,000        45,564        06/20/18        1,416  
  USD     145,823      EUR     120,000        145,164        05/23/18        659  
  USD     1,161,718      EUR     930,000        1,127,481        06/20/18        34,237  
  USD     125,403      GBP     90,000        124,039        05/23/18        1,364  
  USD     474,162      GBP     340,000        469,247        06/20/18        4,914  
  USD     80,650      HKD     630,000        80,367        06/20/18        283  
  USD     72,861      HUF     18,780,000        72,392        05/23/18        469  
  USD     223,678      HUF     56,000,000        216,261        06/20/18        7,416  
  USD     82,973      IDR     1,154,450,000        82,640        05/31/18        332  
  USD     434,828      IDR     6,030,000,000        430,688        06/20/18        4,140  
  USD     356,549      ILS     1,260,000        350,608        05/23/18        5,941  
  USD     11,634      ILS     40,000        11,148        06/20/18        486  
  USD     101,708      INR     6,710,000        100,634        05/02/18        1,074  
  USD     42,328      INR     2,820,000        42,253        05/30/18        74  
  USD     226,378      INR     15,000,000        224,238        06/20/18        2,140  
  USD     120,157      JPY     13,100,000        120,021        05/23/18        136  
  USD     1,062,848      JPY     112,000,000        1,028,132        06/20/18        34,717  
  USD     18,353      KRW     19,600,000        18,311        05/31/18        42  
  USD     224,919      KRW     240,000,000        224,369        06/20/18        550  
  USD     20,821      MXN     390,000        20,774        05/23/18        47  
  USD     234,606      NOK     1,870,000        233,291        05/23/18        1,316  
  USD     393,358      NOK     3,050,000        380,893        06/20/18        12,465  
  USD     212,491      NZD     300,000        211,059        05/23/18        1,432  
  USD     228,594      NZD     310,000        218,090        06/20/18        10,504  
  USD     97,728      PLN     340,000        96,894        05/23/18        834  
  USD     78,105      RUB     4,870,000        77,306        05/03/18        799  
  USD     33,035      RUB     2,040,000        32,271        05/30/18        764  
  USD     417,307      RUB     26,000,000        410,356        06/20/18        6,950  
  USD     188,141      SEK     1,590,000        181,903        05/23/18        6,239  

 

The accompanying notes are an integral part of these financial statements.   13


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Consolidated Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

 

Counterparty  

Currency

Purchased

    

Currency

Sold

     Current
Value
     Settlement
Date
     Unrealized
Gain
 

MS & Co. Int. PLC (continued)

  USD     73,223      SEK     600,000      $ 68,793        06/20/18      $ 4,431  
  USD     30,458      SGD     40,000        30,200        06/20/18        258  
  USD     222,765      TRY     910,000        220,500        06/20/18        2,265  
  USD     172,775      TWD     5,090,000        172,279        05/30/18        496  
  USD     528,826      TWD     15,300,000        518,662        06/20/18        10,165  
  USD     16,936      ZAR     210,000        16,792        05/23/18        144  
    USD     221,082      ZAR     2,660,000        211,957        06/20/18        9,126  
TOTAL                                               $ 258,275  

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty  

Currency

Purchased

    

Currency

Sold

     Current
Value
     Settlement
Date
     Unrealized
Loss
 

MS & Co. Int. PLC

  AUD     40,000      USD     30,634      $ 30,115        05/23/18      $ (518
  AUD     360,000      USD     277,704        271,067        06/20/18        (6,637
  BRL     740,000      USD     223,402        211,166        05/03/18        (12,236
  CAD     190,000      USD     149,199        148,051        05/23/18        (1,148
  CHF     200,000      USD     203,592        202,227        05/23/18        (1,366
  CHF     710,000      USD     735,858        719,670        06/20/18        (16,189
  CLP     101,690,000      USD     170,371        165,777        05/30/18        (4,594
  CZK     3,440,000      USD     164,726        162,505        05/23/18        (2,221
  DKK     110,000      USD     18,039        17,900        06/20/18        (139
  EUR     220,000      USD     269,604        266,134        05/23/18        (3,470
  EUR     490,000      USD     603,801        594,049        06/20/18        (9,751
  GBP     240,000      USD     336,813        330,772        05/23/18        (6,041
  GBP     135,000      USD     188,512        186,319        06/20/18        (2,194
  HKD     210,000      USD     26,794        26,789        06/20/18        (5
  HUF     31,110,000      USD     122,269        119,920        05/23/18        (2,349
  HUF     56,000,000      USD     224,458        216,261        06/20/18        (8,196
  IDR     6,030,000,000      USD     433,938        430,689        06/20/18        (3,249
  ILS     830,000      USD     231,621        230,956        05/23/18        (665
  ILS     40,000      USD     11,192        11,148        06/20/18        (44
  INR     6,710,000      USD     102,401        100,634        05/02/18        (1,766
  INR     7,250,000      USD     109,328        108,631        05/30/18        (698
  INR     15,000,000      USD     228,043        224,238        06/20/18        (3,806
  JPY     17,420,000      USD     161,940        159,600        05/23/18        (2,340
  JPY     48,000,000      USD     449,579        440,628        06/20/18        (8,952
  KRW     240,000,000      USD     226,007        224,369        06/20/18        (1,638
  MXN     10,200,000      USD     545,980        543,316        05/23/18        (2,664
  NOK     2,160,000      USD     276,107        269,469        05/23/18        (6,638
  NOK     2,950,000      USD     377,305        368,405        06/20/18        (8,900
  NZD     340,000      USD     243,710        239,200        05/23/18        (4,510
  NZD     310,000      USD     226,747        218,090        06/20/18        (8,657
  PLN     590,000      USD     173,599        168,138        05/23/18        (5,460
  RUB     4,870,000      USD     84,231        77,306        05/03/18        (6,925
  RUB     26,000,000      USD     452,421        410,356        06/20/18        (42,065
  SEK     380,000      USD     44,489        43,474        05/23/18        (1,015
  SEK     225,000      USD     26,402        25,797        06/20/18        (605
  TRY     870,000      USD     221,426        210,807        06/20/18        (10,619
  TWD     15,300,000      USD     524,735        518,662        06/20/18        (6,073
  USD     147,699      CAD     190,000        148,051        05/23/18        (353

 

14   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

 

Counterparty  

Currency

Purchased

    

Currency

Sold

     Current
Value
     Settlement
Date
     Unrealized
Loss
 

MS & Co. Int. PLC (continued)

  USD     231,523      CAD     300,000      $ 233,936        06/20/18      $ (2,413
  USD     40,439      CHF     40,000        40,445        05/23/18        (6
  USD     1,567      CNY     10,000        1,577        06/20/18        (10
  USD     27,558      GBP     20,000        27,564        05/23/18        (7
  USD     117,233      IDR     1,645,780,000        117,812        05/31/18        (579
  USD     104,808      INR     7,030,000        105,334        05/30/18        (526
  USD     28,295      JPY     3,090,000        28,310        05/23/18        (15
  USD     18,256      KRW     19,670,000        18,376        05/31/18        (120
  USD     449,809      MXN     8,630,000        459,688        05/23/18        (9,878
  USD     216,228      PHP     11,340,000        219,173        05/30/18        (2,945
  USD     219,382      PHP     11,500,000        221,979        06/20/18        (2,597
  USD     176,708      TRY     730,000        178,336        05/23/18        (1,628
  USD     47,663      TWD     1,410,000        47,723        05/30/18        (60
  USD     232,046      ZAR     2,910,000        232,685        05/23/18        (639
  ZAR     3,910,000      USD     322,642        312,646        05/23/18        (9,996
    ZAR     2,660,000      USD     225,950        211,958        06/20/18        (13,993
TOTAL                                               $ (250,108

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

                 

10 Year German Euro-Bund

     1          06/07/18        $ 191,694        $ 675  

10 Year U.S. Treasury Notes

     35          06/20/18          4,186,875          (12,095

5 Year German Euro-Bobl

     1          06/07/18          158,196          (26

Amsterdam Exchanges Index

     1          05/18/18          133,548          1,446  

CAC40 Index

     2          05/18/18          132,184          2,363  

E-mini Russell 2000 Index

     1          06/15/18          77,190          (901

Euro Stoxx 50 Index

     3          06/15/18          125,856          1,601  

French 10 Year Government Bonds

     1          06/07/18          185,741          (907

FTSE 100 Index

     1          06/15/18          102,702          1,196  

FTSE/MIB Index

     1          06/15/18          142,485          1,728  

Italian 10 Year Government Bonds

     2          06/07/18          335,737          7,025  

MSCI Emerging Markets Index

     48          06/15/18          2,765,280          (41,161

OMXS 30 Index

     2          05/18/18          35,744          (41

S&P 500 E-Mini Index

     2          06/15/18          264,700          (3,841

SET50 Index

     10          06/28/18          74,708          (61

SGX S&P CNX Nifty Index

     2          05/31/18          43,140          615  
Total                                     $ (42,384

 

The accompanying notes are an integral part of these financial statements.   15


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Consolidated Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts: (continued)

 

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

Short position contracts:

                 

10 Year U.K. Long Gilt

     (1        06/27/18        $ (168,315      $ (29

10 Year U.S. Treasury Notes

     (13        06/20/18          (1,555,125        8,298  

3 Month Sterling Interest Rate

     (3        12/19/18          (511,461        (470

3 Month Sterling Interest Rate

     (3        09/18/19          (510,274        (470

3 Month Sterling Interest Rate

     (3        06/17/20          (509,293        (538

5 Year U.S. Treasury Notes

     (11        06/29/18          (1,248,586        6,252  

Australian 10 Year Government Bonds

     (2        06/15/18          (192,569        (910

Bank Accept Index

     (2        03/18/19          (380,369        (120

Canada 10 Year Government Bonds

     (3        06/20/18          (307,138        (1,082

Euro Buxl 30 Year Bonds

     (8        06/07/18          (1,579,927        (25,324

Eurodollars

     (6        12/17/18          (1,460,325        (2

Eurodollars

     (9        09/16/19          (2,184,525        (368

Eurodollars

     (81        03/16/20          (19,644,525        84,862  

Eurodollars

     (8        06/15/20          (1,940,000        (706

Mini MSCI EAFE Index

     (8        06/15/18          (810,600        624  

S&P 500 E-Mini Index

     (9        06/15/18          (1,191,150        44,233  

U.S. Long Bonds

     (3        06/20/18          (431,531        (5,659
Total                                     $ 108,591  
TOTAL FUTURES CONTRACTS                                     $ 66,207  

SWAP CONTRACTS — At April 30, 2018, the Fund had the following swap contracts:

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS

 

Referenced Obligation/Index      Financing Rate
Received/(Paid)
by the Fund(a)
     Credit
Spread at
April 30,
2018(b)
     Termination
Date
       Notional
Amount
(000s)
       Value     Upfront
Premiums
(Received)
Paid
     Unrealized
Appreciation/
(Depreciation)
 

Protection Sold:

                         

CDX.NA.HY Index 30

       5.000      3.393      06/20/23        $ 150        $ (4,448,783   $ (4,450,506    $ 1,723  

CDX.NA.HY Index 30

       5.000        3.393        06/20/23          4,460          4,793,450       4,708,949        84,501  

CDX.NA.IG Index 30

       1.000        0.608        06/20/23          400          7,853       7,293        560  

iTraxx Europe Series 29

       1.000        0.545        06/20/23        EUR 300          8,787       7,792        995  

iTraxx Europe Crossover Series 29

       5.000        2.713        06/20/23          150          20,242       18,384        1,858  
TOTAL                                              $ 381,549     $ 291,912      $ 89,637  

 

  (a)   Credit spread on the referenced obligation, together with the term of the swap contract, 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 the term of the swap contract increase.
  (b)   Payments made quarterly.

 

16   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

WRITTEN AND PURCHASED OPTIONS CONTRACTS — At April 30, 2018, the Fund had the following written and purchased options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

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

Purchased option contracts

 

           

Calls

 

           

Eurodollar Futures

   97.38      09/17/2018        3      $ 7,500      $ 1,143      $ 4,544      $ (3,401

Eurodollar Futures

   97.63      06/18/2018        8        20,000        800        9,864        (9,064

Eurodollar Futures

   97.75      06/17/2019        8        20,000        600        22,018        (21,418

Eurodollar Futures

   98.00      03/18/2019        15        37,500        375        30,723        (30,348

Eurodollar Futures

   98.13      12/17/2018        12        30,000        150        26,930        (26,780

Eurodollar Futures

   98.25      09/17/2018        11        27,500        69        23,253        (23,184

Eurodollar Futures

   98.38      06/18/2018        10        25,000        63        18,275        (18,212

Eurodollar Futures

   99.00      12/17/2018        74        185,000        463        5,721        (5,258

Eurodollar Futures

   99.00      03/18/2019        22        55,000        138        2,251        (2,113

Eurodollar Futures

   99.00      06/17/2019        14        35,000        87        1,732        (1,645

Eurodollar Futures

   96.00      03/16/2020        7        17,500        17,806        18,191        (385

Eurodollar Futures

   96.50      12/16/2019        11        27,500        15,882        20,126        (4,244

Eurodollar Futures

   96.75      06/18/2018        19        47,500        41,800        43,382        (1,582

Eurodollar Futures

   96.75      09/16/2019        19        47,500        19,475        44,507        (25,032

Eurodollar Futures

   96.88      06/17/2019        21        52,500        17,587        43,786        (26,199

Eurodollar Futures

   97.00      09/17/2018        13        32,500        16,575        17,443        (868

Eurodollar Futures

   97.13      03/18/2019        17        42,500        8,606        32,339        (23,733

Eurodollar Futures

   97.25      12/17/2018        3        7,500        1,237        4,844        (3,607

Eurodollar Futures

   97.75      09/16/2019        4        10,000        450        2,509        (2,059
TOTAL                           $ 727,500      $ 143,306      $ 372,438      $ (229,132

EXCHANGE TRADED OPTIONS ON EQUITIES

 

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

Written option contracts

 

       

Calls

 

       

S&P 500 Index

     2,670.00        04/30/2018       (2   $ (200   $ (10   $ (7,494   $ 7,484  

S&P 500 Index

     2,675.00        04/30/2018       (2     (200     (6     (7,087     7,081  

S&P 500 Index

     2,680.00        04/30/2018       (2     (200     (10     (6,716     6,706  

S&P 500 Index

     2,685.00        04/30/2018       (3     (300     (15     (6,468     6,453  

S&P 500 Index

     2,690.00        04/30/2018       (2     (200     (10     (6,071     6,061  

S&P 500 Index

     2,810.00        04/30/2018       (1     (100     (5     (3,046     3,041  

S&P 500 Index

     2,840.00        04/30/2018       (1     (100     (5     (2,164     2,159  

S&P 500 Index

     2,685.00        05/02/2018       (3     (300     (390     (9,629     9,239  

S&P 500 Index

     2,725.00        05/09/2018       (3     (300     (483     (3,707     3,224  

S&P 500 Index

     2,760.00        05/16/2018       (3     (300     (816     (2,941     2,125  

S&P 500 Index

     2,690.00        05/23/2018       (3     (300     (4,710     (5,878     1,168  

S&P 500 Index

     2,705.00        05/31/2018       (1     (100     (1,557     (3,626     2,069  

S&P 500 Index

     2,710.00        05/31/2018       (1     (100     (1,865     (3,003     1,138  

S&P 500 Index

     2,715.00        05/31/2018       (2     (200     (2,610     (2,827     217  

S&P 500 Index

     2,720.00        05/31/2018       (2     (200     (2,080     (2,525     445  

S&P 500 Index

     2,725.00        05/31/2018       (2     (200     (1,730     (2,213     483  

 

The accompanying notes are an integral part of these financial statements.   17


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Consolidated Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

EXCHANGE TRADED OPTIONS ON EQUITIES (continued)

 

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

S&P 500 Index

     2,730.00        05/31/2018       (2   $ (200   $ (1,756   $ (1,823   $ 67  

S&P 500 Index

     2,735.00        05/31/2018       (2     (200     (1,860     (1,732     (128

S&P 500 Index

     2,745.00        05/31/2018       (1     (100     (593     (2,107     1,514  

S&P 500 Index

     2,810.00        05/31/2018       (1     (100     (113     (2,325     2,212  

S&P 500 Index

     2,720.00        06/29/2018       (1     (100     (2,580     (2,809     229  

S&P 500 Index

     2,795.00        06/29/2018       (1     (100     (740     (869     129  
                              $ (4,100   $ (23,944   $ (87,060   $ 63,116  

Puts

 

       

S&P 500 Index

     2,520.00        04/30/2018       (2   $ (200   $ (10   $ (3,692   $ 3,682  

S&P 500 Index

     2,525.00        04/30/2018       (2     (200     (10     (3,809     3,799  

S&P 500 Index

     2,530.00        04/30/2018       (2     (200     (10     (3,993     3,983  

S&P 500 Index

     2,535.00        04/30/2018       (2     (200     (10     (4,087     4,077  

S&P 500 Index

     2,540.00        04/30/2018       (2     (200     (10     (4,073     4,063  

S&P 500 Index

     2,630.00        04/30/2018       (1     (100     (5     (3,366     3,361  

S&P 500 Index

     2,545.00        05/02/2018       (3     (300     (60     (5,112     5,052  

S&P 500 Index

     2,590.00        05/09/2018       (3     (300     (1,602     (7,506     5,904  

S&P 500 Index

     2,660.00        05/16/2018       (3     (300     (8,835     (9,057     222  

S&P 500 Index

     2,575.00        05/23/2018       (3     (300     (3,879     (7,438     3,559  

S&P 500 Index

     2,505.00        05/31/2018       (1     (100     (970     (5,371     4,401  

S&P 500 Index

     2,515.00        05/31/2018       (1     (100     (1,040     (3,686     2,646  

S&P 500 Index

     2,570.00        05/31/2018       (1     (100     (1,630     (4,094     2,464  

S&P 500 Index

     2,610.00        05/31/2018       (2     (200     (5,150     (4,821     (329

S&P 500 Index

     2,615.00        05/31/2018       (2     (200     (5,420     (5,066     (354

S&P 500 Index

     2,620.00        05/31/2018       (2     (200     (5,354     (5,350     (4

S&P 500 Index

     2,625.00        05/31/2018       (3     (300     (9,750     (8,912     (838

S&P 500 Index

     2,630.00        05/31/2018       (3     (300     (9,150     (10,595     1,445  

S&P 500 Index

     2,550.00        06/29/2018       (1     (100     (3,207     (4,059     852  

S&P 500 Index

     2,635.00        06/29/2018       (1     (100     (5,250     (6,589     1,339  
                              $ (4,000   $ (61,352   $ (110,676   $ 49,324  
TOTAL                             $ (8,100   $ (85,296   $ (197,736   $ 112,440  

 

 

Abbreviations:

CS International (London)

 

—Credit Suisse International (London)

MS & Co. Int. PLC

 

—Morgan Stanley & Co. International PLC

 

 

18   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Consolidated Statement of Assets and Liabilities(a)

April 30, 2018 (Unaudited)

 

  Assets:  
 

Investments, at value (cost and $899,930)

  $ 899,922  
 

Investments of affiliated issuers, at value (cost and $26,211,053)

    26,228,438  
 

Purchased options, at value (cost $372,438)

    143,306  
 

Cash

    458,153  
 

Foreign currencies, at value (cost $26,607)

    22,242  
 

Unrealized gain on forward foreign currency exchange contracts

    258,275  
 

Receivables:

 
 

Collateral on certain derivative contracts(b)

    1,994,604  
 

Reimbursement from investment adviser

    135,690  
 

Investments sold

    41,541  
 

Dividends and interest

    21,498  
 

Foreign tax reclaims

    1,190  
 

Due from broker — upfront payment

    225  
 

Other assets

    34,093  
  Total assets     30,239,177  
   
  Liabilities:  
 

Unrealized loss on forward foreign currency exchange contracts

    250,108  
 

Written option contracts, at value (premium received $197,736)

    85,296  
 

Variation margin on futures

    11,343  
 

Variation margin on swaps

    1,894  
 

Payables:

 
 

Investments purchased

    23,885  
 

Management fees

    14,091  
 

Distribution and service fees and transfer agency fees

    2,030  
 

Accrued expenses

    152,975  
  Total liabilities     541,622  
   
  Net Assets:  
 

Paid-in capital

    29,673,647  
 

Distributions in excess of net investment income

    (7,028
 

Accumulated net realized loss

    (29,361
 

Net unrealized gain

    60,297  
    NET ASSETS   $ 29,697,555  
   

Net Assets:

   
   

Class A

  $ 3,219,924  
   

Class C

    24,612  
   

Institutional

    26,367,397  
   

Investor

    25,271  
   

Class P

    10,023  
   

Class R

    24,939  
   

Class R6

    25,389  
   

Total Net Assets

  $ 29,697,555  
   

Shares Outstanding $0.001 par value (unlimited number of shares authorized):

   
   

Class A

    325,981  
   

Class C

    2,509  
   

Institutional

    2,658,517  
   

Investor

    2,549  
   

Class P

    1,010  
   

Class R

    2,526  
   

Class R6

    2,560  
   

Net asset value, offering and redemption price per share:(c)

   
   

Class A

    $9.88  
   

Class C

    9.81  
   

Institutional

    9.92  
   

Investor

    9.91  
   

Class P

    9.92  
   

Class R

    9.87  
   

Class R6

    9.92  

 

  (a)   Statement of Assets and Liabilities for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated.
  (b)   Includes amounts segregated for initial margin and/or collateral on futures transactions, options and swaps transactions of $299,231, $1,440,186 and $255,187, respectively, for the Fund.
  (c)   Maximum public offering price per share for Class A Shares of the Fund is $10.46. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

 

The accompanying notes are an integral part of these financial statements.   19


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Consolidated Statement of Operations(a)

For the Six Months Ended April 30, 2018 (Unaudited)

 

           
  Investment income:  
 

Dividends — affiliated issuers

  $ 218,400  
 

Dividends — unaffiliated issuers

    139,406  
 

Interest

    5,426  
  Total investment income     363,232  
   
  Expenses:  
 

Professional fees

    223,650  
 

Management fees

    126,068  
 

Custody, accounting and administrative services

    90,687  
 

Printing and mailing costs

    38,976  
 

Trustee fees

    8,652  
 

Transfer Agency fees(b)

    8,412  
 

Distribution and Service fees(b)

    4,523  
 

Other

    19,712  
  Total expenses     520,680  
 

Less — expense reductions

    (409,870
  Net expenses     110,810  
  NET INVESTMENT INCOME     252,422  
   
  Realized and unrealized gain (loss):  
 

Capital gain distributions from Affiliated Underlying Funds

    138,013  
 

Net realized gain (loss) from:

 
 

Investment — unaffiliated issuers

    53,532  
 

Investments — affiliated issuers

    (40,505
 

Purchased options

    (63,221
 

Futures contracts

    184,781  
 

Written options

    (241,193
 

Swap contracts

    26,211  
 

Forward foreign currency exchange contracts

    (108,557
 

Foreign currency transactions

    (15,533
 

Net change in unrealized gain (loss) on:

 
 

Investments — unaffiliated issuers

    (42,739
 

Investments — affiliated issuers

    (221,055
 

Purchased options

    (94,684
 

Futures contracts

    (92,218
 

Written options

    86,005  
 

Swap contracts

    27,960  
 

Forward foreign currency exchange contracts

    (90,756
 

Foreign currency translation

    (4,017
  Net realized and unrealized loss     (497,976
  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS   $ (245,554

 

  (a)   Statement of Operations for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated.
  (b)   Class specific Distribution and Service, and Transfer Agency fees were as follows:

 

Distribution and Service Fees      Transfer Agency Fees  

Class A

    

Class C

    

Class R

    

Class A

    

Class C

    

Institutional

    

Investor

     Class P(c)     

Class R

    

Class R6

 
$ 4,338      $ 123      $ 62      $ 3,123      $ 22      $ 5,218      $ 23             $ 22      $ 4  

 

  (c)   Commenced operations on April 16, 2018.

 

20   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Consolidated Statements of Changes in Net Assets(a)

 

        For the
Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal
Year Ended
October 31, 2017
 
  From operations:     
 

Net investment income

  $ 252,422      $ 139,565  
 

Net realized gain (loss)

    (66,472      359,122  
 

Net change in unrealized gain (loss)

    (431,504      543,960  
  Net increase (decrease) in net assets resulting from operations     (245,554      1,042,647  
      
  Distributions to shareholders:     
 

From net investment income

    
 

Class A Shares

    (9,391      (761
 

Class C Shares

           (40
 

Institutional Shares

    (102,701      (322,090
 

Investor Shares

    (63      (283
 

Class P Shares(b)

            
 

Class R Shares

           (161
 

Class R6 Shares

    (105      (327
  Total distributions to shareholders     (112,260      (323,662
      
  From share transactions:     
 

Proceeds from sales of shares

    726,165        4,641,836  
 

Reinvestment of distributions

    111,950        322,747  
 

Cost of shares redeemed

    (1,034,692      (154,129
  Net increase (decrease) in net assets resulting from share transactions     (196,577      4,810,454  
  TOTAL INCREASE (DECREASE)     (554,391      5,529,439  
      
  Net assets:     
 

Beginning of period

    30,251,946        24,722,507  
 

End of period

  $ 29,697,555      $ 30,251,946  
  Distributions in excess of net investment income   $ (7,028    $ (147,190

 

  (a)   Statement of Changes in Net Assets for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated.
  (b)   Commenced operations on April 16, 2018.

 

The accompanying notes are an integral part of these financial statements.   21


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
investment operations
        
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income
(loss)(a)
    Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 10.00      $ 0.07     $ (0.17    $ (0.10    $ (0.02
 

2018 - C

    9.94        0.03       (0.16      (0.13       
 

2018 - Institutional

    10.04        0.09       (0.17      (0.08      (0.04
 

2018 - Investor

    10.02        0.08       (0.17      (0.09      (0.02
 

2018 - P (Commenced April 16, 2018)

    9.90        0.01       0.01        0.02         
 

2018 - R

    9.98        0.05       (0.16      (0.11       
 

2018 - R6

    10.04        0.09       (0.17      (0.08      (0.04
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31 ,  
 

2017 - A

    9.75        (f)      0.34        0.34        (0.09
 

2017 - C

    9.68        (0.06     0.34        0.28        (0.02
 

2017 - Institutional

    9.78        0.05       0.34        0.39        (0.13
 

2017 - Investor

    9.76        0.04       0.33        0.37        (0.11
 

2017 - R

    9.72        (0.01     0.33        0.32        (0.06
 

2017 - R6

    9.78        0.06       0.33        0.39        (0.13
 

2016 - A

    9.93        0.05       (0.19      (0.14      (0.04
 

2016 - C

    9.92        (g)      (0.22      (0.22      (0.02
 

2016 - Institutional

    9.94        0.11       (0.21      (0.10      (0.06
 

2016 - Investor

    9.93        0.10       (0.22      (0.12      (0.05
 

2016 - R

    9.93        0.05       (0.22      (0.17      (0.04
 

2016 - R6

    9.94        0.11       (0.21      (0.10      (0.06
              
  FOR THE PERIOD ENDED OCTOBER 31 ,  
 

2015 - A (Commenced September 2, 2015)

    10.00        (0.01     (0.06      (0.07       
 

2015 - C (Commenced September 2, 2015)

    10.00        (0.02     (0.06      (0.08       
 

2015 - Institutional (Commenced September 2, 2015)

    10.00        (f)      (0.06      (0.06       
 

2015 - Investor (Commenced September 2, 2015)

    10.00        (g)      (0.07      (0.07       
 

2015 - R (Commenced September 2, 2015)

    10.00        (0.01     (0.06      (0.07       
 

2015 - R6 (Commenced September 2, 2015)

    10.00        (f)      (0.06      (0.06       

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests.
  (d)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (e)   Annualized.
  (f)   Amount is less than $0.005 per share.
  (g)   Amount is less than ($0.005) per share.

 

22   The accompanying notes are an integral part of these financial statements.


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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets(c)
        Ratio of
total expenses
to average
net assets(c)
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(d)
 
                         
  $ 9.88         (0.95 )%      $ 3,220         1.09 %(e)        3.83 %(e)        1.44 %(e)        112
    9.81         (1.31       25         1.84 (e)        4.60 (e)        0.61 (e)        112  
    9.92         (0.81       26,367         0.70 (e)        3.47 (e)        1.74 (e)        112  
    9.91         (0.95       25         0.84 (e)        3.61 (e)        1.60 (e)        112  
    9.92         0.20         10         0.75 (e)        2.49 (e)        2.60 (e)        112  
    9.87         (1.10       25         1.34 (e)        4.10 (e)        1.11 (e)        112  
    9.92         (0.79       25         0.69 (e)        3.45 (e)        1.76 (e)        112  
                         
                         
    10.00         3.54         3,909         1.05         3.21         (0.01       96  
    9.94         2.75         25         1.80         4.05         (0.59       96  
    10.04         4.02         26,242         0.65         2.91         0.55         96  
    10.02         3.97         25         0.80         3.05         0.41         96  
    9.98         3.36         25         1.30         3.56         (0.09       96  
    10.04           4.05           26           0.63           2.89           0.58           96  
    9.75         (1.36       83         0.79         4.01         0.53         38  
    9.68         (2.01       24         1.65         4.46         (0.02       38  
    9.78         (0.93       24,542         0.49         3.31         1.13         38  
    9.76         (1.18       25         0.65         3.47         0.98         38  
    9.72         (1.64       24         1.15         3.97         0.48         38  
    9.78         (0.92       25         0.47         3.28         1.16         38  
                         
                         
    9.93         (0.70       25         1.23 (e)        3.81 (e)        (0.36 )(e)        1  
    9.92         (0.90       26         1.98 (e)        4.55 (e)        (1.10 )(e)        1  
    9.94         (0.70       24,718         0.82 (e)        3.40 (e)        0.04 (e)        1  
    9.93         (0.70       25         0.98 (e)        3.57 (e)        (0.11 )(e)        1  
    9.93         (0.80       25         1.48 (e)        4.07 (e)        (0.62 )(e)        1  
    9.94           (0.70         25           0.77 (e)          3.35 (e)          0.10 (e)          1  

 

The accompanying notes are an integral part of these financial statements.   23


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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Notes to Financial Statements

April 30, 2018 (Unaudited)

 

1. ORGANIZATION

 

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Absolute Return Multi-Asset Fund (the “Fund”) is a diversified fund and currently offers seven classes of shares — Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class P, Class R and Class R6 Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Basis of Consolidation for Absolute Return Multi-Asset Fund — Cayman Commodity-ARM, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on May 14, 2015 and is currently a wholly-owned subsidiary of the Absolute Return Multi-Asset Fund (the “Fund”). On April 16, 2018 the Fund ceased its investment in the Subsidiary. The Subsidiary acted as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund was the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of September 2, 2015. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary conferred upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of April 30, 2018, the Fund’s net assets were $29,697,555, of which, $5, or 0.0%, represented the Subsidiary’s net assets.

B.  Investment Valuation — The Fund’s valuation policy is to value investments at fair value.

C.  Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the Underlying Fund invested in REITs.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date.

D.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

 

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2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

E.  Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Fund’s net assets on the Consolidated Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

F.  Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statement of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS   

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

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

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s 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 are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

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

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The 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.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and 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.

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

A forward foreign currency exchange contract is a forward contract in which the 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 at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the 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 the 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. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.

iii.  Options — When the 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 interest rate swap contracts.

Upon the purchase of a call option or a put option by the 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 the 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 the Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”)(“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the 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.

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. The 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 the 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, the 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. The 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.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

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

A total return swap is an agreement that gives the Fund the right to receive the appreciation in the value of a specified security, index 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, the Fund may also be required to pay the dollar value of that decline to the counterparty.

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 the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

C.  Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of April 30, 2018:

ABSOLUTE RETURN MULTI-ASSET  
Investment Type    Level 1        Level 2        Level 3  
Assets             

Fixed Income

            

U.S. Treasury Obligations

   $ 899,922        $         —        $         —  

Investment Companies

     26,228,438                    
Total    $ 27,128,360        $        $  

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

ABSOLUTE RETURN MULTI-ASSET (continued)  
Derivative Type    Level 1        Level 2        Level 3  
Assets             

Forward Foreign Currency Exchange Contracts(a)

   $        $ 258,275        $         —  

Futures Contracts(a)

     160,918                    

Credit Default Swap Contracts(a)

              89,637           

Options Purchased

     143,306                    
Total    $ 304,224        $ 347,912        $  
Liabilities             

Forward Foreign Currency Exchange Contracts(a)

   $        $ (250,108      $  

Futures Contracts(a)

     (94,711                  

Written Options

     (85,296                  
Total    $ (180,007      $ (250,108      $  

 

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

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

 

4. INVESTMENTS IN DERIVATIVES

The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2018. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.

 

Risk   

Consolidated Statements of

Assets and Liabilities

   Assets     

Consolidated Statements of

Assets and Liabilities

   Liabilities  

Interest rate

   Variation margin on futures contracts; Purchased options, at value    $ 250,418 (a)     Variation margin on futures contracts    $ (48,706) (a) 

Credit

   Variation margin on swap contracts      89,637            

Equity

   Variation margin on futures contracts      53,806 (a)     Variation margin on futures contracts; Written options, at value      (131,301) (a) 

Currency

  

Receivable for unrealized gain on forward

foreign currency exchange contracts

     258,275      Payable for unrealized loss on forward foreign currency exchange contracts      (250,106)  
Total         $ 652,136           $ (430,113)  

 

(a)   Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities.

The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2018. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

4. INVESTMENTS IN DERIVATIVES (continued)

 

accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statement of Operations:

 

Risk    Consolidated Statements of Operations    Net Realized
Gain (Loss)
    Net Change in
Unrealized
Gain (Loss)
    Average
Number of
Contracts(a)
 
Interest rate    Net realized gain (loss) from futures contracts and purchased options/Net change in unrealized gain (loss) on futures contracts and purchased options    $ (56,100   $ 19,590       329  
Commodity    Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts      48,096       (105,743     19  
Credit    Net realized gain (loss) on swap contracts /Net change in unrealized gain (loss) on swap contracts      38,005       27,960       5  
Currency    Net realized gain (loss) from forward foreign currency exchange contracts/Net unrealized gain (loss) on forward foreign currency exchange contracts      (108,557     (90,756     148  
Equity    Net realized gain (loss) from futures contracts, swap contracts, and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options      (127,578     (14,744     264  
Total         $ (206,134   $ (163,693     765  

 

(a)   Average number of contracts is based on the average month end balances for the period ended April 30, 2018.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Additionally, the Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Schedule of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.

 

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4. INVESTMENTS IN DERIVATIVES (continued)

 

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.

The following tables set forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of April 30, 2018:

 

     Derivative Assets(1)      Derivative Liabilities(1)                      
Counterparty   

Forward Currency

Contracts

     Total     

Forward Currency

Contracts

    Total    

Net Derivative Asset

(Liabilities)

    

Collateral (Received)

Pledged(1)

     Net Amount(2)  

MS & Co. Int. PLC

   $ 258,275      $ 258,275      $ (250,108   $ (250,108   $ 8,167      $         —      $ 8,167  

 

(1)   Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities.
(2)   Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets. For the six months ended April 30, 2018, contractual and effective net management fees with GSAM were at the following rates:

 

Contractual Management Rate  

First

$2 billion

      

Next

$3 billion

      

Next

$3 billion

      

Over

$8 billion

      

Effective

Management

Fee Rate

      

Effective Net

Management

Fee Rate*^(a)

 
  0.85%          0.77%          0.73%          0.71%          0.85%          0.55%  

 

*   GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to any management fee it earns as an investment adviser to any of the affiliated funds in which the Fund invests through at least February 28, 2019. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees.
^   Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any.
(a)   Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement as defined below after waivers.

The Fund invests in Institutional Shares of the Goldman Sachs Alternative Premia Fund, Goldman Sachs Emerging Markets Debt Fund, Goldman Sachs Emerging Markets Equity Fund, Goldman Sachs Financial Square Government Fund, Goldman Sachs Global Infrastructure Fund, Goldman Sachs International Real Estate Securities Fund, Goldman Sachs Local Emerging Markets Debt Fund, Goldman Sachs Real Estate Securities Fund, Goldman Sachs Short-Term Conservative Income Fund and the Goldman Sachs Tactical Exposure Fund, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Funds in which the Fund invests. For the six months ended April 30, 2018, GSAM waived $44,058 of the Fund’s management fee.

GSAM also provided management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and was entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remained in effect, GSAM had contractually agreed to waive irrevocably a portion of the Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

Agreement. For the six months ended April 30, 2018, GSAM waived $9,570 of the Fund’s management fee. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.

B.  Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Fund, as applicable, as set forth below.

The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.

 

     Distribution and/or Service Plan Rates  
      Class A*      Class C      Class R*  

Distribution and/or Service Plan

     0.25      0.75      0.50

 

*   With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and/or Service Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. For the six months ended April 30, 2018, Goldman Sachs advised that it retained $8 of the front end sales charges and $0 of the CDSC for this Fund.

D.  Service Plan — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C Shares of the Fund.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.04% of the average daily net assets of Institutional Shares; and 0.03% of the average daily net assets of Class P and Class R6 Shares.

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Fund are 0.104%. These Other Expense limitations will remain in place through at least February 28, 2019 for Class A, Class C, Institutional, Investor, Class R and Class R6 Shares, and through at least April 16, 2019 for Class P Shares, and prior to such dates GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.

 

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

For the six months ended April 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

 

Fund      Management
fees
       Other Expense
Reimbursements
       Total Expense
Reimbursements
 
Absolute Return Multi-Asset      $ 44,058        $ 365,812        $ 409,870  

G.  Line of Credit Facility — As of April 30, 2018, the Fund participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2018, the Fund did not have any borrowings under the facility. The facility was decreased to $770,000,000 effective May 1, 2018.

H.  Other Transactions with Affiliates — For the six months ended April 30, 2018, Goldman Sachs did not earn any brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.

As of April 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 100%, 96%, 100%, 100%, 100% and 100% of outstanding Class C, Institutional, Investor, Class P, Class R and Class R6 Shares, respectively of the Fund.

The following table provides information about the Fund’s investments in the Underlying Funds as noted below as of and for the six months ended April 30, 2018:

 

Fund   Market
Value as of
10/31/17
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
on sales of
Affiliated
Investment
Companies
    Net
Change in
Unrealized
Appreciation/
Depreciation
    Market
Value as of
4/30/18
    Shares as
of 4/30/18
    Dividend
Income
from
Affiliated
Investment
Companies
    Capital Gain
Distributions
from
Affiliated
Investment
Companies
 

Goldman Sachs Alternative Premia Fund — Institutional Shares

  $     $ 4,425,000     $     $     $ 20,252     $ 4,445,252       506,293     $     $  

Goldman Sachs Emerging Markets Debt Fund — Institutional Shares

    1,492,360       431,155       (1,205,000     (14,592     (39,265     664,658       53,429       29,962        

Goldman Sachs Emerging Markets Equity Fund — Institutional Shares

          1,770,917                   11,631       1,782,548       77,536              

Goldman Sachs Emerging Markets Equity Insights Fund — Institutional Shares

    2,060,317       184,098       (2,191,640     196,016       (248,791                 30,146       78,951  

Goldman Sachs Financial Square Government Fund — Institutional Shares

    14,799,592       13,454,693       (20,896,521                 7,357,764       7,357,764       84,679        

Goldman Sachs Global Infrastructure Fund — Institutional Shares

          1,025,000                   7,977       1,032,977       99,708              

Goldman Sachs Hedge Industry VIP ETF

          602,824       (613,531     10,707                                

Goldman Sachs High Yield Floating Rate Fund — Institutional Shares

    1,608,058       631,314       (2,228,657     (7,416     (3,299                 29,978        

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

Fund   Market
Value as of
10/31/17
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
on sales of
Affiliated
Investment
Companies
    Change in
Unrealized
Appreciation/
Depreciation
    Market
Value as of
4/30/18
    Shares as
of 4/30/18
    Dividend
Income
from
Affiliated
Investment
Companies
    Capital Gain
Distributions
from
Affiliated
Investment
Companies
 

Goldman Sachs Inflation Protected Securities Fund — Institutional Shares

  $ 1,769,389     $ 16,175     $ (1,775,467   $ 50,715     $ (60,812   $           $ 3,761     $  

Goldman Sachs International Real Estate Securities Fund — Institutional

    760,652       545,787                   43,390       1,349,829       210,582       20,788        

Goldman Sachs Local Emerging Markets Debt Fund — Institutional Shares

    476,106       104,078                   11,489       591,673       90,057       13,549        

Goldman Sachs Managed Futures Strategy Fund

          400,000       (381,919     (18,081                              

Goldman Sachs MLP Energy Infrastructure Fund

          318,343       (312,666     (5,677                       3,343        

Goldman Sachs Real Estate Securities Fund — Institutional Shares

    369,530       460,558                   (59,129     770,959       51,432       1,496       59,062  

Goldman Sachs Short-Term Conservative Income Fund — Institutional

          2,350,698                         2,350,698       234,601       698        

Goldman Sachs Strategic Income Fund

          1,000,000       (997,919     (2,081                              

Goldman Sachs Strategic Macro Fund — Institutional Shares

    1,970,021       113,112       (1,946,459     (244,035     107,361                          

Goldman Sachs Tactical Exposure Fund — Institutional Shares

          7,400,000       (1,500,000     (6,061     (11,859     5,882,080       592,952              

TOTAL

  $ 25,306,025     $ 35,233,752     $ (34,049,779   $ (40,505   $ (221,055   $ 26,228,438             $ 218,400     $ 138,013  

 

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2018, were $22,310,828 and $14,266,735, respectively.

 

7. TAX INFORMATION

As of the Fund’s most recent fiscal year end, October 31, 2017, the Fund’s capital loss carryforwards and certain timing differences on a tax basis were as follows:

 

Capital loss carryforwards:

        

Perpetual Long-Term

   $   (99,335) 

Timing differences (Straddle Loss Deferral and Qualified Late Year Loss Deferral)

   $   (9,082) 

 

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7. TAX INFORMATION (continued)

 

As of April 30, 2018, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

 

     

Absolute Return

Multi-Asset Fund

 

Tax Cost

   $ 27,142,184  

Gross unrealized gain

     144,978  

Gross unrealized loss

     (158,802

Net unrealized security gain (loss)

   $ (13,824

The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts, net mark to market gains (losses) on foreign currency contracts and differences in the tax treatment of underlying fund investments and swap transactions.

GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

 

8. OTHER RISKS

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

Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. 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 United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.

Foreign Custody Risk — If the Fund invests in foreign securities, it 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 the 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.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

8. OTHER RISKS (continued)

 

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the 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 increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund.

Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, the 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 — The Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the 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 the 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 the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.

Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the 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 — The Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/ or commodity index-linked structured notes, as applicable. 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 Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLRs, pending review of its position on this matter. The IRS also recently issued proposed regulations that, if finalized, would generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income only if there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion. The proposed regulations, if adopted, would apply to taxable years beginning on or after 90 days after the regulations are published as final.

The IRS also recently 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. The 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 Fund’s income from such investments was not “qualifying income,” in which case the Fund would fail to qualify as a regulated investment

 

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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

8. OTHER RISKS (continued)

 

company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If the 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.

 

9. OTHER MATTERS

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) 2017-08 — Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, by requiring amortization to the earliest call date. The amendments are effective for the Fund’s fiscal year ended October 31, 2019. GSAM is currently evaluating the impact, if any, of the amendments to the Fund.

 

10. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

 

11. SUBSEQUENT EVENTS

Subsequent events after the Consolidated Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

 

37


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

12. SUMMARY OF SHARE TRANSACTIONS

 

Share activity is as follows:

 

    Absolute Return Multi-Asset Fund  
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    29,820     $ 293,516        394,106     $ 3,906,079  

Reinvestment of distributions

    943       9,391        79       761  

Shares redeemed

    (95,607     (951,055      (11,839     (117,718
      (64,844     (648,148      382,346       3,789,122  
Class C Shares         

Reinvestment of distributions

                 4       40  
                   4       40  
Institutional Shares         

Shares sold

    42,127       422,644        74,702       735,747  

Reinvestment of distributions

    10,249       102,391        33,421       321,175  

Shares redeemed

    (8,444     (83,632      (3,686     (36,401
      43,932       441,403        104,437       1,020,521  
Investor Shares         

Reinvestment of distributions

    6       63        29       283  
      6       63        29       283  
Class P Shares(a)         

Shares sold

    1,011       10,005               

Shares redeemed

    (1     (5             
      1,010       10,000               
Class R Shares         

Reinvestment of distributions

                 17       161  
                   17       161  
Class R6         

Shares sold

                 1       10  

Reinvestment of distributions

    11       105        34       327  

Shares redeemed

                 (1     (10
      11       105        34       327  

NET INCREASE (DECREASE)

    (19,885   $ (196,577      486,867     $ 4,810,454  

 

(a)   Commenced operations on April 16, 2018.

 

38


Table of Contents

GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND

 

Fund Expenses — Six Month Period Ended April 30, 2018  (Unaudited)

 

As a shareholder of Class A, Class C, Institutional, Investor, Class P, Class R or Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2017 through April 30, 2018, which represents a period of 181 days in a 365-day year. The Class P example is based on the period from April 17, 2018 through April 30, 2018, which represents a period of 14 out of 365 days. The Class P example for hypothetical expenses reflects projected activity for the period from November 1, 2017 through April 30, 2018 for purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     Absolute Return Multi-Asset Fund  
Share Class   Beginning
Account Value
11/1/17
    Ending
Account Value
4/30/18
    Expenses Paid for the
6 months ended
4/30/18
*
 
Class A            

Actual

  $ 1,000.00     $ 990.50     $ 5.38  

Hypothetical 5% return

    1,000.00       1,019.39     5.46  
Class C            

Actual

    1,000.00       986.90       9.06  

Hypothetical 5% return

    1,000.00       1,015.67     9.20  
Institutional            

Actual

    1,000.00       991.90       3.46  

Hypothetical 5% return

    1,000.00       1,021.32     3.51  
Investor            

Actual

    1,000.00       990.50       4.15  

Hypothetical 5% return

    1,000.00       1,020.63     4.21  
Class P(a)            

Actual

    1,000.00       1,002.00       0.31  

Hypothethical 5% return

    1,000.00       1,021.08     3.97  
Class R            

Actual

    1,000.00       989.00       6.61  

Hypothetical 5% return

    1,000.00       1,018.15     6.71  
Class R6            

Actual

    1,000.00       992.10       3.41  

Hypothethical 5% return

    1,000.00       1,021.37     3.46  

 

  +   Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  
  *   Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2018. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:  
  (a)   Commenced operations on April 16, 2018.  

 

Fund    Class A     Class C     Institutional     Investor     Class P(a)     Class R     Class R6  

Absolute Return Multi-Asset Fund+

     1.09     1.84     0.70     0.84     0.80     1.34     0.69

 

39


Table of Contents

FUNDS PROFILE

 

Goldman Sachs Funds

 

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.29 trillion in assets under supervision as of March 31, 2018, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

 

Money Market

Financial Square FundsSM

  Financial Square Treasury Solutions Fund1
  Financial Square Government Fund1
  Financial Square Money Market Fund2
  Financial Square Prime Obligations Fund2
  Financial Square Treasury Instruments Fund1
  Financial Square Treasury Obligations Fund1
  Financial Square Federal Instruments Fund1
  Financial Square Tax-Exempt Money Market Fund2

Investor FundsSM

  Investor Money Market Fund3
  Investor Tax-Exempt Money Market Fund3

Fixed Income

Short Duration and Government

  Enhanced Income Fund
  High Quality Floating Rate Fund
  Short-Term Conservative Income Fund
  Short Duration Government Fund
  Short Duration Income Fund
  Government Income Fund
  Inflation Protected Securities Fund

Multi-Sector

  Bond Fund
  Core Fixed Income Fund
  Global Income Fund
  Strategic Income Fund

Municipal and Tax-Free

  High Yield Municipal Fund
  Dynamic Municipal Income Fund
  Short Duration Tax-Free Fund

Single Sector

  Investment Grade Credit Fund
  U.S. Mortgages Fund
  High Yield Fund
  High Yield Floating Rate Fund
  Emerging Markets Debt Fund
  Local Emerging Markets Debt Fund
  Total Emerging Markets Income Fund4

Fixed Income Alternatives

  Long Short Credit Strategies Fund

Fundamental Equity

  Equity Income Fund5
  Small Cap Value Fund
  Small/Mid Cap Value Fund
  Mid Cap Value Fund
  Large Cap Value Fund
  Focused Value Fund
  Capital Growth Fund
  Strategic Growth Fund
  Small/Mid Cap Growth Fund
  Flexible Cap Fund6
  Concentrated Growth Fund7
  Technology Opportunities Fund
  Growth Opportunities Fund
  Rising Dividend Growth Fund
  Blue Chip Fund8
  Income Builder Fund

Tax-Advantaged Equity

  U.S. Tax-Managed Equity Fund
  International Tax-Managed Equity Fund
  U.S. Equity Dividend and Premium Fund
  International Equity Dividend and Premium Fund

Equity Insights

  Small Cap Equity Insights Fund
  U.S. Equity Insights Fund
  Small Cap Growth Insights Fund
  Large Cap Growth Insights Fund
  Large Cap Value Insights Fund
  Small Cap Value Insights Fund
  International Small Cap Insights Fund
  International Equity Insights Fund
  Emerging Markets Equity Insights Fund

Fundamental Equity International

  International Equity Income Fund9
  International Equity ESG Fund10
  Asia Equity Fund
  Emerging Markets Equity Fund
  N-11 Equity Fund
  ESG Emerging Markets Equity Fund

Select Satellite

  Real Estate Securities Fund
  International Real Estate Securities Fund
  Commodity Strategy Fund
  Global Real Estate Securities Fund
  Alternative Premia Fund11
  Absolute Return Tracker Fund
  Managed Futures Strategy Fund
  MLP Energy Infrastructure Fund
  MLP & Energy Fund
  Multi-Manager Alternatives Fund
  Absolute Return Multi-Asset Fund
  Global Infrastructure Fund

Total Portfolio Solutions

  Global Managed Beta Fund
  Multi-Manager Non-Core Fixed Income Fund
  Multi-Manager U.S. Dynamic Equity Fund
  Multi-Manager Global Equity Fund
  Multi-Manager International Equity Fund
  Tactical Tilt Overlay Fund
  Balanced Strategy Portfolio
  Multi-Manager U.S. Small Cap Equity Fund
  Multi-Manager Real Assets Strategy Fund
  Growth and Income Strategy Portfolio
  Growth Strategy Portfolio
  Equity Growth Strategy Portfolio
  Satellite Strategies Portfolio
  Enhanced Dividend Global Equity Portfolio
  Tax-Advantaged Global Equity Portfolio
  Strategic Factor Allocation Fund
  Target Date 2020 Portfolio
  Target Date 2025 Portfolio
  Target Date 2030 Portfolio
  Target Date 2035 Portfolio
  Target Date 2040 Portfolio
  Target Date 2045 Portfolio
  Target Date 2050 Portfolio
  Target Date 2055 Portfolio
  Target Date 2060 Portfolio
  GQG Partners International Opportunities Fund
  Tactical Exposure Fund
1   You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2    You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3    You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4    Effective after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund.
5    Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
6    Effective after the close of business on August 31, 2017, the Goldman Sachs Flexible Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Fund.
7    Effective on July 28, 2017, the Goldman Sachs Focused Growth Fund was reorganized with and into the Goldman Sachs Concentrated Growth Fund.
8    Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund.
9    Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund.
10    Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund.
11    Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund.
    Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
*   This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.


Table of Contents

TRUSTEES

Jessica Palmer, Chair

Kathryn A. Cassidy

Diana M. Daniels

Herbert J. Markley

James A. McNamara

Roy W. Templin

Gregory G. Weaver

 

OFFICERS

James A. McNamara, President

Scott M. McHugh, Treasurer, Senior Vice President

and Principal Financial Officer

Joseph F. DiMaria, Assistant Treasurer

and Principal Accounting Officer

Caroline L. Kraus, Secretary

GOLDMAN SACHS & CO. LLC

Distributor and Transfer Agent

 

GOLDMAN SACHS ASSET MANAGEMENT, L.P.

Investment Adviser

Visit our website at www.gsamfunds.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282

The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

Holdings and allocations shown are as of April 30, 2018 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY AND IS PROVIDED SOLELY ON THE BASIS THAT IT WILL NOT CONSTITUTE INVESTMENT OR OTHER ADVICE OR A RECOMMENDATION RELATING TO ANY PERSON’S OR PLAN’S INVESTMENT OR OTHER DECISIONS, AND GOLDMAN SACHS IS NOT A FIDUCIARY OR ADVISOR WITH RESPECT TO ANY PERSON OR PLAN BY REASON OF PROVIDING THE MATERIAL OR CONTENT HEREIN INCLUDING UNDER THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 OR DEPARTMENT OF LABOR REGULATIONS. PLAN SPONSORS AND OTHER FIDUCIARIES SHOULD CONSIDER THEIR OWN CIRCUMSTANCES IN ASSESSING ANY POTENTIAL COURSE OF ACTION.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about a Fund and may be obtained from your Authorized Institution or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

© 2018 Goldman Sachs. All rights reserved. 132321-OTU-06/2018 MACSAR-18/214


Table of Contents

Goldman Sachs Funds

 

LOGO

 

 

 
Semi-Annual Report      

April 30, 2018

 
     

Dividend Focus Funds

     

Income Builder

     

Rising Dividend Growth

 

LOGO


Table of Contents

Goldman Sachs Dividend Focus Funds

 

  INCOME BUILDER

 

  RISING DIVIDEND GROWTH

 

TABLE OF CONTENTS

 

Investment Process — Income Builder

    1  

Portfolio Management Discussion and Performance Summary — Income Builder

    2  

Portfolio Management Discussion and Performance Summary — Rising Dividend Growth

    13  

Schedules of Investments

    22  

Financial Statements

    35  

Financial Highlights

    38  

Notes to Financial Statements

    42  

Other Information

    62  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

What Differentiates Goldman Sachs’

Income Builder Fund Investment Process?

 

Income Builder Fund is a broadly diversified portfolio that seeks to provide income and capital appreciation.

 

LOGO

 

LOGO

The Goldman Sachs Income Builder Fund provides exposure to the wealth-building opportunities of stocks and the regular income potential of bonds. The Fund invests in both equity and fixed income securities with a focus on yield enhancing strategies to earn a monthly income stream. The Fund seeks to maintain broad exposure to equities with lower than general equity market volatility.

 

LOGO

We believe that similar themes can perform differently across asset classes. The Fund can potentially take advantage of these cross-asset class opportunities as it is a dynamic portfolio that allows the flexibility to allocate across equities and fixed income from a top-down perspective, given our views on macro opportunities and valuations.

 

LOGO

In our risk management process, we identify, monitor and measure a fund’s risk profile. We consider the risk relative to the benchmark and the Fund’s investment goal to seek income stability and capital growth.

 

LOGO

The Fund’s portfolio comprises the ideas of two experienced Goldman Sachs investment groups:

Global Fundamental Equity Group: A group of investment professionals averaging over 17 years of investment experience and with a strong commitment to fundamental research.

Global Fixed Income Group: Broad, deep capabilities across global fixed income markets, with a total return investment philosophy.

 

1


Table of Contents

FUND RESULTS

 

Goldman Sachs Income Builder Fund

 

Investment Objective

The Goldman Sachs Income Builder Fund seeks to provide income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Equity Team, the Goldman Sachs Fixed Income Investment Management Team, and the Goldman Sachs Global Portfolio Solutions Group, collectively the Goldman Sachs Income Builder Team (the “Income Builder Team”), discuss the Goldman Sachs Income Builder Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor and Class R6 Shares generated cumulative total returns, without sales charges, of -0.45%, -0.83%, -0.30%, -0.37% and -0.29%, respectively. These returns compare to the 1.94% and -0.63% cumulative total returns of the Russell 1000® Value Index (with dividends reinvested) (the “Russell Index”) and the ICE Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index (the “ICE BofAML Index”), respectively, during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -0.82% compared to the -1.07% and -0.67% cumulative total returns of the Russell Index and the ICE BofAML Index, respectively.

 

Q   What economic and market factors most influenced the equity and fixed income markets as a whole during the Reporting Period?

 

A   U.S. equities recorded a gain during the Reporting Period overall, with Federal Reserve (“Fed”) monetary policy economic data and political events dominating market sentiment. When the Reporting Period began in November 2017, progress on tax reform and strong economic activity were supportive of U.S. equities. In December, the Fed delivered the third interest rate hike of 2017, as had been widely expected, having done similarly in March and June 2017, and maintained its projections for three additional interest rate hikes in 2018. U.S. equities gained additional momentum toward the end of December from the passage of a tax reform bill that reduced the corporate tax rate from 35% to 21%.

 

    U.S. equities saw a strong start to 2018, driven by positive economic data, the $1.5 trillion tax reform law and a favorable corporate earnings season. In February 2018, however, equities sold off globally on market speculation of a faster pace of Fed interest rates hikes, which stoked a sharp rise in bond yields and an increase in equity market volatility. Concerns about Fed monetary policy tightening were further exacerbated by solid U.S. labor and inflation data. In late February 2018, new Fed Chair Jerome Powell’s testimony before Congress, positing a more optimistic economic outlook since the December 2017 Fed meeting, surprised equity markets with its hawkish tilt and sparked a sell-off. (Hawkish tends to suggest higher interest rates; opposite of dovish.) In March 2018, escalating trade tensions and potential tariffs weighed on investor sentiment. Meanwhile, the Fed raised short-term interest rates, much as the market had expected. The Fed’s dot plot, which shows rate projections of the members of the Fed’s Open Market Committee, continued to point to a total of three interest rate increases in 2018. However, Fed policymakers acknowledged that the “economic outlook has strengthened in recent months,” revising their growth forecast higher and their employment forecast lower.

 

    The U.S. equity market was relatively muted in April 2018, as the U.S. and China continued to generate trade headlines and geopolitical uncertainty about sanctions on Russia surfaced. A number of macroeconomic drivers, including U.S. labor market strength, higher inflation and fiscal stimulus, pushed up U.S. Treasury yields, with the 10-year U.S. Treasury yield breaching 3% toward month end. With more than half of S&P 500® Index companies having reported their first quarter 2018 results, the earnings season began strongly during April 2018.

 

2


Table of Contents

FUND RESULTS

 

 

 

 

    The broad U.S. fixed income market posted negative returns during the Reporting Period overall. Spread, or non-government bond, sectors generally outperformed U.S. Treasury securities, led by high yield corporate bonds. The U.S. Treasury yield curve, or spectrum of maturities, flattened slightly, as yields on longer-term maturities rose less than yields on shorter- and intermediate-term maturities. (A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows.)

 

    During November and December 2017, the performance of spread sectors was largely positive, supported by continued strength in the global macro environment and contained market, macro and political volatility. Passage of U.S. tax reform legislation and solid corporate earnings were particularly supportive of U.S. corporate credit. As mentioned previously, the Fed raised short-term interest rates in December 2017 and, at the same time, maintained its forecast for three rate hikes in 2018. Spread sectors were then challenged during the first quarter of 2018, as volatility surged. Among the catalysts were firmer than consensus expected U.S. wage and price inflation data at the beginning of February 2018, equity market declines in February and March, and rising concerns about trade tensions during March. As mentioned earlier, Fed policymakers raised short-term interest rates again in March 2018. Beyond the U.S., monetary policy action was muted in the developed markets during the first calendar quarter overall, though policymakers in Europe and Japan sounded mildly dovish and those in Norway appeared more hawkish. Economic activity data moderated in emerging markets and developed markets countries but remained in expansionary territory, which was supportive of cyclical asset classes geared toward growth.

 

    In April 2018, spread sectors produced mixed results. Global economic activity data continued to moderate, though some indicators appeared to have bottomed. Price pressures varied, with higher inflation in the U.S., diminishing inflation in the U.K. and an unexpected drop in Eurozone inflation. Firmer U.S. inflation data raised market expectations for a faster pace of Fed rate hikes, helping to push the 10-year U.S. Treasury yield to 3% for the first time since 2014. Elsewhere, developed markets’ central banks exhibited a dovish tilt, with the Bank of England and Sweden’s Riksbank announcing they would delay anticipated interest rate hikes.

 

Q   What was the Fund’s asset allocation positioning during the Reporting Period?

 

A   As part of its principal investment strategies, the Fund has a baseline allocation of 60% to fixed income securities and 40% to equity securities, though in seeking to meet its investment objective, the Fund has the flexibility to opportunistically tilt the allocation to fixed income and equity securities up to 15% above or below that baseline allocation. The Fund seeks to provide a high and stable income stream plus capital appreciation, with lower volatility than the equity market. The percentage of the portfolio invested in equity and fixed income securities will vary from time to time as the Income Builder Team evaluates such securities’ relative attractiveness based on, among other factors, income opportunities, market valuations, economic growth and inflation prospects. Because of these stated goals of the Fund, the Income Builder Team believes the returns of the Russell Index and the ICE BofAML Index should be considered for reference only.

 

    At the beginning of the Reporting Period, the Fund was invested 38.5% in equities and 60.2% in fixed income, with the balance of 1.3% in cash and cash equivalents. During the Reporting Period, we modestly increased the Fund’s overall exposure to equities, particularly U.S. equities. Though U.S. equity valuations were elevated in historical terms, we believed they offered a reasonable risk premium compared to other asset classes. We also thought U.S. tax reform would be a tailwind for corporations, which was not yet being fully reflected in equity valuations, in our view. Regarding fixed income, we modestly reduced the Fund’s overall allocation but maintained our bias toward higher quality credits by tilting the Fund toward investment grade corporate bonds. At the end of the Reporting Period, the Fund was invested 41.6% in equities and 55.5% in fixed income, with the balance of 2.9% in cash and cash equivalents.

 

Q   What was the Fund’s 12-month distribution rate and what was its 30-day SEC yield during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Investor and R6 Shares* provided 12-month distribution rates of 3.71%, 3.01%, 4.03%, 3.89% and 4.03%, respectively. On April 30, 2018, the Fund’s 30-day

 

 

  *   As the Fund’s Class P Shares have an inception date of April 16, 2018 and the Reporting Period ended on April 30, 2018, neither a 12-month distribution rate nor a 30-Day SEC yield is available for this share class.

 

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  SEC yields (subsidized) for its Class A, C, Institutional, Investor and R6 Shares were 3.45%, 2.91%, 4.06%, 3.92% and 4.06%, respectively.

 

Q   What key factors had the greatest impact on the performance of the Fund’s equity allocation during the Reporting Period?

 

A   Relative to the Russell Index, stock selection had the greatest impact on the Fund’s equity allocation during the Reporting Period. The Fund’s call writing strategy, which seeks to generate additional cash flow and potentially reduce volatility by sales of call options on the S&P 500® Index or other regional stock market indices (or related ETFs), did not have a material impact on performance during the Reporting Period.

 

Q   Which equity market sectors most significantly affected Fund performance during the Reporting Period?

 

A   During the Reporting Period, the Fund was hurt by overweight positions relative to the Russell Index in the health care and utilities sectors. An underweight in the consumer staples sector also hampered relative performance. Stock selection in all three sectors further detracted from the Fund’s returns. On the other hand, the Fund benefited from its overweight positions in the information technology and industrials sectors and its neutral position in the materials sectors. Stock selection in all three sectors also added to results.

 

Q   Which stocks detracted significantly from the Fund’s relative performance during the Reporting Period?

 

A   The largest detractors from the Fund’s performance relative to the Russell Index were Duke Energy, MetLife and British American Tobacco.

 

    The Fund’s top detractor was Duke Energy, a regulated utility company and the largest electric power holding company in the U.S. Its shares retreated after the passage of U.S. tax reform and as investors grew concerned about the potential of lower rates for customers, which could lead to weaker cash flows across the utilities sector. In our view, these challenges are transitory, and we continued to have a positive view of Duke Energy at the end of the Reporting Period.

 

    MetLife, a provider of insurance and financial services to individual and institutional customers, also dampened relative returns. The company announced it had discovered material weakness in its internal controls related to variable annuities within its Japanese operations. Additionally, its management issued fourth quarter 2017 guidance well below market consensus due to an annuity-related increase in reserves and also said a review was being conducted of international annuity/pension reserves. We viewed all this news negatively, with our greatest concern focused on MetLife’s investigation into its international businesses, which could potentially be an overhang on the company’s share price. We ultimately decided to eliminate the Fund’s position in the stock in favor of higher conviction ideas.

 

    Another key detractor during the Reporting Period was British American Tobacco, a multinational cigarette manufacturer. Its stock price declined after the company reported 2017 earnings with lower than consensus expected revenue and organic sales growth. Although the company missed on these metrics, we believe it has a brand portfolio, geographic mix and synergies from the acquisition of Reynolds American that can support significant growth through 2020. Furthermore, in our view, British American Tobacco is a leader in next generation products, such as vaping and “heat not burn” products, which could provide a boost to its earnings in the longer term.

 

Q   Which stocks contributed significantly to the Fund’s relative performance during the Reporting Period?

 

A   During the Reporting Period, the Fund benefited most compared to the Russell Index from investments in Royal Dutch Shell, Cisco Systems and Microsoft.

 

    Shares of Royal Dutch Shell rose amid positive market sentiment about the progress of the British-Dutch oil and gas company’s asset disposal program as well as on solid production results. Its management announced it was comfortable with its ongoing plan to shed assets and said new projects could boost cash flows. At the end of the Reporting Period, we maintained a positive view of Royal Dutch Shell because of its attractive dividend yield and the potential upside of increased volumes in its integrated gas business.

 

   

Cisco Systems, a provider of Internet-based networking hardware and communications services, also added to relative returns. Its shares traded higher after the company reported solid quarterly earnings and gave higher guidance on growing revenues in a healthy operating environment. Investors reacted positively as Cisco Systems showed it continues to diversify its revenue streams while improving its older businesses in a manner we believe eases the challenges

 

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  of such diversification. Cisco Systems seems poised for steady revenue growth, in our view, as its enterprise clients continue to focus on reducing operating expenses and increasing agility through network automation, an area well served by Cisco Systems’ campus LAN (local area network) switching product line. Additionally, we believe the company’s shares were trading, at the end of the Reporting Period, at compelling valuations relative to those of large cap technology peers and offered what we consider to be an attractive and sustainable dividend yield.

 

    The Fund was also helped by a position in Microsoft, a developer and marketer of software and hardware services. In our view, the company has been executing well as it seeks to become a leader in cloud computing, effectively migrating its customer base and expanding its total available market. A recent reorganization further highlighted Microsoft’s commitment to its cloud business, as its management reallocated resources from Windows initiatives to further drive growth. As a result, we believe the company was well positioned at the end of the Reporting Period to increase revenues going forward. In our opinion, the company’s growth may accelerate over the next several years, which could potentially increase its multiples expansion. Additionally, we believe Microsoft was trading at the end of the Reporting Period at an attractive valuation and was supported by a strong yield.

 

Q   Were any significant purchases or sales made within the equity allocation of the Fund during the Reporting Period?

 

A   During the Reporting Period, the Fund initiated a position in Enel, an Italian distributor of gas and electricity across Eastern Europe and Latin America. We have a positive view on the European utilities market and thought Enel was trading at an attractive valuation.

 

    Another notable purchase was First Horizon National, a financial holding company that offers checking accounts, savings products, mortgage banking, lending and financing to individuals and businesses. In our view, the stock’s underperformance in early 2018 provided a buying opportunity, as its shares were trading at a discount compared to those of the company’s peers. Looking ahead, we are optimistic that First Horizon National’s balance sheet will remain “asset sensitive,” which should allow the company to perform well in a rising interest rate environment. (Asset sensitivity refers to a balance sheet structure where assets re-price or reset faster than liabilities.) In addition, we think First Horizon stands to benefit from an increase in loan discounts as a result of its merger with Capital Bank Financial in late 2017.

 

    Among those sales implemented during the Reporting Period was the Fund’s investment in Exxon Mobil. The stock had been purchased because of our positive views on the oil and gas company’s integrated business model and its management team’s ability to identify accretive acquisitions. During the Reporting Period, we exited the Fund’s position to purchase shares of another oil and gas company that offered what we considered to be more compelling risk-adjusted opportunities over the long term.

 

    During the Reporting Period, we eliminated the Fund’s position in FirstEnergy, which is engaged in the generation, transmission and distribution of electricity in the U.S. Our original thesis was predicated on the view that FirstEnergy traded at an inexpensive valuation and provided a solid dividend yield. We also believed the company could benefit from the divestiture of its power generation business and a conversion to a fully regulated utility. We decided to eliminate the Fund’s position because we believed other utility stocks offered better risk/reward opportunities.

 

Q   What changes were made to the Fund’s equity market sector and industry weightings during the Reporting Period?

 

A   During the Reporting Period, we reduced the Fund’s exposures to energy, financials and utilities companies. We increased its exposures to information technology, real estate investment trusts and materials companies. At the end of the Reporting Period, the Fund was overweight relative to the Russell Index in the energy, health care, industrials, information technology, telecommunication services, utilities and real estate sectors. Within the energy sector, it was overweight energy master limited partnerships/energy infrastructure securities. The Fund was underweight relative to the Russell Index in the consumer discretionary, consumer staples and financials sectors. Compared to the Russell Index, the Fund was rather neutrally weighted in the materials sector at the end of the Reporting Period.

 

Q   Which fixed income market sectors significantly affected the Fund’s performance during the Reporting Period?

 

A  

In absolute terms, the Fund’s performance was hampered by exposure to high yield corporate bonds within the communications and commercial services/products market segments. However, exposure to investment grade corporate

 

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FUND RESULTS

 

 

 

  bonds within the technology and telecommunications market segments contributed positively during the Reporting Period.

 

    Relative to the ICE BofAML Index, the Fund was hurt by its overweight positions in communications-related high yield corporate bonds and tobacco industry investment grade corporate bonds. Conversely, underweight positions in energy-related and industrial manufacturing industry high yield corporate bonds added to relative returns. In addition, the Fund benefited from its underweight position overall in high yield corporate bonds, especially during November 2017 and the first quarter of 2018 when credit spreads (or yield differentials versus duration-equivalent U.S. Treasury securities) widened.

 

Q   How did the Fund’s duration and yield curve positioning strategies affect performance during the Reporting Period?

 

A   During the Reporting Period, the Fund’s duration strategy detracted from its performance. More specifically, the Fund was hurt by its duration positioning during April 2018. Duration is a measure of the Fund’s sensitivity to changes in interest rates. We do not actively manage the Fund’s yield curve positioning as part of our investment process.

 

Q   What changes were made to the Fund’s fixed income weightings during the Reporting Period?

 

A   Over the course of the Reporting Period, we increased the size of the Fund’s underweight position compared to the ICE BofAML Index in retail and apparel as that market segment, in our view, continues to face secular challenges due to pressures from e-commerce. We also increased the Fund’s underweight in energy because we remain cautious about cyclical sectors despite the rise in crude oil prices during the Reporting Period. In addition, we tilted the Fund toward investment grade corporate bonds as a way to maintain its bias toward higher quality credits.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   As mentioned previously, the Income Builder Team wrote equity index options on a portion of the Fund’s equity allocation in an effort to generate additional cash flow and potentially reduce volatility. The use of equity index options did not have a material impact on performance during the Reporting Period. In managing the Fund’s fixed income allocation, the Income Builder Team used U.S. Treasury futures and Eurodollar futures to hedge and manage interest rate exposure. (Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S.) The Fund also utilized forward foreign currency exchange contracts to hedge currency exposure. The use of forward foreign currency exchange contracts and U.S. Treasury futures detracted from the performance of the Fund’s fixed income allocation during the Reporting Period. The use of Eurodollar futures had a modestly positive impact on returns.

 

Q   What is the Income Builder Team’s tactical view and strategy for the months ahead?

 

A   At the end of the Reporting Period, the Income Builder Team was cautiously optimistic a favorable macroeconomic backdrop would continue to support U.S. equities. As a result of the tax reform legislation passed in December 2017, we expect investors to benefit from corporate tax savings deployment, including the return of capital through stock buybacks and dividends, increased mergers and acquisitions, and reinvestments. Although we considered equity valuations full at the end of the Reporting Period, we thought U.S. stocks offered a reasonable risk premium over other asset classes. Furthermore, after several years of thematic-driven markets, we are pleased to see increasing performance dispersion among individual stocks. In this environment, we believe an active approach to selecting stocks may continue to be rewarded. Regardless of market direction, however, fundamental, bottom-up stock selection will continue to drive our process, not headlines or investor sentiment. At the end of the Reporting Period, we maintained high conviction in the companies owned by the equity portion of the Fund, and we believed they have the potential to outperform relative to the broader market regardless of the growth environment. We intend to continue to focus on undervalued companies we believe are in control of their own future, such as innovators with differentiated products, companies with low-cost structures and firms that have been investing in their own businesses and are poised to gain market share. We will maintain our discipline in identifying companies with what we consider to be strong or improving balance sheets, led by quality management teams and trading at discounted valuations, seeking to generate long-term outperformance.

 

   

Regarding fixed income, the Income Builder Team had a cautiously positive outlook for high yield corporate bonds when the Reporting Period ended. In the near term, we expect solid corporate earnings growth, along with the tailwinds of fiscal stimulus and tax reform, to keep high yield credit spreads anchored close to their levels at the end of the Reporting Period. The key headwind for the asset class, in

 

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FUND RESULTS

 

 

 

  our view, is tight valuations. Going forward, we expect intermittent pull-backs, particularly during times when new issuance is strong. A potential source of increased new issuance is elevated mergers and acquisitions activity. We believe the largest risk to our outlook overall is a rise in interest rate volatility, which could be driven by more aggressive than consensus anticipated Fed monetary policy action, an inflation shock, escalating trade tensions, higher risk premiums due to idiosyncratic events, and/or market disruptions resulting from credit downgrades of investment grade corporate bonds. Persistent equity market volatility, which is historically a headwind for high yield credit spreads, is another possible risk to our outlook. At the end of the Reporting Period, we favored communications industries broadly because of what we consider to be their robust fundamentals and consumers’ non-cyclical demand for data. In addition, we have a positive view of financials companies, as we believe their earnings are likely to benefit from a modest increase in U.S. interest rates. Within technology, we like software companies because of their relative stability and the greater visibility we have into their operations. We intend to maintain the Fund’s underweight in retail and apparel due to the secular challenges we think the industry is facing. In terms of ratings, we continued to favor higher quality credits at the end of the Reporting Period.

 

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FUND BASICS

 

Income Builder Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW    
    

November 1, 2017–April 30, 2018

  Fund Total Return
(based on NAV)1
    Russell 1000
Value Index2
    ICE Bank of America Merrill
Lynch BB to B U.S. High
Yield Constrained Index3
 
 

Class A

    -0.45     1.94     -0.63
 

Class C

    -0.83       1.94       -0.63  
 

Institutional

    -0.30       1.94       -0.63  
 

Investor

    -0.37       1.94       -0.63  
 

Class R6

    -0.29       1.94       -0.63  
   

April 16, 2018–April 30, 2018

Class P

    -0.82     -1.07     -0.67

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. This index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. It is not possible to invest directly in an unmanaged index.

 

  3    The ICE BofA Merrill Lynch BB to B US High Yield Constrained Index contains all securities in the ICE BofA Merrill Lynch U.S. High Yield Index rated BB1 through B3, based on an average of Moody’s, S&P and Fitch, but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face values of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. It is not possible to invest directly in an unmanaged index.

 

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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  PERFORMANCE REVIEW (continued)  
    

November 1, 2017–April 30, 2018

  12-Month
Distribution Rate4
    30-Day Standardized
Subsidized Yield5
    30-Day Standardized
Unsubsidized Yield5
 
 

Class A

    3.71     3.45     3.34
 

Class C

    3.01       2.91       2.80  
 

Institutional

    4.03       4.06       3.95  
 

Investor

    3.89       3.92       3.81  
  Class P     N/A       N/A       N/A  
    Class R6     4.03       4.06       3.95  

 

  4    The 12 month distribution rate is calculated by taking the sum of all cash distributions over the past 12 months and dividing by the month end NAV in the last month of the period. Distributions may include interest from fixed income, dividends from equities, short term and long term capital gains, return of capital, and special distributions. Return of capital distribution may include a return of some or all of the money that an investor invested in Fund shares. Distributions from securities such as MLPs passing through the Fund may also be characterized as return of capital. Special distributions may include any off-cycle distributions that occur outside of regular interest or dividend payment dates, such as when a company opts to pay a special dividend. The amounts and sources of distribution are not provided for tax reporting purposes. The Fund reports the character of distributions for federal income tax purposes each calendar year on Form 1099-DIV. Distributions will fluctuate over time and a large proportion of the distribution may occur at the end of the year in the form of capital gains. Distributions and market value movements affect the NAV of the Fund and will also affect this calculation. 12 month distribution rate numbers are based on historical distributions and NAVs and are not predictive of future distributions or yields. 12 month distribution rate is calculated to provide a sense of the total cash flow associated with investment in the Fund, but should not be confused with SEC yield, dividend yield or interest yield.

 

  5    The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the SEC and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/ or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

 

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FUND BASICS

 

 

  STANDARDIZED TOTAL RETURNS6  
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date  
 

Class A

    -2.52     3.58     5.49     6.40     10/12/1994  
 

Class C

    1.39       3.96       5.29       3.95       8/15/1997  
 

Institutional

    3.54       5.16       6.50       5.19       8/15/1997  
 

Investor

    3.45       5.00       N/A       8.10       8/31/2010  
  Class P     N/A       N/A       N/A       N/A       4/16/2018  
   

Class R6

    3.60       N/A       N/A       3.88       7/31/2015  

 

  6   The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

  EXPENSE RATIOS7  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
 

Class A

    0.97      0.99
 

Class C

    1.72        1.74  
 

Institutional

    0.58        0.60  
 

Investor

    0.72        0.74  
 

Class P

    0.57        0.59  
    Class R6     0.57        0.59  

 

  7   The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

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FUND BASICS

 

 

 

 

 

  TOP TEN EQUITY HOLDINGS AS OF 4/30/188
     Holding   % of Net Assets      Line of Business
 

Microsoft Corp.

    1.8    Software
 

Pfizer, Inc.

    1.7      Pharmaceuticals
 

Chevron Corp.

    1.4      Oil, Gas & Consumable Fuels
 

Royal Dutch Shell PLC ADR Class A

    1.4      Oil, Gas & Consumable Fuels
 

Johnson & Johnson

    1.3      Pharmaceuticals
 

BB&T Corp.

    1.3      Banks
 

Cisco Systems, Inc.

    1.3      Communications Equipment
 

Vodafone Group PLC ADR

    0.9      Wireless Telecommunication Services
 

Medtronic PLC

    0.9      Health Care Equipment & Supplies
   

JPMorgan Chase & Co.

    0.9      Banks

 

  8    The top 10 holdings may not be representative of the Fund’s future investments.

 

FUND’S EQUITY SECTOR ALLOCATIONS VS. BENCHMARK9
As of April 30, 2018      

 

LOGO

 

 

  9    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.0% of the Fund’s net assets as of April 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures above may not sum to 100% due to rounding.

 

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FUND BASICS

 

 

 

 

 

FUND’S FIXED INCOME FUND COMPOSITION10

 

 

LOGO

 

 

  10    The percentage shown for each investment category reflects the value of investments in that category as a percentage of the Fund’s Fixed Income investments. Short-term investments represent certificates of deposits and commercial papers. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures above may not sum to 100% due to rounding.

 

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FUND RESULTS

 

Goldman Sachs Rising Dividend Growth Fund

 

Investment Objective

The Fund seeks long-term growth of capital and current income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) portfolio management team, the Goldman Sachs Global Portfolio Solutions Group and the Dividend Assets Capital, LLC (“DAC”) portfolio management team, the Fund’s sub-adviser, discuss the Goldman Sachs Rising Dividend Growth Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor and Class R Shares generated cumulative total returns, without sales charges, of 4.09%, 3.70%, 4.36%, 4.25% and 3.98%, respectively. These returns compare to the 3.82% cumulative total return of the Fund’s benchmark, the S&P 500® Index (with dividends reinvested) (the “S&P 500 Index”), during the same time period.

 

    From their inception on February 28, 2018 through the end of the Reporting Period, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges of -0.73%. This return compares to the -2.17% cumulative total return of the S&P 500 Index during the same time period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P shares generated a cumulative total return, without sales charges of -1.24%. This return compares to the -1.08% cumulative total return of the S&P 500 Index during the same time period.

 

Q   What changes were made to the Fund during the Reporting Period?

 

A   Effective at the close of business on March 30, 2018, changes were made to the investment management responsibilities for the Fund. Goldman Sachs Asset Management, L.P. (“GSAM”) now manages the Fund’s dividend-paying investments using a systematic, rules-based approach, while DAC continues to manage the Fund’s investments in Master Limited Partnerships (“MLPs”). The Fund’s investment objective and benchmark did not change.

 

Q   What economic and market factors most influenced the equity markets as a whole during the Reporting Period?

 

A   The factors that most influenced the equity markets as a whole during the Reporting Period can, in general, be broken down into two segments — those from the start of the Reporting Period in November 2017 through the end of January 2018 and those from the beginning of February 2018 through the end of the Reporting Period.

 

    Through the latter part of January 2018 was generally a continuation of the relatively low volatility environment experienced by the U.S. equity markets through most of 2017. Indeed, the VIX, a volatility index that serves as a proxy for investor worries or the lack thereof, remained at rather low levels during these months. Further, investors looked with anticipation to the potential impact on bottom lines of the new tax reform legislation passed by Congress in late December 2017 along with the potential for synchronous global economic growth. The Federal Reserve (the “Fed”) increased interest rates by 25 basis points at its December 2017 meeting, as expected. (A basis point is 1/100th of a percentage point.) The S&P 500 Index, which had been appreciating each month of the Reporting Period to date, reached a fresh high in late January 2018.

 

    At the beginning of February 2018, however, inflation fears took center stage, as wage growth came in higher than consensus expectations. Investors began to worry that a combination of higher wage growth and rising raw material costs could erode company margins and, in turn, corporate earnings growth. Further, investors grew concerned that rising inflation could drive the Fed to increase interest rates at a faster clip than previously expected by the consensus. From a geopolitical perspective, trade tensions increased dramatically with the U.S. Administration’s announcement of potential tariffs, which further exacerbated equity market volatility. The S&P 500 Index ended an extended streak of monthly advances, declining in both February and March 2018 before rebounding to eke out a modest gain in April 2018.

 

   

The U.S. equity markets remained relatively muted in April 2018 amid the U.S. and China generating trade headlines and

 

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geopolitical uncertainty stemming from sanctions on Russia surfacing. A number of macro drivers, including labor market strength, inflation normalization and fiscal stimulus, moved U.S. Treasury yields higher. Still, reports of first quarter 2018 corporate earnings were generally strong, with more than half of S&P 500 Index companies having reported results by the end of the Reporting Period.

 

Q   What economic and market factors most influenced energy MLPs as a whole during the Reporting Period?

 

A   The Alerian MLP Index, the leading measure of energy MLPs, returned -0.73% for the Reporting Period. On the one hand, energy MLPs were supported during the Reporting Period by higher crude oil prices, strong domestic shale oil and natural gas production and healthy crude/liquid natural gas/refined exports as well as a generally favorable economic backdrop both domestically and globally.

 

    Further, fundamentally, MLPs delivered strong earnings before interest, taxes, amortization and depreciation (“EBITDA”) growth both year over year and sequentially, with strong distribution coverage and reduced financial leverage, as managements throughout the industry focused on business execution and reduced dependence on equity financing.

 

    MLP performance during the Reporting Period, however, diverged from improved business fundamentals, offering, in our view, potentially attractive investment opportunities. As of April 30, 2018, MLPs offered 8.12% trailing 12-month distribution yields, which were significantly higher than their own 10-year average and higher than the yields of both the 10-year U.S. Treasury and the S&P 500 Index. MLPs also delivered strong EBITDA growth over the previous year, reduced balance sheet leverage and enhanced distribution coverage during the Reporting Period.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   Most share classes of the Fund outperformed the S&P 500 Index for the Reporting Period as a whole.

 

    From November 1, 2017 through March 30, 2018 (“the initial part of the Reporting Period”), the Fund, comprised of both MLP assets and dividend-paying investments, outperformed the S&P 500 Index, driven by strong stock selection that was only partially offset by the detracting effect of sector allocation decisions overall. Also, the Fund averaged a 1.83% allocation to cash during the initial part of the Reporting Period, which detracted modestly from relative results.

 

    From March 31, 2018 through the end of the Reporting Period on April 30, 2018 (“the latter part of the Reporting Period”), the Fund’s overall benchmark remained the S&P 500 Index. Given that the MLP sleeve of the Fund gives exposure to energy stocks, however, the dividend-paying growers portion of the Fund, under its new investment approach, used the S&P 500 Ex-Energy Index as its benchmark. During the latter part of the Reporting Period, the Fund’s dividend-paying investments underperformed the S&P 500 Ex-Energy Index. While sector allocation contributed positively, albeit modestly, to relative results, stock selection detracted.

 

    For the Reporting Period overall, the Fund’s MLP assets underperformed the Alerian MLP Index, the benchmark used for the MLP portion of the Fund. Such underperformance was driven by less than favorable stock selection. At the end of the Reporting Period, excluding cash, 96.8% of the Fund’s MLP assets were allocated to the oil and gas storage and transportation industry.

 

Q   Which equity market sectors most significantly affected Fund performance during the initial part of the Reporting Period?

 

A   As measured by the S&P 500 Index, the sectors that detracted most on a relative basis during the initial part of the Reporting Period were energy, materials and telecommunication services. Both stock selection in and having an overweight to the underperforming energy sector detracted. Most of the Fund’s energy sector exposure was through MLPs, which experienced a negative effect from tax reform as well as from a Federal Energy Regulatory Commission policy change that resulted in low correlation for MLPs to the upturn in the price of oil. Similarly, weak stock selection in and having an overweight in the materials sector, which lagged the S&P 500 Index during the initial part of the Reporting Period, hurt the Fund’s relative results. The Fund had no exposure to telecommunication services, which dampened results, as the sector outperformed the S&P 500 Index during the initial part of the Reporting Period.

 

   

Only partially offsetting these detractors was effective stock selection in the consumer staples, consumer discretionary and industrials sectors, which contributed positively. Having an underweight allocation to consumer staples, which lagged the S&P 500 Index during the initial part of the Reporting

 

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Period, and an overweight allocation to industrials, which outperformed the S&P 500 Index during the initial part of the Reporting Period, also buoyed the Fund’s relative results.

 

Q   Which stocks detracted significantly from the Fund’s performance during the initial part of the Reporting Period?

 

A   Detracting most from the Fund’s results relative to the S&P 500 Index during the initial part of the Reporting Period were positions in specialty chemicals producer Albemarle, exploration and production company Dominion Energy Midstream Partners, L.P. and refined petroleum products and ammonia storage, transportation and distribution company Magellan Midstream Partners, L.P.

 

    Shares of Albemarle fell on worries that potential new lithium supply coming online in the years ahead could exceed demand. Shares of Dominion Energy Midstream Partners, L.P. declined significantly on the negative effect on its assets and potential impact on drop-down economics after the Federal Energy Regulatory Commission (“FERC”) announced it would no longer allow MLPs to use an income tax recovery allowance as part of the cost of service calculation for FERC regulated pipelines. (Drop-down refers to the act of a parent company selling energy MLP-qualified assets to the associated energy MLP.) In addition to general weakness in the MLP space, Magellan Midstream Partners, L.P.’s shares dropped, as its 2018 guidance was viewed as below expectation by many analysts. Additionally, while only marginally affected by the FERC policy change, Magellan Midstream Partners, L.P.’s shares sold off with the rest of the industry.

 

Q   What were some of the Fund’s best-performing individual stocks during the initial part of the Reporting Period?

 

A   The top contributors to the Fund’s relative performance during the initial part of the Reporting Period were athletic apparel, equipment and accessories company Nike, China-based technology company Tencent Holdings and off-price retailer Ross Stores.

 

    Strong fundamentals and increased transparency on the drivers of its long-term earnings per share growth outlook drove the stock of Nike higher during the initial part of the Reporting Period. Key long-term earnings per share growth drivers included the shift to direct-to-consumer sales, innovation and supply chain revolution. Shares of Tencent Holdings rose on solid company reports during the initial part of the Reporting Period, which drove positive investor sentiment toward the company and its growth potential. Ross Stores’ strong stock performance was driven by its solid fundamentals. U.S. consumers found value and rewarding shopping experiences in Ross Stores, which drove high traffic.

 

Q   Which stocks detracted significantly from the Fund’s performance during the latter part of the Reporting Period?

 

A   Detracting most from the Fund’s results relative to the S&P 500 Ex-Energy Index during the latter part of the Reporting Period were overweight positions in out-of-benchmark institutional financial services firm SEI Investments and in semiconductor company Xilinx, which each posted double-digit negative returns. Not having a position in e-commerce giant Amazon.com, which performed well during the latter part of the Reporting Period, also proved to be a significant detractor.

 

Q   What were some of the Fund’s best-performing individual stocks during the latter part of the Reporting Period?

 

A   As the Fund transitioned on March 31, 2018, the QIS team received in-kind securities from the DAC team, and to avoid short-term capital gains, the QIS team held on to some stocks for a time, including some energy and non-U.S. companies. Given then-current market conditions, the top individual contributors to the Fund’s relative performance during the latter part of the Reporting Period were each an energy-related stock — Occidental Petroleum, Suncor Energy and Canadian Natural Resources. None of these stocks are components of the S&P 500 Ex-Energy Index, but each outperformed the S&P 500 Ex-Energy Index during the latter part of the Reporting Period.

 

Q   Which MLPs detracted significantly from the Fund’s performance during the Reporting Period as a whole?

 

A  

Detracting most from the Fund’s results relative to the Alerian MLP Index during the Reporting Period were positions in Dominion Energy Midstream Partners, L.P., discussed earlier; EQT Midstream Partners, L.P., whose shares declined as investors increasingly focused on its complicated structure and on its most recent announcement about streamlining transactions, which fell short of investor expectations; and Tallgrass Energy GP, L.P., (“TEGP”) whose shares fell as investors demanded a simplified structure between TEGP and its limited partnership TEP, as drop-down inventory dried up. TEGP shares recouped some

 

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of its loss after announcing it had entered into a definitive agreement to acquire TEP in a unit for unit transaction.

 

Q   What were some of the Fund’s best-performing MLPs during the Reporting Period overall?

 

A   Relative to the Alerian MLP Index, the MLPs that contributed most to the Fund’s performance during the Reporting Period were Enterprise Products Partners, L.P., Viper Energy Partners, L.P. and Energy Transfer Partners, L.P.

 

    The Fund had an overweight position in Enterprise Products Partners, L.P., as we viewed favorably its leading position in the midstream space and its strong export capability. (The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side, i.e. energy producers, and the demand side, i.e. energy end-users, for any type of energy commodity. Such midstream businesses can include, but are not limited to, those that process, store, market and transport various energy commodities.) We also liked its proactive approach to slow its distribution growth to partially fund its future growth projects and reduce the need for an equity offering. Viper Energy Partners, L.P. was a new position in the Fund, initiated in early April 2018, as we anticipate higher crude oil prices. Viper Energy Partners, L.P. is a royalty MLP that benefits from growth in production via the royalties earned on acreage it leases to other producers. Energy Transfer Partners, L.P. experienced a rebound during the Reporting Period, as major projects were placed in service and improvement in its distribution coverage supported its distribution growth. We believe Energy Transfer Partners, L.P. had been unreasonably undervalued compared to its peers, and we see strong upside potential for the MLP based on its assets. Each of these three MLPs’ shares delivered a double-digit gain during the Reporting Period.

 

Q   How did the Fund use derivatives during the Reporting Period?

 

A   The MLP portion of the Fund did not use derivatives during the Reporting Period. The dividend-paying equity investments portion of the Fund used index futures contracts during the latter part of the Reporting Period to equitize its modest cash position. In other words, we bought index futures to avoid cash drag in the portfolio sleeve. (When a part of one’s total balance is not invested in securities but in a cash or cash-equivalent security it has no market exposure and is referred to as cash drag.) The use of these derivatives did not have a material impact on Fund results during the latter part of the Reporting Period.

 

Q   Did the Fund make any significant equity purchases or sales during the initial part of the Reporting Period?

 

A   We initiated a Fund position in International Business Machines (“IBM”). We believe IBM will successfully execute on its strategic imperatives initiative, which could lead to growth in excess of low consensus expectations. In our view, the company has an opportunity to build on its leadership position in artificial intelligence via Watson, thus driving growth in its cognitive solutions business segment. Further, we think revenues generated from its strategic imperatives initiative could drive the need for in-house talent at clients for implementation purposes, thus driving growth potential in its global business services segment. Finally, we believe IBM’s technology services & cloud business segment is well positioned to benefit in terms of cloud resources necessary to support the use of Watson along with hybrid cloud at clients.

 

    We established a Fund position in medical products developer Medtronic, as we believe the company has strong upside potential. Our investment thesis is based on what we view as its industry-leading product portfolio driving sustainable sales growth, operating margin expansion through synergies and, at the time of purchase, an attractive valuation.

 

    Conversely, we exited the Fund’s position in business outsourcing solutions provider Automatic Data Processing (“ADP”). Shares of ADP exceeded our price target, and we believed it prudent to reallocate to other opportunities.

 

    We eliminated the Fund’s position in health care services provider Cardinal Health, as we believe the company faces ongoing challenges in its business. Further, guidance reductions have come because its management called out little visibility in earnings per share growth.

 

Q   Did the Fund make any significant equity purchases or sales during the latter part of the Reporting Period?

 

A   During the latter part of the Reporting Period, we focused on beginning to transition the dividend-paying growers portion of the Fund to its new systematic, rules-based approach.

 

Q   Did the Fund make any significant purchases or sales of MLPs during the Reporting Period overall?

 

A  

In addition to the purchase of Cheniere Energy Partners, L.P. already mentioned, we initiated a Fund position in Hess

 

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  Midstream Partners, L.P. (“HESM”). HESM has what we view as strategically located assets, strong sponsorship and visible growth potential, both in earnings and distributions. While sponsored by Hess, HESM’s assets have already been spun off from its parent into a privately-held holding company, thus insulating it from a potential takeover of Hess. This structure, in our option, means most of HESM’s drop-downs are simply a larger percentage of the assets it already has. Additionally, its location in the Bakken shale gives it exposure to a high growth area, and its assets cover both crude oil and natural gas, enabling it to benefit from the production growth of both commodities in North Dakota.

 

    Conversely, we sold the Fund’s positions in Genesis Energy, L.P. after its distributions were cut due to a challenging business environment and increasing cost of capital.

 

    We exited the Fund’s position in Energy Transfer Equity, L.P. due to ongoing weakness in the MLP space along with enhanced headline risk surrounding the Energy Transfer family, which includes Energy Transfer Equity, L.P. and Energy Transfer Partners, L.P. Because Energy Transfer Equity, L.P. owns the general partner and incentive distribution rights for Energy Transfer Partners, L.P., we felt it was less of a risk to sell Energy Transfer Equity, L.P. while continuing to hold Energy Transfer Partners, L.P.

 

Q   Were there any notable changes in the Fund’s equity sector weightings during the Reporting Period?

 

A   During the initial part of the Reporting Period, the Fund’s exposure to information technology and consumer discretionary increased relative to the S&P 500 Index, and its allocations to the energy and materials sectors decreased relative to the S&P 500 Index.

 

    Under the QIS team’s new investment approach, implemented during the latter part of the Reporting Period, the Fund does not take sector bets by design. Therefore, the dividend-paying investments portion of the Fund, using a quantitative process, strove to be similar to the S&P 500 Ex-Energy Index in terms of sector allocation. We seek to provide exposure to high quality, dividend-paying growers within each sector.

 

Q   How was the dividend-paying investments portion of the Fund positioned relative to the S&P 500 Ex-Energy Index at the end of the Reporting Period?

 

A   As mentioned earlier, it is not part of the dividend-paying investments portion of the Fund’s approach to take sector bets. That said, at the end of April 2018, the dividend-paying investments portion of the Fund had a slightly overweighted position relative to the S&P 500 Ex-Energy Index in health care. On the same date, the Fund had no exposure to telecommunication services and rather neutral positions in all other sectors within the S&P 500 Ex-Energy Index. The Fund also had exposure to the energy sector at the end of the Reporting Period, as the transition to its new investment process was in the early stages.

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   As described earlier, effective after the close of business on March 30, 2018, the QIS team manages the Fund’s dividend-paying investments, while DAC continued to manage the Fund’s investments in MLPs.

 

Q   What is the Fund’s tactical view and strategy for the months ahead?

 

A   The Fund seeks long-term growth of capital and current income. Within the dividend-paying growers sleeve, we maintained confidence at the end of the Reporting Period in high quality business models that have demonstrated commitment to grow their dividend in a rather stable manner.

 

    As for MLPs, we expect their trailing 12-month distribution yield to grow during the coming year as a natural hedge to inflation. We believe, over time, the performance of MLPs will likely catch up with their strong business fundamentals. At the end of the Reporting Period, we continued to favor high quality MLPs, with top-tier balance sheets and distribution growth, along with competitive costs of capital and strong rates of return on future growth projects. As always, we continue to monitor domestic and global economies, geopolitical factors, interest rates and equity market fundamentals as we actively manage the Fund.

 

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Index Definitions

 

The Alerian MLP Index is a float-adjusted, capitalization-weighted index, whose constituents represent approximately 85% of total float-adjusted market capitalization. It is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX).

The S&P 500® Index is a market capitalization weighted index of the 500 largest U.S. publicly traded companies by market value.

The S&P 500® Ex-Energy Index is designed to provide broad market exposure except for members of the energy sector.

The ICE Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index contains all securities in the ICE Bank of America Merrill Lynch U.S. High Yield Index rated BB1 through B3 (based on an average of Moody’s Investors Service, S&P Ratings and Fitch Ratings) but caps issuer exposure at 2%. The Index is rebalanced on the last calendar day of the month.

The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. The Russell 1000® Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. It is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics.

It is not possible to invest directly in an unmanaged index.

 

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Rising Dividend Growth Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       S&P 500 Index2  
  Class A        4.09        3.82
  Class C        3.70          3.82  
  Institutional        4.36          3.82  
  Investor        4.25          3.82  
  Class R        3.98          3.82  
 

February 28, 2018–April 30, 2018

Class R6

       -0.73        -2.17
   

April 16, 2018–April 30, 2018

Class P

       -1.24        -1.08

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     3.92     7.19     7.44     7.58   3/23/2004
  Class C     8.05       7.59       7.39       7.51     4/14/2005
  Institutional     10.41       8.83       8.51       7.90     3/21/2007
  Investor     10.37       8.69       N/A       9.34     2/27/2012
  Class P     N/A       N/A       N/A       N/A     4/16/2018
  Class R     9.75       8.14       N/A       8.79     2/27/2012
    Class R6     N/A       N/A       N/A       -1.37     2/28/2018

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Effective February 27, 2012, the Rising Dividend Growth Fund, a series of Dividend Growth Trust (the “Predecessor Fund”), was reorganized into the Fund. As accounting successor to the Predecessor Fund, the Fund has assumed the Predecessor Fund’s historical performance. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to February 27, 2012 (the effective date of the reorganization of the Predecessor Fund into the Fund), the maximum initial sales charge applicable to sales of Class A Shares of the Predecessor Fund was 5.75%, which is not reflected in the average annual total return figures shown. Because Institutional, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.15      1.19
  Class C     1.90        1.94  
  Institutional     0.76        0.80  
  Investor     0.90        0.94  
  Class P     0.75        0.79  
  Class R     1.40        1.44  
    Class R6     0.75        0.79  

 

  4   The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets     Line of Business
  Microsoft Corp.     2.0   Software
  International Business Machines Corp.     1.9     IT Services
  Texas Instruments, Inc.     1.8     Semiconductors & Semiconductor Equipment
  Mastercard, Inc. Class A     1.8     IT Services
  Enterprise Products Partners LP     1.7     Oil, Gas & Consumable Fuels
  Accenture PLC Class A     1.7     IT Services
  Magellan Midstream Partners LP     1.7     Oil, Gas & Consumable Fuels
  Medtronic PLC     1.6     Health Care Equipment & Supplies
  UnitedHealth Group, Inc.     1.5     Health Care Providers & Services
    Energy Transfer Partners LP     1.5     Oil, Gas & Consumable Fuels

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

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FUND VS. BENCHMARK SECTOR ALLOCATION6
As of April 30, 2018

 

 

LOGO

 

 

  6    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent repurchase agreements. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. Figures above may not sum to 100% due to rounding.

 

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GOLDMAN SACHS INCOME BUILDER FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

Shares

    Description   Value  
Common Stocks – 40.3%      
Aerospace & Defense – 0.6%      
  19,127     Northrop Grumman Corp.   $ 6,159,659  
  44,578     United Technologies Corp.     5,356,047  
   

 

 

 
      11,515,706  

 

 

 
Air Freight & Logistics – 0.4%      
  67,119     United Parcel Service, Inc. Class B     7,618,006  

 

 

 
Banks – 5.3%      
  180,398     Bank of the Ozarks, Inc.     8,442,626  
  470,833     BB&T Corp.     24,859,982  
  103,551     Commerce Bancshares, Inc.     6,577,560  
  38,158     Cullen/Frost Bankers, Inc.     4,367,183  
  567,742     First Horizon National Corp.     10,389,679  
  152,566     JPMorgan Chase & Co.     16,596,129  
  49,250     M&T Bank Corp.     8,976,798  
  230,587     SunTrust Banks, Inc.     15,403,212  
  123,523     Wells Fargo & Co.     6,418,255  
   

 

 

 
      102,031,424  

 

 

 
Beverages – 0.4%      
  71,087     Anheuser-Busch InBev SA ADR     7,114,387  

 

 

 
Biotechnology – 0.2%      
  59,320     Gilead Sciences, Inc.     4,284,684  

 

 

 
Capital Markets – 1.0%      
  206,058     AllianceBernstein Holding LP     5,604,778  
  119,010     Northern Trust Corp.     12,704,317  
   

 

 

 
      18,309,095  

 

 

 
Chemicals – 0.9%      
  47,332     DowDuPont, Inc.     2,993,276  
  93,976     Praxair, Inc.     14,333,219  
   

 

 

 
      17,326,495  

 

 

 
Commercial Services & Supplies – 0.2%      
  63,991     Republic Services, Inc.     4,138,938  

 

 

 
Communications Equipment – 1.3%      
  545,782     Cisco Systems, Inc.     24,172,685  

 

 

 
Construction & Engineering – 0.7%      
  515,481     Vinci SA ADR     12,814,858  

 

 

 
Diversified Telecommunication Services – 0.9%      
  327,742     AT&T, Inc.     10,717,164  
  133,869     Verizon Communications, Inc.     6,606,435  
   

 

 

 
      17,323,599  

 

 

 
Electric Utilities – 2.1%      
  126,708     Duke Energy Corp.     10,156,913  
  1,910,661     Enel SpA ADR     11,989,398  
  314,366     Fortis, Inc.     10,528,117  
  97,708     Pinnacle West Capital Corp.     7,865,494  
   

 

 

 
      40,539,922  

 

 

 
Electrical Equipment – 0.3%      
  96,526     Emerson Electric Co.     6,410,292  

 

 

 
Common Stocks – (continued)      
Energy Equipment & Services – 0.5%      
  142,565     Schlumberger Ltd.   9,774,256  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 2.5%      
  41,167     American Tower Corp.     5,613,532  
  38,207     AvalonBay Communities, Inc.     6,227,741  
  63,470     Camden Property Trust     5,420,338  
  94,146     Crown Castle International Corp.     9,496,507  
  705,487     DDR Corp.     5,114,781  
  200,138     Hudson Pacific Properties, Inc.     6,578,536  
  142,834     Klepierre SA     5,846,012  
  63,201     Ventas, Inc.     3,249,796  
   

 

 

 
      47,547,243  

 

 

 
Food & Staples Retailing – 0.2%      
  190,944     The Kroger Co.     4,809,879  

 

 

 
Food Products – 0.3%      
  111,664     The Kraft Heinz Co.     6,295,616  

 

 

 
Health Care Equipment & Supplies – 1.7%      
  252,014     Abbott Laboratories     14,649,574  
  216,823     Medtronic PLC     17,374,027  
   

 

 

 
      32,023,601  

 

 

 
Health Care Providers & Services – 0.5%      
  54,273     Aetna, Inc.     9,717,581  

 

 

 
Hotels, Restaurants & Leisure – 0.3%      
  34,976     McDonald’s Corp.     5,856,381  

 

 

 
Industrial Conglomerates – 0.5%      
  24,438     3M Co.     4,750,503  
  38,230     Honeywell International, Inc.     5,531,116  
   

 

 

 
      10,281,619  

 

 

 
Insurance – 0.9%      
  91,870     Principal Financial Group, Inc.     5,440,541  
  42,946     RenaissanceRe Holdings Ltd.     5,842,374  
  42,004     The Travelers Cos., Inc.     5,527,727  
   

 

 

 
      16,810,642  

 

 

 
Internet Software & Services – 0.3%      
  5,435     Alphabet, Inc. Class A     5,535,982  

 

 

 
IT Services – 0.2%  
  48,221     Fidelity National Information Services, Inc.     4,579,548  

 

 

 
Media – 0.5%      
  146,436     Comcast Corp. Class A     4,596,626  
  166,303     Viacom, Inc. Class B     5,015,698  
   

 

 

 
      9,612,324  

 

 

 
Metals & Mining – 0.2%      
  61,425     Nucor Corp.     3,785,008  

 

 

 
Multi-Utilities – 0.2%      
  81,246     Public Service Enterprise Group, Inc.     4,236,979  

 

 

 

 

22   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Shares

    Description   Value  
Common Stocks – (continued)      
Oil, Gas & Consumable Fuels – 5.3%      
  132,133     Antero Midstream Partners LP   $ 3,542,486  
  260,072     Blue Ridge Mountain Resources, Inc.(a)(b)(c)     1,924,533  
  332,804     BP PLC ADR     14,839,730  
  217,437     Chevron Corp.     27,203,543  
  100,138     ConocoPhillips     6,559,039  
  287,728     Energy Transfer Partners LP     5,184,859  
  177,732     Plains All American Pipeline LP     4,178,479  
  383,960     Royal Dutch Shell PLC ADR Class A     26,838,804  
  437,098     The Williams Cos., Inc.     11,246,531  
   

 

 

 
      101,518,004  

 

 

 
Personal Products – 0.5%      
  159,750     Unilever NV     9,124,920  

 

 

 
Pharmaceuticals – 4.3%      
  42,916     Allergan PLC     6,594,044  
  191,236     Bristol-Myers Squibb Co.     9,969,133  
  197,441     Johnson & Johnson     24,974,312  
  159,061     Merck & Co., Inc.     9,363,921  
  892,089     Pfizer, Inc.     32,659,378  
   

 

 

 
      83,560,788  

 

 

 
Road & Rail – 0.4%      
  55,423     Union Pacific Corp.     7,406,175  

 

 

 
Semiconductors & Semiconductor Equipment – 0.9%      
  31,798     Broadcom, Inc.     7,295,097  
  189,412     Intel Corp.     9,777,448  
   

 

 

 
      17,072,545  

 

 

 
Software – 2.3%      
  361,845     Microsoft Corp.     33,839,744  
  213,132     Oracle Corp.     9,733,739  
   

 

 

 
      43,573,483  

 

 

 
Technology Hardware, Storage & Peripherals – 0.4%      
  48,070     Apple, Inc.     7,944,048  

 

 

 
Tobacco – 1.0%      
  174,079     Altria Group, Inc.     9,767,573  
  177,070     British American Tobacco PLC ADR     9,671,563  
   

 

 

 
      19,439,136  

 

 

 
Transportation Infrastructure(d) – 0.8%      
  875,576     Atlantia SpA ADR     14,499,539  

 

 

 
Water Utilities – 0.4%      
  99,351     American Water Works Co., Inc.     8,601,810  

 

 

 
Wireless Telecommunication Services – 0.9%      
  609,136     Vodafone Group PLC ADR     17,914,690  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $698,468,986)     775,121,888  

 

 

 

Shares

    Rate   Value  
Preferred Stocks(e) – 1.3%      
Capital Markets(f) – 0.3%      
  Morgan Stanley (3M USD LIBOR + 3.708%)  
$ 183,597     6.375%   $ 4,909,384  

 

 

 
Diversified Telecommunication Services – 0.3%      
  Qwest Corp.  
  43,276     6.500     913,989  
 

Verizon Communications, Inc.

 
  205,549     5.900     5,247,666  
   

 

 

 
      6,161,655  

 

 

 
Electric Utilities(f) – 0.5%      
  SCE Trust III (3M USD LIBOR + 2.990%)  
  377,865     5.750     9,994,529  

 

 

 
Insurance(f) – 0.2%      
  Delphi Financial Group, Inc. (3M USD LIBOR + 3.190%)  
  143,849     5.029     3,200,640  

 

 

 
  TOTAL PREFERRED STOCKS – 1.3%  
  (Cost $23,458,606)   $ 24,266,208  

 

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – 44.6%  
Agriculture(e)(g) – 0.8%              
 

BAT Capital Corp.

   
$ 17,000,000       4.390     08/15/37     $ 16,299,759  

 

 

 
Airlines(g) – 0.1%              
 

Air Canada Pass Through Trust Series 2013-1, Class B

 
  2,078,095       5.375       11/15/22       2,124,229  

 

 

 
Automotive – 1.1%              
 

Delphi Technologies PLC(g)

 
  5,000,000       5.000       10/01/25       4,823,775  
 

General Motors Co.(e)

 
  2,500,000       6.750       04/01/46       2,831,389  
 

IHO Verwaltungs GmbH(e)(g)(h) (PIK+ 3.110%)

 
  14,000,000       4.500       09/15/23       13,650,000  
 

 

 

 
        21,305,164  

 

 

 
Banks – 3.6%              
 

Bank of America Corp.(e)(f) (3M USD LIBOR + 3.898%)

 
  6,275,000       6.100       12/29/49       6,502,469  
 

Barclays PLC(e)(f) (5 year USD Swap + 5.022%)

 
  3,000,000       6.625       06/29/49       3,067,500  
 

CIT Group, Inc.(e)

 
  4,025,000       5.250       03/07/25       4,110,531  
 

Citigroup, Inc.(e)(f) (3M USD LIBOR + 4.517%)

 
  7,000,000       6.250       12/29/49       7,271,250  
 

Credit Agricole SA(e)(f)(g) (5 year USD Swap + 4.697%)

 
  2,500,000       6.625       09/29/49       2,562,500  
 

Credit Suisse Group AG(e)(f)(g) (5 year USD Swap + 4.598%)

 
  4,025,000       7.500       12/29/49       4,362,094  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   23


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – (continued)  
Banks – (continued)              
 

ING Groep NV(e)(f)

 
 

(5 year USD Swap + 4.445%)

 
$ 4,275,000       6.000     12/29/49     $ 4,365,844  
 

(5 year USD Swap + 4.446%)

 
  5,000,000       6.500       12/29/49       5,150,000  
 

Intesa Sanpaolo SpA(g)

 
  7,000,000       5.017       06/26/24       6,833,750  
 

JPMorgan Chase & Co.(e)(f) (3M USD LIBOR + 3.330%)

 
  9,000,000       6.125       12/29/49       9,360,000  
 

Lloyds Banking Group PLC(e)(f) (5 year GBP Swap + 5.060%)

 
GBP 3,491,000       7.000       12/29/49       5,021,657  
 

Royal Bank of Scotland Group PLC

 
$ 2,975,000       6.000       12/19/23       3,153,565  
 

UBS Group AG(e)(f) (5 year USD Swap + 4.590%)

 
  7,000,000       6.875       12/29/49       7,374,850  
     

 

 

 
        69,136,010  

 

 

 
Beverages(g) – 0.2%  
 

Pernod Ricard SA

 
  3,000,000       5.500       01/15/42       3,388,500  

 

 

 
Building Materials(e)(g) – 0.6%  
 

BMC East LLC

 
  3,000,000       5.500       10/01/24       2,962,500  
 

Builders FirstSource, Inc.

 
  4,000,000       5.625       09/01/24       3,960,000  
 

Masonite International Corp.

 
  5,000,000       5.625       03/15/23       5,150,000  
     

 

 

 
        12,072,500  

 

 

 
Chemicals(e) – 0.5%  
 

Ashland LLC

 
  3,010,000       6.875       05/15/43       3,220,700  
 

PQ Corp.(g)

 
  3,400,000       6.750       11/15/22       3,604,000  
 

Valvoline, Inc.

 
  1,950,000       5.500       07/15/24       1,993,875  
     

 

 

 
        8,818,575  

 

 

 
Commercial Services(e)(g) – 0.7%  
 

Nielsen Finance LLC/Nielsen Finance Co.

 
  8,000,000       5.000       04/15/22       8,060,000  
 

WEX, Inc.

 
  5,001,000       4.750       02/01/23       5,032,256  
     

 

 

 
        13,092,256  

 

 

 
Computers(e) – 0.8%  
 

Dell International LLC/EMC Corp.(g)

 
  4,000,000       8.100       07/15/36       4,727,398  
 

Hewlett Packard Enterprise Co.

 
  3,000,000       6.200       10/15/35       3,164,257  
  NCR Corp.        
  5,000,000       5.875       12/15/21       5,087,500  
 

Western Digital Corp.

 
  2,640,000       4.750       02/15/26       2,600,400  
     

 

 

 
        15,579,555  

 

 

 
Diversified Financial Services – 2.3%  
 

Ally Financial, Inc.

 
  5,000,000       8.000       11/01/31       6,075,000  

 

 

 
Corporate Obligations – (continued)  
Diversified Financial Services – (continued)  
 

CoBank ACB(e)(f) (3M USD LIBOR + 4.660%)

 
5,350,000       6.250       12/29/49     5,694,053  
 

Icahn Enterprises LP/Icahn Enterprises Finance Corp.(e)

 
  5,000,000       6.250       02/01/22       5,100,000  
 

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance
Corp.(e)(g)

 
 
  2,500,000       5.875       08/01/21       2,550,000  
  4,000,000       5.250       03/15/22       4,010,000  
 

Nationstar Mortgage LLC/Nationstar Capital Corp.(e)

 
  3,000,000       6.500       08/01/18       3,007,500  
  6,000,000       6.500       07/01/21       6,082,500  
 

Navient Corp.

 
  3,000,000       5.500       01/15/19       3,033,750  
  5,000,000       5.875       03/25/21       5,125,000  
  3,000,000       5.500       01/25/23       2,951,250  
     

 

 

 
        43,629,053  

 

 

 
Electrical(e) – 0.7%  
 

Calpine Corp.(g)

 
  3,000,000       5.875       01/15/24       3,011,250  
 

Electricite de France SA(f)(g) (10 year USD Swap + 3.709%)

 
  2,500,000       5.250       01/29/49       2,506,650  
 

Vistra Energy Corp.

 
  4,552,000       6.750       11/01/19       4,620,280  
  3,000,000       7.375       11/01/22       3,161,250  
     

 

 

 
        13,299,430  

 

 

 
Entertainment(e)(g) – 0.2%  
 

WMG Acquisition Corp.

 
  4,251,000       5.625       04/15/22       4,351,961  

 

 

 
Food & Drug Retailing(e) – 0.6%  
 

B&G Foods, Inc.

 
  3,020,000       5.250       04/01/25       2,759,525  
 

Post Holdings, Inc.(g)

 
  8,000,000       5.500       03/01/25       7,850,000  
     

 

 

 
        10,609,525  

 

 

 
Gas(e) – 0.2%                    
 

AmeriGas Partners LP/AmeriGas Finance Corp.

 
  4,000,000       5.875       08/20/26       3,970,000  

 

 

 
Healthcare Providers & Services – 3.4%  
 

Becton Dickinson & Co.(e)

 
  4,000,000       3.700       06/06/27       3,788,951  
 

Centene Corp.(e)

 
  3,000,000       6.125       02/15/24       3,142,500  
 

CHS/Community Health Systems, Inc.(e)

 
  6,000,000       6.875       02/01/22       3,255,000  
  3,000,000       6.250       03/31/23       2,730,000  
 

DaVita, Inc.(e)

 
  10,000,000       5.000       05/01/25       9,475,000  
  HCA, Inc.        
  5,000,000       4.750       05/01/23       5,037,050  
  15,000,000       5.000       03/15/24       15,168,750  
  10,000,000       5.875 (e)      02/15/26       10,137,500  

 

 

 

 

24   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – (continued)  
Healthcare Providers & Services – (continued)  
 

Tenet Healthcare Corp.

 
$ 9,095,000       7.500 %(e)(g)      01/01/22     $ 9,595,225  
  3,000,000       8.125       04/01/22       3,123,750  
     

 

 

 
        65,453,726  

 

 

 
Home Builders – 0.3%  
 

PulteGroup, Inc.

 
  3,000,000       7.875       06/15/32       3,555,000  
 

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.

 
  3,000,000       4.375       06/15/19       3,007,500  
     

 

 

 
        6,562,500  

 

 

 
Household Products(e) – 0.5%  
 

Spectrum Brands, Inc.

 
  8,835,000       6.625       11/15/22       9,144,225  

 

 

 
Insurance – 0.2%  
 

Fidelity & Guaranty Life Holdings, Inc.(e)(g)

 
  2,850,000       5.500       05/01/25       2,835,750  
 

Transatlantic Holdings, Inc.

 
  75,000       8.000       11/30/39       102,514  
     

 

 

 
        2,938,264  

 

 

 
Internet – 0.6%  
  Netflix, Inc.        
  2,000,000       5.875       02/15/25       2,055,000  
 

Symantec Corp.(e)(g)

 
  6,000,000       5.000       04/15/25       6,008,112  
 

VeriSign, Inc.(e)

 
  4,000,000       5.250       04/01/25       4,105,000  
     

 

 

 
        12,168,112  

 

 

 
Iron/Steel(e) – 0.3%  
 

Cleveland-Cliffs, Inc.

 
  5,000,000       5.750       03/01/25       4,825,000  

 

 

 
Lodging – 0.5%  
 

MGM Resorts International

 
  9,750,000       6.750       10/01/20       10,335,000  

 

 

 
Media – 6.8%  
 

Altice Financing SA(e)(g)

 
  6,000,000       6.625       02/15/23       5,992,500  
 

Altice Finco SA(e)(g)

 
  2,000,000       8.125       01/15/24       2,052,500  
 

Altice France SA(e)(g)

 
  17,000,000       6.000       05/15/22       16,872,500  
 

Altice US Finance I Corp.(e)(g)

 
  5,450,000       5.500       05/15/26       5,327,375  
 

CCO Holdings LLC/CCO Holdings Capital Corp.(e)(g)

 
  6,020,000       5.750       02/15/26       5,974,850  
  4,000,000       5.875       05/01/27       3,920,000  
 

Charter Communications Operating LLC/Charter
Communications Operating Capital(e)

 
 
  15,000,000       6.384       10/23/35       16,365,037  
 

Clear Channel Worldwide Holdings, Inc.(e)

 
  4,000,000       6.500       11/15/22       4,080,000  

 

 

 
Corporate Obligations – (continued)  
Media – (continued)  
 

DISH DBS Corp.

 
$ 9,000,000       5.875     07/15/22     8,257,500  
  1,500,000       7.750       07/01/26       1,365,000  
 

Meredith Corp.(e)(g)

 
  1,710,000       6.875       02/01/26       1,727,100  
 

Sirius XM Radio, Inc.(e)(g)

 
  15,000,000       6.000       07/15/24       15,431,250  
 

Univision Communications, Inc.(e)(g)

 
  12,000,000       5.125       05/15/23       11,430,000  
 

UPCB Finance IV Ltd.(e)(g)

 
  10,000,000       5.375       01/15/25       9,775,000  
 

Videotron Ltd.(e)(g)

 
  13,000,000       5.375       06/15/24       13,357,500  
 

Virgin Media Secured Finance PLC(e)

 
GBP 4,000,000       4.875       01/15/27       5,407,069  
 

Ziggo Bond Finance BV(e)(g)

 
$ 3,000,000       5.875       01/15/25       2,850,000  
     

 

 

 
        130,185,181  

 

 

 
Mining(g) – 0.4%  
 

First Quantum Minerals Ltd.(e)

 
  4,000,000       7.250       04/01/23       3,980,000  
 

Glencore Finance Canada Ltd.

 
  4,000,000       5.550       10/25/42       4,138,175  
     

 

 

 
        8,118,175  

 

 

 
Oil Field Services – 2.4%  
 

Antero Resources Corp.(e)

 
  6,000,000       5.125       12/01/22       6,045,000  
  3,000,000       5.625       06/01/23       3,063,750  
 

Carrizo Oil & Gas, Inc.(e)

 
  1,084,000       7.500       09/15/20       1,094,840  
 

Chesapeake Energy Corp.

 
  3,000,000       8.000 (e)(g)      01/15/25       2,917,500  
  2,000,000       5.500       09/15/26       1,749,720  
 

Gulfport Energy Corp.(e)

 
  3,200,000       6.375       01/15/26       3,072,000  
 

Halcon Resources Corp.(e)

 
  1,089,000       6.750       02/15/25       1,087,639  
 

Laredo Petroleum, Inc.(e)

 
  4,000,000       5.625       01/15/22       4,040,000  
 

MEG Energy Corp.(e)(g)

 
  3,000,000       6.375       01/30/23       2,707,500  
 

Nexen Energy ULC

 
  5,000       6.400       05/15/37       6,080  
  50,000       7.500       07/30/39       68,735  
 

Noble Holding International Ltd.(e)

 
  6,000,000       7.750 (i)      01/15/24       5,640,000  
  1,975,000       7.875 (g)      02/01/26       1,984,875  
 

Range Resources Corp.(e)

 
  5,250,000       5.875       07/01/22       5,302,500  
 

Weatherford International Ltd.

 
  1,000,000       5.875       07/01/21       950,242  
  6,000,000       6.500       08/01/36       4,515,000  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   25


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – (continued)  
Oil Field Services – (continued)  
 

Whiting Petroleum Corp.

 
$ 1,000,000       1.250 %       04/01/20     $ 952,505  
     

 

 

 
        45,197,886  

 

 

 
Packaging(e)(g) – 0.6%  
 

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

 
  3,834,000       7.250       05/15/24       4,054,455  
  5,400,000       6.000       02/15/25       5,467,500  
 

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/
Reynolds Group Issuer Lu


 
  2,250,000       5.125       07/15/23       2,255,625  
     

 

 

 
        11,777,580  

 

 

 
Pharmaceuticals(e) – 0.9%  
 

CVS Health Corp.

 
  2,875,000       4.780       03/25/38       2,842,990  
 

Endo Dac/Endo Finance LLC/Endo Finco, Inc.(g)

 
  9,000,000       6.000       07/15/23       6,480,000  
  Mylan NV        
  4,000,000       3.950       06/15/26       3,800,369  
 

Valeant Pharmaceuticals International, Inc.(g)

 
  1,950,000       6.500       03/15/22       2,023,125  
  2,400,000       7.000       03/15/24       2,532,000  
     

 

 

 
        17,678,484  

 

 

 
Pipelines – 3.0%  
 

DCP Midstream Operating LP(g)

 
  5,000,000       6.750       09/15/37       5,418,750  
 

Energy Transfer Equity LP(e)

 
  5,145,000       4.250       03/15/23       4,977,788  
 

Energy Transfer Partners LP

 
  235,000       6.625       10/15/36       258,257  
 

Enterprise Products Operating LLC(e)(f)


(3M USD LIBOR + 2.778%)

 

 

  1,000,000       4.784       06/01/67       988,918  
 

(3M USD LIBOR + 3.708%)

 
  3,000,000       5.481       08/01/66       3,011,880  
 

Genesis Energy LP/Genesis Energy Finance Corp.(e)

 
  5,200,000       6.000       05/15/23       5,083,000  
 

Kinder Morgan Energy Partners LP

 
  8,000,000       7.300       08/15/33       9,630,360  
 

NGPL PipeCo LLC(e)(g)

 
  1,315,000       4.375       08/15/22       1,315,000  
 

Plains All American Pipeline LP/PAA Finance Corp.(e)

 
  7,475,000       3.600       11/01/24       7,091,684  
 

Targa Resources Partners LP/Targa Resources Partners Finance
Corp.(e)

 
 
  5,000,000       5.125       02/01/25       4,837,500  
 

The Williams Cos., Inc.

 
  10,000,000       7.500       01/15/31       12,000,000  
 

Williams Partners LP

 
  2,345,000       6.300       04/15/40       2,648,679  
     

 

 

 
        57,261,816  

 

 

 
Corporate Obligations – (continued)  
Real Estate Investment Trusts(e) – 2.7%  
 

Equinix, Inc.

 
3,000,000       5.375       04/01/23     3,082,500  
  8,000,000       5.750       01/01/25       8,320,000  
  5,210,000       5.375       05/15/27       5,301,175  
 

MPT Operating Partnership LP/MPT Finance Corp.

 
  6,000,000       6.375       03/01/24       6,270,000  
  4,055,000       5.000       10/15/27       3,842,113  
 

SBA Communications Corp.

 
  15,016,000       4.875       07/15/22       15,053,540  
  6,000,000       4.875       09/01/24       5,760,000  
 

VEREIT Operating Partnership LP

 
  4,000,000       4.125       06/01/21       4,041,712  
     

 

 

 
        51,671,040  

 

 

 
Retailing – 1.0%  
 

New Red Finance, Inc.(e)(g)

 
  4,850,000       5.000       10/15/25       4,680,250  
 

JC Penney Corp., Inc.

 
  850,000       8.625 (e)(g)      03/15/25       794,750  
  6,000,000       7.400 (j)      04/01/37       3,990,000  
 

L Brands, Inc.

 
  3,000,000       6.875       11/01/35       2,842,500  
 

Rite Aid Corp.(e)

 
  6,000,000       6.750       06/15/21       6,105,000  
 

The Neiman Marcus Group LLC

 
  1,500,000       7.125       06/01/28       1,162,500  
     

 

 

 
        19,575,000  

 

 

 
Semiconductors(e) – 0.2%  
  Qorvo, Inc.        
  4,000,000       6.750       12/01/23       4,250,000  

 

 

 
Software(e) – 1.2%  
 

BMC Software Finance, Inc.(g)

 
  8,000,000       8.125       07/15/21       7,980,000  
 

CURO Financial Technologies Corp.(g)

 
  5,188,000       12.000       03/01/22       5,706,800  
 

First Data Corp.(g)

 
  7,000,000       5.750       01/15/24       7,087,500  
 

Nuance Communications, Inc.

 
  3,000,000       5.625       12/15/26       2,977,500  
     

 

 

 
        23,751,800  

 

 

 
Telecommunication Services – 7.1%  
 

AT&T, Inc.(e)

 
  5,000,000       5.250       03/01/37       5,109,496  
 

CenturyLink, Inc.

 
  4,000,000       6.450       06/15/21       4,085,000  
 

Digicel Group Ltd.(e)(g)

 
  3,800,000       8.250       09/30/20       3,410,500  
 

Frontier Communications Corp.(e)

 
  6,000,000       11.000       09/15/25       4,605,000  
  1,675,000       8.500 (g)      04/01/26       1,624,750  
 

Intelsat Jackson Holdings SA(e)

 
  7,000,000       7.250       10/15/20       6,825,000  
  10,000,000       8.000 (g)      02/15/24       10,550,000  

 

 

 

 

26   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – (continued)  
Telecommunication Services – (continued)  
 

Nokia of America Corp.

 
$ 3,000,000       6.450 %       03/15/29     $ 3,022,500  
 

SoftBank Group Corp.

 
  10,000,000       4.500 (g)      04/15/20       10,262,500  
  5,000,000       6.000 (e)      07/30/25       4,912,500  
 

Sprint Communications, Inc.

 
  2,000,000       6.000       11/15/22       2,025,000  
  Sprint Corp.        
  16,000,000       7.875       09/15/23       17,160,000  
  6,000,000       7.125       06/15/24       6,195,000  
 

T-Mobile USA, Inc.(e)

 
  3,950,000       4.000       04/15/22       3,950,000  
  2,000,000       6.375       03/01/25       2,090,000  
  10,550,000       6.500       01/15/26       11,209,375  
 

Telecom Italia Capital SA

 
  3,000,000       7.721       06/04/38       3,611,250  
 

Telecom Italia SpA(g)

 
  8,000,000       5.303       05/30/24       8,140,000  
 

Verizon Communications, Inc.

 
  4,000,000       5.250       03/16/37       4,177,193  
 

Wind Tre SpA(e)(g)

 
  14,010,000       5.000       01/20/26       11,663,325  
 

Windstream Services LLC/Windstream Finance Corp.(e)(g)

 
  4,638,000       6.375       08/01/23       2,632,065  
  10,008,000       8.625       10/31/25       9,132,300  
     

 

 

 
        136,392,754  

 

 

 
Trucking & Leasing(g) – 0.1%  
 

Park Aerospace Holdings Ltd.

 
  2,000,000       5.250       08/15/22       1,986,192  

 

 

 
  TOTAL CORPORATE OBLIGATIONS  
  (Cost $860,430,141)     $ 856,949,252  

 

 

 
     
Mortgage-Backed Obligations(f) – 0.0%  
Collateralized Mortgage Obligations – 0.0%  
Interest Only(k) – 0.0%  
 

CS First Boston Mortgage Securities Corp. Series 2003-AR20,
Class 2X (1 year CMT + 2.912%)

 
 
$ 6,311       0.000     08/25/33     $  
 

CS First Boston Mortgage-Backed Pass-Through Certificates
Series 2003-AR18, Class 2X (1 year CMT + 2.999%)

 
 
  8,969       0.000       07/25/33        
 

Master Adjustable Rate Mortgages Trust Series 2003-2,
Class 3AX (6M USD LIBOR + 3.592%)

 
 
  21,744       0.123       08/25/33       112  
 

Master Adjustable Rate Mortgages Trust Series 2003-2,
Class 4AX (6M USD LIBOR + 3.176%)

 
 
  4,230       0.320       07/25/33       71  
     

 

 

 
        183  

 

 

 
Sequential Floating Rate – 0.0%  
 

Countrywide Alternative Loan Trust Series 2005-31, Class 2A1
(1M LIBOR + 0.300%)

 
 
  105,549       2.472       08/25/35       102,439  

 

 

 
Mortgage-Backed Obligations(f) – (continued)  
Sequential Floating Rate – (continued)  
 

JPMorgan Alternative Loan Trust Series 2005-A2, Class 1A1
(1M LIBOR + 0.520%)

 
 
78,423       2.132       01/25/36     77,363  
 

Merrill Lynch Alternative Note Asset Trust Series 2007-OAR3,
Class A1 (1M LIBOR + 0.190%)

 
 
  291,784       2.062       07/25/47       268,718  
 

Structured Adjustable Rate Mortgage Loan Trust Series 2004-06,
Class 3A2

 
 
  82,475       3.473       06/25/34       83,910  
     

 

 

 
        532,430  

 

 

 
  TOTAL MORTGAGE-BACKED OBLIGATIONS  
  (Cost $357,617)     $ 532,613  

 

 

 
     
Asset-Backed Securities(f) – 0.0%  
Home Equity – 0.0%  
 

Countrywide Home Equity Loan Trust Series 2004-N, Class 2A

 
$ 21,787       2.057     02/15/34     $ 21,656  
  (Cost $21,776)        

 

 

 
     
Bank Loans(f)(l) – 6.8%  
Aerospace – 0.4%  
  TransDigm, Inc.        
 

(1M LIBOR + 2.750%)

 
$ 1,930,150       5.052     06/09/23     $ 1,937,832  
 

(3M LIBOR + 2.500%)

 
  5,487,389       4.802       08/22/24       5,512,521  
     

 

 

 
        7,450,353  

 

 

 
Building Materials – 0.2%  
 

Builders FirstSource, Inc. (3M LIBOR + 3.000%)

 
  3,192,950       5.302       02/29/24       3,208,914  

 

 

 
Chemicals – 0.2%  
 

Axalta Coating Systems US Holdings, Inc. (3M LIBOR +
1.750%)

 
 
  3,451,766       4.052       06/01/24       3,463,917  

 

 

 
Energy – Coal – 0.1%  
 

Murray Energy Corp. (3M LIBOR + 7.250%)

 
  2,381,350       9.552       04/16/20       2,101,256  

 

 

 
Environmental – 0.2%  
 

EnergySolutions LLC (1M LIBOR + 4.750%)

 
  3,709,739       6.660       05/29/20       3,737,562  

 

 

 
Food & Beverages – 0.5%  
 

Shearer’s Foods, Inc.

     
 

(3M LIBOR + 4.250%)

 
  1,959,391       6.552       06/30/21       1,949,594  
 

(3M LIBOR + 4.250%)

 
  1,735,063       6.552       06/30/21       1,719,881  
 

(3M LIBOR + 6.750%)

 
  1,420,000       9.052 (m)      06/30/22       1,331,250  
 

US Foods, Inc. (1M LIBOR + 2.500%)

 
  4,137,706       4.401       06/27/23       4,172,876  
     

 

 

 
        9,173,601  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   27


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Bank Loans(f)(l) – (continued)  
Health Care – Services – 0.2%  
 

U.S. Renal Care, Inc. (3M LIBOR + 4.250%)

 
$ 4,081,063       6.552 %       12/31/22     $ 4,060,657  

 

 

 
Media – Broadcasting & Radio – 0.3%  
 

Getty Images, Inc. (3M LIBOR + 3.500%)

 
  5,596,441       5.802       10/18/19       5,308,672  

 

 

 
Media – Cable – 0.3%  
 

CSC Holdings LLC

 
 

(1M LIBOR + 2.250%)

 
  1,737,914       4.147       07/17/25       1,731,831  
 

(1M LIBOR + 2.500%)

 
  3,850,000       4.397       01/25/26       3,850,000  
     

 

 

 
        5,581,831  

 

 

 
Noncaptive – Financial – 0.3%  
 

Avolon TLB Borrower 1 (Luxembourg) S.a.r.l. (1M LIBOR +
2.250%)

 
 
  5,384,313       4.147       04/03/22       5,392,551  

 

 

 
Oil Field Services – 0.0%  
 

MEG Energy Corp. (3M LIBOR + 3.500%)

 
  540,737       5.810       12/31/23       542,900  

 

 

 
Packaging – 0.1%  
 

Crown Holdings, Inc. (1M LIBOR + 2.000%)

 
  1,050,000       4.312       01/29/25       1,058,536  
 

SIG Combibloc U.S. Acquisition, Inc. (1M LIBOR + 2.750%)

 
  1,811,173       4.651       03/13/22       1,819,215  
     

 

 

 
        2,877,751  

 

 

 
Pharmaceutical – 0.4%  
 

Alphabet Holding Co., Inc. (1M LIBOR + 7.750%)

 
  5,000,000       9.651       09/26/25       3,883,350  
 

Valeant Pharmaceuticals International, Inc. (1M LIBOR +
3.500%)

 
 
  4,126,575       5.400       04/01/22       8,053,791  

 

 

 
Restaurants – 0.2%  
 

1011778 B.C. Unlimited Liability Co. (1M LIBOR + 2.250%)

 
  3,286,244       4.151       02/16/24       3,294,460  

 

 

 
Retailers – 0.3%  
 

Neiman Marcus Group Ltd., Inc. (1M LIBOR + 3.250%)

 
  2,024,239       5.141       10/25/20       1,779,489  
 

PetSmart, Inc. (1M LIBOR + 3.000%)

 
  6,133,666       4.890       03/11/22       4,813,394  
     

 

 

 
        6,592,883  

 

 

 
Services Cyclical – Business Services – 0.3%  
 

Sabre GLBL, Inc. (1M LIBOR + 2.000%)

 
  2,693,087       3.901       02/22/24       2,702,432  
 

Vantiv LLC (1M LIBOR + 2.000%)

 
  2,425,000       3.896       01/16/23       2,434,094  
     

 

 

 
        5,136,526  

 

 

 
Technology – Software/Services – 2.6%  
 

Ancestry.com Operations, Inc. (1M LIBOR + 3.250%)

 
  5,207,250       5.150       10/19/23       5,236,567  

 

 

 
Bank Loans(f)(l) – (continued)  
Technology – Software/Services – (continued)  
 

Aspect Software, Inc. (1M LIBOR + 10.500%)

 
5,319,464       12.556       05/25/20     5,136,634  
 

Avast Software BV

 
 

(1M LIBOR + 2.750%)

 
  2,112,170       5.052       09/30/23       2,122,139  
 

(3M LIBOR + 2.750%)

 
  2,112,170       5.052       09/30/23       2,122,139  
 

BMC Software Finance, Inc. (1M LIBOR + 3.250%)

 
  6,645,198       5.151       09/10/22       6,667,725  
 

First Data Corp.

 
 

(1M LIBOR + 2.250%)

 
  4,306,101       4.147       07/08/22       4,321,172  
 

(1M LIBOR + 2.250%)

 
  2,794,554       4.147       04/26/24       2,804,028  
 

Infor (US), Inc. (1M LIBOR + 2.750%)

 
  3,177,192       4.651       02/01/22       3,189,773  
 

MA FinanceCo. LLC

 
 

(1M LIBOR + 2.500%)

 
  5,674,376       4.401       11/19/21       5,664,900  
 

(1M LIBOR + 2.750%)

 
  578,951       4.651       06/21/24       576,925  
 

Micron Technology, Inc. (1M LIBOR + 1.750%)

 
  3,242,250       3.660       04/26/22       3,265,205  
 

Renaissance Learning, Inc. (3M LIBOR + 7.000%)

 
  147,048       9.302       04/11/22       147,354  
 

Seattle SpinCo, Inc. (1M LIBOR + 2.750%)

 
  3,909,799       4.651       06/21/24       3,896,115  
 

SS&C Technologies Holdings Europe S.a.r.l. (1M LIBOR +
2.250%)

 
 
  1,643,284       4.000       04/16/25       1,653,555  
 

SS&C Technologies, Inc. (1M LIBOR + 2.250%)

 
  4,441,432       4.000       04/16/25       4,469,191  
     

 

 

 
        51,273,422  

 

 

 
Wireless Telecommunications – 0.2%  
 

Intelsat Jackson Holdings SA (3M LIBOR + 3.750%)

 
  3,000,000       5.706       11/27/23       3,017,820  

 

 

 
  TOTAL BANK LOANS  
  (Cost $132,605,871)     $ 130,268,867  

 

 

 
     
U.S. Treasury Obligations – 1.7%  
 

United States Treasury Notes

 
$ 26,180,000       1.875 %(n)      12/15/20     $ 25,712,424  
  7,960,000       1.375       09/30/20       7,739,428  

 

 

 
  TOTAL U.S. TREASURY OBLIGATIONS  
  (Cost $34,001,911)     $ 33,451,852  

 

 

 

 

28   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

 

Shares     Distribution
Rate
  Value  
Investment Companies(c) – 3.1%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  49,373,423     1.623%   $ 49,373,423  
 

Goldman Sachs Financial Square Government Fund – Class R6
Shares

 
 
  11,317,293     1.623     11,317,293  

 

 

 
  TOTAL INVESTMENT COMPANIES  
  (Cost $60,690,716)   $ 60,690,716  

 

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Short-term Investments – 0.5%  
Certificate of Deposit(f) – 0.1%  
 

Credit Suisse New York

 
$ 2,500,000       2.217     09/20/18     $ 2,499,695  

 

 

 
Commercial Paper(o) – 0.4%  
 

Marriott International, Inc.

 
  3,699,000       0.000       05/04/18       3,698,103  
 

Potash Corp. of Saskatchewan, Inc.

 
  2,832,000       0.000       06/15/18       2,823,279  
     

 

 

 
        6,521,382  

 

 

 
  TOTAL SHORT-TERM INVESTMENTS  
  (Cost $9,020,246)     $ 9,021,077  

 

 

 
 
TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE
 
 
  (Cost $1,819,055,870)     $ 1,890,324,129  

 

 

 

 

Shares     Distribution
Rate
    Value  
Securities Lending Reinvestment Vehicle(c) – 0.0%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  22,425       1.623   $ 22,425  
  (Cost $22,425)    

 

 

 
  TOTAL INVESTMENTS – 98.3%  
  (Cost $1,819,078,295)     $ 1,890,346,554  

 

 

 

 

Principal
Amount
    Interest Rate
(Paid) Received
    Maturity
Date
    Value  
Reverse Repurchase Agreements – (0.2)%  
 

Barclays Reverse Repurchase Agreement

 
$ (4,543,750     3.250     12/31/18     $ (4,543,750
  (Cost $(4,543,750))  

 

 

 
 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 1.9%
 
 
    37,424,737  

 

 

 
  NET ASSETS – 100.0%     $ 1,923,227,541  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)

  Security is currently in default and/or non-income producing.

 

(b)

  Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on sale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $1,924,533, which represents approximately 0.1% of the Fund’s net assets as of April 30, 2018. See additional details below:

 

    Restricted Security  

Acquisition

Date

    Cost  
  Blue Ridge Mountain Resources, Inc.     05/06/16 – 08/18/16     $ 2,595,080  
  (Common Stock)                

 

(c)

  Represents an affiliated issuer/fund.

(d)

  All or a portion of security is on loan.

(e)

  Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(f)

  Variable rate security. Interest rate disclosed is that which is in effect on April 30, 2018 and may not reflect a rate based on the variable spread shown.

(g)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $355,895,721, which represents approximately 18.5% of the Fund’s net assets as of April 30, 2018. The liquidity determination is unaudited.

(h)

  Pay-in-kind securities.

(i)

  All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of April 30, 2018, the value of securities pledged amounted to $4,700,000.

(j)

  Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at April 30, 2018.

(k)

  Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(l)

  Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on April 30, 2018. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(m)

 

Significant unobservable inputs were used in the valuation of this

portfolio security; i.e. Level 3.

(n)

  All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(o)

  Issued with a zero coupon. Income is recognized through the accretion of discount.

 

 

Currency Abbreviations:

EUR

 

—Euro

GBP

 

—British Pound

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

CMT

 

—Constant Maturity Treasury Indexes

LIBOR

 

—London Interbank Offered Rate

LLC

 

—Limited Liability Company

LP

 

—Limited Partnership

PLC

 

—Public Limited Company

 

 

The accompanying notes are an integral part of these financial statements.   29


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2018, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty   Currency
Purchased
     Currency
Sold
     Current
Value
     Settlement
Date
     Unrealized
Gain
 

MS & Co. Int. PLC

    USD       4,452,856        EUR       3,593,316      $ 4,352,056        06/08/18      $ 100,800  
      USD       10,069,045        GBP       7,268,132        10,018,070        05/25/18        50,975  
Total                                                       $ 151,775  

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

                 

S&P 500 E-Mini Index

     221          06/15/18        $ 29,249,350        $ 372,577  

Ultra Long U.S. Treasury Bonds

     329          06/20/18          51,694,125          19,921  

Ultra 10 Year U.S. Treasury Notes

     198          06/20/18          25,322,344          1,493  

2 Year U.S. Treasury Notes

     19          06/29/18          4,028,891          (10,913
Total                                     $ 383,078  

Short position contracts:

                 

U.S. Long Bonds

     (10        06/20/18          (1,438,438        (7,500

5 Year U.S. Treasury Notes

     (47        06/29/18          (5,334,867        (817

10 Year U.S. Treasury Notes

     (168        06/20/18          (20,097,000        2,314  
Total                                     $ (6,003
Total Futures Contracts                                     $ 377,075  

 

 

Abbreviations:

MS & Co. Int. PLC

 

—Morgan Stanley & Co. International PLC

 

 

30   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS RISING DIVIDEND GROWTH FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 98.3%  
Aerospace & Defense – 0.5%  
  8,250     General Dynamics Corp.   $ 1,660,808  
  17,645     Harris Corp.     2,760,031  
  7,860     Raytheon Co.     1,610,828  
  14,070     United Technologies Corp.     1,690,510  
   

 

 

 
      7,722,177  

 

 

 
Air Freight & Logistics – 0.7%      
  44,990     FedEx Corp.     11,121,528  

 

 

 
Automobiles – 0.3%      
  40,575     Thor Industries, Inc.     4,306,630  

 

 

 
Banks – 1.1%      
  332,330     Bank of the Ozarks, Inc.     15,553,044  
  20,825     Prosperity Bancshares, Inc.     1,494,610  
   

 

 

 
      17,047,654  

 

 

 
Biotechnology – 0.8%      
  81,215     Shire PLC ADR     12,948,107  

 

 

 
Building Products – 0.9%      
  98,160     A.O. Smith Corp.     6,022,116  
  30,220     Lennox International, Inc.     5,843,642  
  65,265     Universal Forest Products, Inc.     2,080,648  
   

 

 

 
      13,946,406  

 

 

 
Capital Markets – 5.1%      
  151,660     Ameriprise Financial, Inc.     21,264,249  
  19,985     BlackRock, Inc.     10,422,177  
  85,300     CME Group, Inc.     13,450,104  
  38,250     Evercore, Inc. Class A     3,872,812  
  26,990     FactSet Research Systems, Inc.     5,104,079  
  268,630     SEI Investments Co.     16,985,475  
  66,745     T. Rowe Price Group, Inc.     7,596,916  
   

 

 

 
      78,695,812  

 

 

 
Chemicals – 2.2%      
  122,235     Ecolab, Inc.     17,695,961  
  106,240     Monsanto Co.     13,319,309  
  3,410     NewMarket Corp.     1,294,265  
  6,070     The Sherwin-Williams Co.     2,231,696  
   

 

 

 
      34,541,231  

 

 

 
Commercial Services & Supplies – 0.3%      
  103,310     Rollins, Inc.     5,012,601  

 

 

 
Consumer Finance – 0.7%      
  148,395     Discover Financial Services     10,573,144  

 

 

 
Electrical Equipment – 0.5%      
  45,985     Rockwell Automation, Inc.     7,565,912  

 

 

 
Electronic Equipment, Instruments & Components – 4.3%  
  218,300     Amphenol Corp. Class A     18,273,893  
  769,115     Corning, Inc.     20,781,487  
  185,520     National Instruments Corp.     7,585,913  
  207,785     TE Connectivity Ltd.     19,064,274  
   

 

 

 
      65,705,567  

 

 

 
Common Stocks – (continued)  
Energy Equipment & Services – 0.5%      
  100,000     Helmerich & Payne, Inc.   6,955,000  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 2.1%      
  119,530     Digital Realty Trust, Inc.     12,633,126  
  46,290     Equity LifeStyle Properties, Inc.     4,127,216  
  70,640     Extra Space Storage, Inc.     6,328,638  
  49,870     Public Storage     10,062,768  
   

 

 

 
      33,151,748  

 

 

 
Food & Staples Retailing – 3.4%      
  62,915     Casey’s General Stores, Inc.     6,077,589  
  105,635     Costco Wholesale Corp.     20,826,997  
  321,410     The Kroger Co.     8,096,318  
  201,820     Walgreens Boots Alliance, Inc.     13,410,939  
  48,085     Walmart, Inc.     4,253,599  
   

 

 

 
      52,665,442  

 

 

 
Food Products – 1.9%      
  27,865     Calavo Growers, Inc.     2,610,951  
  173,140     Flowers Foods, Inc.     3,914,695  
  441,330     Hormel Foods Corp.     15,998,212  
  50,040     Ingredion, Inc.     6,059,344  
  7,465     J&J Snack Foods Corp.     1,025,766  
   

 

 

 
          29,608,968  

 

 

 
Health Care Equipment & Supplies – 4.4%      
  17,015     Becton Dickinson & Co.     3,945,268  
  129,460     Danaher Corp.     12,987,427  
  309,840     Medtronic PLC     24,827,480  
  135,960     STERIS PLC     12,850,939  
  76,100     Stryker Corp.     12,892,862  
   

 

 

 
          67,503,976  

 

 

 
Health Care Providers & Services – 7.3%      
  120,920     Aetna, Inc.     21,650,726  
  150,850     AmerisourceBergen Corp.     13,663,993  
  226,460     Cardinal Health, Inc.     14,531,938  
  23,175     Chemed Corp.     7,142,998  
  117,085     McKesson Corp.     18,289,848  
  132,580     Quest Diagnostics, Inc.     13,417,096  
  100,885     UnitedHealth Group, Inc.     23,849,214  
   

 

 

 
          112,545,813  

 

 

 
Hotels, Restaurants & Leisure – 1.9%      
  61,045     Brinker International, Inc.     2,660,952  
  9,000     Churchill Downs, Inc.     2,471,400  
  21,270     Cracker Barrel Old Country Store, Inc.     3,500,829  
  92,420     Darden Restaurants, Inc.     8,582,121  
  141,725     Yum! Brands, Inc.     12,344,248  
   

 

 

 
          29,559,550  

 

 

 
Household Durables – 0.2%      
  75,320     Tupperware Brands Corp.     3,356,259  

 

 

 
Household Products – 0.7%  
  240,000     Church & Dwight Co., Inc.     11,088,000  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   31


Table of Contents

GOLDMAN SACHS RISING DIVIDEND GROWTH FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Industrial Conglomerates – 1.3%      
  57,975     3M Co.   $ 11,269,760  
  32,510     Roper Technologies, Inc.     8,588,817  
   

 

 

 
      19,858,577  

 

 

 
Insurance – 5.9%      
  51,990     American Financial Group, Inc.     5,886,308  
  59,880     Assurant, Inc.     5,558,061  
  92,000     Assured Guaranty Ltd.     3,338,680  
  148,970     Chubb Ltd.     20,210,760  
  201,995     Principal Financial Group, Inc.     11,962,144  
  144,000     Prudential Financial, Inc.     15,310,080  
  17,595     Reinsurance Group of America, Inc.     2,628,693  
  161,175     The Hanover Insurance Group, Inc.     18,510,949  
  147,750     Unum Group     7,148,145  
   

 

 

 
      90,553,820  

 

 

 
Internet Software & Services – 0.8%      
  243,330     Tencent Holdings Ltd. ADR     11,954,803  

 

 

 
IT Services – 9.2%      
  174,550     Accenture PLC Class A     26,391,960  
  136,900     Broadridge Financial Solutions, Inc.     14,677,049  
  213,295     Fidelity National Information Services, Inc.     20,256,626  
  201,670     International Business Machines Corp.     29,234,083  
  81,935     Jack Henry & Associates, Inc.     9,789,594  
  155,620     Mastercard, Inc. Class A     27,742,378  
  727,175     The Western Union Co.     14,361,706  
   

 

 

 
      142,453,396  

 

 

 
Leisure Products – 1.1%      
  92,125     Hasbro, Inc.     8,115,291  
  77,295     Polaris Industries, Inc.     8,102,062  
   

 

 

 
          16,217,353  

 

 

 
Machinery – 1.6%      
  44,965     Donaldson Co., Inc.     1,990,151  
  59,915     Illinois Tool Works, Inc.     8,509,128  
  35,050     Parker-Hannifin Corp.     5,769,931  
  35,605     Snap-on, Inc.     5,171,626  
  49,650     The Toro Co.     2,899,064  
   

 

 

 
      24,339,900  

 

 

 
Media – 1.3%      
  67,555     John Wiley & Sons, Inc. Class A     4,455,252  
  149,515     The Walt Disney Co.     15,000,840  
   

 

 

 
          19,456,092  

 

 

 
Metals & Mining – 0.2%      
  27,515     Reliance Steel & Aluminum Co.     2,419,119  

 

 

 
Multi-Utilities – 2.4%      
  292,265     CMS Energy Corp.     13,791,986  
  105,590     Sempra Energy     11,804,962  
  176,115     WEC Energy Group, Inc.     11,320,672  
   

 

 

 
          36,917,620  

 

 

 
Common Stocks – (continued)  
Oil, Gas & Consumable Fuels – 16.1%      
  338,250     Andeavor Logistics LP   14,355,330  
  415,000     Antero Midstream Partners LP     11,126,150  
  65,000     Buckeye Partners LP     2,700,750  
  260,000     Cheniere Energy Partners LP     8,127,600  
  250,000     Dominion Energy Midstream Partners LP     3,625,000  
  429,919     Enable Midstream Partners LP     6,143,543  
  1,310,000     Energy Transfer Partners LP     23,606,200  
  580,000     EnLink Midstream Partners LP     8,468,000  
  995,000     Enterprise Products Partners LP     26,705,800  
  253,500     EQT Midstream Partners LP     14,261,910  
  237,000     Hess Midstream Partners LP     4,820,580  
  385,000     Magellan Midstream Partners LP     25,344,550  
  624,100     MPLX LP     22,049,453  
  106,300     Noble Midstream Partners LP     4,783,500  
  67,025     Occidental Petroleum Corp.     5,178,351  
  290,000     Phillips 66 Partners LP     14,378,200  
  229,000     Spectra Energy Partners LP     8,163,850  
  40,000     Suncor Energy, Inc.     1,529,200  
  140,000     Tallgrass Energy GP LP     2,864,400  
  360,000     Tallgrass Energy Partners LP     14,835,600  
  25,000     The Williams Cos., Inc.     643,250  
  213,000     Valero Energy Partners LP     8,398,590  
  50,000     Viper Energy Partners LP     1,440,000  
  195,000     Western Gas Equity Partners LP     6,608,550  
  177,300     Western Gas Partners LP     8,521,038  
   

 

 

 
      248,679,395  

 

 

 
Personal Products – 0.9%      
  56,270     Nu Skin Enterprises, Inc. Class A     4,003,611  
  65,535     The Estee Lauder Cos., Inc. Class A     9,705,078  
   

 

 

 
      13,708,689  

 

 

 
Pharmaceuticals – 0.6%      
  126,220     Perrigo Co. PLC     9,862,831  

 

 

 
Professional Services – 0.2%      
  41,910     Insperity, Inc.     3,363,277  

 

 

 
Road & Rail – 0.8%      
  47,190     Canadian National Railway Co.     3,646,843  
  60,000     Union Pacific Corp.     8,017,800  
   

 

 

 
      11,664,643  

 

 

 
Semiconductors & Semiconductor Equipment – 4.8%      
  110,840     KLA-Tencor Corp.     11,276,862  
  435,650     QUALCOMM, Inc.     22,222,506  
  278,745     Texas Instruments, Inc.     28,273,105  
  189,690     Xilinx, Inc.     12,185,686  
   

 

 

 
      73,958,159  

 

 

 
Software – 2.0%      
  328,155     Microsoft Corp.     30,689,056  

 

 

 

 

32   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS RISING DIVIDEND GROWTH FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Specialty Retail – 3.4%      
  369,490     Aaron’s, Inc.   $ 15,433,597  
  144,190     Best Buy Co., Inc.     11,034,861  
  40,900     Ross Stores, Inc.     3,306,765  
  201,885     The Gap, Inc.     5,903,118  
  203,685     The TJX Cos., Inc.     17,282,672  
   

 

 

 
      52,961,013  

 

 

 
Technology Hardware, Storage & Peripherals – 1.4%      
  992,120     HP, Inc.     21,320,659  

 

 

 
Textiles, Apparel & Luxury Goods – 2.8%      
  65,725     Columbia Sportswear Co.     5,455,832  
  295,150     NIKE, Inc. Class B     20,185,308  
  72,010     Ralph Lauren Corp.     7,910,299  
  118,870     VF Corp.     9,613,017  
   

 

 

 
      43,164,456  

 

 

 
Trading Companies & Distributors – 1.7%      
  161,400     Fastenal Co.     8,068,386  
  52,090     MSC Industrial Direct Co., Inc. Class A     4,502,660  
  32,810     W.W. Grainger, Inc.     9,231,093  
  29,650     Watsco, Inc.     4,964,003  
   

 

 

 
      26,766,142  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $1,370,560,193)   $ 1,515,930,525  

 

 

 
   
Shares     Distribution
Rate
  Value  
Investment Company(a) – 0.8%  
 

Goldman Sachs Financial Square Government Fund –
Class R6 Shares

 
 
  13,554,146     1.623%   $ 13,554,146  
  (Cost $13,554,146)  

 

 

 

 

Principal
Amount
  Interest
Rate
  Maturity
Date
    Value  
Short-term Investment(b) – 0.2%  
Repurchase Agreements – 0.2%        

Joint Repurchase Agreement Account II

 

$2,800,000   1.740%     05/01/18     $ 2,800,000  
(Cost $2,800,000)    

 

 
TOTAL INVESTMENTS – 99.3%    
(Cost $1,390,914,339)     $ 1,532,284,671  

 

 
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.7%       10,021,623  

 

 
NET ASSETS – 100.0%     $ 1,542,306,294  

 

 

 

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/fund.

(b)

  Joint repurchase agreement was entered into on April 30, 2018. Additional information appears on page 34.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

GP

 

—General Partnership

LP

 

—Limited Partnership

PLC

 

—Public Limited Company

 

 

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

 

S&P 500 E-Mini Index

   227      06/15/18      $ 30,043,450        $ 790,376  

 

The accompanying notes are an integral part of these financial statements.   33


Table of Contents

GOLDMAN SACHS RISING DIVIDEND GROWTH FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2018, the Rising Dividend Growth Fund had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of May 1, 2018, as follows:

 

Fund    Principal
Amount
       Maturity
Value
       Collateral
Allocation
Value

Rising Dividend Growth

   $ 2,800,000        $ 2,800,135        $2,856,000

REPURCHASE AGREEMENTS — At April 30, 2018, the Principal Amount of the Fund’s interest in the Joint Repurchase Agreement Account II was as follows:

 

Counterparty   

Interest

Rate

       Rising
Dividend
Growth
 

Merrill Lynch & Co., Inc.

     1.74%          $2,800,000  
TOTAL                 $2,800,000  

At April 30, 2018, the Joint Repurchase Agreement Account II was fully collateralized by:

 

Issuer    Interest
Rates
       Maturity
Dates
 

Federal National Mortgage Association

     2.500% to 3.000%          11/01/32 to 05/01/46  

 

34   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS DIVIDEND FOCUS FUNDS

 

Statements of Assets and Liabilities

April 30, 2018 (Unaudited)

 

       

Income Builder

Fund

     Rising Dividend
Growth Fund
 
  Assets:     
 

Investments, at value (cost $1,755,770,074 and $1,377,360,193, respectively)(a)

  $ 1,827,708,880      $ 1,518,730,525  
 

Investments of affiliated issuers, at value (cost $63,285,796 and $13,554,146, respectively)

    62,615,249        13,554,146  
 

Investments in securities lending reinvestment vehicle — affiliated issuer, at value (cost $22,425 and $0, respectively)

    22,425         
 

Cash

    27,525,755        283,163  
 

Foreign currencies, at value (cost $156,528 and $0, respectively)

    156,528         
 

Unrealized gain on forward foreign currency exchange contracts

    151,775         
 

Variation margin on futures

    13,371         
 

Receivables:

    
 

Dividends and interest

    14,777,818        2,046,542  
 

Investments sold

    9,960,330        8,919,664  
 

Collateral on futures contracts

    1,643,980        1,448,260  
 

Bank loan settlements

    1,322,084         
 

Fund shares sold

    627,685        302,863  
 

Foreign tax reclaims

    390,329        2,603,528  
 

Other assets

    52,855        69,123  
  Total assets     1,946,969,064        1,547,957,814  
      
  Liabilities:     
 

Reverse Repurchase Agreement, at value

    4,543,750         
 

Variation margin on futures

    269,787        276,668  
 

Payables:

    
 

Investments purchased on an extended settlement basis

    8,183,500         
 

Investments purchased

    5,270,845        24,267  
 

Fund shares redeemed

    3,925,904        3,529,457  
 

Distribution and service fees and transfer agency fees

    738,019        569,098  
 

Management fees

    644,995        934,514  
 

Payable to investment adviser

    75,679        53,751  
 

Payable upon return of securities loaned

    22,425         
 

Distributions payable

    916         
 

Accrued expenses and other liabilities

    65,703        263,765  
  Total liabilities     23,741,523        5,651,520  
      
  Net Assets:     
 

Paid-in capital

    1,938,247,854        951,157,426  
 

Distributions in excess of net investment income

    (370,266      (16,610,427
 

Accumulated net realized gain (loss)

    (86,443,261      465,598,588  
 

Net unrealized gain

    71,793,214        142,160,707  
    NET ASSETS   $ 1,923,227,541      $ 1,542,306,294  
   

Net Assets:

      
   

Class A

  $ 348,098,335      $ 318,859,575  
   

Class C

    555,384,032        396,916,131  
   

Institutional

    744,715,696        545,123,933  
   

Investor

    275,000,899        277,057,402  
   

Class P

    9,917        9,873  
   

Class R

           4,329,457  
   

Class R6

    18,662        9,923  
   

Total Net Assets

  $ 1,923,227,541      $ 1,542,306,294  
   

Shares Outstanding $0.001 par value (unlimited number of shares authorized):

      
   

Class A

    15,675,419        16,404,304  
   

Class C

    25,430,759        20,263,905  
   

Institutional

    32,826,989        27,323,868  
   

Investor

    12,156,597        13,899,498  
   

Class P

    437        495  
   

Class R

           223,297  
   

Class R6

    823        497  
   

Net asset value, offering and redemption price per share(b)

      
   

Class A

  $ 22.21      $ 19.44  
   

Class C

    21.84        19.59  
   

Institutional

    22.69        19.95  
   

Investor

    22.62        19.93  
   

Class P

    22.69        19.95  
   

Class R

           19.39  
   

Class R6

    22.68        19.95 (c) 

 

  (a)   Includes loaned securities having a market value of $21,733 and $0, respectively.
  (b)   Maximum public offering price per share for Class A shares of the Income Builder and the Rising Dividend Growth Funds is $23.32 and 20.41, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares.

 

The accompanying notes are an integral part of these financial statements.   35


Table of Contents

GOLDMAN SACHS DIVIDEND FOCUS FUNDS

 

Statements of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

 

        Income Builder
Fund
     Rising Dividend
Growth Fund
 
  Investment income:     
 

Dividends — unaffiliated issuers (net of foreign withholding taxes of $355,790 and $144,676)

  $ 13,383,230      $ 11,854,890  
 

Interest

    32,560,514        186,404  
 

Dividends — affiliated issuers

    286,230        24,267  
 

Securities lending income — affiliated issuer

    9,361        18,153  
  Total investment income     46,239,335        12,083,714  
      
  Expenses:     
 

Management fees

    5,937,824        6,281,998  
 

Distribution and Service fees(a)

    3,411,772        2,628,127  
 

Transfer Agency fees(a)

    1,282,186        1,126,757  
 

Printing and mailing costs

    159,368        147,482  
 

Custody, accounting and administrative services

    63,411        52,212  
 

Professional fees

    60,136        83,127  
 

Trustee fees

    11,196        11,061  
 

Other

    44,723        59,197  
  Total expenses     10,970,616        10,389,961  
 

Less — expense reductions

    (1,137,960      (233,604
  Net expenses     9,832,656        10,156,357  
  NET INVESTMENT INCOME     36,406,679        1,927,357  
      
  Realized and unrealized gain (loss):     
 

Net realized gain (loss) from:

    
 

Investments — unaffiliated issuers (including commission recapture of $16,323 and $0)

    5,531,193        468,951,976  
 

Investments — affiliated issuers

    (44       
 

Purchased options

    343,082         
 

Futures contracts

    (2,017,589       
 

Written options

    136,387         
 

Forward foreign currency exchange contracts

    (722,050       
 

Foreign currency transactions

    207,676        8,857  
 

Net change in unrealized gain (loss) on:

    
 

Investments — unaffiliated issuers

    (52,690,296      (388,599,616
 

Investments — affiliated issuers

    (365,260       
 

Purchased options

    (202,572       
 

Futures contracts

    (1,240,375      790,376  
 

Written options

    (88,513       
 

Forward foreign currency exchange contracts

    (38,724       
 

Foreign currency translation

    (12,427       
  Net realized and unrealized gain (loss)     (51,429,512      81,151,593  
  NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ (15,022,833    $ 83,078,950  

 

  (a)   Class specific Distribution and Service and Transfer Agency fees were as follows:

 

    Distribution and Service Fees     Transfer Agency Fees    

 

 

Fund

 

Class A

   

Class C

   

Class R

   

Class A

   

Class C

   

Institutional

   

Investor

   

Class P(b)

   

Class R

   

Class R6

 

Income Builder

  $ 87,340     $ 556,050     $     $ 62,885     $ 100,089     $ 29,820     $ 49,488           $     $ 1  

Rising Dividend Growth

    96,020       476,186       2,574       314,250       392,440       126,925       289,020             4,121       1  

 

  (b)   Less than $0.50.

 

36   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS DIVIDEND FOCUS FUNDS

 

Statements of Changes in Net Assets

 

 

        Income Builder Fund            Rising Dividend Growth Fund  
       

For the
Six Months Ended

April 30, 2018
(Unaudited)

     For the Fiscal
Year Ended
October 31, 2017
           For the
Six Months Ended
April 30, 2018
(Unaudited)
    

For the Fiscal

Year Ended
October 31, 2017

 
  From operations:             
 

Net investment income

  $ 36,406,679      $ 74,840,083        $ 1,927,357      $ 12,045,828  
 

Net realized gain

    3,478,655        47,727,993          468,960,833        346,655,898  
 

Net change in unrealized gain (loss)

    (54,908,167      65,951,039                (387,809,240      34,529,936  
  Net increase (decrease) in net assets resulting from operations     (15,022,833      188,519,115                83,078,950        393,231,662  
              
  Distributions to shareholders:             
 

From net investment income

            
 

Class A Shares

    (6,712,479      (15,722,047        (1,959,425      (4,983,787
 

Class C Shares

    (8,730,758      (19,121,107        (885,291      (3,010,489
 

Institutional Shares

    (15,526,648      (30,453,810        (4,445,476      (11,543,848
 

Investor Shares

    (5,570,750      (9,979,052        (2,087,911      (5,024,363
 

Class P Shares(a)

    (31                       
 

Class R Shares

                    (21,037      (47,915
 

Class R6 Shares(b)

    (282      (417        (35       
 

From net realized gains

            
 

Class A Shares

                    (61,957,330      (14,410,687
 

Class C Shares

                    (76,660,722      (11,275,125
 

Institutional Shares

                    (112,305,625      (21,365,244
 

Investor Shares

                    (57,291,311      (6,901,908
 

Class P Shares(a)

                            
 

Class R Shares

                    (803,213      (108,993
 

Class R6 Shares(b)

                            
 

Return of capital

            
 

Class A Shares

           (810,592                
 

Class C Shares

           (985,840                
 

Institutional Shares

           (1,570,128                
 

Investor Shares

           (514,497                
 

Class P Shares(a)

                            
 

Class R Shares

                            
 

Class R6 Shares(b)

           (21                      
  Total distributions to shareholders     (36,540,948      (79,157,511              (318,417,376      (78,672,359
              
  From share transactions:             
 

Proceeds from sales of shares

    231,491,719        613,120,572          83,588,942        442,273,481  
 

Reinvestment of distributions

    32,674,577        70,117,828          283,436,394        68,860,961  
 

Cost of shares redeemed

    (417,179,247      (805,193,692              (549,225,721      (1,370,224,106
  Net increase (decrease) in net assets resulting from share transactions     (153,012,951      (121,955,292              (182,200,385      (859,089,664
  TOTAL INCREASE (DECREASE)     (204,576,732      (12,593,688              (417,538,811      (544,530,361
              
  Net assets:             
 

Beginning of period

    2,127,804,273        2,140,397,961                1,959,845,105        2,504,375,466  
 

End of period

  $ 1,923,227,541      $ 2,127,804,273              $ 1,542,306,294      $ 1,959,845,105  
  Distribution in excess of net investment income   $ (370,266    $ (235,997            $ (16,610,427    $ (9,138,609

 

  (a)   Commenced operations on April 16, 2018.
  (b)   Commenced operations on February 28, 2018 for the Rising Dividend Growth Fund.

 

The accompanying notes are an integral part of these financial statements.   37


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
     Distributions
to shareholders
 
    Year - Share Class  

Net asset
value,
beginning
of period

     Net
investment
income(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     From net
investment
income
     From net
realized
gains
     From
capital
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)              
 

2018 - A

  $ 22.72      $ 0.40      $ (0.50    $ (0.10    $ (0.41    $      $      $ (0.41
 

2018 - C

    22.35        0.32        (0.50      (0.18      (0.33                    (0.33
 

2018 - Institutional

    23.20        0.46        (0.51      (0.05      (0.46                    (0.46
 

2018 - Investor

    23.14        0.44        (0.52      (0.08      (0.44                    (0.44
 

2018 - P (Commenced April 16, 2018)

    22.95        0.03        (0.22      (0.19      (0.07                    (0.07
 

2018 - R6

    23.20        0.47        (0.53      (0.06      (0.46                    (0.46
                        
  FOR THE FISCAL YEARS ENDED OCTOBER 31,              
 

2017 - A

    21.60        0.79        1.17        1.96        (0.80             (0.04      (0.84
 

2017 - C

    21.26        0.61        1.16        1.77        (0.65             (0.03      (0.68
 

2017 - Institutional

    22.04        0.90        1.19        2.09        (0.88             (0.05      (0.93
 

2017 - Investor

    21.98        0.86        1.20        2.06        (0.85             (0.05      (0.90
 

2017 - R6

    22.04        0.90        1.19        2.09        (0.88             (0.05      (0.93
 

2016 - A

    21.77        0.79        (0.16      0.63        (0.80                    (0.80
 

2016 - C

    21.45        0.62        (0.16      0.46        (0.65                    (0.65
 

2016 - Institutional

    22.20        0.89        (0.17      0.72        (0.88                    (0.88
 

2016 - Investor

    22.14        0.85        (0.16      0.69        (0.85                    (0.85
 

2016 - R6

    22.20        0.89        (0.17      0.72        (0.88                    (0.88
 

2015 - A

    22.83        0.84        (0.99      (0.15      (0.82             (0.09      (0.91
 

2015 - C

    22.51        0.66        (0.98      (0.32      (0.66             (0.08      (0.74
 

2015 - Institutional

    23.25        0.94        (0.99      (0.05      (0.90             (0.10      (1.00
 

2015 - Investor

    23.20        0.91        (1.01      (0.10      (0.86             (0.10      (0.96
 

2015 - R6 (Commenced July 31, 2015)

    22.83        0.18        (0.56      (0.38      (0.22             (0.03      (0.25
 

2014 - A

    22.47        0.89        0.64        1.53        (0.96      (0.21             (1.17
 

2014 - C

    22.17        0.70        0.65        1.35        (0.80      (0.21             (1.01
 

2014 - Institutional

    22.86        1.01        0.64        1.65        (1.05      (0.21             (1.26
 

2014 - Investor

    22.81        0.96        0.66        1.62        (1.02      (0.21             (1.23
 

2013 - A

    20.99        0.75        2.21        2.96        (0.88      (0.60             (1.48
 

2013 - C

    20.74        0.57        2.19        2.76        (0.73      (0.60             (1.33
 

2013 - Institutional

    21.33        0.83        2.27        3.10        (0.97      (0.60             (1.57
 

2013 - Investor

    21.29        0.79        2.27        3.06        (0.94      (0.60             (1.54

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.

 

38   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INCOME BUILDER FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 22.21         (0.45 )%      $ 348,098         0.93 %(d)        1.05 %(d)        3.61 %(d)        24
    21.84         (0.83       555,384         1.68 (d)        1.80 (d)        2.86 (d)        24  
    22.69         (0.30       744,716         0.54 (d)        0.66 (d)        4.00 (d)        24  
    22.62         (0.37       275,001         0.68 (d)        0.80 (d)        3.86 (d)        24  
    22.69         (0.82       10         0.44 (d)        0.55 (d)        3.62 (d)        24  
    22.68         (0.29       19         0.52 (d)        0.64 (d)        4.09 (d)        24  
                         
                         
    22.72         9.21         387,349         0.98         1.10         3.55         51  
    22.35         8.41         619,357         1.73         1.85         2.79         51  
    23.20         9.64         818,309         0.58         0.70         3.93         51  
    23.14         9.51         302,778         0.73         0.85         3.77         51  
    23.20           9.69           11           0.57           0.69           3.93           51  
    21.60         3.04         574,574         0.98         1.10         3.75         80  
    21.26         2.25         682,819         1.73         1.85         2.98         80  
    22.04         3.42         740,182         0.58         0.70         4.13         80  
    21.98         3.28         142,813         0.73         0.85         3.96         80  
    22.04           3.38           10           0.58           0.70           4.12           80  
    21.77         (0.70       708,457         0.97         1.10         3.73         57  
    21.45         (1.44       704,566         1.72         1.85         2.98         57  
    22.20         (0.25       766,537         0.57         0.70         4.13         57  
    22.14         (0.45       130,575         0.72         0.85         3.98         57  
    22.20           (1.63         10           0.58 (d)          0.69 (d)          3.15 (d)          57  
    22.83         6.96         660,692         0.95         1.13         3.89         52  
    22.51         6.20         530,983         1.70         1.88         3.10         52  
    23.25         7.39         644,757         0.55         0.73         4.31         52  
    23.20           7.24           94,528           0.70           0.88           4.13           52  
    22.47         14.81         279,374         0.97         1.27         3.48         53  
    22.17         13.94         155,764         1.71         2.02         2.64         53  
    22.86         15.25         180,419         0.56         0.86         3.74         53  
    22.81           15.06           33,886           0.71           1.01           3.55           53  

 

The accompanying notes are an integral part of these financial statements.   39


Table of Contents

GOLDMAN SACHS RISING DIVIDEND GROWTH FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
     Distributions
to shareholders
 
    Year - Share Class   Net asset
value,
beginning
of period
    

Net
investment
income
(loss)(a)

     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     From net
investment
income
     From net
realized
gains
     From
capital
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)              
 

2018 - A

  $ 22.54      $ 0.02      $ 0.90      $ 0.92      $ (0.11    $ (3.91    $      $ (4.02
 

2018 - C

    22.69        (0.05      0.90        0.85        (0.04      (3.91             (3.95
 

2018 - Institutional

    23.02        0.06        0.93        0.99        (0.15      (3.91             (4.06
 

2018 - Investor

    23.01        0.05        0.91        0.96        (0.13      (3.91             (4.04
 

2018 - P (Commenced April 16, 2018)

    20.21        0.01        (0.27      (0.26                            
 

2018 - R

    22.49        (e)       0.90        0.90        (0.09      (3.91             (4.00
 

2018 - R6 (Commenced February 28, 2018)

    20.18        0.02        (0.18      (0.16      (0.07                    (0.07
                        
  FOR THE FISCAL YEARS ENDED OCTOBER 31,              
 

2017 - A

    19.66        0.11        3.48        3.59        (0.25      (0.46             (0.71
 

2017 - C

    19.79        (0.05      3.50        3.45        (0.13      (0.42             (0.55
 

2017 - Institutional

    20.08        0.20        3.55        3.75        (0.31      (0.50             (0.81
 

2017 - Investor

    20.07        0.17        3.54        3.71        (0.27      (0.50             (0.77
 

2017 - R

    19.63        0.06        3.47        3.53        (0.21      (0.46             (0.67
 

2016 - A

    20.68        0.07        (0.83      (0.76      (0.12      (0.14             (0.26
 

2016 - C

    20.84        (0.08      (0.84      (0.92      (0.06      (0.07             (0.13
 

2016 - Institutional

    21.12        0.15        (0.85      (0.70      (0.15      (0.19             (0.34
 

2016 - Investor

    21.10        0.12        (0.84      (0.72      (0.14      (0.17             (0.31
 

2016 - R

    20.66        0.02        (0.84      (0.82      (0.08      (0.13             (0.21
 

2015 - A

    21.25        0.06        (0.42      (0.36      (0.10             (0.11      (0.21
 

2015 - C

    21.41        (0.10      (0.42      (0.52      (0.02             (0.03      (0.05
 

2015 - Institutional

    21.69        0.15        (0.43      (0.28      (0.14             (0.15      (0.29
 

2015 - Investor

    21.68        0.11        (0.43      (0.32      (0.13             (0.13      (0.26
 

2015 - R

    21.20        0.01        (0.43      (0.42      (0.06             (0.06      (0.12
 

2014 - A

    18.50        0.03        2.88        2.91        (0.07             (0.09      (0.16
 

2014 - C

    18.65        (0.13      2.92        2.79        (0.02             (0.01      (0.03
 

2014 - Institutional

    18.88        0.11        2.94        3.05        (0.11             (0.13      (0.24
 

2014 - Investor

    18.87        0.07        2.95        3.02        (0.10             (0.11      (0.21
 

2014 - R

    18.46        (0.03      2.89        2.86        (0.06             (0.06      (0.12
 

2013 - A

    15.16        (0.03      3.54        3.51        (0.04             (0.13      (0.17
 

2013 - C

    15.30        (0.17      3.58        3.41        (0.02             (0.04      (0.06
 

2013 - Institutional

    15.46        0.04        3.61        3.65        (0.06             (0.17      (0.23
 

2013 - Investor

    15.46        (e)       3.61        3.61        (0.04             (0.16      (0.20
 

2013 - R

    15.15        (0.11      3.57        3.46        (0.02             (0.13      (0.15

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Amount is less than $0.005 per share.

 

40   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS RISING DIVIDEND GROWTH FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 19.44         4.09     $ 318,867         1.16 %(d)        1.19 %(d)        0.23 %(d)        19
    19.59         3.70         396,926         1.91 (d)        1.94 (d)        (0.52 )(d)        19  
    19.95         4.36         545,137         0.77 (d)        0.80 (d)        0.60 (d)        19  
    19.93         4.25         277,064         0.91 (d)        0.94 (d)        0.47 (d)        19  
    19.95         (1.24       9.87         0.77 (d)        0.77 (d)        1.87 (d)        19  
    19.39         3.98         4,330         1.41 (d)        1.44 (d)        (0.01 )(d)        19  
    19.95         (0.73       10         0.77 (d)        0.77 (d)        0.46 (d)        19  
                         
                         
    22.54         18.59         370,204         1.16         1.19         0.52         45  
    22.69         17.68         463,110         1.91         1.94         (0.23       45  
    23.02         19.01         759,274         0.76         0.79         0.92         45  
    23.01         18.85         362,752         0.91         0.94         0.79         45  
    22.49           18.27           4,506           1.41           1.44           0.27           45  
    19.66         (3.71       697,430         1.14         1.16         0.35         16  
    19.79         (4.43       571,438         1.89         1.91         (0.40       16  
    20.08         (3.35       958,317         0.74         0.76         0.74         16  
    20.07         (3.45       272,442         0.89         0.91         0.59         16  
    19.63           (3.96         4,749           1.39           1.41           0.10           16  
    20.68         (1.72       1,054,093         1.13         1.15         0.28         25  
    20.84         (2.44       732,998         1.88         1.90         (0.47       25  
    21.12         (1.29       1,476,799         0.73         0.74         0.67         25  
    21.10         (1.49       437,422         0.88         0.89         0.53         25  
    20.66           (2.00         3,740           1.38           1.39           0.05           25  
    21.25         15.81         1,063,292         1.15         1.16         0.13         12  
    21.41         14.93         632,859         1.90         1.91         (0.63       12  
    21.69         16.26         1,509,224         0.75         0.76         0.52         12  
    21.68         16.10         428,787         0.90         0.91         0.37         12  
    21.20           15.53           7,268           1.40           1.41           (0.14         12  
    18.50         23.27         858,185         1.18         1.21         (0.18       13  
    18.65         22.35         384,551         1.93         1.96         (0.98       13  
    18.88         23.77         918,912         0.78         0.81         0.21         13  
    18.87         23.55         258,492         0.93         0.96         0.03         13  
    18.46           22.98           4,141           1.42           1.45           (0.63         13  

 

The accompanying notes are an integral part of these financial statements.   41


Table of Contents

GOLDMAN SACHS DIVIDEND FOCUS FUNDS

 

Notes to Financial Statements

April 30, 2018 (Unaudited)

 

1. ORGANIZATION

 

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:

 

Fund      Share Classes Offered                                Diversified/
Non-diversified

Income Builder

    

A, C, Institutional, Investor, P* and R6

   Diversified

Rising Dividend Growth

    

A, C, Institutional, Investor, P*, R and R6**

   Diversified

 

*     Commenced operations on April 16, 2018.
**   Commenced operations on February 28, 2018.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with contingent deferred sales charge (“CDSC”) of 1.00% which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class P, Class R and Class R6 Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust. Dividend Assets Capital, LLC (“DAC” or the “Sub-Adviser”) serves as the sub-adviser to the Rising Dividend Growth Fund. GSAM compensates the Sub-Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Fund is not charged any separate or additional investment advisory fees by the Sub-Adviser.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT. Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Funds record their pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly. For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

 

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GOLDMAN SACHS DIVIDEND FOCUS FUNDS

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

D.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:

Fund        

Income Distributions

Declared/Paid

  

Capital Gains Distributions

Declared/Paid

Income Builder

       Monthly    Annually

Rising Dividend Growth

       Quarterly    Annually

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

E.  Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.

F.  Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to a Fund as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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 levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

 

43


Table of Contents

GOLDMAN SACHS DIVIDEND FOCUS FUNDS

 

Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

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 are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class 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.

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 G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i.  Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations.

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

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

iii.  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.

iv.  Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.

An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.

If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.

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.

 

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GOLDMAN SACHS DIVIDEND FOCUS FUNDS

 

Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and 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 at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. 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. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.

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 interest rate 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.

Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximate fair value, and are generally classified as Level 2 of the fair value hierarchy.

i.  Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by a Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of an MRA. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

When a Fund enters into a reverse repurchase agreement, it is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that the Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to a Fund.

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 the Funds’ 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. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies. 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.

GSAM did not develop the unobservable inputs for the valuation of Level 3 Assets and Liabilities.

B.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of April 30, 2018:

INCOME BUILDER  
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stocks(a)

            

Europe

   $ 142,181,916        $ 5,846,012        $  

North America

     627,093,960                    

Preferred Stocks(a)

            

North America

              24,266,208           

Fixed Income

            

Corporate Obligations

              856,949,252           

Mortgage-Backed Obligations

              532,613           

Asset-Backed Securities

              21,656           

Bank Loans

              128,937,617          1,331,250  

U.S. Treasury Obligations

     33,451,852                    

Investment Companies

     60,690,716                    

Short-term Investments

              9,021,077           

Securities Lending Reinvestment Vehicle

     22,425                    
Total    $ 863,440,869        $ 1,025,574,435        $ 1,331,250  
Liabilities             

Reverse Repurchase Agreements

   $        $ (4,543,750      $  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

INCOME BUILDER (continued)  
Derivative Type    Level 1        Level 2        Level 3  
Assets(b)             

Forward Foreign Currency Exchange Contracts

   $        $ 151,775        $         —  

Futures Contracts

     396,305                    
Total    $ 396,305        $ 151,775        $  
Liabilities(b)             

Futures Contracts

   $ (19,230      $        $  
RISING DIVIDEND GROWTH  
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stocks(a)

            

Asia

   $ 11,954,803        $        $  

Europe

     113,208,244                    

North America

     1,390,767,478                    

Investment Company

     13,554,146                    

Short-term Investments

              2,800,000           
Total    $ 1,529,484,671        $ 2,800,000        $  
Derivative Type                            
Assets(b)             

Futures Contracts

   $ 790,376        $        $  

 

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

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

 

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2018. These instruments were used as part of the Funds’ investment

 

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strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

Income Builder         
Risk    Statements of Assets
and Liabilities
   Assets      Statements of Assets
and Liabilities
   Liabilities  

Interest rate

   Variation margin on futures contracts    $ 23,728  (a)     Variation margin on futures contracts    $ (19,230) (a) 

Currency

  

Receivable for unrealized gain on forward

foreign currency exchange contracts

     151,775     

      

Equity

   Variation margin on futures contracts      372,577 (a)    

      
Total         $ 548,080           $ (19,230)  
Rising Dividend Growth         
Risk   

Statements of Assets

and Liabilities

   Assets     

Statements of Assets

and Liabilities

   Liabilities  

Equity

   Variation margin on futures contracts    $ 790,376     

      

 

(a)   Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2018. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

 

Income Builder       
Risk    Statements of Operations    Net Realized
Gain (Loss)
    Net Change in
Unrealized
Gain (Loss)
    Average
Number of
Contracts(a)
 
Interest rate    Net realized gain (loss) from purchased options, futures contracts and written options/Net change in unrealized gain (loss) on purchased options, futures contracts and written options    $ (1,674,507   $ (1,815,524     1,400  
Currency    Net realized gain (loss) from forward foreign currency exchange contracts /Net change in unrealized gain (loss) on forward foreign currency exchange contracts      (722,050     (38,724     2  
Equity    Net realized gain (loss) from purchased options, futures contracts and written options/Net change in unrealized gain (loss) on purchased options, futures contracts and written options      136,387       284,064       37  
Total         $ (2,260,170   $ (1,570,184     1,439  

 

Rising Dividend Growth     
Risk    Statements of Operations    Net Change in
Unrealized
Gain (Loss)
    Average
Number of
Contracts(a)
 
Equity    Net change in unrealized gain (loss) futures contracts    $ 790,376       38  

 

(a)   Average number of contracts is based on the average of month end balances for the six months ended April 30, 2018.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

4. INVESTMENTS IN DERIVATIVES (continued)

 

agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

For the six months ended April 30, 2018 , contractual and effective net management fees with GSAM were at the following rates:

 

         Contractual Management Rate      Effective Net
Management
Rate
^
 
Fund Name         First
$1 billion
     Next
$1 billion
     Next
$3 billion
     Next
$3 billion
     Over
$8 billion
     Effective
Rate
    

Goldman Sachs Income Builder Fund

         0.54      0.49      0.46      0.45      0.44      0.58      0.47 %* 

Goldman Sachs Rising Dividend Growth Fund

         0.75        0.68        0.64        0.63        0.62        0.72        0.72  

 

*   GSAM has agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least February 28, 2019, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. The Effective Net Management Rates above are calculated based on management rates before and after waivers had been adjusted, if applicable.
^   Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

 

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Prior to February 28, 2018, the contractual management fee rates for the Income Builder Fund were as stated below:

 

         Contractual Management Rate  
Fund                                                  First
$1 billion
    

Next

$1 billion

    

Next

$3 billion

    

Next

$3 billion

    

Over

$8 billion

 

Income Builder

         0.65      0.59      0.56      0.55      0.54

The Income Builder Fund invests in Institutional and Class R6 Shares of the Goldman Sachs Financial Square Government Fund and the Goldman Sachs High Yield Fund, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the six months ended April 30, 2018, GSAM waived $35,500 of the Fund’s management fee.

The Rising Dividend Growth Fund invests in Class R6 Shares of the Goldman Sachs Financial Square Government Fund which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as investment adviser to any of the affiliated underlying funds in which the Fund invests. For the six months ended April 30, 2018, GSAM waived $2,402 of the Fund’s management fee.

B.  Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable, as set forth below.

The Trust, on behalf of Class C Shares of each Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

 

     Distribution and/or Service Plan Rates  
      Class A*      Class C      Class R*  

Distribution and/or Service Plan

     0.25      0.75      0.50

 

*   With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2018, Goldman Sachs advised that it retained the following front end sales charges:

 

         Front End
Sales Charge
 
Fund Name                                                                  Class A  

Goldman Sachs Income Builder Fund

       $ 37,013  

Goldman Sachs Rising Dividend Growth Fund

         15,177  

No CDSC was retained for the six months ended April 30, 2018.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

D.  Service Plan — The Trust, on behalf of each applicable Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C Shares of the Funds.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.04% of the average daily net assets of Institutional Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares.

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Income Builder and Rising Dividend Growth Funds are 0.034% and 0.014%, respectively. These Other Expense limitations will remain in place through at least February 28, 2019 for Class A, Class C, Investor, Institutional, Class R and Class R6 Shares, and through at least April 16, 2019 for Class P Shares, and prior to such dates GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the six months ended April 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

 

Fund Name         Management
Fee Waiver
       Transfer
Agency Fee
Waiver/
Credits
       Other
Expense
Reimbursements
       Total
Expense
Reductions
 

Income Builder Fund

       $ 1,137,654        $ 306        $        $ 1,137,960  

Rising Dividend Growth Fund

         2,402          289          230,913          233,604  

G.  Line of Credit Facility — As of April 30, 2018, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2018, the Funds did not have any borrowings under the facility. The facility was decreased to $770,000,000 effective May 1, 2018.

 

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H.  Other Transactions with Affiliates — For the six months ended April 30, 2018 , Goldman Sachs earned $26,503 and $0, in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Income Builder and Rising Dividend Growth Funds, respectively.

As of April 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding Class P and Class R6 Shares of the following Funds:

 

                        Fund Name      Class P      Class R6  

Goldman Sachs Income Builder Fund

       100      60

Goldman Sachs Rising Dividend Growth Fund

       100        100  

The table below shows the transactions in and earnings from investments in the Underlying Funds for the six months ended April 30, 2018:

 

Fund   Underlying Fund   Beginning
Value as of
October 31,
2017
   

Purchases

at Cost

   

Proceeds

from Sales

    Net Realized
Gain/(Loss)
    Net Change in
Unrealized
Appreciation/
Depreciation
    Ending
Value as of
April 30, 2018
   

Shares as of

April 30,

2018

   

Dividend

Income

 

Income Builder

 

Goldman Sachs Financial Square Government Fund — Institutional Shares

  $ 27,881,408     $ 324,392,723     $ (302,900,708   $     $     $ 49,373,423       49,373,423     $ 186,143  
   

Goldman Sachs Financial Square Government Fund — Class R6 Shares

          72,874,089       (61,556,796                 11,317,293       11,317,293       42,668  
   

Goldman Sachs High Yield Fund — Institutional Shares

    3,313,300       57,408       (3,668,587     (44     297,923                   57,419  

Total

      $ 31,194,708     $ 397,324,220     $ (368,126,091   $ (44   $ 297,923     $ 60,690,716             $ 286,230  

Rising Dividend Growth

 

Goldman Sachs Financial Square Government Fund — Class R6 Shares

          66,267,555       (52,713,409                 13,554,146       13,554,146       24,267  

The following table provides information about the investment in the shares of issuers deemed to be affiliates of the Income Builder Fund for the six months ended April 30, 2018:

 

Name of Affiliated Issuer    Beginning
Value as of
October 31, 2017
       Change in
Unrealized
Appreciation/
Depreciation
       Ending
Value as of
April 30, 2018
      

Shares as of
April 30, 2018

 

Blue Ridge Mountain Resources, Inc.

(Common Stock)

   $ 2,587,716        $ (663,183      $ 1,924,533          260,072  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

 

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2018, were:

 

Fund         Purchases of
U.S. Government and
Agency Obligations
       Purchases (Excluding
U.S. Government and
Agency Obligations)
       Sales and
Maturities of
U.S. Government and
Agency Obligations
       Sales and
Maturities (Excluding
U.S. Government and
Agency Obligations)
 

Income Builder

       $ 26,094,185        $ 452,368,420        $ 29,607,321        $ 549,793,880  

Rising Dividend Growth

                  1,071,232,281                   324,284,005  

The table below summarizes the reverse repurchase agreement activity for the six months ended April 30, 2018:

 

Fund         Average amount of
borrowings
       Weighted average
interest rate
(Paid) Received
     Number of days
outstanding during
the period
 

Income Builder

       $ 17,582,500          (0.008 )%       181  

The following table sets forth the Income Builder Fund’s different types of investments pledged as collateral and the remaining contractual maturities of the reverse repurchase agreements as of April 30, 2018:

 

     Remaining Contractual Maturity of the Agreements
As of April 30, 2018
 
      Overnight and
Continuous
     < 30 days      Between 30
and 90 days
     > 90 days      Total  
Reverse Repurchase Agreements               

Sovereign Debt Obligations

   $      $      $      $ 4,543,750      $ 4,543,750  
Total Borrowings    $      $      $      $ 4,543,750      $ 4,543,750  

Gross amount of recognized liabilities for reverse repurchase agreements

 

   $ 4,543,750  

 

7. SECURITIES LENDING

The Income Builder Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Rising Dividend Growth 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 Funds’ securities lending procedures, the Funds receive 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 Funds 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 Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. 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.

 

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7. SECURITIES LENDING (continued)

 

The Funds invest 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 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% (prior to February 21, 2018, GSAM may have received a management fee of up to 0.205%) on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will and BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL or BNYM are unable to purchase replacement securities, GSAL and/or BNYM will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.

The Funds, GSAL and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2018 are reported under “Investment Income” on the Statements of Operations.

The table below details securities lending activity with affiliates of Goldman Sachs:

 

         For the Six Months Ended April 30, 2018        Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned as of
April 30, 2018
 
                    Fund   

Earnings of GSAL

Relating to

Securities

Loaned

      

Amounts Received
by the Funds

from Lending to

Goldman Sachs

      

Rising Dividend Growth

   $ 1,936        $        $  

The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund for the six months ended April 30, 2018.

 

                    Fund   

Beginning

value as of
October 31, 2017

     Purchases at
Cost
     Proceeds
from Sales
   

Ending

value as of
April 30, 2018

     Shares as of
April 30, 2018
 

Income Builder

   $ 6,049,808      $ 12,438,853      $ (18,587,684   $ 22,425        22,425  

Rising Dividend Growth

     38,778,950        59,856,150        (98,635,100             

 

8. TAX INFORMATION

As of the Funds’ most recent fiscal year end, October 31, 2017, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

 

     

Income

Builder

      

Rising

Dividend
Growth

 

Capital loss carryforwards:

       

Perpetual Short-Term

   $ (14,798,257      $  

Perpetual Long-Term

     (68,975,068         

Total capital loss carryforwards

   $ (83,773,325      $  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

8. TAX INFORMATION (continued)

 

As of April 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

 

     

Income

Builder

      

Rising

Dividend

Growth

 

Tax Cost

   $ 1,825,462,883        $ 1,410,308,365  

Gross unrealized gain

     483,156,109          190,102,870  

Gross unrealized loss

     (418,272,438        (68,126,564

Net unrealized security gain

   $ 64,883,671        $ 121,976,306  

The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, market gains/(losses) on regulated futures contracts and options contracts, net mark to market gains (losses) on foreign currency contracts and differences in the tax treatment of underlying fund investments, partnership investments, and material modification of debt securities.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

 

9. OTHER RISKS

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 being hedged, if any.

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

 

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9. OTHER RISKS (continued)

 

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.

Industry Concentration Risk — Concentrating Fund investments in a limited number of issuers conducting business in the same industry or group of industries will subject the Fund to a greater risk of loss as a result of adverse economic, business, political, environmental or other developments than if its investments were diversified across different industries.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds 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 increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.

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 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 and is required to maintain a larger cash position than it ordinarily would.

Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s investment portfolio may be subject.

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 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. 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.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

9. OTHER RISKS (continued)

 

Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Income Builder Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.

Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.

Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds 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 Funds have unsettled or open transactions defaults.

Master Limited Partnership Risk — Investments in securities of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partner’s right to require unit-holders to sell their common units at an undesirable time or price.

 

10. OTHER MATTERS

On March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) 2017-08 — Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, by requiring amortization to the earliest call date. The amendments are effective for the Funds’ fiscal year ended October 31, 2019. GSAM is currently evaluating the impact, if any, of the amendments to the Funds.

 

11. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum

 

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11. INDEMNIFICATIONS (continued)

 

exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

 

12. SUBSEQUENT EVENTS

Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

13. SUMMARY OF SHARE TRANSACTIONS

 

Share activity is as follows:

 

    Income Builder Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    858,663     $ 19,487,908        3,218,687     $ 71,655,468  

Reinvestment of distributions

    282,693       6,381,539        704,393       15,670,769  

Shares redeemed

    (2,513,357     (56,774,738      (13,479,221     (299,529,672
      (1,372,001     (30,905,291      (9,556,141     (212,203,435
Class C Shares         

Shares sold

    1,188,270       26,515,878        3,621,153       79,351,521  

Reinvestment of distributions

    355,200       7,886,470        811,909       17,811,164  

Shares redeemed

    (3,820,858     (84,973,324      (8,841,222     (193,827,710
      (2,277,388     (50,570,976      (4,408,160     (96,665,025
Institutional Shares         

Shares sold

    6,436,930       155,518,126        10,121,760       230,030,516  

Reinvestment of distributions

    556,673       12,836,128        1,148,073       26,144,314  

Shares redeemed

    (9,433,405     (218,445,180      (9,591,322     (217,886,775
      (2,439,802     (50,090,926      1,678,511       38,288,055  
Investor Shares         

Shares sold

    1,297,471       29,952,183        10,254,805       232,083,067  

Reinvestment of distributions

    242,283       5,570,188        460,613       10,491,143  

Shares redeemed

    (2,468,862     (56,985,987      (4,126,966     (93,949,535
      (929,108     (21,463,616      6,588,452       148,624,675  
Class P Shares(a)         

Shares sold

    436       10,005               

Reinvestment of distributions

    1       26               
      437       10,031               
Class R6 Shares         

Shares sold

    333       7,617               

Reinvestment of distributions

    10       221        19       438  

Shares redeemed

    (1     (11             
      342       7,827        19       438  

NET DECREASE

    (7,017,520   $ (153,012,951      (5,697,319   $ (121,955,292

 

(a)   Commenced operations on April 16, 2018.

 

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13. SUMMARY OF SHARE TRANSACTIONS (continued)

 

    Rising Dividend Growth Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    603,439     $ 12,190,847        1,472,789     $ 31,125,757  

Reinvestment of distributions

    3,074,881       60,067,874        879,866       18,341,204  

Shares redeemed

    (3,700,749     (75,230,840      (21,400,993     (455,109,651
      (22,429     (2,972,119.00      (19,048,338     (405,642,690
Class C Shares         

Shares sold

    699,781       14,015,450        895,940       19,107,865  

Reinvestment of distributions

    3,438,436       67,663,822        581,355       12,188,937  

Shares redeemed

    (4,288,846     (88,228,414      (9,943,810     (212,609,311
      (150,629     (6,549,142      (8,466,515     (181,312,509
Institutional Shares         

Shares sold

    2,147,197       44,186,681        5,434,081       118,177,788  

Reinvestment of distributions

    4,778,290       95,821,931        1,228,775       26,321,933  

Shares redeemed

    (12,578,401     (270,848,625      (21,410,677     (463,911,403
      (5,652,914     (130,840,013      (14,747,821     (319,411,682
Investor Shares         

Shares sold

    573,065       12,037,125        12,497,683       272,958,425  

Reinvestment of distributions

    2,960,908       59,320,667        553,674       11,919,085  

Shares redeemed

    (5,400,000     (113,684,103      (10,862,875     (236,692,041
      (1,866,027     (42,326,311      2,188,482       48,185,469  
Class P Shares(a)         

Shares sold

    495       10,000               
      495       10,000               
Class R Shares         

Shares sold

    55,532       1,138,835        42,474       903,646  

Reinvestment of distributions

    28,845       562,064        4,296       89,802  

Shares redeemed

    (61,393     (1,233,734      (88,352     (1,901,700
      22,984       467,165        (41,582     (908,252
Class R6 Shares(b)         

Shares sold

    495       10,000               

Reinvestment of distributions

    2       35               
      497       10,035               

NET DECREASE

    (7,668,023   $ (182,200,385.00      (40,115,774   $ (859,089,664

 

(a)   Commenced operations on April 16, 2018.
(b)   Commenced operations on February 28, 2018.

 

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Fund Expenses — Six Month Period Ended April 30, 2018  (Unaudited)

 

As a shareholder of Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Investor, Class P, Class R or Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2017 through April 30, 2018, which represents a period of 181 days in a 365 day year. The Class R6 Shares example for the Rising Dividend Growth Fund is based on the period from March 1, 2018 through April 30, 2018, which represents a period of 61 out of 365 days, and the Class P Shares example is based on the period from April 17, 2018 through April 30, 2018, which represents a period of 14 out of 365 days. The Class P Shares example and the Class R6 Shares example (for the Rising Dividend Growth Fund) for hypothetical expenses reflect projected activity for the period from November 1, 2017 through April 30, 2018 for purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     Income Builder Fund     Rising Dividend Growth Fund  
Share Class   Beginning
Account Value
11/1/17
    Ending
Account Value
4/30/18
    Expenses
Paid for the
6 months
ended
4/30/18
*
    Beginning
Account Value
11/1/17
    Ending
Account Value
4/30/18
    Expenses
Paid for the
6 months
ended
4/30/18
*
 
Class A                        

Actual

  $ 1,000.00     $ 995.50     $ 4.60     $ 1,000.00     $ 1,040.90     $ 5.87  

Hypothetical 5% return

    1,000.00       1,020.18     4.66       1,000.00       1,019.04     5.81  
Class C                        

Actual

    1,000.00       991.70       8.30       1,000.00       1,037.00       9.65  

Hypothetical 5% return

    1,000.00       1,016.46     8.40       1,000.00       1,015.32     9.54  
Institutional                        

Actual

    1,000.00       997.00       2.67       1,000.00       1,043.60       3.90  

Hypothetical 5% return

    1,000.00       1,022.12     2.71       1,000.00       1,020.98     3.86  
Investor                        

Actual

    1,000.00       996.30       3.32       1,000.00       1,042.50       4.56  

Hypothetical 5% return

    1,000.00       1,021.47     3.36       1,000.00       1,020.33     4.51  
Class P^                        

Actual

    1,000.00       991.80       0.17       1,000.00       992.70       0.30  

Hypothetical 5% return

    1,000.00       1,022.61     2.21       1,000.00       1,020.98     3.86  
Class R                        

Actual

    N/A       N/A       N/A       1,000.00       1,039.80       7.13  

Hypothetical 5% return

    N/A       N/A       N/A       1,000.00       1,017.80     7.05  
Class R6^^                        

Actual

    1,000.00       997.10       2.57       1,000.00       992.70       1.29  

Hypothetical 5% return

    1,000.00       1,022.22     2.61       1,000.00       1,020.98     3.86  

 

  *   Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2018. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:  

 

  +   Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  

 

  ^   Class P Shares of the Funds commenced operations on April 16, 2018.  

 

  ^^   Class R6 Shares of the Rising Dividend Growth Fund commenced operations on February 28, 2018.  

 

Fund   Class A     Class C     Institutional     Investor     Class P     Class R     Class R6  

Income Builder+

    0.93     1.68     0.54     0.68     0.44     N/A       0.52

Rising Dividend Growth+

    1.16       1.91       0.77       0.91       0.77       1.41     0.77  

 

62


Table of Contents

FUNDS PROFILE

 

Goldman Sachs Funds

 

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.29 trillion in assets under supervision as of March 31, 2018, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

 

Money Market

Financial Square FundsSM

  Financial Square Treasury Solutions Fund1
  Financial Square Government Fund1
  Financial Square Money Market Fund2
  Financial Square Prime Obligations Fund2
  Financial Square Treasury Instruments Fund1
  Financial Square Treasury Obligations Fund1
  Financial Square Federal Instruments Fund1
  Financial Square Tax-Exempt Money Market Fund2

Investor FundsSM

  Investor Money Market Fund3
  Investor Tax-Exempt Money Market Fund3

Fixed Income

Short Duration and Government

  Enhanced Income Fund
  High Quality Floating Rate Fund
  Short-Term Conservative Income Fund
  Short Duration Government Fund
  Short Duration Income Fund
  Government Income Fund
  Inflation Protected Securities Fund

Multi-Sector

  Bond Fund
  Core Fixed Income Fund
  Global Income Fund
  Strategic Income Fund

Municipal and Tax-Free

  High Yield Municipal Fund
  Dynamic Municipal Income Fund
  Short Duration Tax-Free Fund

Single Sector

  Investment Grade Credit Fund
  U.S. Mortgages Fund
  High Yield Fund
  High Yield Floating Rate Fund
  Emerging Markets Debt Fund
  Local Emerging Markets Debt Fund
  Total Emerging Markets Income Fund4

Fixed Income Alternatives

  Long Short Credit Strategies Fund

Fundamental Equity

  Equity Income Fund5
  Small Cap Value Fund
  Small/Mid Cap Value Fund
  Mid Cap Value Fund
  Large Cap Value Fund
  Focused Value Fund
  Capital Growth Fund
  Strategic Growth Fund
  Small/Mid Cap Growth Fund
  Flexible Cap Fund6
  Concentrated Growth Fund7
  Technology Opportunities Fund
  Growth Opportunities Fund
  Rising Dividend Growth Fund
  Blue Chip Fund8
  Income Builder Fund

Tax-Advantaged Equity

  U.S. Tax-Managed Equity Fund
  International Tax-Managed Equity Fund
  U.S. Equity Dividend and Premium Fund
  International Equity Dividend and Premium Fund

Equity Insights

  Small Cap Equity Insights Fund
  U.S. Equity Insights Fund
  Small Cap Growth Insights Fund
  Large Cap Growth Insights Fund
  Large Cap Value Insights Fund
  Small Cap Value Insights Fund
  International Small Cap Insights Fund
  International Equity Insights Fund
  Emerging Markets Equity Insights Fund

Fundamental Equity International

  International Equity Income Fund9
  International Equity ESG Fund10
  Asia Equity Fund
  Emerging Markets Equity Fund
  N-11 Equity Fund
  ESG Emerging Markets Equity Fund10

Select Satellite

  Real Estate Securities Fund
  International Real Estate Securities Fund
  Commodity Strategy Fund
  Global Real Estate Securities Fund
  Alternative Premia Fund11
  Absolute Return Tracker Fund
  Managed Futures Strategy Fund
  MLP Energy Infrastructure Fund
  MLP & Energy Fund
  Multi-Manager Alternatives Fund
  Absolute Return Multi-Asset Fund
  Global Infrastructure Fund

Total Portfolio Solutions

  Global Managed Beta Fund
  Multi-Manager Non-Core Fixed Income Fund
  Multi-Manager U.S. Dynamic Equity Fund
  Multi-Manager Global Equity Fund
  Multi-Manager International Equity Fund
  Tactical Tilt Overlay Fund
  Balanced Strategy Portfolio
  Multi-Manager U.S. Small Cap Equity Fund
  Multi-Manager Real Assets Strategy Fund
  Growth and Income Strategy Portfolio
  Growth Strategy Portfolio
  Equity Growth Strategy Portfolio
  Satellite Strategies Portfolio
  Enhanced Dividend Global Equity Portfolio
  Tax-Advantaged Global Equity Portfolio
  Strategic Factor Allocation Fund
  Target Date 2020 Portfolio
  Target Date 2025 Portfolio
  Target Date 2030 Portfolio
  Target Date 2035 Portfolio
  Target Date 2040 Portfolio
  Target Date 2045 Portfolio
  Target Date 2050 Portfolio
  Target Date 2055 Portfolio
  Target Date 2060 Portfolio
  GQG Partners International Opportunities Fund
  Tactical Exposure Fund
1   You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2    You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3    You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4    Effective after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund.
5    Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
6    Effective after the close of business on August 31, 2017, the Goldman Sachs Flexible Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Fund.
7    Effective on July 28, 2017, the Goldman Sachs Focused Growth Fund was reorganized with and into the Goldman Sachs Concentrated Growth Fund.
8    Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund.
9    Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund.
10    Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund.
11    Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund.
    Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
*   This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.


Table of Contents

TRUSTEES

Jessica Palmer, Chair

Kathryn A. Cassidy

Diana M. Daniels

Herbert J. Markley

James A. McNamara

Roy W. Templin

Gregory G. Weaver

 

OFFICERS

James A. McNamara, President

Scott M. McHugh, Treasurer, Senior Vice President and Principal Financial Officer

Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer

Caroline L. Kraus, Secretary

GOLDMAN SACHS & CO. LLC

Distributor and Transfer Agent

 

GOLDMAN SACHS ASSET MANAGEMENT, L.P.

Investment Adviser

Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

All or a portion of the Funds’ distributions may be treated for tax purposes as a return of capital, however, the final characterization of such distributions will be reported annually on Form 1099-DIV. The final tax status of the distributions may differ substantially from the above dividend information.

Fund holdings and allocations shown are unaudited, and may not be representative of current or future investments. Fund holdings and allocations may not include the Funds’ entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY AND IS PROVIDED SOLELY ON THE BASIS THAT IT WILL NOT CONSTITUTE INVESTMENT OR OTHER ADVICE OR A RECOMMENDATION RELATING TO ANY PERSON’S OR PLAN’S INVESTMENT OR OTHER DECISIONS, AND GOLDMAN SACHS IS NOT A FIDUCIARY OR ADVISOR WITH RESPECT TO ANY PERSON OR PLAN BY REASON OF PROVIDING THE MATERIAL OR CONTENT HEREIN INCLUDING UNDER THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 OR DEPARTMENT OF LABOR REGULATIONS. PLAN SPONSORS AND OTHER FIDUCIARIES SHOULD CONSIDER THEIR OWN CIRCUMSTANCES IN ASSESSING ANY POTENTIAL COURSE OF ACTION.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

© 2018 Goldman Sachs. All rights reserved. 132640-OTU-779305 DIVFOSAR-18/62.4K


Table of Contents

Goldman Sachs Funds

 

LOGO

 

 
Semi-Annual Report      

April 30, 2018

 
     

Domestic Equity Insights Funds

     

Large Cap Growth Insights

     

Large Cap Value Insights

     

Small Cap Equity Insights

     

Small Cap Growth Insights

     

Small Cap Value Insights

     

U.S. Equity Insights

 

 

LOGO


Table of Contents

Goldman Sachs Domestic Equity Insights Funds

 

  LARGE CAP GROWTH INSIGHTS

 

  LARGE CAP VALUE INSIGHTS

 

  SMALL CAP EQUITY INSIGHTS

 

  SMALL CAP GROWTH INSIGHTS

 

  SMALL CAP VALUE INSIGHTS

 

  U.S. EQUITY INSIGHTS

 

TABLE OF CONTENTS

 

Market Review

    1  

Investment Process

    3  

Portfolio Management Discussion and Performance Summaries

    5  

Schedules of Investments

    36  

Financial Statements

    64  

Financial Highlights

    72  

Notes to Financial Statements

    84  

Other Information

    102  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


Table of Contents

MARKET REVIEW

 

Goldman Sachs Domestic Equity Insights Funds

 

Market Review

U.S. equities recorded a gain during the six months ended April 30, 2018 (the “Reporting Period”), with Federal Reserve (“Fed”) monetary policy, economic data and political events dominating market sentiment.

When the Reporting Period began in November 2017, progress on tax reform and strong economic activity were supportive of U.S. equities. In December, the Fed delivered the third rate hike of 2017, as had been widely expected, having done similarly in March and June 2017, and maintained its projections for three additional interest rate hikes in 2018. U.S. equities gained additional momentum toward the end of December from the passage of a tax reform bill that reduced the corporate tax rate from 35% to 21%.

U.S. equities saw a strong start to 2018, driven by positive economic data, the $1.5 trillion tax reform law and a favorable corporate earnings season. In February 2018, however, equities sold off globally on market speculation of a faster pace of Fed short-term interest rate hikes, which stoked a sharp rise in bond yields and an increase in equity market volatility. Concerns about Fed monetary policy tightening were further exacerbated by solid U.S. labor and inflation data. In late February 2018, new Fed Chair Jerome Powell’s testimony before Congress, positing a more optimistic economic outlook since the December 2017 Fed meeting, surprised equity markets with its hawkish tilt and sparked a sell-off. (Hawkish tends to suggest higher interest rates; opposite of dovish.) In March 2018, escalating trade tensions and potential tariffs weighed on investor sentiment. Meanwhile, the Fed raised short-term interest rates again, much as the market had expected. The Fed’s dot plot, which shows rate projections of the members of the Fed’s Open Market Committee, continued to point to a total of three interest rate increases in 2018. However, Fed policymakers acknowledged that the “economic outlook has strengthened in recent months,” revising their growth forecast higher and their employment rate forecast lower.

The U.S. equity market was relatively muted in April 2018, as the U.S. and China continued to generate trade headlines and geopolitical uncertainty about sanctions on Russia surfaced. A number of macroeconomic drivers, including U.S. labor market strength, higher inflation and fiscal stimulus, pushed up U.S. Treasury yields, with the 10-year U.S. Treasury yield breaching 3% toward month end. With more than half of S&P 500® Index companies having reported their first quarter 2018 results, the earnings season began strongly during April 2018.

For the Reporting Period overall, the S&P 500® Index (with dividends reinvested) returned 3.82%, with seven of its 11 sectors generating positive absolute returns. Consumer discretionary and energy were the best performing sectors in the S&P 500® Index by some distance, followed by information technology and financials, which also posted solidly positive absolute returns. Utilities, consumer staples, real estate and materials were the only sectors in the S&P 500® Index that declined during the Reporting Period.

In terms of market capitalization, large-cap stocks outperformed small-cap stocks. The Russell 2000® Index, which measures the small-cap universe, returned 3.27% during the Reporting Period. In the style arena, growth stocks outperformed value stocks overall. The Russell 1000® Growth Index, representing large-cap growth stocks, rose 5.68% during the Reporting Period, while the Russell 1000® Value Index, representing large-cap value stocks, returned 1.94%.

 

1


Table of Contents

MARKET REVIEW

 

 

Looking Ahead

At the end of the Reporting Period, we continued to believe that less expensive stocks should outpace more expensive stocks. In addition, we expected stocks with good momentum to outperform those with poor momentum. We plan to focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.

We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.

 

2


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

What Differentiates Goldman Sachs’

Domestic Equity Insights Funds Investment Process?

 

At Goldman Sachs Asset Management, L.P. (“GSAM”), Equity Insights combines traditional fundamental analysis with sophisticated quantitative modeling. Our approach is not unlike that of a more traditional active manager: we look at fundamental investment themes that have been effective historically in forecasting excess returns of stocks. However, where we differ from traditional managers is that we seek to rigorously test every potential research theme or signal to verify whether they have shown consistent predictive ability across a wide variety of stocks in different time periods and under different market conditions.

 

 

LOGO

 

LOGO

 

  Comprehensive – We calculate expected excess returns for more than 10,000 stocks on a daily basis.

 

  Rigorous – We evaluate stocks based on fundamental investment criteria that have outperformed historically.

 

  Objective – Our stock selection process is free from the emotion that may lead to biased investment decisions.

 

LOGO

 

  Our computer optimization process allocates risk to our high conviction investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns.

 

  We use a proprietary risk model that is designed to be more precise, more focused and faster to respond because it seeks to identify, track and manage risk specific to our process, using daily data.

 

LOGO

Fully invested, well-diversified portfolio that seeks to:

 

  Maintain style, sector, risk and capitalization characteristics similar to the benchmark.

 

  Offer broad access to a clearly defined equity universe.

 

  Generate excess returns that are positive, consistent and repeatable.

 

3


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

 

 

 

 

Enhancements Made to Proprietary Quantitative Model during the Six-Month Period Ended April 30, 2018

We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the six-month period ended April 30, 2018 (the “Reporting Period”).

We introduced two new signals within our Profitability theme that use various alternative data sources, seeking to identify companies benefiting from consumer spending. The first signal aims to forecast sales growth trends, not just for the upcoming quarter but for multiple quarters ahead, by looking for underlying trends. The second signal analyzes profitability of retailers by assessing customer traffic in the retailer’s location.

We also introduced new signals within our Momentum theme that help us create economic links between companies with similar businesses. The first signal identifies companies linked by a common theme based on company descriptions. The second signal seeks to identify linked companies by looking at searches made on the same day for regulatory filings of multiple companies.

Additionally, we introduced an Environmental, Social and Governance (“ESG”) signal within our Management theme that helps us quantify reputational risk. The signal looks at ESG risk events to form a view of the peak risk of a given company from an ESG perspective.

 

4


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs Large Cap Growth Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital, with dividend income as a secondary consideration.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Large Cap Growth Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 5.57%, 5.18%, 5.78%, 5.49%, 5.72%, 5.43% and 5.80%, respectively. These returns compare to the 5.68% cumulative total return of the Fund’s benchmark, the Russell 1000® Growth Index (with dividends reinvested) (the “Index”), during the same period.

 

     From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -1.25% compared to the -1.05% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A   During the Reporting Period, five of our quantitative model’s six investment themes added to relative performance. However, the Fund generally underperformed the Index because of certain individual stock positions.

 

Q   What impact did the Fund’s investment themes have on performance during the Reporting Period?

 

A   In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

     During the Reporting Period, five of our six investment themes contributed positively to the Fund’s relative results. Quality was our best performing theme. The Quality theme seeks to assess both firm and management quality. Profitability, Sentiment, Momentum and Management also bolstered relative returns. The Profitability theme assesses whether a company is earning more than its cost of capital. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Management theme assesses the characteristics, policies and strategic decisions of company management.

 

     Our Valuation theme detracted from relative performance. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.

 

Q   How did the Fund’s sector and industry allocations affect relative performance?

 

A   In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

 

5


Table of Contents

PORTFOLIO RESULTS

 

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A   We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

     During the Reporting Period, certain individual stock positions, including holdings in the health care, consumer discretionary and financials sectors, detracted from relative returns. On the positive side, the Fund benefited from stock selection in the energy, materials and industrials sectors.

 

Q   Which individual stock positions detracted most from the Fund’s results during the Reporting Period?

 

A   In terms of individual stock positions, the Fund was hampered during the Reporting Period by overweights relative to the Index in Mettler Toledo, a manufacturer of scales and analytical instruments; Applied Materials, a provider of equipment, services and software to semiconductor, flat panel display and solar products companies; and Biogen, a biotechnology firm. We chose to overweight Mettler Toledo and Applied Materials because of our positive views on Sentiment and Momentum. Our positive views on Sentiment and Valuation led us to overweight Biogen.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A   During the Reporting Period, the Fund benefited from overweight positions in Valero Energy and F5 Networks. An underweight in The 3M Company also contributed positively. The overweight in petroleum refiner Valero Energy was due to our positive views on Valuation and Momentum. We adopted the overweight in F5 Networks, which specializes in application delivery networking technology, because of our positive views on Sentiment and Quality. The Fund was underweight The 3M Company, a manufacturer of industrial, safety, medical and consumer products, because of our negative views on Momentum and Valuation.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight the health care, financials, energy and real estate sectors relative to the Index. Compared to the Index, the Fund was underweight the consumer staples, industrials, information technology, materials and consumer discretionary sectors.

 

6


Table of Contents

FUND BASICS

 

Large Cap Growth Insights Fund

as of April 30, 2018

 

 

LOGO

 

 

PERFORMANCE REVIEW

 

    

November 1, 2017–April 30, 2018

     Fund Total Return
(based on NAV)1
       Russell 1000®
Growth Index2
 
 

Class A

       5.57        5.68
 

Class C

       5.18          5.68  
 

Institutional

       5.78          5.68  
 

Service

       5.49          5.68  
 

Investor

       5.72          5.68  
 

Class R

       5.43          5.68  
   

Class R6

       5.80          5.68  
 

April 16, 2018–April 30, 2018

         
   

Class P

       -1.25        -1.05

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The Russell 1000® Growth Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

 

STANDARDIZED TOTAL RETURNS3

 

     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date  
 

Class A

    14.03     14.77     10.02     6.39     05/01/97  
 

Class C

    18.74       15.21       9.83       5.12       08/15/97  
 

Institutional

    21.14       16.53       11.09       7.10       05/01/97  
 

Service

    20.58       15.96       10.55       6.58       05/01/97  
 

Investor

    20.94       16.36       10.92       9.08       11/30/07  
  Class P     N/A       N/A       N/A       N/A       04/16/18  
 

Class R

    20.38       15.78       10.38       8.55       11/30/07  
   

Class R6

    21.17       N/A       N/A       13.61       07/31/15  

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

7


Table of Contents

FUND BASICS

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
 

Class A

    0.93      0.98
 

Class C

    1.68        1.73  
 

Institutional

    0.54        0.59  
 

Service

    1.04        1.09  
 

Investor

    0.68        0.73  
 

Class P

    0.53        0.58  
 

Class R

    1.18        1.23  
    Class R6     0.53        0.58  

 

  4   The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus, as supplemented, for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets      Line of Business
 

Apple, Inc.

    5.5    Technology Hardware, Storage &
Peripherals
 

Amazon.com, Inc.

    4.7      Internet & Direct Marketing Retail
 

Microsoft Corp.

    4.4      Software
 

Facebook, Inc. Class A

    3.1      Internet Software & Services
 

Alphabet, Inc. Class C

    2.4      Internet Software & Services
 

Alphabet, Inc. Class A

    2.3      Internet Software & Services
 

AbbVie, Inc.

    2.2      Biotechnology
 

International Business Machines Corp.

    1.7      IT Services
 

The Boeing Co.

    1.7      Aerospace & Defense
   

American Tower Corp.

    1.4      Equity Real Estate Investment Trusts
(REITs)

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

8


Table of Contents

FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

 

LOGO

 

 

  6    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

9


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs Large Cap Value Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital and dividend income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Large Cap Value Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 3.56%, 3.18%, 3.75%, 3.49%, 3.70%, 3.42% and 3.72%, respectively. These returns compare to the 1.94% cumulative total return of the Fund’s benchmark, the Russell 1000® Value Index (with dividends reinvested) (the “Index”), during the same period.

 

     From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -1.19% compared to the -1.07% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A   During the Reporting Period, the Fund outperformed the Index, with five of our quantitative model’s six investment themes adding to relative returns. Stock selection overall enhanced performance.

 

Q   What impact did the Fund’s investment themes have on performance during the Reporting Period?

 

A   In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

     During the Reporting Period, five of our six investment themes contributed positively to the Fund’s relative performance. Quality was our best performing theme. The Quality theme seeks to assess both firm and management quality. Profitability, Momentum, Management and Sentiment also added to relative returns. The Profitability theme assesses whether a company is earning more than its cost of capital. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries.

 

     Our Valuation theme detracted from relative performance. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.

 

Q   How did the Fund’s sector and industry allocations affect relative performance?

 

A   In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

 

10


Table of Contents

PORTFOLIO RESULTS

 

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A   We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

     During the Reporting Period, security selection bolstered the Fund’s relative performance, highlighted by holdings in the energy, financials and industrials sectors. Stock selection in the information technology, health care and telecommunication services sectors detracted from relative returns.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A   In terms of individual stock positions, the Fund benefited from overweights compared to the Index in Valero Energy and HollyFrontier, both petroleum refiners. Our positive views on Valuation and Momentum led us to overweight both Valero Energy and HollyFrontier. An underweight in industrial conglomerate General Electric, based on our negative views on Sentiment and Quality, also added to the Fund’s relative performance.

 

Q   Which individual stock positions detracted most from the Fund’s results during the Reporting Period?

 

A   During the Reporting Period, the Fund’s overweight positions in Pacific Gas and Electric Company (“PG&E”) and Realogy Holdings detracted from relative returns. The overweight in utilities company PG&E was the result of our positive views on Sentiment and Valuation. We chose to overweight Realogy Holdings, a provider of real estate and relocation services, because of our positive views on Valuation and Momentum. An underweight in Cisco Systems, an information technology and networking company, also hurt relative results. The Fund’s underweight in Cisco Systems was driven by our negative views on Momentum and Profitability.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight the health care, real estate, consumer discretionary and energy sectors relative to the Index. Compared to the Index, the Fund was underweight the utilities, consumer staples, telecommunication services and industrials sectors. The Fund was relatively neutral compared to the Index in the financials, information technology and materials sectors at the end of the Reporting Period.

 

11


Table of Contents

FUND BASICS

 

Large Cap Value Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       Russell 1000®
Value Index2
 
 

Class A

       3.56        1.94
 

Class C

       3.18          1.94  
 

Institutional

       3.75          1.94  
 

Service

       3.49          1.94  
 

Investor

       3.70          1.94  
 

Class R

       3.42          1.94  
   

Class R6

       3.72          1.94  
  April 16, 2018–April 30, 2018          
    Class P        -1.19        -1.07

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The Russell 1000® Value Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3  
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date  
 

Class A

    5.81     10.86     7.14     5.76     12/31/98  
 

Class C

    10.14       11.28       6.94       5.28       12/31/98  
 

Institutional

    12.38       12.56       8.17       6.49       12/31/98  
 

Service

    11.84       12.01       7.64       5.96       12/31/98  
 

Investor

    12.28       12.40       8.01       6.53       11/30/07  
 

Class P

    N/A       N/A       N/A       N/A       04/16/18  
 

Class R

    11.71       11.84       7.47       6.01       11/30/07  
    Class R6     12.43       N/A       N/A       10.53       07/31/15  

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

12


Table of Contents

FUND BASICS

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
 

Class A

    0.95      1.02
 

Class C

    1.70        1.77  
 

Institutional

    0.56        0.63  
 

Service

    1.06        1.13  
 

Investor

    0.70        0.77  
 

Class P

    0.55        0.62  
 

Class R

    1.20        1.27  
    Class R6     0.55        0.62  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus, as supplemented, for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets      Line of Business
 

Johnson & Johnson

    2.7    Pharmaceuticals
 

JPMorgan Chase & Co.

    2.1      Banks
 

Berkshire Hathaway, Inc. Class B

    2.1      Diversified Financial Services
 

Medtronic PLC

    1.8      Health Care Equipment &
Supplies
 

Merck & Co., Inc.

    1.8      Pharmaceuticals
 

Exxon Mobil Corp.

    1.7      Oil, Gas & Consumable Fuels
 

ConocoPhillips

    1.6      Oil, Gas & Consumable Fuels
 

Valero Energy Corp.

    1.5      Oil, Gas & Consumable Fuels
 

Phillips 66

    1.4      Oil, Gas & Consumable Fuels
   

General Motors Co.

    1.4      Automobiles

 

  5   The top 10 holdings may not be representative of the Fund’s future investments.

 

13


Table of Contents

FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

 

LOGO

 

 

  6    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

14


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs Small Cap Equity Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 3.71%, 3.39%, 3.93%, 3.69%, 3.86%, 3.62% and 3.96%, respectively. These returns compare to the 3.27% cumulative total return of the Fund’s benchmark, the Russell 2000® Index (with dividends reinvested) (the “Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -1.98% compared to the -1.33% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A   During the Reporting Period, the Fund outperformed the Index, with four of our quantitative model’s six investment themes adding to relative returns. Stock selection overall bolstered performance.

 

Q   What impact did the Fund’s investment themes have on performance during the Reporting Period?

 

A   In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

    During the Reporting Period, four of our six investment themes–Profitability, Quality, Management and Sentiment–added to the Fund’s relative returns. The Profitability theme assesses whether a company is earning more than its cost of capital. The Quality theme seeks to assess both firm and management quality. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries.

 

    Our Valuation and Momentum themes detracted from the Fund’s relative performance. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies.

 

Q   How did the Fund’s sector and industry allocations affect relative performance?

 

A   In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

 

15


Table of Contents

PORTFOLIO RESULTS

 

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A   We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

    During the Reporting Period, security selection in the financials, industrials and consumer discretionary sectors contributed positively. Holdings in the health care sector detracted from relative performance.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A   In terms of individual stock positions, the Fund benefited most from overweights relative to the Index in Enova International, American Eagle Outfitters and Etsy. Our positive views on Quality and Sentiment led to the Fund’s overweight in Enova International, an online lending company. The overweight position in clothing retailer American Eagle Outfitters was based on our positive views on Sentiment and Profitability. The Fund was overweight e-commerce website Etsy due to our positive views on Sentiment and Quality.

 

Q   Which individual stock positions detracted most from the Fund’s results during the Reporting Period?

 

A   The Fund was hurt during the Reporting Period by an underweight position in Nektar Therapeutics as well as by overweight positions in Akebia Therapeutics and Argan. Our negative views on Valuation and Quality led us to underweight biopharmaceutical maker Nektar Therapeutics. The Fund’s overweight in biopharmaceutical company Akebia was driven by our positive views on Sentiment and Quality. We chose to overweight construction engineering firm Argan because of our positive views on Valuation and Quality.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight the industrials and consumer discretionary sectors relative to the Index. Compared to the Index, the Fund was underweight the health care, utilities, information technology and financials sectors. The Fund was relatively neutral compared to the Index in the energy, telecommunication services, materials, consumer staples and real estate sectors at the end of the Reporting Period.

 

16


Table of Contents

FUND BASICS

 

Small Cap Equity Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       Russell 2000® Index2  
 

Class A

       3.71        3.27
 

Class C

       3.39          3.27  
 

Institutional

       3.93          3.27  
 

Service

       3.69          3.27  
 

Investor

       3.86          3.27  
 

Class R

       3.62          3.27  
    Class R6        3.96          3.27  
  April 16, 2018–April 30, 2018          
   

Class P

       -1.98        -1.33

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The Russell 2000® Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3  
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date  
 

Class A

    6.47     10.59     9.40     6.89     08/15/97  
 

Class C

    10.82       11.02       9.19       6.40       08/15/97  
 

Institutional

    13.14       12.31       10.46       7.61       08/15/97  
 

Service

    12.59       11.74       9.90       7.08       08/15/97  
 

Investor

    12.96       12.14       10.30       8.73       11/30/07  
 

Class P

    N/A       N/A       N/A       N/A       04/16/18  
 

Class R

    12.42       11.57       9.76       8.21       11/30/07  
    Class R6     13.16       N/A       N/A       11.24       07/31/15  

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

17


Table of Contents

FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
 

Class A

    1.23      1.38
 

Class C

    1.98        2.13  
 

Institutional

    0.84        0.99  
 

Service

    1.34        1.49  
 

Investor

    0.98        1.13  
 

Class P

    0.83        0.98  
 

Class R

    1.48        1.63  
    Class R6     0.83        0.98  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus, as supplemented, for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

18


Table of Contents

FUND BASICS

 

 

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets      Line of Business
 

American Eagle Outfitters, Inc.

    0.8    Specialty Retail
 

Insperity, Inc.

    0.8      Professional Services
 

Texas Roadhouse, Inc.

    0.7      Hotels, Restaurants & Leisure
 

Carpenter Technology Corp.

    0.7      Metals & Mining
 

Cabot Microelectronics Corp.

    0.7      Semiconductors &
Semiconductor Equipment
 

KLX, Inc.

    0.7      Aerospace & Defense
 

First Citizens BancShares, Inc. Class A

    0.7      Banks
 

Entegris, Inc.

    0.7      Semiconductors &
Semiconductor Equipment
 

American Equity Investment Life Holding Co.

    0.7      Insurance
   

McGrath RentCorp

    0.7      Commercial Services & Supplies

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

19


Table of Contents

FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

 

LOGO

 

 

  6   The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.9% of the Fund’s net assets as of April 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

20


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs Small Cap Growth Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Growth Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 5.30%, 4.88%, 5.50%, 5.43%, 5.16% and 5.47%, respectively. These returns compare to the 5.46% cumulative total return of the Fund’s benchmark, the Russell 2000® Growth Index (with dividends reinvested) (the “Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -2.39% compared to the -1.96% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A   During the Reporting Period, four of our quantitative model’s six investment themes added to relative performance. However, the Fund generally underperformed the Index largely because of certain individual stock positions.

 

Q   What impact did the Fund’s investment themes have on performance during the Reporting Period?

 

A   In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

    During the Reporting Period, four of our six investment themes–Quality, Profitability, Sentiment and Management–contributed positively to the Fund’s relative returns. The Quality theme seeks to assess both firm and management quality. The Profitability theme assesses whether a company is earning more than its cost of capital. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Management theme assesses the characteristics, policies and strategic decisions of company management.

 

    Our Valuation and Momentum themes detracted from the Fund’s relative performance. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies.

 

Q   How did the Fund’s sector and industry allocations affect relative performance?

 

A   In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

 

21


Table of Contents

PORTFOLIO RESULTS

 

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A   We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

    Certain stock positions caused the Fund to underperform the Index. During the Reporting Period, the Fund was hurt by security selection in the health care, information technology and telecommunication services sectors. Investments in the industrials, consumer discretionary and financials sectors added to relative returns.

 

Q   Which individual stock positions detracted most from the Fund’s results during the Reporting Period?

 

A   In terms of individual stock positions, the Fund’s underweights relative to the Index in Nektar Therapeutics and AveXis detracted from performance. Our negative views on Valuation and Quality led us to underweight biopharmaceutical maker Nektar Therapeutics. We chose to underweight biotechnology company AveXis because of our negative views on Quality and Profitability. The Fund’s overweight in biopharmaceutical company Akebia Therapeutics, which was driven by our positive views on Sentiment and Quality, was also a drag on relative returns.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A   During the Reporting Period, the Fund benefited from overweight positions in Enova International, Etsy and TriNet Group. Our positive views on Quality and Sentiment led to the Fund’s overweight in Enova International, an online lending company. The Fund’s overweight position in e-commerce website Etsy was due to our positive views on Sentiment and Quality. We adopted the overweight in TriNet Group, a provider of human resources solutions to small and mid-sized businesses, because of our positive views on Momentum and Sentiment.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight the financials sector relative to the Index. Compared to the Index, the Fund was underweight the health care and information technology sectors. The Fund was relatively neutral compared to the Index in the telecommunication services, energy, materials, consumer discretionary, industrials, utilities, consumer staples and real estate sectors at the end of the Reporting Period.

 

22


Table of Contents

FUND BASICS

 

Small Cap Growth Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       Russell 2000
Growth® Index2
 
  Class A        5.30        5.46
  Class C        4.88          5.46  
  Institutional        5.50          5.46  
  Investor        5.43          5.46  
  Class R        5.16          5.46  
    Class R6        5.47          5.46  
  April 16, 2018–April 30, 2018          
    Class P        -2.39        -1.96

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The Russell 2000® Growth Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3  
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date  
  Class A     12.41     11.37     10.91     7.58     06/25/07  
  Class C     17.05       11.80       10.70       7.34       06/25/07  
  Institutional     19.39       13.07       11.97       8.57       06/25/07  
  Investor     19.28       12.92       11.81       9.77       11/30/07  
  Class P     N/A       N/A       N/A       N/A       04/16/18  
  Class R     18.67       12.36       11.24       9.22       11/30/07  
    Class R6     19.41       N/A       N/A       10.83       07/31/15  

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

 

23


Table of Contents

FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
 

Class A

    1.23      1.36
 

Class C

    1.98        2.11  
 

Institutional

    0.84        0.97  
 

Investor

    0.98        1.11  
 

Class P

    0.83        0.96  
 

Class R

    1.48        1.61  
    Class R6     0.83        0.96  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus, as supplemented, for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets     Line of Business
  Aspen Technology, Inc.     1.1   Software
  Nektar Therapeutics     1.0     Pharmaceuticals
  EPAM Systems, Inc.     1.0     IT Services
  Grand Canyon Education, Inc.     0.9     Diversified Consumer Services
  Fair Isaac Corp.     0.9     Software
  Entegris, Inc.     0.9     Semiconductors & Semiconductor
Equipment
  Texas Roadhouse, Inc.     0.9     Hotels, Restaurants & Leisure
  ASGN, Inc.     0.9     Professional Services
  Insperity, Inc.     0.8     Professional Services
    Louisiana-Pacific Corp.     0.8     Paper & Forest Products

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

24


Table of Contents

FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

 

LOGO

 

 

  6   The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 1.8% of the Fund’s net assets as of April 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

25


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs Small Cap Value Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Value Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 3.73%, 3.34%, 3.92%, 3.86%, 3.59% and 3.93%, respectively. These returns compare to the 0.94% cumulative total return of the Fund’s benchmark, the Russell 2000® Value Index (with dividends reinvested) (the “Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -0.98% compared to the -0.62% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A   During the Reporting Period, the Fund outperformed the Index, with four of our quantitative model’s six investment themes adding to relative returns. Stock selection overall contributed positively.

 

Q   What impact did the Fund’s investment themes have on performance during the Reporting Period?

 

A   In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

    During the Reporting Period, the Fund’s relative performance was bolstered by four of our six investment themes–Profitability, Quality, Management and Sentiment. The Profitability theme assesses whether a company is earning more than its cost of capital. The Quality theme seeks to assess both firm and management quality. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries.

 

    Our Valuation theme detracted from relative returns. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.

 

    The impact of our Momentum theme was rather neutral during the Reporting Period. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies.

 

Q   How did the Fund’s sector and industry allocations affect relative performance?

 

A   In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

 

26


Table of Contents

PORTFOLIO RESULTS

 

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A   We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

    During the Reporting Period, stock selection enhanced the Fund’s relative results. Investments in the financials, consumer discretionary and information technology sectors added to performance. Security selection in the health care, utilities and consumer staples sectors limited the Fund’s gains versus the Index.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A   In terms of individual positions, the Fund benefited from its overweights compared to the Index in Enova International, American Eagle Outfitters and Delek U.S. Holdings. Our positive views on Quality and Sentiment led to the Fund’s overweight in Enova International, an online lending company. The overweight position in clothing retailer American Eagle Outfitters was based on our positive views on Sentiment and Profitability. We adopted the overweight in Delek U.S. Holdings, an energy company focused on petroleum refining, logistics and convenience store retailing, because of our positive views on Quality and Sentiment.

 

Q   Which individual stock positions detracted most from the Fund’s results during the Reporting Period?

 

A   During the Reporting Period, the Fund was hampered by its overweight positions in Consolidated Communications Holdings, an Internet service provider and telecommunications company; Esterline Technologies, a designer and manufacturer of specialty products primarily for aerospace and defense customers; and Rush Enterprises, a commercial vehicle retailer. We chose to overweight Consolidated Communications Holdings due to our positive views on Valuation and Sentiment. The Fund was overweight Esterline Technologies as a result of our positive views on Momentum and Profitability. Our positive views on Momentum and Quality led us to overweight Rush Enterprises.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight the industrials, consumer discretionary and materials sectors relative to the Index. Compared to the Index, the Fund was underweight the utilities, information technology and financials sectors. The Fund was relatively neutral compared to the Index in the real estate, consumer staples, energy, telecommunication services and health care sectors at the end of the Reporting Period.

 

27


Table of Contents

FUND BASICS

 

Small Cap Value Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       Russell 2000®
Value Index2
 
  Class A        3.73        0.94
  Class C        3.34          0.94  
  Institutional        3.92          0.94  
  Investor        3.86          0.94  
  Class R        3.59          0.94  
    Class R6        3.93          0.94  
  April 16, 2018–April 30, 2018          
    Class P        -0.98        -0.62

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The Russell 2000® Value Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3  
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date  
  Class A     1.93     9.65     8.73     5.37     06/25/07  
  Class C     5.98       10.08       8.53       5.12       06/25/07  
  Institutional     8.29       11.34       9.81       6.36       06/25/07  
  Investor     8.14       11.17       9.59       8.12       11/30/07  
  Class P     N/A       N/A       N/A       N/A       04/16/18  
  Class R     7.61       10.62       9.06       7.62       11/30/07  
    Class R6     8.30       N/A       N/A       11.92       07/31/15  

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

28


Table of Contents

FUND BASICS

 

 

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.23      1.44
  Class C     1.98        2.19  
  Institutional     0.84        1.05  
  Investor     0.98        1.19  
  Class P     0.83        1.04  
  Class R     1.48        1.69  
    Class R6     0.83        1.04  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus, as supplemented, for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets      Line of Business
  KLX, Inc.     0.9    Aerospace & Defense
  First Citizens BancShares, Inc. Class A     0.9      Banks
  American Eagle Outfitters, Inc.     0.9      Specialty Retail
  Portland General Electric Co.     0.9      Electric Utilities
  Sunstone Hotel Investors, Inc.     0.9      Equity Real Estate Investment
Trusts (REITs)
  Carpenter Technology Corp.     0.9      Metals & Mining
  UMB Financial Corp.     0.8      Banks
  Callaway Golf Co.     0.8      Leisure Products
  McGrath RentCorp     0.8      Commercial Services & Supplies
    American Equity Investment Life Holding Co.     0.8      Insurance

 

  5   The top 10 holdings may not be representative of the Fund’s future investments.

 

29


Table of Contents

FUND BASICS

 

 

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

 

LOGO

 

 

  6   The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.8% of the Fund’s net assets as of April 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

30


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs U.S. Equity Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital and dividend income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 4.60%, 4.21%, 4.81%, 4.54%, 4.74%, 4.48% and 4.81%, respectively. These returns compare to the 3.82% cumulative total return of the Fund’s benchmark, the S&P 500® Index (with dividends reinvested) (the “Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -1.08% compared to the -1.08% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A   During the Reporting Period, the Fund outperformed the Index, with five of our quantitative model’s six investment themes adding to relative returns. Stock selection overall bolstered results.

 

Q   What impact did the Fund’s investment themes have on performance during the Reporting Period?

 

A   In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

    During the Reporting Period, five of our six investment themes–Quality, Profitability, Momentum, Management and Sentiment–contributed positively to the Fund’s relative performance. The Quality theme seeks to assess both firm and management quality. The Profitability theme assesses whether a company is earning more than its cost of capital. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries.

 

    Our Valuation theme detracted from relative returns. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.

 

Q   How did the Fund’s sector and industry allocations affect relative performance?

 

A   In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

 

31


Table of Contents

PORTFOLIO RESULTS

 

 

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

    During the Reporting Period, security selection overall enhanced relative results. The Fund benefited from its holdings in the energy, financials and industrials sectors. Investments in the health care, information technology and consumer discretionary sectors detracted from relative returns.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A   In terms of individual stock positions, the Fund was helped by its overweights compared to the Index in petroleum refiner Valero Energy and aerospace and defense company Boeing. Our positive views on Valuation and Momentum led us to overweight Valero Energy, while the overweight in Boeing was due to our positive views on Quality and Sentiment. An underweight in industrial conglomerate General Electric, based on our negative views on Sentiment and Quality, also added to the Fund’s relative performance.

 

Q   Which individual stock positions detracted most from the Fund’s results during the Reporting Period?

 

A   During the Reporting Period, the Fund’s overweight positions in Pacific Gas and Electric Company (“PG&E”) and Cigna detracted from relative returns. The overweight in utilities company PG&E was the result of our positive views on Sentiment and Valuation. We decided to overweight health care insurer Cigna because of our positive views on Sentiment and Momentum. An underweight in Cisco Systems, an information technology and networking company, also hurt relative results. The Fund’s underweight in Cisco Systems was driven by our negative views on Momentum and Profitability.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight the health care, consumer discretionary, real estate and energy sectors relative to the Index. Compared to the Index, the Fund was underweight the information technology, consumer staples, utilities, industrials, telecommunication services and materials sectors. The Fund was relatively neutral compared to the Index in the financials sector at the end of the Reporting Period.

 

32


Table of Contents

FUND BASICS

 

U.S. Equity Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018   Fund Total Return
(based on NAV)1
       S&P 500® Index2  
  Class A     4.60        3.82
  Class C     4.21          3.82  
  Institutional     4.81          3.82  
  Service     4.54          3.82  
  Investor     4.74          3.82  
  Class R     4.48          3.82  
    Class R6     4.81          3.82  
  April 16, 2018–April 30, 2018       
    Class P     -1.08        -1.08

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The S&P 500® Index (with dividends reinvested) is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3  
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date  
  Class A     9.76     12.30     8.58     8.56     05/24/91  
  Class C     14.15       12.72       8.38       5.77       08/15/97  
  Institutional     16.61       14.03       9.62       9.04       06/15/95  
  Service     16.02       13.45       9.08       7.67       06/07/96  
  Investor     16.44       13.85       9.46       7.78       11/30/07  
  Class P     N/A       N/A       N/A       N/A       04/16/18  
  Class R     15.87       13.29       8.93       7.25       11/30/07  
    Class R6     16.61       N/A       N/A       11.64       07/31/15  

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

33


Table of Contents

FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     0.95      1.02
  Class C     1.70        1.77  
  Institutional     0.56        0.63  
  Service     1.06        1.13  
  Investor     0.70        0.77  
  Class P     0.55        0.62  
  Class R     1.20        1.27  
    Class R6     0.55        0.62  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus, as supplemented, for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of Net Assets      Line of Business
  Apple, Inc.     2.7    Technology Hardware, Storage & Peripherals
  Amazon.com, Inc.     2.7      Internet & Direct Marketing Retail
  Johnson & Johnson     2.5      Pharmaceuticals
  Microsoft Corp.     2.2      Software
  Facebook, Inc. Class A     1.8      Internet Software & Services
  AbbVie, Inc.     1.7      Biotechnology
  Medtronic PLC     1.5      Health Care Equipment & Supplies
  International Business Machines Corp.     1.5      IT Services
  Alphabet, Inc. Class C     1.4      Internet Software & Services
    Merck & Co., Inc.     1.4      Pharmaceuticals

 

  5   The top 10 holdings may not be representative of the Fund’s future investments.

 

34


Table of Contents

FUND BASICS

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

LOGO

 

 

  6   The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

35


Table of Contents

GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

Shares     Description  

Value

 
Common Stocks – 97.4%  
Aerospace & Defense – 2.7%      
  64,847     Lockheed Martin Corp.   $ 20,805,511  
  102,146     The Boeing Co.     34,071,820  
   

 

 

 
      54,877,331  

 

 

 
Air Freight & Logistics – 0.4%      
  127,197     Expeditors International of Washington, Inc.     8,122,800  

 

 

 
Airlines – 0.3%      
  58,036     Copa Holdings SA Class A     6,800,078  

 

 

 
Auto Components – 0.4%      
  69,313     Gentex Corp.     1,576,178  
  40,617     Lear Corp.     7,594,160  
   

 

 

 
      9,170,338  

 

 

 
Automobiles – 1.0%      
  538,966     General Motors Co.     19,801,611  

 

 

 
Banks – 1.2%      
  496,530     Citizens Financial Group, Inc.     20,601,030  
  15,299     SVB Financial Group*     4,583,733  
   

 

 

 
      25,184,763  

 

 

 
Beverages – 0.1%      
  22,590     Molson Coors Brewing Co. Class B     1,609,312  
  4,207     PepsiCo, Inc.     424,654  
   

 

 

 
      2,033,966  

 

 

 
Biotechnology – 6.2%      
  473,132     AbbVie, Inc.     45,680,895  
  34,812     Alexion Pharmaceuticals, Inc.*     4,094,936  
  1,985     Amgen, Inc.     346,343  
  75,315     Biogen, Inc.*     20,606,184  
  254,515     Celgene Corp.*     22,168,256  
  128,208     Exelixis, Inc.*     2,669,291  
  35,030     Regeneron Pharmaceuticals, Inc.*     10,637,910  
  135,922     Vertex Pharmaceuticals, Inc.*     20,817,813  
   

 

 

 
      127,021,628  

 

 

 
Building Products – 0.6%      
  333,110     Masco Corp.     12,614,876  

 

 

 
Capital Markets – 1.8%      
  177,255     BGC Partners, Inc. Class A     2,368,127  
  92,642     Intercontinental Exchange, Inc.     6,712,839  
  93,730     S&P Global, Inc.     17,677,478  
  110,763     State Street Corp.     11,051,932  
   

 

 

 
      37,810,376  

 

 

 
Chemicals – 0.5%      
  183,672     Huntsman Corp.     5,467,915  
  84,820     W.R. Grace & Co.     5,805,081  
   

 

 

 
      11,272,996  

 

 

 
Commercial Services & Supplies – 0.5%      
  219,189     KAR Auction Services, Inc.     11,395,636  

 

 

 
Common Stocks – (continued)  
Communications Equipment* – 2.3%      
  52,341     Arista Networks, Inc.   13,846,811  
  118,632     F5 Networks, Inc.     19,347,693  
  78,927     Palo Alto Networks, Inc.     15,194,237  
   

 

 

 
      48,388,741  

 

 

 
Consumer Finance – 0.3%      
  224,472     Ally Financial, Inc.     5,858,719  

 

 

 
Containers & Packaging – 1.3%      
  206,081     Berry Global Group, Inc.*     11,334,455  
  921,553     Graphic Packaging Holding Co.     13,178,208  
  95,665     Owens-Illinois, Inc.*     1,944,869  
   

 

 

 
      26,457,532  

 

 

 
Distributors – 0.2%      
  26,259     Pool Corp.     3,645,012  

 

 

 
Diversified Consumer Services – 0.1%      
  21,169     Bright Horizons Family Solutions, Inc.*     2,008,515  
  21,053     Service Corp. International     768,645  
   

 

 

 
      2,777,160  

 

 

 
Diversified Financial Services – 0.2%      
  171,362     Leucadia National Corp.     4,119,542  

 

 

 
Electrical Equipment – 0.8%      
  233,397     AMETEK, Inc.     16,291,111  

 

 

 
Electronic Equipment, Instruments & Components – 0.8%  
  39,407     CDW Corp.     2,809,325  
  60,258     Jabil, Inc.     1,602,863  
  218,648     National Instruments Corp.     8,940,517  
  18,903     Zebra Technologies Corp. Class A*     2,548,691  
   

 

 

 
      15,901,396  

 

 

 
Energy Equipment & Services – 0.8%      
  293,998     Halliburton Co.     15,578,954  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 3.6%      
  207,459     American Tower Corp.     28,289,109  
  13,190     Equinix, Inc.     5,550,220  
  205,592     Forest City Realty Trust, Inc. Class A     4,124,176  
  32,809     Gaming and Leisure Properties, Inc.     1,124,364  
  774,155     Host Hotels & Resorts, Inc.     15,142,472  
  11,580     Lamar Advertising Co. Class A     737,762  
  125,367     SBA Communications Corp.*     20,087,554  
   

 

 

 
      75,055,657  

 

 

 
Food & Staples Retailing – 0.8%      
  65,664     Sprouts Farmers Market, Inc.*     1,643,570  
  211,306     Walgreens Boots Alliance, Inc.     14,041,284  
   

 

 

 
      15,684,854  

 

 

 
Food Products – 1.1%      
  502,402     Conagra Brands, Inc.     18,624,042  
  92,377     General Mills, Inc.     4,040,570  
   

 

 

 
      22,664,612  

 

 

 

 

36   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND

 

 

 

Shares     Description  

Value

 
Common Stocks – (continued)  
Health Care Equipment & Supplies – 3.6%      
  915,421     Boston Scientific Corp.*   $ 26,290,891  
  59,293     Edwards Lifesciences Corp.*     7,551,557  
  70,372     IDEXX Laboratories, Inc.*     13,686,650  
  280,403     Medtronic PLC     22,468,693  
  23,624     Varian Medical Systems, Inc.*     2,730,698  
  27,654     West Pharmaceutical Services, Inc.     2,439,359  
   

 

 

 
      75,167,848  

 

 

 
Health Care Providers & Services – 3.0%      
  76,198     HCA Healthcare, Inc.     7,295,196  
  58,823     Humana, Inc.     17,304,550  
  66,088     UnitedHealth Group, Inc.     15,623,203  
  103,216     WellCare Health Plans, Inc.*     21,175,795  
   

 

 

 
      61,398,744  

 

 

 
Health Care Technology* – 0.1%      
  38,791     Cerner Corp.     2,259,576  

 

 

 
Hotels, Restaurants & Leisure – 3.9%      
  139,901     Hilton Worldwide Holdings, Inc.     11,029,795  
  94,470     Las Vegas Sands Corp.     6,927,485  
  144,748     Marriott International, Inc. Class A     19,784,157  
  55,692     McDonald’s Corp.     9,325,068  
  32,027     Vail Resorts, Inc.     7,344,111  
  81,222     Wyndham Worldwide Corp.     9,276,365  
  181,802     Yum! Brands, Inc.     15,834,954  
   

 

 

 
      79,521,935  

 

 

 
Household Durables – 0.6%      
  10,752     D.R. Horton, Inc.     474,593  
  265,295     PulteGroup, Inc.     8,054,356  
  26,410     Whirlpool Corp.     4,092,230  
   

 

 

 
      12,621,179  

 

 

 
Industrial Conglomerates – 0.3%      
  36,526     Honeywell International, Inc.     5,284,582  

 

 

 
Insurance – 2.9%      
  83,845     Arch Capital Group Ltd.*     6,718,500  
  62,212     Arthur J. Gallagher & Co.     4,354,218  
  228,927     The Allstate Corp.     22,393,639  
  425,825     The Progressive Corp.     25,672,989  
   

 

 

 
      59,139,346  

 

 

 
Internet & Direct Marketing Retail – 6.5%      
  62,835     Amazon.com, Inc.*     98,407,778  
  7,322     Booking Holdings, Inc.*     15,947,316  
  14,841     Expedia Group, Inc.     1,708,793  
  57,700     Netflix, Inc.*     18,028,942  
   

 

 

 
      134,092,829  

 

 

 
Internet Software & Services* – 7.8%      
  46,839     Alphabet, Inc. Class A(a)     47,709,269  
  47,585     Alphabet, Inc. Class C     48,409,648  
  374,426     Facebook, Inc. Class A     64,401,272  
   

 

 

 
      160,520,189  

 

 

 
Common Stocks – (continued)  
IT Services – 3.9%      
  92,051     Accenture PLC Class A   13,918,111  
  37,721     Black Knight, Inc.*     1,835,127  
  74,979     DXC Technology Co.     7,727,336  
  236,654     International Business Machines Corp.     34,305,364  
  27,422     Mastercard, Inc. Class A     4,888,520  
  4,685     PayPal Holdings, Inc.*     349,548  
  45,026     Teradata Corp.*     1,842,464  
  118,788     Visa, Inc. Class A     15,071,821  
   

 

 

 
      79,938,291  

 

 

 
Life Sciences Tools & Services* – 0.4%      
  13,673     Mettler-Toledo International, Inc.     7,655,923  

 

 

 
Machinery – 2.1%      
  62,127     Caterpillar, Inc.     8,968,654  
  248,933     Ingersoll-Rand PLC     20,882,989  
  220,097     The Toro Co.     12,851,464  
   

 

 

 
      42,703,107  

 

 

 
Media – 2.0%      
  21,895     Charter Communications, Inc. Class A*     5,939,895  
  662,608     Comcast Corp. Class A     20,799,265  
  662,561     The Interpublic Group of Cos., Inc.     15,629,814  
   

 

 

 
      42,368,974  

 

 

 
Metals & Mining – 0.0%      
  21,554     Steel Dynamics, Inc.     965,835  

 

 

 
Multiline Retail* – 0.2%      
  39,615     Dollar Tree, Inc.     3,798,682  

 

 

 
Oil, Gas & Consumable Fuels – 2.6%      
  233,528     CNX Resources Corp.*     3,470,226  
  261,338     Marathon Petroleum Corp.     19,576,830  
  93,117     Phillips 66     10,364,853  
  192,298     Valero Energy Corp.     21,331,617  
   

 

 

 
      54,743,526  

 

 

 
Personal Products – 1.4%      
  44,494     Nu Skin Enterprises, Inc. Class A     3,165,748  
  171,627     The Estee Lauder Cos., Inc. Class A     25,416,243  
   

 

 

 
      28,581,991  

 

 

 
Pharmaceuticals – 2.4%      
  256,677     Bristol-Myers Squibb Co.     13,380,572  
  70,002     Johnson & Johnson     8,854,553  
  322,317     Zoetis, Inc.     26,907,023  
   

 

 

 
      49,142,148  

 

 

 
Professional Services* – 0.2%      
  11,381     CoStar Group, Inc.     4,172,957  

 

 

 
Real Estate Management & Development* – 0.9%      
  394,573     CBRE Group, Inc. Class A     17,878,103  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   37


Table of Contents

GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Shares     Description  

Value

 
Common Stocks – (continued)  
Road & Rail – 1.6%      
  232,171     CSX Corp.   $ 13,788,636  
  17,387     Ryder System, Inc.     1,172,405  
  134,407     Union Pacific Corp.     17,960,807  
   

 

 

 
      32,921,848  

 

 

 
Semiconductors & Semiconductor Equipment – 3.9%      
  513,872     Applied Materials, Inc.     25,524,022  
  139,041     KLA-Tencor Corp.     14,146,031  
  70,397     Lam Research Corp.     13,027,669  
  54,926     Maxim Integrated Products, Inc.     2,993,467  
  371,929     Micron Technology, Inc.*     17,101,296  
  126,812     Teradyne, Inc.     4,127,731  
  34,617     Texas Instruments, Inc.     3,511,202  
   

 

 

 
      80,431,418  

 

 

 
Software – 9.3%      
  77,152     Adobe Systems, Inc.*     17,096,883  
  236,356     Citrix Systems, Inc.*     24,323,396  
  173,091     Fortinet, Inc.*     9,582,318  
  7,955     Intuit, Inc.     1,470,005  
  973,910     Microsoft Corp.     91,080,063  
  159,710     salesforce.com, Inc.*     19,323,313  
  82,953     ServiceNow, Inc.*     13,781,811  
  155,326     Splunk, Inc.*     15,944,214  
   

 

 

 
      192,602,003  

 

 

 
Specialty Retail – 2.3%      
  206,623     Best Buy Co., Inc.     15,812,858  
  55,397     Burlington Stores, Inc.*     7,525,683  
  144,006     Dick’s Sporting Goods, Inc.     4,765,159  
  64,484     Ross Stores, Inc.     5,213,531  
  70,410     The Home Depot, Inc.     13,011,768  
  14,466     The TJX Cos., Inc.     1,227,440  
   

 

 

 
      47,556,439  

 

 

 
Common Stocks – (continued)  
Technology Hardware, Storage & Peripherals – 7.5%      
  684,472     Apple, Inc.(a)   113,115,842  
  338,468     NetApp, Inc.     22,535,200  
  233,713     Western Digital Corp.     18,414,247  
   

 

 

 
      154,065,289  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $1,776,960,255)   $ 2,008,062,451  

 

 

 
   
Shares     Distribution
Rate
  Value  
Investment Company(b) – 1.1%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  23,211,669     1.623%   $ 23,211,669  
  (Cost $23,211,669)  

 

 

 
  TOTAL INVESTMENTS – 98.5%  
  (Cost $1,800,171,924)   $ 2,031,274,120  

 

 

 
 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 1.5%
    31,604,852  

 

 

 
  NET ASSETS – 100.0%   $ 2,062,878,972  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

 

All or a portion of security is segregated as collateral for initial margin

requirements on futures transactions.

(b)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

PLC

 

—Public Limited Company

 

 

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

 

S&P 500 E-Mini Index

   253        06/15/18        $33,484,550      $ (1,795,490

 

38   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.3%  
Aerospace & Defense – 0.3%      
  12,206     Arconic, Inc.   $ 217,389  
  3,609     Lockheed Martin Corp.     1,157,911  
   

 

 

 
      1,375,300  

 

 

 
Air Freight & Logistics – 0.4%      
  29,528     Expeditors International of Washington, Inc.     1,885,658  

 

 

 
Airlines – 0.5%      
  8,691     Copa Holdings SA Class A     1,018,324  
  26,122     Delta Air Lines, Inc.     1,364,091  
   

 

 

 
      2,382,415  

 

 

 
Auto Components – 0.4%      
  48,579     Gentex Corp.     1,104,686  
  4,440     Lear Corp.     830,147  
   

 

 

 
      1,934,833  

 

 

 
Automobiles – 1.4%      
  167,678     General Motors Co.     6,160,490  

 

 

 
Banks – 10.6%      
  205,680     Bank of America Corp.     6,153,946  
  31,124     Citigroup, Inc.     2,124,835  
  126,586     Citizens Financial Group, Inc.     5,252,053  
  42,785     Comerica, Inc.     4,046,605  
  86,788     JPMorgan Chase & Co.     9,440,799  
  166,765     KeyCorp     3,321,959  
  3,743     M&T Bank Corp.     682,237  
  16,543     PacWest Bancorp     847,663  
  156,157     Regions Financial Corp.     2,920,136  
  35,562     SunTrust Banks, Inc.     2,375,542  
  13,715     SVB Financial Group*     4,109,151  
  37,591     Synovus Financial Corp.     1,964,882  
  77,387     Wells Fargo & Co.     4,021,028  
  3,475     Western Alliance Bancorp*     204,955  
   

 

 

 
      47,465,791  

 

 

 
Beverages – 1.1%      
  67,287     Molson Coors Brewing Co. Class B     4,793,526  

 

 

 
Biotechnology – 3.2%      
  37,660     AbbVie, Inc.     3,636,073  
  7,277     Alexion Pharmaceuticals, Inc.*     855,994  
  26,848     Amgen, Inc.     4,684,439  
  13,647     Biogen, Inc.*     3,733,819  
  5,245     Celgene Corp.*     456,839  
  5,443     Vertex Pharmaceuticals, Inc.*     833,650  
   

 

 

 
      14,200,814  

 

 

 
Building Products – 0.6%      
  71,466     Masco Corp.     2,706,417  

 

 

 
Capital Markets – 3.2%      
  11,161     Ameriprise Financial, Inc.     1,564,884  
  166,556     BGC Partners, Inc. Class A     2,225,188  
  59,688     Intercontinental Exchange, Inc.     4,324,993  
  4,319     S&P Global, Inc.     814,563  

 

 

 
Common Stocks – (continued)  
Capital Markets – (continued)      
  55,697     State Street Corp.   5,557,447  
   

 

 

 
      14,487,075  

 

 

 
Chemicals – 0.8%      
  18,347     CF Industries Holdings, Inc.     711,864  
  56,094     Huntsman Corp.     1,669,918  
  11,754     LyondellBasell Industries NV Class A     1,242,750  
   

 

 

 
      3,624,532  

 

 

 
Communications Equipment – 1.2%      
  2,944     Arista Networks, Inc.*     778,835  
  9,033     ARRIS International PLC*     243,891  
  78,156     Cisco Systems, Inc.     3,461,530  
  3,667     Palo Alto Networks, Inc.*     705,934  
   

 

 

 
      5,190,190  

 

 

 
Construction & Engineering* – 0.1%      
  9,727     AECOM     334,998  

 

 

 
Consumer Finance – 2.0%      
  179,784     Ally Financial, Inc.     4,692,362  
  16,640     Capital One Financial Corp.     1,507,917  
  81,527     Synchrony Financial     2,704,251  
   

 

 

 
      8,904,530  

 

 

 
Containers & Packaging – 1.2%      
  116,746     Graphic Packaging Holding Co.     1,669,468  
  5,779     International Paper Co.     297,965  
  5,838     Owens-Illinois, Inc.*     118,686  
  52,336     WestRock Co.     3,096,198  
   

 

 

 
      5,182,317  

 

 

 
Diversified Consumer Services – 0.1%      
  7,544     H&R Block, Inc.     208,592  

 

 

 
Diversified Financial Services – 2.9%      
  48,340     Berkshire Hathaway, Inc. Class B*     9,364,908  
  142,997     Leucadia National Corp.     3,437,648  
   

 

 

 
      12,802,556  

 

 

 
Diversified Telecommunication Services – 0.8%      
  114,643     AT&T, Inc.     3,748,826  

 

 

 
Electric Utilities – 1.0%      
  37,915     Exelon Corp.     1,504,467  
  1,850     Pinnacle West Capital Corp.     148,925  
  103,582     PPL Corp.     3,014,236  
   

 

 

 
      4,667,628  

 

 

 
Electrical Equipment – 1.0%      
  64,446     AMETEK, Inc.     4,498,331  

 

 

 
Electronic Equipment, Instruments & Components – 0.9%  
  109,495     Jabil, Inc.     2,912,567  
  21,995     National Instruments Corp.     899,376  
   

 

 

 
      3,811,943  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   39


Table of Contents

GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Energy Equipment & Services – 1.7%      
  96,961     Halliburton Co.   $ 5,137,964  
  36,263     Schlumberger Ltd.     2,486,191  
   

 

 

 
      7,624,155  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 5.4%      
  149,181     American Homes 4 Rent Class A     3,013,456  
  3,348     American Tower Corp.     456,533  
  5,518     Apartment Investment & Management Co. Class A     224,031  
  18,710     Duke Realty Corp.     507,041  
  231,113     Forest City Realty Trust, Inc. Class A     4,636,127  
  54,653     Gaming and Leisure Properties, Inc.     1,872,958  
  15,465     Hospitality Properties Trust     384,769  
  254,658     Host Hotels & Resorts, Inc.     4,981,111  
  144,209     Kimco Realty Corp.     2,092,473  
  27,505     Mid-America Apartment Communities, Inc.     2,515,607  
  94,893     Piedmont Office Realty Trust, Inc. Class A     1,700,483  
  5,915     SBA Communications Corp.*     947,760  
  17,317     Weyerhaeuser Co.     636,919  
   

 

 

 
      23,969,268  

 

 

 
Food & Staples Retailing – 1.7%      
  10,795     US Foods Holding Corp.*     368,973  
  91,988     Walgreens Boots Alliance, Inc.     6,112,603  
  9,936     Walmart, Inc.     878,938  
   

 

 

 
      7,360,514  

 

 

 
Food Products – 1.8%      
  131,989     Conagra Brands, Inc.     4,892,832  
  56,937     General Mills, Inc.     2,490,425  
  6,449     Tyson Foods, Inc. Class A     452,075  
   

 

 

 
      7,835,332  

 

 

 
Gas Utilities – 0.2%      
  20,739     UGI Corp.     1,003,560  

 

 

 
Health Care Equipment & Supplies – 2.8%      
  152,385     Boston Scientific Corp.*     4,376,497  
  1,414     Hill-Rom Holdings, Inc.     121,364  
  101,437     Medtronic PLC     8,128,147  
   

 

 

 
      12,626,008  

 

 

 
Health Care Providers & Services – 2.8%      
  2,491     Anthem, Inc.     587,851  
  32,185     HCA Healthcare, Inc.     3,081,392  
  15,437     Humana, Inc.     4,541,257  
  1,088     Universal Health Services, Inc. Class B     124,249  
  20,286     WellCare Health Plans, Inc.*     4,161,876  
   

 

 

 
      12,496,625  

 

 

 
Hotels, Restaurants & Leisure – 0.4%      
  8,683     Hilton Worldwide Holdings, Inc.     684,568  
  36,110     MGM Resorts International     1,134,576  
  1,084     Royal Caribbean Cruises Ltd.     117,278  
   

 

 

 
      1,936,422  

 

 

 
Common Stocks – (continued)  
Household Durables – 1.0%      
  66,518     PulteGroup, Inc.   2,019,487  
  15,471     Whirlpool Corp.     2,397,231  
   

 

 

 
      4,416,718  

 

 

 
Household Products – 0.4%      
  27,251     The Procter & Gamble Co.     1,971,337  

 

 

 
Independent Power and Renewable Electricity Producers – 0.1%  
  17,521     AES Corp.     214,457  
  9,247     NRG Energy, Inc.     286,657  
   

 

 

 
      501,114  

 

 

 
Industrial Conglomerates – 0.1%      
  1,826     Honeywell International, Inc.     264,186  

 

 

 
Insurance – 7.0%      
  46,750     Arch Capital Group Ltd.*     3,746,077  
  49,236     Arthur J. Gallagher & Co.     3,446,028  
  79,322     Assured Guaranty Ltd.     2,878,595  
  23,976     Athene Holding Ltd. Class A*     1,174,824  
  3,807     First American Financial Corp.     194,576  
  18,980     Prudential Financial, Inc.     2,017,954  
  27,140     Reinsurance Group of America, Inc.     4,054,716  
  54,963     The Allstate Corp.     5,376,481  
  27,899     The Progressive Corp.     1,682,031  
  48,075     Torchmark Corp.     4,170,025  
  2,689     White Mountains Insurance Group Ltd.     2,326,765  
   

 

 

 
      31,068,072  

 

 

 
Internet Software & Services* – 0.1%      
  8,416     Twitter, Inc.     255,089  

 

 

 
IT Services – 1.2%      
  38,310     International Business Machines Corp.     5,553,418  

 

 

 
Machinery – 1.2%      
  1,398     AGCO Corp.     87,627  
  4,915     Caterpillar, Inc.     709,529  
  55,183     Ingersoll-Rand PLC     4,629,302  
   

 

 

 
      5,426,458  

 

 

 
Media – 3.2%      
  3,542     Charter Communications, Inc. Class A*     960,909  
  143,994     Comcast Corp. Class A     4,519,972  
  99,157     News Corp. Class A     1,584,529  
  179,876     The Interpublic Group of Cos., Inc.     4,243,275  
  26,919     Time Warner, Inc.     2,551,921  
  15,045     Viacom, Inc. Class B     453,757  
   

 

 

 
      14,314,363  

 

 

 
Metals & Mining – 0.7%      
  80,357     Freeport-McMoRan, Inc.     1,222,230  
  42,472     Steel Dynamics, Inc.     1,903,170  
   

 

 

 
      3,125,400  

 

 

 
Multi-Utilities – 1.6%      
  64,020     CenterPoint Energy, Inc.     1,621,627  

 

 

 

 

40   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND

 

 

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Multi-Utilities – (continued)      
  35,958     CMS Energy Corp.   $ 1,696,858  
  132,279     MDU Resources Group, Inc.     3,726,299  
   

 

 

 
      7,044,784  

 

 

 
Multiline Retail* – 0.1%      
  5,850     Dollar Tree, Inc.     560,957  

 

 

 
Oil, Gas & Consumable Fuels – 11.1%      
  47,743     Chevron Corp.(a)     5,973,127  
  212,514     CNX Resources Corp.*     3,157,958  
  110,406     ConocoPhillips     7,231,593  
  99,146     Exxon Mobil Corp.     7,708,601  
  63,542     HollyFrontier Corp.     3,856,364  
  141,926     Marathon Oil Corp.     2,590,150  
  74,764     Marathon Petroleum Corp.     5,600,571  
  15,730     PBF Energy, Inc. Class A     602,931  
  57,051     Phillips 66     6,350,347  
  57,983     Valero Energy Corp.     6,432,054  
   

 

 

 
      49,503,696  

 

 

 
Personal Products – 0.1%      
  8,807     Nu Skin Enterprises, Inc. Class A     626,618  

 

 

 
Pharmaceuticals – 7.9%      
  9,591     Allergan PLC     1,473,657  
  98,597     Bristol-Myers Squibb Co.     5,139,862  
  96,405     Johnson & Johnson     12,194,269  
  135,807     Merck & Co., Inc.     7,994,958  
  9,680     Perrigo Co. PLC     756,395  
  93,100     Pfizer, Inc.     3,408,391  
  52,578     Zoetis, Inc.     4,389,211  
   

 

 

 
      35,356,743  

 

 

 
Professional Services – 0.1%      
  6,077     ManpowerGroup, Inc.     581,690  

 

 

 
Real Estate Management & Development – 2.2%      
  99,692     CBRE Group, Inc. Class A*     4,517,044  
  9,129     Jones Lang LaSalle, Inc.     1,547,457  
  155,300     Realogy Holdings Corp.     3,852,993  
   

 

 

 
      9,917,494  

 

 

 
Road & Rail – 2.1%      
  49,745     CSX Corp.     2,954,356  
  14,773     Kansas City Southern     1,575,245  
  17,482     Norfolk Southern Corp.     2,508,142  
  31,435     Ryder System, Inc.     2,119,662  
   

 

 

 
      9,157,405  

 

 

 
Semiconductors & Semiconductor Equipment – 1.6%      
  87,535     Intel Corp.     4,518,557  
  49,558     Micron Technology, Inc.*     2,278,677  
  7,295     Teradyne, Inc.     237,452  
   

 

 

 
      7,034,686  

 

 

 
Common Stocks – (continued)  
Software – 1.1%      
  46,006     Citrix Systems, Inc.*   4,734,477  
  3,596     Oracle Corp.     164,229  
  1,967     Splunk, Inc.*     201,913  
   

 

 

 
      5,100,619  

 

 

 
Specialty Retail – 1.6%      
  69,249     Best Buy Co., Inc.     5,299,626  
  7,905     Burlington Stores, Inc.*     1,073,894  
  11,822     Dick’s Sporting Goods, Inc.     391,190  
  4,333     Foot Locker, Inc.     186,666  
  4,435     Urban Outfitters, Inc.*     178,597  
   

 

 

 
      7,129,973  

 

 

 
Technology Hardware, Storage & Peripherals – 2.2%      
  36,960     HP, Inc.     794,270  
  68,091     NetApp, Inc.     4,533,499  
  56,252     Western Digital Corp.     4,432,095  
   

 

 

 
      9,759,864  

 

 

 
Tobacco – 0.1%      
  7,758     Philip Morris International, Inc.     636,156  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $417,833,345)   $ 434,525,486  

 

 

 
   
Shares     Distribution
Rate
  Value  
Investment Company(b) – 1.1%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  4,657,952     1.623%   $ 4,657,952  
  (Cost $4,657,952)  

 

 

 
  TOTAL INVESTMENTS – 98.4%  
  (Cost $422,491,297)   $ 439,183,438  

 

 

 
 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 1.6%

    7,270,923  

 

 

 
  NET ASSETS – 100.0%   $ 446,454,361  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

 

All or a portion of security is segregated as collateral for initial margin

requirements on futures transactions.

(b)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

PLC

 

—Public Limited Company

 

 

The accompanying notes are an integral part of these financial statements.   41


Table of Contents

GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION

 

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

 

S&P 500 E-Mini Index

   54      06/15/18      $ 7,146,900        $ (383,227

 

42   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.3%  
Aerospace & Defense – 1.5%      
  4,268     Curtiss-Wright Corp.   $ 546,475  
  26,223     Esterline Technologies Corp.*     1,884,123  
  30,176     KLX, Inc.*     2,360,668  
  1,897     Vectrus, Inc.*     68,292  
   

 

 

 
      4,859,558  

 

 

 
Air Freight & Logistics* – 0.4%      
  43,876     Echo Global Logistics, Inc.     1,197,815  

 

 

 
Airlines – 0.2%      
  11,393     SkyWest, Inc.     648,262  

 

 

 
Auto Components – 1.1%      
  16,277     Cooper-Standard Holdings, Inc.*     2,015,092  
  5,389     Modine Manufacturing Co.*     92,691  
  36,007     Tenneco, Inc.     1,609,153  
   

 

 

 
      3,716,936  

 

 

 
Banks – 6.5%      
  1,540     1st Source Corp.     80,080  
  6,051     Banner Corp.     347,327  
  45,103     Cadence BanCorp     1,318,361  
  57,813     Central Pacific Financial Corp.     1,681,202  
  55,901     CVB Financial Corp.     1,238,207  
  8,880     Fidelity Southern Corp.     201,842  
  1,900     First Bancorp/Southern Pines NC     72,485  
  57,582     First Busey Corp.     1,707,306  
  5,327     First Citizens BancShares, Inc. Class A     2,302,809  
  11,778     First Financial Corp.     503,510  
  4,964     First Foundation, Inc.*     88,806  
  10,153     First Internet Bancorp     347,233  
  41,800     Hanmi Financial Corp.     1,153,680  
  1,742     Hilltop Holdings, Inc.     39,056  
  32,208     Home BancShares, Inc.     748,514  
  48,369     International Bancshares Corp.     1,925,086  
  6,733     Mercantile Bank Corp.     237,675  
  6,514     NBT Bancorp, Inc.     238,022  
  1,679     Nicolet Bankshares, Inc.*     93,302  
  7,392     Northeast Bancorp     144,144  
  43,272     OFG Bancorp     584,172  
  9,797     Old National Bancorp     168,508  
  15,427     Pacific Premier Bancorp, Inc.*     613,223  
  2,751     Peapack Gladstone Financial Corp.     90,893  
  4,340     Peoples Bancorp, Inc.     155,632  
  11,042     Seacoast Banking Corp. of Florida*     305,090  
  5,398     Sierra Bancorp     150,388  
  36,718     TriCo Bancshares     1,372,152  
  6,630     TriState Capital Holdings, Inc.*     165,750  
  28,462     UMB Financial Corp.     2,179,620  
  13,177     Umpqua Holdings Corp.     310,450  
  19,432     United Community Banks, Inc.     620,464  
   

 

 

 
      21,184,989  

 

 

 
Beverages – 0.3%      
  10,286     National Beverage Corp.     908,871  

 

 

 
Biotechnology* – 7.2%      
  22,963     Acceleron Pharma, Inc.     801,638  

 

 

 
Common Stocks – (continued)  
Biotechnology* – (continued)      
  60,895     Array BioPharma, Inc.   825,736  
  14,052     BioSpecifics Technologies Corp.     596,086  
  5,807     Bluebird Bio, Inc.     988,061  
  11,287     Calithera Biosciences, Inc.     69,415  
  18,232     Catalyst Pharmaceuticals, Inc.     51,050  
  25,725     ChemoCentryx, Inc.     281,174  
  6,783     Concert Pharmaceuticals, Inc.     123,790  
  57,342     CytomX Therapeutics, Inc.     1,508,095  
  12,938     Editas Medicine, Inc.     406,253  
  10,658     Emergent BioSolutions, Inc.     552,724  
  13,218     Enanta Pharmaceuticals, Inc.     1,229,935  
  7,404     Epizyme, Inc.     95,141  
  6,531     Exact Sciences Corp.     326,615  
  25,902     FibroGen, Inc.     1,177,246  
  55,097     Genomic Health, Inc.     1,748,228  
  10,805     Global Blood Therapeutics, Inc.     477,041  
  105,647     Halozyme Therapeutics, Inc.     1,999,898  
  5,084     Ligand Pharmaceuticals, Inc.     787,257  
  6,817     Loxo Oncology, Inc.     858,328  
  8,806     MacroGenics, Inc.     203,066  
  38,438     Myriad Genetics, Inc.     1,087,411  
  187,239     PDL BioPharma, Inc.     546,738  
  70,750     Pieris Pharmaceuticals, Inc.     450,678  
  44,014     PTC Therapeutics, Inc.     1,220,508  
  1,952     Puma Biotechnology, Inc.     124,440  
  12,097     REGENXBIO, Inc.     451,823  
  42,692     Retrophin, Inc.     1,071,569  
  10,320     Sage Therapeutics, Inc.     1,485,254  
  51,852     Sangamo Therapeutics, Inc.     819,262  
  7,263     Sarepta Therapeutics, Inc.     554,603  
  18,236     Xencor, Inc.     528,662  
   

 

 

 
      23,447,725  

 

 

 
Building Products* – 0.9%  
  10,776     Builders FirstSource, Inc.     196,446  
  66,727     Continental Building Products, Inc.     1,875,029  
  44,580     PGT Innovations, Inc.     777,921  
   

 

 

 
      2,849,396  

 

 

 
Capital Markets – 2.4%  
  14,199     Evercore, Inc. Class A     1,437,648  
  41,930     Houlihan Lokey, Inc.     1,865,885  
  68,722     Investment Technology Group, Inc.     1,389,559  
  25,446     Moelis & Co. Class A     1,368,995  
  25,501     Piper Jaffray Cos.     1,786,345  
   

 

 

 
      7,848,432  

 

 

 
Chemicals – 2.6%  
  4,662     Balchem Corp.     411,375  
  12,801     Chase Corp.     1,433,712  
  28,860     Ingevity Corp.*     2,217,314  
  26,122     Innophos Holdings, Inc.     1,080,928  
  4,050     Innospec, Inc.     294,435  
  19,778     Kraton Corp.*     903,261  
  27,129     Minerals Technologies, Inc.     1,873,257  
  1,046     Stepan Co.     73,555  
  3,141     Trinseo SA     229,136  
   

 

 

 
      8,516,973  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   43


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Commercial Services & Supplies – 1.9%  
  22,678     ACCO Brands Corp.   $ 273,270  
  48,160     Brady Corp. Class A     1,753,024  
  74,173     Kimball International, Inc. Class B     1,225,338  
  38,869     McGrath RentCorp     2,290,550  
  25,216     Quad/Graphics, Inc.     623,088  
  522     UniFirst Corp.     83,833  
  1,004     VSE Corp.     51,495  
   

 

 

 
      6,300,598  

 

 

 
Communications Equipment – 0.9%  
  28,917     CalAmp Corp.*     571,111  
  31,032     Comtech Telecommunications Corp.     949,269  
  57,968     NetScout Systems, Inc.*     1,573,831  
   

 

 

 
      3,094,211  

 

 

 
Construction & Engineering – 1.9%  
  16,195     Argan, Inc.     647,800  
  12,498     Comfort Systems USA, Inc.     527,416  
  27,887     EMCOR Group, Inc.     2,052,204  
  6,126     Granite Construction, Inc.     320,880  
  85,761     KBR, Inc.     1,431,351  
  47,899     Primoris Services Corp.     1,225,735  
   

 

 

 
      6,205,386  

 

 

 
Consumer Finance – 1.2%  
  59,046     Enova International, Inc.*     1,730,048  
  25,362     Green Dot Corp. Class A*     1,542,263  
  9,243     Nelnet, Inc. Class A     488,123  
  2,916     Regional Management Corp.*     95,849  
   

 

 

 
      3,856,283  

 

 

 
Containers & Packaging – 0.0%  
  2,563     Greif, Inc. Class A     149,987  

 

 

 
Distributors – 0.0%  
  1,662     Weyco Group, Inc.     60,995  

 

 

 
Diversified Consumer Services* – 2.2%  
  30,233     Adtalem Global Education, Inc.     1,439,091  
  7,149     American Public Education, Inc.     288,105  
  18,064     Grand Canyon Education, Inc.     1,878,475  
  194,349     Houghton Mifflin Harcourt Co.     1,321,573  
  57,027     K12, Inc.     872,513  
  25,835     Sotheby’s     1,364,088  
  1,564     Weight Watchers International, Inc.     109,558  
   

 

 

 
      7,273,403  

 

 

 
Diversified Financial Services* – 0.0%  
  22,556     On Deck Capital, Inc.     118,419  

 

 

 
Diversified Telecommunication Services – 1.2%  
  43,372     Cogent Communications Holdings, Inc.     2,044,990  
  173,969     Vonage Holdings Corp.*     1,944,973  
   

 

 

 
      3,989,963  

 

 

 
Electric Utilities – 0.6%  
  48,324     Portland General Electric Co.     2,052,804  

 

 

 
Common Stocks – (continued)  
Electrical Equipment – 0.4%  
  1,776     Encore Wire Corp.   93,506  
  16,103     EnerSys     1,104,022  
   

 

 

 
      1,197,528  

 

 

 
Electronic Equipment, Instruments & Components – 1.7%  
  50,216     AVX Corp.     741,188  
  11,743     Benchmark Electronics, Inc.     308,841  
  9,800     CTS Corp.     293,510  
  6,843     Daktronics, Inc.     61,655  
  87,966     Electro Scientific Industries, Inc.*     1,583,388  
  1,994     ePlus, Inc.*     159,221  
  1,599     Fabrinet*     45,108  
  20,336     Kimball Electronics, Inc.*     322,326  
  5,173     OSI Systems, Inc.*     331,175  
  9,530     Rogers Corp.*     1,016,851  
  2,805     SYNNEX Corp.     280,977  
  20,443     Vishay Intertechnology, Inc.     360,819  
   

 

 

 
      5,505,059  

 

 

 
Energy Equipment & Services – 2.5%  
  24,522     Archrock, Inc.     264,838  
  6,054     Cactus, Inc. Class A*     173,810  
  2,361     Dril-Quip, Inc.*     97,863  
  62,065     Exterran Corp.*     1,817,884  
  44,678     Matrix Service Co.*     688,041  
  31,185     Newpark Resources, Inc.*     327,442  
  39,401     Oil States International, Inc.*     1,416,466  
  73,524     Pioneer Energy Services Corp.*     253,658  
  9,278     ProPetro Holding Corp.*(a)     169,787  
  21,690     SEACOR Holdings, Inc.*     1,189,480  
  84,516     Superior Energy Services, Inc.*     906,857  
  43,721     TETRA Technologies, Inc.*     171,824  
  24,766     Unit Corp.*     561,693  
   

 

 

 
      8,039,643  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 5.5%  
  20,447     Chatham Lodging Trust     389,515  
  59,790     Cousins Properties, Inc.     531,533  
  185,829     DiamondRock Hospitality Co.     2,053,410  
  1,133     EastGroup Properties, Inc.     101,721  
  21,721     InfraREIT, Inc.     462,875  
  73,102     iStar, Inc.*     741,254  
  108,946     Mack-Cali Realty Corp.     1,870,603  
  56,460     Pebblebrook Hotel Trust     1,975,535  
  16,953     PS Business Parks, Inc.     1,954,342  
  18,734     Rexford Industrial Realty, Inc.     572,324  
  28,902     Ryman Hospitality Properties, Inc.     2,265,339  
  140,035     Sunstone Hotel Investors, Inc.     2,184,546  
  24,809     Terreno Realty Corp.     921,654  
  96,783     Xenia Hotels & Resorts, Inc.     1,992,762  
   

 

 

 
      18,017,413  

 

 

 
Food & Staples Retailing – 0.3%  
  10,076     Ingles Markets, Inc. Class A     345,103  
  20,562     Smart & Final Stores, Inc.*     104,866  
  16,737     Village Super Market, Inc. Class A     455,247  
  1,557     Weis Markets, Inc.     71,653  
   

 

 

 
      976,869  

 

 

 

 

44   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Food Products – 0.9%  
  5,408     Calavo Growers, Inc.(a)   $ 506,730  
  24,801     Darling Ingredients, Inc.*     425,089  
  31,530     Dean Foods Co.     271,473  
  14,001     Fresh Del Monte Produce, Inc.     688,149  
  879     J&J Snack Foods Corp.     120,784  
  3,229     John B. Sanfilippo & Son, Inc.     183,698  
  6,671     Sanderson Farms, Inc.     741,548  
   

 

 

 
      2,937,471  

 

 

 
Gas Utilities – 0.2%  
  11,676     ONE Gas, Inc.     814,051  

 

 

 
Health Care Equipment & Supplies – 2.0%  
  3,912     Analogic Corp.     325,087  
  19,397     Anika Therapeutics, Inc.*     853,662  
  2,208     Cantel Medical Corp.     247,451  
  5,352     Cutera, Inc.*     268,403  
  2,146     Inogen, Inc.*     301,685  
  14,701     Integer Holdings Corp.*     807,085  
  9,012     LivaNova PLC*     800,085  
  11,544     NuVasive, Inc.*     614,256  
  15,373     NxStage Medical, Inc.*     409,229  
  30,432     Orthofix International NV*     1,856,961  
   

 

 

 
      6,483,904  

 

 

 
Health Care Providers & Services – 2.1%  
  16,167     Amedisys, Inc.*     1,068,477  
  2,579     Encompass Health Corp.     156,855  
  16,964     Magellan Health, Inc.*     1,422,432  
  26,768     Molina Healthcare, Inc.*     2,228,436  
  9,572     National HealthCare Corp.     586,572  
  4,353     RadNet, Inc.*     57,677  
  4,537     Tivity Health, Inc.*     163,105  
  39,678     Triple-S Management Corp. Class B*     1,124,871  
   

 

 

 
      6,808,425  

 

 

 
Health Care Technology* – 0.2%  
  42,758     Allscripts Healthcare Solutions, Inc.     496,848  
  2,709     Vocera Communications, Inc.     67,915  
   

 

 

 
      564,763  

 

 

 
Hotels, Restaurants & Leisure – 1.8%  
  17,895     BJ’s Restaurants, Inc.     999,436  
  8,749     Bloomin’ Brands, Inc.     207,001  
  48,920     Brinker International, Inc.(a)     2,132,423  
  2,743     Monarch Casino & Resort, Inc.*     117,017  
  38,316     Texas Roadhouse, Inc.     2,455,289  
   

 

 

 
      5,911,166  

 

 

 
Household Durables – 1.4%  
  3,236     Bassett Furniture Industries, Inc.     94,006  
  53,694     KB Home(a)     1,425,576  
  26,651     MDC Holdings, Inc.     773,145  
  124,106     TRI Pointe Group, Inc.*     2,123,454  
  6,517     William Lyon Homes Class A*     175,046  
   

 

 

 
      4,591,227  

 

 

 
Common Stocks – (continued)  
Household Products* – 0.3%  
  23,095     Central Garden & Pet Co. Class A   819,872  

 

 

 
Insurance – 3.0%  
  75,878     American Equity Investment Life Holding Co.     2,291,516  
  35,449     Argo Group International Holdings Ltd.     2,071,994  
  17,078     FBL Financial Group, Inc. Class A     1,327,815  
  131,465     Genworth Financial, Inc. Class A*     362,843  
  20,026     Health Insurance Innovations, Inc. Class A*(a)     570,741  
  21,143     Horace Mann Educators Corp.     945,092  
  20,833     Maiden Holdings Ltd.     159,372  
  28,477     Stewart Information Services Corp.     1,187,776  
  32,196     Trupanion, Inc.*(a)     846,111  
   

 

 

 
      9,763,260  

 

 

 
Internet & Direct Marketing Retail – 0.5%  
  38,363     Groupon, Inc.*     178,004  
  65,376     Liberty TripAdvisor Holdings, Inc. Class A*     601,459  
  20,846     Nutrisystem, Inc.     604,534  
  7,602     PetMed Express, Inc.(a)     254,363  
   

 

 

 
      1,638,360  

 

 

 
Internet Software & Services – 3.9%  
  16,826     Appfolio, Inc. Class A*     806,807  
  58,352     Apptio, Inc. Class A*     1,721,968  
  17,681     Box, Inc. Class A*     404,188  
  27,611     Cornerstone OnDemand, Inc.*     1,218,473  
  16,494     Envestnet, Inc.*     895,624  
  28,103     Etsy, Inc.*     841,404  
  24,718     Five9, Inc.*     725,968  
  6,882     GrubHub, Inc.*     696,046  
  23,637     Hortonworks, Inc.*     400,174  
  2,505     MINDBODY, Inc. Class A*     99,323  
  32,263     New Relic, Inc.*     2,254,861  
  26,843     NIC, Inc.     398,619  
  24,177     Q2 Holdings, Inc.*     1,190,717  
  11,601     QuinStreet, Inc.*     130,395  
  23,589     Web.com Group, Inc.*     438,755  
  12,798     Yelp, Inc.*     573,990  
   

 

 

 
      12,797,312  

 

 

 
IT Services – 1.3%  
  18,362     EPAM Systems, Inc.*     2,099,695  
  37,157     EVERTEC, Inc.     678,115  
  22,167     Perficient, Inc.*     548,190  
  26,271     ServiceSource International, Inc.*     99,567  
  30,991     Syntel, Inc.*     895,020  
   

 

 

 
      4,320,587  

 

 

 
Leisure Products – 1.7%  
  129,738     Callaway Golf Co.     2,239,278  
  4,473     Johnson Outdoors, Inc. Class A     289,671  
  10,758     Malibu Boats, Inc. Class A*     362,545  
  39,775     MCBC Holdings, Inc.*     954,600  
  107,809     Vista Outdoor, Inc.*     1,805,801  
   

 

 

 
      5,651,895  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   45


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Machinery – 1.7%  
  1,363     Barnes Group, Inc.   $ 75,688  
  39,430     Hillenbrand, Inc.     1,827,581  
  9,308     Hurco Cos., Inc.     411,414  
  5,909     Kadant, Inc.     545,105  
  4,494     Kennametal, Inc.     163,806  
  40,406     Milacron Holdings Corp.*     728,520  
  10,212     Miller Industries, Inc.     252,747  
  6,328     Rexnord Corp.*     174,083  
  28,516     SPX FLOW, Inc.*     1,283,220  
  8,461     TriMas Corp.*     229,293  
   

 

 

 
      5,691,457  

 

 

 
Marine – 0.2%  
  17,348     Matson, Inc.     507,082  

 

 

 
Media – 0.8%  
  45,578     Gannett Co., Inc.     440,739  
  19,001     MSG Networks, Inc. Class A*     389,521  
  102,580     New Media Investment Group, Inc.     1,700,776  
   

 

 

 
      2,531,036  

 

 

 
Metals & Mining – 1.7%  
  44,580     Carpenter Technology Corp.     2,374,331  
  29,855     Materion Corp.     1,515,141  
  57,685     Schnitzer Steel Industries, Inc. Class A     1,698,823  
   

 

 

 
      5,588,295  

 

 

 
Mortgage Real Estate Investment Trusts (REITs) – 0.3%  
  2,319     AG Mortgage Investment Trust, Inc.     41,000  
  180,394     Anworth Mortgage Asset Corp.     853,264  
  30,682     Dynex Capital, Inc.     201,887  
   

 

 

 
      1,096,151  

 

 

 
Multi-Utilities – 0.5%  
  15,681     Black Hills Corp.     888,799  
  10,783     NorthWestern Corp.     592,418  
   

 

 

 
      1,481,217  

 

 

 
Oil, Gas & Consumable Fuels – 2.5%  
  16,569     Arch Coal, Inc. Class A     1,339,272  
  17,835     Denbury Resources, Inc.*     58,677  
  13,343     Oasis Petroleum, Inc.*     147,173  
  53,396     Par Pacific Holdings, Inc.*     900,791  
  37,142     PDC Energy, Inc.*     1,988,583  
  53,926     Peabody Energy Corp.     1,987,173  
  15,265     REX American Resources Corp.*     1,141,517  
  15,729     Stone Energy Corp.*     559,952  
   

 

 

 
      8,123,138  

 

 

 
Paper & Forest Products – 0.7%  
  80,719     Louisiana-Pacific Corp.     2,286,769  

 

 

 
Personal Products – 0.4%  
  10,058     Inter Parfums, Inc.     514,970  
  7,079     Medifast, Inc.     710,590  
  1,677     USANA Health Sciences, Inc.*     177,007  
   

 

 

 
      1,402,567  

 

 

 
Common Stocks – (continued)  
Pharmaceuticals – 2.3%  
  5,472     Amphastar Pharmaceuticals, Inc.*   104,461  
  16,876     Catalent, Inc.*     693,772  
  6,639     Horizon Pharma PLC*     87,900  
  68,189     Innoviva, Inc.*     988,741  
  17,375     Intersect ENT, Inc.*     694,131  
  16,143     Nektar Therapeutics*     1,350,523  
  46,929     Phibro Animal Health Corp. Class A     1,985,097  
  31,840     Supernus Pharmaceuticals, Inc.*     1,493,296  
   

 

 

 
      7,397,921  

 

 

 
Professional Services – 5.7%  
  28,033     ASGN, Inc.*     2,260,301  
  6,599     Barrett Business Services, Inc.     577,544  
  50,788     CBIZ, Inc.*     944,657  
  15,722     CRA International, Inc.     887,821  
  13,700     Exponent, Inc.     1,183,680  
  1,211     Forrester Research, Inc.     48,198  
  19,838     FTI Consulting, Inc.*     1,158,539  
  9,469     Heidrick & Struggles International, Inc.     356,508  
  10,296     ICF International, Inc.     690,862  
  31,638     Insperity, Inc.     2,538,949  
  46,003     Kelly Services, Inc. Class A     1,346,048  
  37,097     Korn/Ferry International     1,983,206  
  44,337     Navigant Consulting, Inc.*     948,368  
  88,731     RPX Corp.     960,957  
  40,986     TriNet Group, Inc.*     2,116,927  
  7,516     TrueBlue, Inc.*     200,301  
  7,161     WageWorks, Inc.*     298,256  
   

 

 

 
      18,501,122  

 

 

 
Real Estate Management & Development – 0.6%  
  17,236     HFF, Inc. Class A     605,673  
  8,318     RE/MAX Holdings, Inc. Class A     450,420  
  43,012     The St. Joe Co.*     741,957  
   

 

 

 
      1,798,050  

 

 

 
Road & Rail – 1.5%  
  8,774     ArcBest Corp.     281,645  
  24,972     Avis Budget Group, Inc.*     1,233,867  
  85,066     Marten Transport Ltd.     1,658,787  
  52,969     Werner Enterprises, Inc.     1,816,837  
   

 

 

 
      4,991,136  

 

 

 
Semiconductors & Semiconductor Equipment – 3.3%  
  40,991     Amkor Technology, Inc.*     339,405  
  12,636     Axcelis Technologies, Inc.*     277,992  
  23,271     Cabot Microelectronics Corp.(b)     2,360,843  
  43,666     Diodes, Inc.*     1,246,664  
  71,366     Entegris, Inc.     2,297,985  
  56,317     FormFactor, Inc.*     646,238  
  6,335     MKS Instruments, Inc.     648,704  
  67,338     Photronics, Inc.*     515,136  
  70,478     Rambus, Inc.*     951,453  
  9,885     Rudolph Technologies, Inc.*     250,585  
  11,998     Silicon Laboratories, Inc.*     1,114,614  
   

 

 

 
      10,649,619  

 

 

 

 

46   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

 

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Software* – 3.2%  
  13,911     Aspen Technology, Inc.   $ 1,220,690  
  27,537     Bottomline Technologies de, Inc.     1,088,262  
  9,542     Fair Isaac Corp.     1,652,484  
  10,733     HubSpot, Inc.     1,136,625  
  7,089     Imperva, Inc.     317,233  
  10,390     MicroStrategy, Inc. Class A     1,324,309  
  14,357     Paylocity Holding Corp.     784,323  
  7,094     Proofpoint, Inc.     836,666  
  19,510     RingCentral, Inc. Class A     1,308,145  
  8,116     Varonis Systems, Inc.     530,381  
  4,600     Zendesk, Inc.     224,250  
   

 

 

 
      10,423,368  

 

 

 
Specialty Retail – 3.5%  
  75,117     Abercrombie & Fitch Co. Class A     1,924,498  
  5,818     America’s Car-Mart, Inc.*     310,099  
  123,491     American Eagle Outfitters, Inc.     2,553,794  
  27,718     Asbury Automotive Group, Inc.*     1,858,492  
  2,314     Caleres, Inc.     75,737  
  19,194     Citi Trends, Inc.     587,912  
  13,348     DSW, Inc. Class A     297,660  
  130,142     Express, Inc.*     1,020,313  
  1,257     Five Below, Inc.*     88,757  
  23,230     Hibbett Sports, Inc.*     631,856  
  25,800     Tailored Brands, Inc.     813,990  
  1,094     The Children’s Place, Inc.     139,540  
  42,738     Zumiez, Inc.*     1,000,069  
   

 

 

 
      11,302,717  

 

 

 
Technology Hardware, Storage & Peripherals* – 0.6%  
  95,061     Pure Storage, Inc. Class A     1,923,084  

 

 

 
Textiles, Apparel & Luxury Goods – 0.4%      
  1,084     Columbia Sportswear Co.     89,983  
  78,989     Crocs, Inc.*     1,248,026  
   

 

 

 
      1,338,009  

 

 

 
Thrifts & Mortgage Finance – 3.1%  
  8,467     BankFinancial Corp.     143,346  
  85,400     Beneficial Bancorp, Inc.     1,353,590  
  149,814     Capitol Federal Financial, Inc.     1,868,181  
  21,020     Federal Agricultural Mortgage Corp. Class C     1,797,420  
  4,807     First Defiance Financial Corp.     286,786  
  13,733     Home Bancorp, Inc.     595,326  
  5,460     Meta Financial Group, Inc.     606,879  
  123,645     TrustCo Bank Corp. NY     1,057,165  
  36,820     United Community Financial Corp.     372,987  
  14,462     United Financial Bancorp, Inc.     239,057  
  29,914     Walker & Dunlop, Inc.     1,708,388  
  3,178     Washington Federal, Inc.     100,901  
   

 

 

 
      10,130,026  

 

 

 
Tobacco – 0.5%  
  86,293     Vector Group Ltd.     1,682,713  

 

 

 
Common Stocks – (continued)  
Trading Companies & Distributors – 0.9%  
  23,850     Aircastle Ltd.   467,460  
  47,997     H&E Equipment Services, Inc.     1,552,703  
  9,556     Herc Holdings, Inc.*     503,123  
  28,817     Titan Machinery, Inc.*     556,745  
   

 

 

 
      3,080,031  

 

 

 
Water Utilities – 0.0%  
  1,283     Artesian Resources Corp. Class A     49,139  
  1,699     Middlesex Water Co.     70,780  
   

 

 

 
      119,919  

 

 

 
Wireless Telecommunication Services – 0.2%  
  17,952     Boingo Wireless, Inc.*     421,154  
  9,669     Spok Holdings, Inc.     144,068  
   

 

 

 
      565,222  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $287,045,731)   $ 317,730,460  

 

 

 

 

Shares   Distribution
Rate
    Value  
Investment Company(c) – 1.8%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

5,751,978     1.623%     $ 5,751,978  
(Cost $5,751,978)    

 

 
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE  
(Cost $292,797,709)     $ 323,482,438  

 

 
   
Securities Lending Reinvestment Vehicle(c) – 0.9%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

2,861,925     1.623%       2,861,925  
(Cost $2,861,925)    

 

 
TOTAL INVESTMENTS – 100.0%  
(Cost $295,659,634)     $ 326,344,363  

 

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 0.0%

 

 

    114,522  

 

 
NET ASSETS – 100.0%     $ 326,458,885  

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  All or a portion of security is on loan.

(b)

  All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(c)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

PLC

 

—Public Limited Company

 

 

The accompanying notes are an integral part of these financial statements.   47


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION

 

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

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

Long position contracts:

                 

E-mini Russell 2000 Index

   89        06/15/18          $6,869,910        $ (152,508

 

48   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.1%  
Aerospace & Defense – 1.1%      
  17,684     Aerojet Rocketdyne Holdings, Inc.*   $ 494,091  
  10,983     Curtiss-Wright Corp.     1,406,263  
  48,428     Esterline Technologies Corp.*     3,479,552  
  29,730     KLX, Inc.*     2,325,778  
   

 

 

 
      7,705,684  

 

 

 
Air Freight & Logistics* – 0.1%  
  37,579     Echo Global Logistics, Inc.     1,025,907  

 

 

 
Airlines – 0.0%  
  2,310     SkyWest, Inc.     131,439  

 

 

 
Auto Components – 1.2%  
  30,087     Cooper-Standard Holdings, Inc.*     3,724,771  
  101,419     Tenneco, Inc.     4,532,415  
   

 

 

 
      8,257,186  

 

 

 
Banks – 1.3%  
  58,982     Central Pacific Financial Corp.     1,715,197  
  53,591     First Busey Corp.     1,588,973  
  4,118     First Citizens BancShares, Inc. Class A     1,780,170  
  31,132     Home BancShares, Inc.     723,508  
  74,908     International Bancshares Corp.     2,981,338  
   

 

 

 
      8,789,186  

 

 

 
Beverages(a) – 0.4%  
  30,510     National Beverage Corp.     2,695,864  

 

 

 
Biotechnology – 10.3%  
  66,514     Acceleron Pharma, Inc.*     2,322,004  
  11,899     Acorda Therapeutics, Inc.*     274,867  
  49,632     Akebia Therapeutics, Inc.*     457,111  
  41,113     Amicus Therapeutics, Inc.*     581,749  
  205,535     Array BioPharma, Inc.*     2,787,054  
  22,823     BioSpecifics Technologies Corp.*     968,152  
  9,311     Bluebird Bio, Inc.*     1,584,267  
  20,468     Blueprint Medicines Corp.*     1,570,305  
  41,819     Calithera Biosciences, Inc.*     257,187  
  126,778     Catalyst Pharmaceuticals, Inc.*     354,978  
  79,585     ChemoCentryx, Inc.*     869,864  
  27,118     Concert Pharmaceuticals, Inc.*     494,903  
  148,589     CytomX Therapeutics, Inc.*     3,907,891  
  29,876     Dyax Corp.(b)     89,628  
  38,236     Editas Medicine, Inc.*     1,200,610  
  46,614     Emergent BioSolutions, Inc.*     2,417,402  
  12,587     Enanta Pharmaceuticals, Inc.*     1,171,220  
  38,437     Epizyme, Inc.*     493,915  
  63,467     Exact Sciences Corp.*     3,173,985  
  87,081     FibroGen, Inc.*     3,957,831  
  3,468     Foundation Medicine, Inc.*     264,782  
  124,168     Genomic Health, Inc.*     3,939,851  
  38,071     Global Blood Therapeutics, Inc.*     1,680,835  
  258,047     Halozyme Therapeutics, Inc.*     4,884,830  
  50,873     ImmunoGen, Inc.*     559,094  
  95,181     Ironwood Pharmaceuticals, Inc.*     1,724,680  
  15,860     Karyopharm Therapeutics, Inc.*     207,449  
  18,439     Ligand Pharmaceuticals, Inc.*     2,855,279  

 

 

 
Common Stocks – (continued)  
Biotechnology – (continued)  
  27,102     Loxo Oncology, Inc.*   3,412,413  
  36,631     MacroGenics, Inc.*     844,711  
  25,490     MiMedx Group, Inc.*(a)     209,273  
  38,635     Myriad Genetics, Inc.*     1,092,984  
  226,195     Pieris Pharmaceuticals, Inc.*     1,440,862  
  11,728     Prothena Corp. PLC*     140,736  
  114,557     PTC Therapeutics, Inc.*     3,176,666  
  16,158     Puma Biotechnology, Inc.*     1,030,072  
  37,346     REGENXBIO, Inc.*     1,394,873  
  57,768     Retrophin, Inc.*     1,449,977  
  37,304     Sage Therapeutics, Inc.*     5,368,792  
  128,951     Sangamo Therapeutics, Inc.*     2,037,426  
  29,224     Sarepta Therapeutics, Inc.*     2,231,545  
  15,384     Ultragenyx Pharmaceutical, Inc.*     782,122  
  26,589     Vanda Pharmaceuticals, Inc.*     370,916  
  89,492     Xencor, Inc.*     2,594,373  
   

 

 

 
      72,629,464  

 

 

 
Building Products – 1.1%  
  49,648     Builders FirstSource, Inc.*     905,083  
  142,000     Continental Building Products, Inc.*     3,990,200  
  131,545     PGT Innovations, Inc.*     2,295,460  
  5,718     Universal Forest Products, Inc.     182,290  
   

 

 

 
      7,373,033  

 

 

 
Capital Markets – 2.7%  
  38,268     Evercore, Inc. Class A     3,874,635  
  88,954     Houlihan Lokey, Inc.     3,958,453  
  130,686     Investment Technology Group, Inc.     2,642,471  
  85,401     Moelis & Co. Class A     4,594,574  
  45,100     Piper Jaffray Cos.     3,159,255  
  10,266     Westwood Holdings Group, Inc.     595,222  
   

 

 

 
      18,824,610  

 

 

 
Chemicals – 2.9%  
  31,398     Balchem Corp.     2,770,559  
  22,686     Chase Corp.     2,540,832  
  14,455     Ferro Corp.*     318,155  
  70,789     Ingevity Corp.*     5,438,719  
  2,618     Koppers Holdings, Inc.*     114,668  
  46,875     Kraton Corp.*     2,140,781  
  56,093     Minerals Technologies, Inc.     3,873,222  
  17,040     PolyOne Corp.     713,124  
  1,202     Quaker Chemical Corp.     176,682  
  7,953     Stepan Co.     559,255  
  25,123     Trinseo SA     1,832,723  
   

 

 

 
      20,478,720  

 

 

 
Commercial Services & Supplies – 2.4%  
  107,846     Brady Corp. Class A     3,925,594  
  3,323     Deluxe Corp.     227,758  
  153,081     Kimball International, Inc. Class B     2,528,898  
  40,375     Matthews International Corp. Class A     1,984,431  
  74,471     McGrath RentCorp     4,388,576  
  31,734     MSA Safety, Inc.     2,755,781  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   49


Table of Contents

GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Commercial Services & Supplies – (continued)  
  41,697     Quad/Graphics, Inc.   $ 1,030,333  
  14,130     Steelcase, Inc. Class A     187,223  
  1,494     Tetra Tech, Inc.     72,310  
   

 

 

 
      17,100,904  

 

 

 
Communications Equipment – 0.4%  
  19,491     Aerohive Networks, Inc.*     79,328  
  93,574     CalAmp Corp.*     1,848,086  
  9,981     Comtech Telecommunications Corp.     305,319  
  24,205     Extreme Networks, Inc.*     258,994  
   

 

 

 
      2,491,727  

 

 

 
Construction & Engineering – 2.3%  
  39,390     Argan, Inc.     1,575,600  
  46,686     Comfort Systems USA, Inc.     1,970,149  
  67,641     EMCOR Group, Inc.     4,977,701  
  28,032     Granite Construction, Inc.     1,468,316  
  136,976     KBR, Inc.     2,286,130  
  137,903     Primoris Services Corp.     3,528,938  
   

 

 

 
      15,806,834  

 

 

 
Consumer Finance* – 1.3%  
  157,320     Enova International, Inc.     4,609,476  
  76,026     Green Dot Corp. Class A     4,623,141  
  7,323     Regional Management Corp.     240,707  
   

 

 

 
      9,473,324  

 

 

 
Containers & Packaging – 0.2%  
  27,747     Greif, Inc. Class A     1,623,754  

 

 

 
Diversified Consumer Services – 2.4%  
  14,512     Adtalem Global Education, Inc.*     690,771  
  4,525     Collectors Universe, Inc.     70,907  
  61,740     Grand Canyon Education, Inc.*     6,420,343  
  485,774     Houghton Mifflin Harcourt Co.*     3,303,263  
  56,859     K12, Inc.*     869,943  
  84,730     Sotheby’s*     4,473,744  
  13,067     Weight Watchers International, Inc.*     915,343  
   

 

 

 
      16,744,314  

 

 

 
Diversified Telecommunication Services – 1.4%  
  102,117     Cogent Communications Holdings, Inc.     4,814,817  
  446,608     Vonage Holdings Corp.*     4,993,077  
   

 

 

 
      9,807,894  

 

 

 
Electrical Equipment – 0.5%  
  3,525     Allied Motion Technologies, Inc.     140,542  
  51,842     EnerSys     3,554,287  
   

 

 

 
      3,694,829  

 

 

 
Electronic Equipment, Instruments & Components – 1.3%  
  158,880     Electro Scientific Industries, Inc.*     2,859,840  
  10,977     ePlus, Inc.*     876,513  
  11,688     Fabrinet*     329,719  
  32,043     OSI Systems, Inc.*     2,051,393  

 

 

 
Common Stocks – (continued)  
Electronic Equipment, Instruments & Components – (continued)  
  27,896     Rogers Corp.*   2,976,503  
  3,806     SYNNEX Corp.     381,247  
   

 

 

 
      9,475,215  

 

 

 
Energy Equipment & Services – 0.7%  
  10,456     Cactus, Inc. Class A*     300,192  
  67,834     Exterran Corp.*     1,986,858  
  15,350     FTS International, Inc.*     306,539  
  35,910     Matrix Service Co.*     553,014  
  19,860     ProPetro Holding Corp.*(a)     363,438  
  6,678     SEACOR Holdings, Inc.*     366,222  
  35,702     Superior Energy Services, Inc.*     383,082  
  9,163     Unit Corp.*     207,817  
  18,249     US Silica Holdings, Inc.     549,477  
   

 

 

 
      5,016,639  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 3.7%  
  301,266     DiamondRock Hospitality Co.     3,328,989  
  8,682     EastGroup Properties, Inc.     779,470  
  11,938     First Industrial Realty Trust, Inc.     371,391  
  201,111     Mack-Cali Realty Corp.     3,453,076  
  100,334     Pebblebrook Hotel Trust     3,510,687  
  41,609     PS Business Parks, Inc.     4,796,685  
  3,681     QTS Realty Trust, Inc. Class A     130,270  
  4,394     Rexford Industrial Realty, Inc.     134,237  
  68,258     Ryman Hospitality Properties, Inc.     5,350,062  
  117,508     Sunstone Hotel Investors, Inc.     1,833,125  
  44,693     Terreno Realty Corp.     1,660,345  
  24,318     Xenia Hotels & Resorts, Inc.     500,708  
   

 

 

 
      25,849,045  

 

 

 
Food & Staples Retailing* – 0.1%  
  26,837     Performance Food Group Co.     870,861  

 

 

 
Food Products – 0.7%  
  20,094     Calavo Growers, Inc.(a)     1,882,808  
  84,364     Dean Foods Co.     726,374  
  7,658     Freshpet, Inc.*(a)     151,628  
  5,114     J&J Snack Foods Corp.     702,715  
  4,580     John B. Sanfilippo & Son, Inc.     260,556  
  9,305     Lancaster Colony Corp.     1,168,615  
   

 

 

 
      4,892,696  

 

 

 
Health Care Equipment & Supplies – 4.5%  
  6,609     Abaxis, Inc.     439,961  
  3,278     Analogic Corp.     272,402  
  49,378     Anika Therapeutics, Inc.*     2,173,126  
  59,514     AtriCure, Inc.*     1,322,996  
  39,109     Cantel Medical Corp.     4,382,946  
  45,581     Cutera, Inc.*     2,285,887  
  8,458     Haemonetics Corp.*     660,062  
  23,929     Inogen, Inc.*     3,363,939  
  16,783     Integer Holdings Corp.*     921,387  
  7,316     LeMaitre Vascular, Inc.     230,088  
  20,488     Masimo Corp.*     1,838,388  

 

 

 

 

50   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Health Care Equipment & Supplies – (continued)  
  10,984     Merit Medical Systems, Inc.*   $ 532,724  
  76,174     NuVasive, Inc.*     4,053,218  
  103,427     NxStage Medical, Inc.*     2,753,227  
  60,495     Orthofix International NV*     3,691,405  
  17,857     Penumbra, Inc.*     2,220,518  
  11,472     STAAR Surgical Co.*     186,420  
   

 

 

 
      31,328,694  

 

 

 
Health Care Providers & Services – 3.1%  
  57,671     Amedisys, Inc.*     3,811,476  
  6,663     American Renal Associates Holdings, Inc.*     97,613  
  1,872     Chemed Corp.     576,988  
  5,314     CorVel Corp.*     260,652  
  23,660     Cross Country Healthcare, Inc.*     297,643  
  50,077     Encompass Health Corp.     3,045,683  
  43,785     Magellan Health, Inc.*     3,671,372  
  68,430     Molina Healthcare, Inc.*     5,696,798  
  1,948     National HealthCare Corp.     119,374  
  72,617     RadNet, Inc.*     962,175  
  33,399     Tivity Health, Inc.*     1,200,694  
  72,481     Triple-S Management Corp. Class B*     2,054,836  
   

 

 

 
      21,795,304  

 

 

 
Health Care Technology – 0.5%  
  15,560     HealthStream, Inc.     360,836  
  14,400     HMS Holdings Corp.*     259,344  
  20,116     Inovalon Holdings, Inc. Class A*(a)     212,224  
  23,337     Medidata Solutions, Inc.*     1,665,328  
  45,397     Vocera Communications, Inc.*     1,138,103  
   

 

 

 
      3,635,835  

 

 

 
Hotels, Restaurants & Leisure – 2.8%  
  47,832     BJ’s Restaurants, Inc.     2,671,417  
  84,633     Bloomin’ Brands, Inc.     2,002,417  
  111,741     Brinker International, Inc.(a)     4,870,790  
  40,339     Planet Fitness, Inc. Class A*     1,625,258  
  98,332     Texas Roadhouse, Inc.     6,301,115  
  42,366     The Cheesecake Factory, Inc.(a)     2,200,914  
   

 

 

 
      19,671,911  

 

 

 
Household Durables – 1.4%  
  121,601     KB Home     3,228,506  
  41,477     MDC Holdings, Inc.     1,203,248  
  15,252     Taylor Morrison Home Corp. Class A*     362,387  
  11,138     TopBuild Corp.*     887,699  
  225,615     TRI Pointe Group, Inc.*     3,860,273  
  18,284     William Lyon Homes Class A*     491,108  
   

 

 

 
      10,033,221  

 

 

 
Household Products* – 0.2%  
  38,768     Central Garden & Pet Co. Class A     1,376,264  

 

 

 
Insurance – 1.8%  
  98,652     American Equity Investment Life Holding Co.     2,979,291  

 

 

 
Common Stocks – (continued)  
Insurance – (continued)  
  62,303     Argo Group International Holdings Ltd.   3,641,610  
  2,545     FBL Financial Group, Inc. Class A     197,874  
  44,196     Health Insurance Innovations, Inc. Class A*(a)     1,259,586  
  93,819     Maiden Holdings Ltd.     717,715  
  38,492     Stewart Information Services Corp.     1,605,501  
  93,797     Trupanion, Inc.*(a)     2,464,985  
   

 

 

 
      12,866,562  

 

 

 
Internet & Direct Marketing Retail – 0.6%  
  214,961     Groupon, Inc.*     997,419  
  14,133     Liberty TripAdvisor Holdings, Inc. Class A*     130,024  
  64,950     Nutrisystem, Inc.     1,883,550  
  26,559     PetMed Express, Inc.(a)     888,664  
   

 

 

 
      3,899,657  

 

 

 
Internet Software & Services – 6.5%  
  60,933     Appfolio, Inc. Class A*     2,921,737  
  135,818     Apptio, Inc. Class A*     4,007,989  
  132,498     Box, Inc. Class A*     3,028,904  
  102,642     Cornerstone OnDemand, Inc.*     4,529,592  
  67,150     Envestnet, Inc.*     3,646,245  
  82,848     Etsy, Inc.*     2,480,469  
  88,640     Five9, Inc.*     2,603,357  
  36,945     GrubHub, Inc.*     3,736,617  
  83,687     Hortonworks, Inc.*     1,416,821  
  37,864     MINDBODY, Inc. Class A*     1,501,308  
  73,859     New Relic, Inc.*     5,162,006  
  92,358     NIC, Inc.     1,371,516  
  39,097     Nutanix, Inc. Class A*     1,977,917  
  67,383     Q2 Holdings, Inc.*     3,318,613  
  5,664     SPS Commerce, Inc.*     388,381  
  76,330     Web.com Group, Inc.*     1,419,738  
  51,044     Yelp, Inc.*     2,289,323  
   

 

 

 
      45,800,533  

 

 

 
IT Services – 2.3%  
  59,632     EPAM Systems, Inc.*     6,818,919  
  66,328     EVERTEC, Inc.     1,210,486  
  4,732     MAXIMUS, Inc.     320,025  
  105,146     Perficient, Inc.*     2,600,261  
  12,508     Science Applications International Corp.     1,073,061  
  102,013     ServiceSource International, Inc.*     386,629  
  123,201     Syntel, Inc.*     3,558,045  
  7,633     Virtusa Corp.*     367,453  
   

 

 

 
      16,334,879  

 

 

 
Leisure Products – 1.4%  
  232,053     Callaway Golf Co.     4,005,235  
  46,182     Malibu Boats, Inc. Class A*     1,556,334  
  85,852     MCBC Holdings, Inc.*     2,060,448  
  16,248     Nautilus, Inc.*     236,408  
  98,959     Vista Outdoor, Inc.*     1,657,563  
   

 

 

 
      9,515,988  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   51


Table of Contents

GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Life Sciences Tools & Services – 0.1%  
  17,725     Luminex Corp.   $ 378,429  

 

 

 
Machinery – 2.5%  
  8,795     Alamo Group, Inc.     962,789  
  15,754     Barnes Group, Inc.     874,820  
  44,829     Evoqua Water Technologies Corp.*     915,856  
  101,983     Hillenbrand, Inc.     4,726,912  
  5,867     Hyster-Yale Materials Handling, Inc.     417,730  
  24,223     Kadant, Inc.     2,234,572  
  51,896     Kennametal, Inc.     1,891,609  
  132,619     Milacron Holdings Corp.*     2,391,121  
  5,350     Miller Industries, Inc.     132,412  
  65,899     SPX FLOW, Inc.*     2,965,455  
   

 

 

 
      17,513,276  

 

 

 
Marine – 0.1%  
  30,957     Matson, Inc.     904,873  

 

 

 
Media – 0.3%  
  132,205     New Media Investment Group, Inc.     2,191,959  

 

 

 
Metals & Mining – 0.8%  
  74,414     Carpenter Technology Corp.     3,963,290  
  2,570     Materion Corp.     130,427  
  48,713     Schnitzer Steel Industries, Inc. Class A     1,434,598  
   

 

 

 
      5,528,315  

 

 

 
Mortgage Real Estate Investment Trusts (REITs) – 0.0%  
  25,632     Anworth Mortgage Asset Corp.     121,239  

 

 

 
Oil, Gas & Consumable Fuels – 1.5%  
  34,975     Arch Coal, Inc. Class A     2,827,029  
  123,165     Par Pacific Holdings, Inc.*     2,077,794  
  11,501     PDC Energy, Inc.*     615,763  
  94,200     Peabody Energy Corp.     3,471,270  
  22,168     REX American Resources Corp.*     1,657,723  
   

 

 

 
      10,649,579  

 

 

 
Paper & Forest Products – 1.0%  
  14,900     Boise Cascade Co.     619,840  
  203,133     Louisiana-Pacific Corp.     5,754,758  
  27,603     Verso Corp. Class A*     498,510  
   

 

 

 
      6,873,108  

 

 

 
Personal Products – 0.6%  
  17,246     Inter Parfums, Inc.     882,995  
  16,648     Medifast, Inc.     1,671,126  
  14,416     USANA Health Sciences, Inc.*     1,521,609  
   

 

 

 
      4,075,730  

 

 

 
Pharmaceuticals – 3.8%  
  51,496     Amphastar Pharmaceuticals, Inc.*     983,059  
  121,182     Catalent, Inc.*     4,981,792  
  12,645     Depomed, Inc.*     79,410  
  210,830     Innoviva, Inc.*     3,057,035  
  56,779     Intersect ENT, Inc.*     2,268,321  
  81,530     Nektar Therapeutics*(c)     6,820,800  

 

 

 
Common Stocks – (continued)  
Pharmaceuticals – (continued)  
  100,009     Phibro Animal Health Corp. Class A   4,230,381  
  98,197     Supernus Pharmaceuticals, Inc.*     4,605,439  
   

 

 

 
      27,026,237  

 

 

 
Professional Services – 4.2%  
  75,418     ASGN, Inc.*     6,080,953  
  13,369     Barrett Business Services, Inc.     1,170,055  
  13,734     CRA International, Inc.     775,559  
  59,011     Exponent, Inc.     5,098,550  
  9,855     Forrester Research, Inc.     392,229  
  3,502     FTI Consulting, Inc.*     204,517  
  73,882     Insperity, Inc.     5,929,030  
  7,362     Korn/Ferry International     393,573  
  14,681     Navigant Consulting, Inc.*     314,027  
  65,381     RPX Corp.     708,076  
  102,432     TriNet Group, Inc.*     5,290,613  
  46,615     TrueBlue, Inc.*     1,242,290  
  41,348     WageWorks, Inc.*     1,722,144  
   

 

 

 
      29,321,616  

 

 

 
Real Estate Management & Development – 0.3%  
  55,793     HFF, Inc. Class A     1,960,566  
  4,458     Marcus & Millichap, Inc.*     152,285  
   

 

 

 
      2,112,851  

 

 

 
Road & Rail – 1.2%  
  23,263     ArcBest Corp.     746,742  
  79,904     Avis Budget Group, Inc.*     3,948,057  
  29,379     Marten Transport Ltd.     572,891  
  91,648     Werner Enterprises, Inc.     3,143,526  
   

 

 

 
      8,411,216  

 

 

 
Semiconductors & Semiconductor Equipment – 4.5%  
  87,171     Amkor Technology, Inc.*     721,776  
  55,035     Axcelis Technologies, Inc.*     1,210,770  
  50,680     Cabot Microelectronics Corp.     5,141,486  
  9,056     Cirrus Logic, Inc.*     330,272  
  84,232     Diodes, Inc.*     2,404,824  
  195,794     Entegris, Inc.     6,304,567  
  160,378     FormFactor, Inc.*     1,840,337  
  35,903     MKS Instruments, Inc.     3,676,467  
  204,695     Rambus, Inc.*     2,763,382  
  72,011     Rudolph Technologies, Inc.*     1,825,479  
  54,794     Silicon Laboratories, Inc.*     5,090,363  
   

 

 

 
      31,309,723  

 

 

 
Software – 6.2%  
  52,965     American Software, Inc. Class A     675,833  
  84,955     Aspen Technology, Inc.*     7,454,801  
  63,140     Bottomline Technologies de, Inc.*     2,495,293  
  36,443     Fair Isaac Corp.*     6,311,199  
  43,192     HubSpot, Inc.*     4,574,033  
  38,540     Imperva, Inc.*     1,724,665  
  28,090     MicroStrategy, Inc. Class A*     3,580,351  
  59,342     Paylocity Holding Corp.*     3,241,854  

 

 

 

 

52   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND

 

 

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Software – (continued)  
  4,123     Pegasystems, Inc.   $ 251,709  
  6,164     Progress Software Corp.     227,637  
  39,116     Proofpoint, Inc.*     4,613,341  
  62,558     RingCentral, Inc. Class A*     4,194,514  
  31,815     Varonis Systems, Inc.*     2,079,110  
  49,469     Zendesk, Inc.*     2,411,614  
   

 

 

 
      43,835,954  

 

 

 
Specialty Retail – 2.7%  
  133,103     Abercrombie & Fitch Co. Class A     3,410,099  
  16,628     America’s Car-Mart, Inc.*     886,272  
  117,919     American Eagle Outfitters, Inc.     2,438,565  
  64,565     Asbury Automotive Group, Inc.*     4,329,083  
  237,546     Express, Inc.*     1,862,361  
  29,898     Five Below, Inc.*     2,111,098  
  12,011     Hibbett Sports, Inc.*     326,699  
  39,887     Tailored Brands, Inc.     1,258,435  
  11,312     The Children’s Place, Inc.     1,442,846  
  42,931     Zumiez, Inc.*     1,004,585  
   

 

 

 
      19,070,043  

 

 

 
Technology Hardware, Storage & Peripherals* – 0.7%  
  247,087     Pure Storage, Inc. Class A     4,998,570  

 

 

 
Textiles, Apparel & Luxury Goods – 0.5%  
  8,392     Columbia Sportswear Co.     696,620  
  173,877     Crocs, Inc.*     2,747,257  
   

 

 

 
      3,443,877  

 

 

 
Thrifts & Mortgage Finance – 0.8%  
  81,018     Capitol Federal Financial, Inc.     1,010,294  
  2,034     Federal Agricultural Mortgage Corp. Class C     173,927  
  6,653     Meta Financial Group, Inc.     739,481  
  69,796     Walker & Dunlop, Inc.     3,986,050  
   

 

 

 
      5,909,752  

 

 

 
Tobacco – 0.5%  
  176,355     Vector Group Ltd.     3,438,923  

 

 

 
Trading Companies & Distributors – 0.9%  
  3,163     Applied Industrial Technologies, Inc.     202,274  
  106,984     H&E Equipment Services, Inc.     3,460,933  
  29,537     Herc Holdings, Inc.*     1,555,123  
  28,069     Rush Enterprises, Inc. Class A*     1,146,057  
   

 

 

 
      6,364,387  

 

 

 
Common Stocks – (continued)  
Wireless Telecommunication Services* – 0.3%  
  86,524     Boingo Wireless, Inc.   2,029,853  

 

 

 
  TOTAL COMMON STOCKS
 
  (Cost $601,772,856)   $  682,527,487  

 

 

 
   
Shares     Distribution
Rate
  Value  
Investment Company(d) – 1.7%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  11,800,978     1.623%   $ 11,800,978  
  (Cost $11,800,978)  

 

 

 
 
TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE
 
  (Cost $613,573,834)   $ 694,328,465  

 

 

 
   
Securities Lending Reinvestment Vehicle(d) – 1.8%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  12,825,038     1.623%     12,825,038  
  (Cost $12,825,038)  

 

 

 
  TOTAL INVESTMENTS – 100.6%
  (Cost $626,398,872)   $ 707,153,503  

 

 

 
 
LIABILITIES IN EXCESS OF
    OTHER ASSETS – (0.6)%
    (4,169,232

 

 

 
  NET ASSETS – 100.0%   $ 702,984,271  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  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)

 

All or a portion of security is segregated as collateral for initial margin

requirements on futures transactions.

(d)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

PLC

 

—Public Limited Company

 

 

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

 

E-mini Russell 2000 Index

   124        06/15/18        $9,571,560      $ (356,413

 

The accompanying notes are an integral part of these financial statements.   53


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.2%  
Aerospace & Defense* – 1.8%      
  7,400     Ducommun, Inc.   $ 215,266  
  19,261     Esterline Technologies Corp.     1,383,903  
  23,987     KLX, Inc.     1,876,503  
  2,774     Vectrus, Inc.     99,864  
   

 

 

 
      3,575,536  

 

 

 
Air Freight & Logistics* – 0.5%      
  34,773     Echo Global Logistics, Inc.     949,303  

 

 

 
Airlines – 0.4%  
  14,513     SkyWest, Inc.     825,790  

 

 

 
Auto Components – 1.1%  
  12,017     Cooper-Standard Holdings, Inc.*     1,487,704  
  3,033     Modine Manufacturing Co.*     52,168  
  14,990     Tenneco, Inc.     669,903  
   

 

 

 
      2,209,775  

 

 

 
Banks – 15.4%      
  9,375     1st Source Corp.     487,500  
  3,873     Arrow Financial Corp.     137,104  
  7,643     Atlantic Capital Bancshares, Inc.*     147,510  
  15,300     Banner Corp.     878,220  
  2,528     Berkshire Hills Bancorp, Inc.     95,938  
  10,351     Blue Hills Bancorp, Inc.     210,384  
  40,509     Cadence BanCorp     1,184,078  
  966     Camden National Corp.     42,803  
  39,632     Central Pacific Financial Corp.     1,152,499  
  66,209     CVB Financial Corp.     1,466,529  
  5,409     Equity Bancshares, Inc. Class A*     206,245  
  22,861     Fidelity Southern Corp.     519,631  
  6,188     Financial Institutions, Inc.     192,447  
  2,152     First Bancorp/Southern Pines NC     82,099  
  41,198     First Busey Corp.     1,221,521  
  4,294     First Citizens BancShares, Inc. Class A(b)     1,856,253  
  13,243     First Financial Corp.     566,138  
  25,143     First Foundation, Inc.*     449,808  
  6,843     First Internet Bancorp     234,031  
  28,518     First Merchants Corp.     1,228,555  
  1,441     Great Southern Bancorp, Inc.     76,157  
  40,059     Hanmi Financial Corp.     1,105,628  
  46,072     Hilltop Holdings, Inc.     1,032,934  
  35,045     Home BancShares, Inc.     814,446  
  7,617     Hope Bancorp, Inc.     131,698  
  5,837     Horizon Bancorp     167,872  
  37,101     International Bancshares Corp.     1,476,620  
  10,615     Lakeland Bancorp, Inc.     206,993  
  3,595     Lakeland Financial Corp.     170,834  
  16,324     LegacyTexas Financial Group, Inc.     670,427  
  9,116     Macatawa Bank Corp.     97,359  
  5,199     MBT Financial Corp.     52,900  
  17,792     Mercantile Bank Corp.     628,058  
  805     National Commerce Corp.*     34,857  
  14,865     NBT Bancorp, Inc.     543,167  
  3,322     Nicolet Bankshares, Inc.*     184,604  
  12,115     Northeast Bancorp     236,242  
  57,321     OFG Bancorp     773,833  

 

 

 
Common Stocks – (continued)  
Banks – (continued)      
  54,997     Old National Bancorp   945,948  
  7,639     Opus Bank     215,420  
  22,727     Pacific Premier Bancorp, Inc.*     903,398  
  17,202     Peapack Gladstone Financial Corp.     568,354  
  1,361     People’s Utah Bancorp     43,348  
  6,813     Peoples Bancorp, Inc.     244,314  
  7,938     Republic Bancorp, Inc. Class A     334,745  
  19,166     Seacoast Banking Corp. of Florida*     529,557  
  15,385     Sierra Bancorp     428,626  
  2,868     Stock Yards Bancorp, Inc.     107,407  
  3,946     The Bancorp, Inc.*     40,841  
  29,967     TriCo Bancshares     1,119,867  
  7,690     TriState Capital Holdings, Inc.*     192,250  
  21,676     UMB Financial Corp.     1,659,948  
  64,970     Umpqua Holdings Corp.     1,530,693  
  35,685     United Community Banks, Inc.     1,139,422  
  4,518     WesBanco, Inc.     197,888  
   

 

 

 
      30,965,948  

 

 

 
Beverages – 0.0%      
  620     National Beverage Corp.     54,783  

 

 

 
Biotechnology* – 3.7%  
  2,433     Acceleron Pharma, Inc.     84,936  
  15,875     Array BioPharma, Inc.     215,265  
  3,284     Bluebird Bio, Inc.     558,772  
  2,622     Concert Pharmaceuticals, Inc.     47,851  
  15,133     CytomX Therapeutics, Inc.     397,998  
  4,381     Editas Medicine, Inc.     137,563  
  7,549     Enanta Pharmaceuticals, Inc.     702,434  
  868     FibroGen, Inc.     39,451  
  31,945     Genomic Health, Inc.     1,013,615  
  44,976     Halozyme Therapeutics, Inc.     851,396  
  4,452     MacroGenics, Inc.     102,663  
  24,358     Myriad Genetics, Inc.     689,088  
  199,739     PDL BioPharma, Inc.     583,238  
  27,933     Pieris Pharmaceuticals, Inc.     177,933  
  22,312     PTC Therapeutics, Inc.     618,712  
  5,336     REGENXBIO, Inc.     199,299  
  29,248     Retrophin, Inc.     734,125  
  762     Sage Therapeutics, Inc.     109,667  
  9,942     Sangamo Therapeutics, Inc.     157,084  
  724     Sarepta Therapeutics, Inc.     55,285  
   

 

 

 
      7,476,375  

 

 

 
Building Products* – 0.3%      
  22,701     Continental Building Products, Inc.     637,898  

 

 

 
Capital Markets – 1.8%      
  21,585     Houlihan Lokey, Inc.     960,533  
  51,643     Investment Technology Group, Inc.     1,044,221  
  11,270     Moelis & Co. Class A     606,326  
  15,242     Piper Jaffray Cos.     1,067,702  
   

 

 

 
      3,678,782  

 

 

 

 

54   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Chemicals – 2.2%      
  5,005     American Vanguard Corp.   $ 107,858  
  893     Chase Corp.     100,016  
  6,440     Ingevity Corp.*     494,785  
  18,211     Innophos Holdings, Inc.     753,571  
  7,833     Innospec, Inc.     569,459  
  18,045     Kraton Corp.*     824,115  
  16,350     Minerals Technologies, Inc.     1,128,968  
  2,938     OMNOVA Solutions, Inc.*     32,024  
  1,430     Stepan Co.     100,558  
  3,836     Trinseo SA     279,836  
   

 

 

 
      4,391,190  

 

 

 
Commercial Services & Supplies – 2.2%      
  26,834     ACCO Brands Corp.     323,350  
  29,358     Brady Corp. Class A     1,068,631  
  3,520     Ennis, Inc.     63,008  
  39,452     Kimball International, Inc. Class B     651,747  
  26,792     McGrath RentCorp     1,578,852  
  12,042     Quad/Graphics, Inc.     297,558  
  2,018     UniFirst Corp.     324,091  
  1,252     VSE Corp.     64,215  
   

 

 

 
      4,371,452  

 

 

 
Communications Equipment – 0.9%      
  21,618     Comtech Telecommunications Corp.     661,295  
  44,487     NetScout Systems, Inc.*     1,207,822  
   

 

 

 
      1,869,117  

 

 

 
Construction & Engineering – 1.2%      
  14,572     EMCOR Group, Inc.     1,072,354  
  4,293     Granite Construction, Inc.     224,867  
  67,672     KBR, Inc.     1,129,446  
   

 

 

 
      2,426,667  

 

 

 
Consumer Finance – 1.1%      
  48,257     Enova International, Inc.*     1,413,930  
  3,250     Green Dot Corp. Class A*     197,632  
  5,638     Nelnet, Inc. Class A     297,743  
  6,355     Regional Management Corp.*     208,889  
   

 

 

 
      2,118,194  

 

 

 
Containers & Packaging – 0.1%      
  2,395     Greif, Inc. Class A     140,155  

 

 

 
Diversified Consumer Services* – 1.6%  
  27,380     Adtalem Global Education, Inc.     1,303,288  
  4,897     American Public Education, Inc.     197,349  
  3,090     Career Education Corp.     40,077  
  1,007     Grand Canyon Education, Inc.     104,718  
  94,888     Houghton Mifflin Harcourt Co.     645,238  
  54,128     K12, Inc.     828,159  
  665     Sotheby’s     35,112  
   

 

 

 
      3,153,941  

 

 

 
Common Stocks – (continued)  
Diversified Financial Services – 0.1%      
  6,830     Banco Latinoamericano de Comercio Exterior SA Class E   185,025  
  17,120     On Deck Capital, Inc.*     89,880  
   

 

 

 
      274,905  

 

 

 
Diversified Telecommunication Services – 0.8%      
  21,953     Cogent Communications Holdings, Inc.     1,035,084  
  57,246     Vonage Holdings Corp.*     640,010  
   

 

 

 
      1,675,094  

 

 

 
Electric Utilities – 0.9%      
  41,982     Portland General Electric Co.     1,783,395  

 

 

 
Electrical Equipment – 0.0%  
  1,262     Encore Wire Corp.     66,444  

 

 

 
Electronic Equipment, Instruments & Components – 1.8%  
  54,441     AVX Corp.     803,549  
  21,605     Benchmark Electronics, Inc.     568,211  
  5,109     CTS Corp.     153,015  
  10,668     Daktronics, Inc.     96,119  
  53,088     Electro Scientific Industries, Inc.*     955,584  
  23,778     Kimball Electronics, Inc.*     376,881  
  849     SYNNEX Corp.     85,044  
  29,224     Vishay Intertechnology, Inc.     515,804  
  1,287     Vishay Precision Group, Inc.*     36,422  
   

 

 

 
      3,590,629  

 

 

 
Energy Equipment & Services – 4.0%      
  46,126     Archrock, Inc.     498,161  
  7,428     Cactus, Inc. Class A*     213,258  
  2,118     Dril-Quip, Inc.*     87,791  
  40,467     Exterran Corp.*     1,185,278  
  6,669     FTS International, Inc.*     133,180  
  24,412     Matrix Service Co.*     375,945  
  6,149     Natural Gas Services Group, Inc.*     148,191  
  48,051     Newpark Resources, Inc.*     504,535  
  34,822     Oil States International, Inc.*     1,251,851  
  54,459     Pioneer Energy Services Corp.*     187,884  
  19,067     ProPetro Holding Corp.*(a)     348,926  
  12,461     Rowan Cos. PLC Class A*     179,937  
  18,769     SEACOR Holdings, Inc.*     1,029,292  
  97,095     Superior Energy Services, Inc.*     1,041,829  
  53,562     TETRA Technologies, Inc.*     210,499  
  27,716     Unit Corp.*     628,599  
   

 

 

 
      8,025,156  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 8.3%      
  23,437     Alexander & Baldwin, Inc.     536,707  
  4,664     Braemar Hotels & Resorts, Inc.     48,506  
  49,705     Chatham Lodging Trust     946,880  
  4,716     CorEnergy Infrastructure Trust, Inc.     181,755  
  29,998     Cousins Properties, Inc.     266,682  
  133,572     DiamondRock Hospitality Co.     1,475,971  
  29,154     First Industrial Realty Trust, Inc.     906,981  
  5,018     Getty Realty Corp.     125,701  
  34,104     InfraREIT, Inc.*     726,756  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   55


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Equity Real Estate Investment Trusts (REITs) – (continued)  
  68,964     iStar, Inc.*   $ 699,295  
  51,816     Kite Realty Group Trust     762,731  
  79,437     Mack-Cali Realty Corp.     1,363,933  
  4,293     MedEquities Realty Trust, Inc.     43,746  
  4,537     NexPoint Residential Trust, Inc.     121,546  
  42,656     Pebblebrook Hotel Trust     1,492,533  
  8,276     Quality Care Properties, Inc.*     181,824  
  45,036     Rexford Industrial Realty, Inc.     1,375,850  
  8,810     Ryman Hospitality Properties, Inc.     690,528  
  16,058     Summit Hotel Properties, Inc.     232,520  
  110,472     Sunstone Hotel Investors, Inc.     1,723,363  
  17,321     Terreno Realty Corp.     643,475  
  38,789     Tier REIT, Inc.     737,379  
  70,297     Xenia Hotels & Resorts, Inc.     1,447,415  
   

 

 

 
      16,732,077  

 

 

 
Food & Staples Retailing – 0.6%      
  13,106     Ingles Markets, Inc. Class A     448,880  
  28,388     Smart & Final Stores, Inc.*     144,779  
  15,134     Village Super Market, Inc. Class A     411,645  
  2,499     Weis Markets, Inc.     115,004  
   

 

 

 
      1,120,308  

 

 

 
Food Products – 1.1%      
  41,679     Darling Ingredients, Inc.*     714,378  
  39,047     Dean Foods Co.     336,195  
  6,370     Fresh Del Monte Produce, Inc.     313,085  
  7,185     Sanderson Farms, Inc.     798,685  
   

 

 

 
      2,162,343  

 

 

 
Gas Utilities – 1.2%      
  19,597     ONE Gas, Inc.     1,366,303  
  14,938     Southwest Gas Holdings, Inc.     1,090,324  
   

 

 

 
      2,456,627  

 

 

 
Health Care Equipment & Supplies* – 1.1%      
  7,322     Anika Therapeutics, Inc.     322,241  
  8,562     Integer Holdings Corp.     470,054  
  2,351     LivaNova PLC     208,722  
  19,615     Orthofix International NV     1,196,907  
   

 

 

 
      2,197,924  

 

 

 
Health Care Providers & Services – 0.9%      
  7,253     Magellan Health, Inc.*     608,164  
  3,787     Molina Healthcare, Inc.*     315,268  
  4,021     National HealthCare Corp.     246,407  
  2,339     RadNet, Inc.*     30,992  
  19,418     Triple-S Management Corp. Class B*     550,500  
   

 

 

 
      1,751,331  

 

 

 
Health Care Technology* – 0.1%      
  21,311     Allscripts Healthcare Solutions, Inc.     247,634  

 

 

 
Hotels, Restaurants & Leisure – 0.7%  
  30,912     Brinker International, Inc.(a)     1,347,454  
  1,466     Texas Roadhouse, Inc.     93,941  
   

 

 

 
      1,441,395  

 

 

 
Common Stocks – (continued)  
Household Durables – 1.7%      
  2,715     CSS Industries, Inc.   46,318  
  45,165     KB Home     1,199,131  
  16,471     MDC Holdings, Inc.     477,824  
  89,523     TRI Pointe Group, Inc.*     1,531,738  
  8,774     William Lyon Homes Class A*     235,670  
   

 

 

 
      3,490,681  

 

 

 
Household Products* – 0.3%      
  18,038     Central Garden & Pet Co. Class A     640,349  

 

 

 
Independent Power and Renewable Electricity Producers – 0.1%  
  13,232     NRG Yield, Inc. Class C     235,530  

 

 

 
Insurance – 4.4%  
  52,204     American Equity Investment Life Holding Co.     1,576,561  
  1,875     AMERISAFE, Inc.     111,188  
  24,706     Argo Group International Holdings Ltd.     1,444,066  
  5,301     Baldwin & Lyons, Inc. Class B     123,513  
  7,178     Employers Holdings, Inc.     293,580  
  17,126     FBL Financial Group, Inc. Class A     1,331,546  
  217,617     Genworth Financial, Inc. Class A*     600,623  
  2,236     Health Insurance Innovations, Inc. Class A*(a)     63,726  
  10,164     Horace Mann Educators Corp.     454,331  
  19,778     James River Group Holdings Ltd.     718,337  
  49,613     Maiden Holdings Ltd.     379,539  
  1,122     National Western Life Group, Inc. Class A     356,134  
  28,749     Stewart Information Services Corp.     1,199,121  
  9,031     Trupanion, Inc.*(a)     237,335  
   

 

 

 
      8,889,600  

 

 

 
Internet & Direct Marketing Retail* – 0.0%      
  8,349     Liberty TripAdvisor Holdings, Inc. Class A     76,811  

 

 

 
Internet Software & Services* – 0.8%      
  17,172     Apptio, Inc. Class A     506,746  
  14,171     New Relic, Inc.     990,411  
  3,602     QuinStreet, Inc.     40,487  
  877     Yelp, Inc.     39,333  
   

 

 

 
      1,576,977  

 

 

 
IT Services – 0.4%      
  501     EPAM Systems, Inc.*     57,289  
  1,526     EVERTEC, Inc.     27,850  
  24,749     Perficient, Inc.*     612,043  
  21,977     ServiceSource International, Inc.*     83,293  
  2,059     Virtusa Corp.*     99,120  
   

 

 

 
      879,595  

 

 

 
Leisure Products – 1.6%      
  92,095     Callaway Golf Co.     1,589,560  
  3,337     Johnson Outdoors, Inc. Class A     216,104  
  14,567     MCBC Holdings, Inc.*     349,608  
  65,249     Vista Outdoor, Inc.*     1,092,921  
   

 

 

 
      3,248,193  

 

 

 

 

56   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Machinery – 2.0%      
  357     Alamo Group, Inc.   $ 39,081  
  11,333     Barnes Group, Inc.     629,322  
  1,385     Hillenbrand, Inc.     64,195  
  2,565     Hurco Cos., Inc.     113,373  
  1,830     Hyster-Yale Materials Handling, Inc.     130,296  
  34,791     Milacron Holdings Corp.*     627,282  
  14,027     Miller Industries, Inc.     347,168  
  19,346     Rexnord Corp.*     532,208  
  18,426     SPX FLOW, Inc.*     829,170  
  27,842     TriMas Corp.*     754,518  
   

 

 

 
      4,066,613  

 

 

 
Media – 1.0%      
  50,465     Gannett Co., Inc.     487,997  
  17,753     MSG Networks, Inc. Class A*     363,936  
  70,790     New Media Investment Group, Inc.     1,173,698  
   

 

 

 
      2,025,631  

 

 

 
Metals & Mining – 2.3%      
  31,669     Carpenter Technology Corp.     1,686,691  
  21,531     Coeur Mining, Inc.*     162,990  
  9,541     Gold Resource Corp.     48,373  
  68,825     Hecla Mining Co.     263,600  
  23,406     Materion Corp.     1,187,854  
  1,914     Olympic Steel, Inc.     44,883  
  37,709     Schnitzer Steel Industries, Inc. Class A     1,110,530  
  6,440     SunCoke Energy, Inc.*     73,996  
   

 

 

 
      4,578,917  

 

 

 
Mortgage Real Estate Investment Trusts (REITs) – 0.9%      
  16,643     AG Mortgage Investment Trust, Inc.     294,248  
  122,871     Anworth Mortgage Asset Corp.     581,180  
  48,668     Capstead Mortgage Corp.     428,279  
  16,219     CYS Investments, Inc.     116,290  
  50,416     Dynex Capital, Inc.     331,737  
   

 

 

 
      1,751,734  

 

 

 
Multi-Utilities – 1.2%      
  20,164     Black Hills Corp.     1,142,896  
  8,311     NorthWestern Corp.     456,606  
  18,409     Unitil Corp.     894,493  
   

 

 

 
      2,493,995  

 

 

 
Oil, Gas & Consumable Fuels – 3.6%      
  16,308     Arch Coal, Inc. Class A     1,318,176  
  93,081     Denbury Resources, Inc.*     306,237  
  7,886     Energy XXI Gulf Coast, Inc.*     45,581  
  999     NACCO Industries, Inc. Class A     36,813  
  56,404     Oasis Petroleum, Inc.*     622,136  
  12,225     Overseas Shipholding Group, Inc. Class A*     45,599  
  31,523     Par Pacific Holdings, Inc.*     531,793  
  28,843     PDC Energy, Inc.*     1,544,254  
  41,814     Peabody Energy Corp.     1,540,846  
  10,245     REX American Resources Corp.*     766,121  
  11,609     Stone Energy Corp.*     413,280  
   

 

 

 
      7,170,836  

 

 

 
Common Stocks – (continued)  
Paper & Forest Products – 0.9%      
  13,404     Boise Cascade Co.   557,606  
  42,418     Louisiana-Pacific Corp.     1,201,702  
  4,196     Verso Corp. Class A*     75,780  
   

 

 

 
      1,835,088  

 

 

 
Personal Products – 0.2%      
  7,615     Inter Parfums, Inc.     389,888  

 

 

 
Pharmaceuticals – 0.9%      
  24,297     Horizon Pharma PLC*     321,692  
  15,092     Innoviva, Inc.*     218,834  
  27,991     Phibro Animal Health Corp. Class A     1,184,019  
  2,802     Supernus Pharmaceuticals, Inc.*     131,414  
   

 

 

 
      1,855,959  

 

 

 
Professional Services – 4.6%      
  1,838     ASGN, Inc.*     148,198  
  39,009     CBIZ, Inc.*     725,567  
  11,891     CRA International, Inc.     671,485  
  1,970     Exponent, Inc.     170,208  
  15,443     FTI Consulting, Inc.*     901,871  
  10,634     Heidrick & Struggles International, Inc.     400,370  
  13,481     ICF International, Inc.     904,575  
  14,287     Insperity, Inc.     1,146,532  
  13,199     Kelly Services, Inc. Class A     386,203  
  24,864     Korn/Ferry International     1,329,230  
  38,817     Navigant Consulting, Inc.*     830,296  
  2,748     Resources Connection, Inc.     43,006  
  62,234     RPX Corp.     673,994  
  7,236     TriNet Group, Inc.*     373,739  
  22,122     TrueBlue, Inc.*     589,551  
  1,065     WageWorks, Inc.*     44,357  
   

 

 

 
      9,339,182  

 

 

 
Real Estate Management & Development – 0.5%      
  1,157     HFF, Inc. Class A     40,657  
  8,521     RE/MAX Holdings, Inc. Class A     461,412  
  2,135     Tejon Ranch Co.*     51,944  
  28,219     The St. Joe Co.*     486,778  
   

 

 

 
      1,040,791  

 

 

 
Road & Rail – 1.3%      
  5,332     ArcBest Corp.     171,157  
  54,390     Marten Transport Ltd.     1,060,605  
  37,951     Werner Enterprises, Inc.     1,301,720  
   

 

 

 
      2,533,482  

 

 

 
Semiconductors & Semiconductor Equipment – 1.1%      
  23,116     Amkor Technology, Inc.*     191,401  
  3,449     Cabot Microelectronics Corp.     349,901  
  20,262     Diodes, Inc.*     578,480  
  9,961     Entegris, Inc.     320,744  
  31,866     Photronics, Inc.*     243,775  
  35,782     Rambus, Inc.*     483,057  
   

 

 

 
      2,167,358  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   57


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Software* – 0.4%      
  4,600     Bottomline Technologies de, Inc.   $ 181,792  
  5,606     MicroStrategy, Inc. Class A     714,541  
   

 

 

 
      896,333  

 

 

 
Specialty Retail – 4.1%      
  52,290     Abercrombie & Fitch Co. Class A     1,339,670  
  5,168     America’s Car-Mart, Inc.*     275,454  
  86,969     American Eagle Outfitters, Inc.     1,798,519  
  5,162     Asbury Automotive Group, Inc.*     346,112  
  48,403     Chico’s FAS, Inc.     480,642  
  10,572     Citi Trends, Inc.     323,820  
  29,093     DSW, Inc. Class A     648,774  
  85,030     Express, Inc.*     666,635  
  6,648     Guess?, Inc.     154,832  
  23,536     Hibbett Sports, Inc.*     640,179  
  11,087     Kirkland’s, Inc.*     117,411  
  18,417     Tailored Brands, Inc.     581,056  
  10,103     The Cato Corp. Class A     163,770  
  2,269     Tilly’s, Inc. Class A     25,436  
  28,265     Zumiez, Inc.*     661,401  
   

 

 

 
      8,223,711  

 

 

 
Technology Hardware, Storage & Peripherals* – 0.3%      
  29,875     Pure Storage, Inc. Class A     604,371  

 

 

 
Textiles, Apparel & Luxury Goods – 0.4%  
  1,987     Columbia Sportswear Co.     164,941  
  44,070     Crocs, Inc.*     696,306  
   

 

 

 
      861,247  

 

 

 
Thrifts & Mortgage Finance – 4.6%      
  4,913     BankFinancial Corp.     83,177  
  77,004     Beneficial Bancorp, Inc.     1,220,514  
  106,108     Capitol Federal Financial, Inc.     1,323,167  
  14,307     Federal Agricultural Mortgage Corp. Class C     1,223,392  
  10,043     First Defiance Financial Corp.     599,165  
  12,437     Home Bancorp, Inc.     539,144  
  19,340     Kearny Financial Corp.     271,727  
  10,407     Meridian Bancorp, Inc.     196,692  
  5,141     Meta Financial Group, Inc.     571,422  
  4,036     PCSB Financial Corp.*     81,810  
  1,537     Provident Financial Holdings, Inc.     28,204  
  1,726     Provident Financial Services, Inc.     45,083  
  5,674     Riverview Bancorp, Inc.     53,279  
  111,499     TrustCo Bank Corp. NY     953,317  
  18,118     United Community Financial Corp.     183,535  
  17,446     United Financial Bancorp, Inc.     288,382  
  18,281     Walker & Dunlop, Inc.     1,044,028  
  17,475     Washington Federal, Inc.     554,831  
   

 

 

 
      9,260,869  

 

 

 
Tobacco – 0.6%      
  59,342     Vector Group Ltd.     1,157,169  

 

 

 
Common Stocks – (continued)  
Trading Companies & Distributors – 0.9%  
  17,595     Aircastle Ltd.   344,862  
  11,588     H&E Equipment Services, Inc.     374,872  
  13,604     Rush Enterprises, Inc. Class A*     555,451  
  23,193     Titan Machinery, Inc.*     448,089  
   

 

 

 
      1,723,274  

 

 

 
Water Utilities – 0.2%      
  4,034     Artesian Resources Corp. Class A     154,502  
  3,404     Middlesex Water Co.     141,811  
   

 

 

 
      296,313  

 

 

 
  TOTAL COMMON STOCKS
  (Cost $177,191,677)   $ 195,680,665  

 

 

 
   
Shares     Distribution
Rate
  Value  
Investment Company(c) – 1.2%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  2,510,778     1.623%   $ 2,510,778  
  (Cost $2,510,778)  

 

 

 
 

TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
(Cost $179,702,455)
  $ 198,191,443  

 

 

 
   
Securities Lending Reinvestment Vehicle(c) – 0.8%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  1,512,337     1.623%     1,512,337  
  (Cost $1,512,337)  

 

 

 
  TOTAL INVESTMENTS — 99.2%
  (Cost $181,214,792)   $ 199,703,780  

 

 

 
 

OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.8%

    1,644,295  

 

 

 
  NET ASSETS – 100.0%   $ 201,348,075  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  All or a portion of security is on loan.

(b)

  All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(c)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

PLC

 

—Public Limited Company

REIT

 

—Real Estate Investment Trust

 

 

58   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

ADDITIONAL INVESTMENT INFORMATION

 

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

                 

E-mini Russell 2000 Index

   39      06/15/18      $ 3,010,410        $ (112,098

 

The accompanying notes are an integral part of these financial statements.   59


Table of Contents

GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.4%      
Aerospace & Defense – 2.3%      
  29,622     Lockheed Martin Corp.   $ 9,503,922  
  21,748     The Boeing Co.     7,254,263  
   

 

 

 
      16,758,185  

 

 

 
Air Freight & Logistics – 0.1%      
  15,654     Expeditors International of Washington, Inc.     999,664  

 

 

 
Airlines – 0.1%  
  8,352     Copa Holdings SA Class A     978,604  

 

 

 
Auto Components – 0.2%  
  9,644     Lear Corp.     1,803,139  

 

 

 
Automobiles – 1.2%  
  240,113     General Motors Co.     8,821,752  
  2,937     Thor Industries, Inc.     311,733  
   

 

 

 
      9,133,485  

 

 

 
Banks – 4.2%      
  69,035     Bank of America Corp.     2,065,527  
  195,323     Citizens Financial Group, Inc.     8,103,951  
  67,268     Comerica, Inc.     6,362,208  
  45,203     JPMorgan Chase & Co.     4,917,182  
  68,546     KeyCorp     1,365,436  
  108,882     Regions Financial Corp.     2,036,093  
  21,142     SunTrust Banks, Inc.     1,412,286  
  9,678     SVB Financial Group*     2,899,626  
  33,814     Synovus Financial Corp.     1,767,458  
   

 

 

 
      30,929,767  

 

 

 
Beverages – 1.1%      
  109,564     Molson Coors Brewing Co. Class B     7,805,339  

 

 

 
Biotechnology – 4.6%  
  128,193     AbbVie, Inc.     12,377,034  
  12,063     Alexion Pharmaceuticals, Inc.*     1,418,971  
  15,801     Amgen, Inc.     2,756,958  
  21,856     Biogen, Inc.*     5,979,802  
  52,910     Celgene Corp.*     4,608,461  
  3,929     Exelixis, Inc.*     81,802  
  6,828     Regeneron Pharmaceuticals, Inc.*     2,073,527  
  31,136     Vertex Pharmaceuticals, Inc.*     4,768,790  
   

 

 

 
      34,065,345  

 

 

 
Building Products – 0.5%      
  89,697     Masco Corp.     3,396,825  

 

 

 
Capital Markets – 3.3%  
  2,299     Ameriprise Financial, Inc.     322,343  
  94,625     BGC Partners, Inc. Class A     1,264,190  
  74,090     Intercontinental Exchange, Inc.     5,368,561  
  4,013     LPL Financial Holdings, Inc.     243,067  
  46,485     S&P Global, Inc.     8,767,071  
  84,407     State Street Corp.     8,422,131  
   

 

 

 
      24,387,363  

 

 

 
Common Stocks – (continued)      
Chemicals – 0.5%      
  35,411     Huntsman Corp.   1,054,186  
  24,881     LyondellBasell Industries NV Class A     2,630,668  
   

 

 

 
      3,684,854  

 

 

 
Commercial Services & Supplies – 0.0%      
  6,077     KAR Auction Services, Inc.     315,943  

 

 

 
Communications Equipment* – 1.5%  
  6,836     Arista Networks, Inc.     1,808,464  
  33,398     F5 Networks, Inc.     5,446,880  
  21,811     Palo Alto Networks, Inc.     4,198,835  
   

 

 

 
      11,454,179  

 

 

 
Construction & Engineering* – 0.0%      
  7,686     AECOM     264,706  

 

 

 
Consumer Finance – 1.6%  
  255,694     Ally Financial, Inc.     6,673,613  
  10,924     Capital One Financial Corp.     989,933  
  119,559     Synchrony Financial     3,965,772  
   

 

 

 
      11,629,318  

 

 

 
Containers & Packaging – 1.0%      
  28,535     Berry Global Group, Inc.*     1,569,425  
  55,405     Graphic Packaging Holding Co.     792,291  
  27,411     Owens-Illinois, Inc.*     557,266  
  73,307     WestRock Co.     4,336,842  
   

 

 

 
      7,255,824  

 

 

 
Diversified Financial Services – 1.1%      
  25,382     Berkshire Hathaway, Inc. Class B*     4,917,255  
  123,557     Leucadia National Corp.     2,970,310  
   

 

 

 
      7,887,565  

 

 

 
Diversified Telecommunication Services – 0.3%      
  76,317     AT&T, Inc.     2,495,566  

 

 

 
Electric Utilities – 0.6%  
  111,229     Exelon Corp.     4,413,567  

 

 

 
Electrical Equipment – 0.9%  
  97,129     AMETEK, Inc.     6,779,604  

 

 

 
Electronic Equipment, Instruments & Components – 0.5%  
  123,782     Jabil, Inc.     3,292,601  
  12,442     National Instruments Corp.     508,753  
  2,009     Zebra Technologies Corp. Class A*     270,874  
   

 

 

 
      4,072,228  

 

 

 
Energy Equipment & Services – 1.6%      
  172,455     Halliburton Co.     9,138,390  
  34,816     Schlumberger Ltd.     2,386,985  
   

 

 

 
      11,525,375  

 

 

 
Equity Real Estate Investment Trusts (REITs) – 4.9%      
  54,985     American Homes 4 Rent Class A     1,110,697  
  63,959     American Tower Corp.     8,721,449  

 

 

 

 

60   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND

 

 

 

    
Shares
    Description   Value  
Common Stocks – (continued)      
Equity Real Estate Investment Trusts (REITs) – (continued)  
  5,948     Apartment Investment & Management Co. Class A   $ 241,489  
  11,497     Equinix, Inc.     4,837,823  
  114,983     Forest City Realty Trust, Inc. Class A     2,306,559  
  7,110     Gaming and Leisure Properties, Inc.     243,660  
  406,427     Host Hotels & Resorts, Inc.     7,949,712  
  86,380     Kimco Realty Corp.     1,253,374  
  26,361     Mid-America Apartment Communities, Inc.     2,410,977  
  64,173     Piedmont Office Realty Trust, Inc. Class A     1,149,980  
  37,679     SBA Communications Corp.*     6,037,306  
   

 

 

 
      36,263,026  

 

 

 
Food & Staples Retailing – 1.8%      
  13,231     US Foods Holding Corp.*     452,236  
  141,417     Walgreens Boots Alliance, Inc.     9,397,160  
  38,373     Walmart, Inc.     3,394,475  
   

 

 

 
      13,243,871  

 

 

 
Food Products – 1.3%      
  197,097     Conagra Brands, Inc.     7,306,386  
  60,892     General Mills, Inc.     2,663,416  
   

 

 

 
      9,969,802  

 

 

 
Health Care Equipment & Supplies – 3.2%      
  302,987     Boston Scientific Corp.*     8,701,787  
  15,745     Edwards Lifesciences Corp.*     2,005,283  
  11,474     IDEXX Laboratories, Inc.*     2,231,578  
  137,702     Medtronic PLC     11,034,061  
  953     West Pharmaceutical Services, Inc.     84,064  
   

 

 

 
      24,056,773  

 

 

 
Health Care Providers & Services – 2.2%      
  51,230     HCA Healthcare, Inc.     4,904,760  
  27,912     Humana, Inc.     8,211,152  
  14,841     WellCare Health Plans, Inc.*     3,044,780  
   

 

 

 
      16,160,692  

 

 

 
Health Care Technology* – 0.1%      
  9,988     Cerner Corp.     581,801  

 

 

 
Hotels, Restaurants & Leisure – 4.6%  
  28,939     Hilton Worldwide Holdings, Inc.     2,281,551  
  54,290     Las Vegas Sands Corp.     3,981,086  
  63,818     Marriott International, Inc. Class A     8,722,644  
  53,820     McDonald’s Corp.     9,011,621  
  3,639     Vail Resorts, Inc.     834,459  
  25,169     Wyndham Worldwide Corp.     2,874,551  
  73,832     Yum! Brands, Inc.     6,430,767  
   

 

 

 
      34,136,679  

 

 

 
Household Durables – 0.8%      
  17,526     D.R. Horton, Inc.     773,598  
  35,452     PulteGroup, Inc.     1,076,323  

 

 

 
Common Stocks – (continued)      
Household Durables – (continued)      
  24,189     Whirlpool Corp.   3,748,085  
   

 

 

 
      5,598,006  

 

 

 
Industrial Conglomerates – 0.3%      
  11,002     Honeywell International, Inc.     1,591,769  
  1,518     Roper Technologies, Inc.     401,041  
   

 

 

 
      1,992,810  

 

 

 
Insurance – 3.7%      
  29,011     Arch Capital Group Ltd.*     2,324,651  
  4,888     Arthur J. Gallagher & Co.     342,111  
  50,064     Assured Guaranty Ltd.     1,816,823  
  7,037     Athene Holding Ltd. Class A*     344,813  
  23,683     Prudential Financial, Inc.     2,517,977  
  10,581     Reinsurance Group of America, Inc.     1,580,801  
  86,715     The Allstate Corp.     8,482,461  
  139,655     The Progressive Corp.     8,419,800  
  11,469     Torchmark Corp.     994,821  
  1,090     White Mountains Insurance Group Ltd.     943,166  
   

 

 

 
      27,767,424  

 

 

 
Internet & Direct Marketing Retail – 3.6%      
  12,735     Amazon.com, Inc.*     19,944,665  
  1,416     Booking Holdings, Inc.*     3,084,048  
  2,757     Expedia Group, Inc.     317,441  
  11,604     Netflix, Inc.*     3,625,786  
   

 

 

 
      26,971,940  

 

 

 
Internet Software & Services* – 4.7%      
  9,732     Alphabet, Inc. Class A     9,912,821  
  9,921     Alphabet, Inc. Class C     10,092,931  
  42,830     eBay, Inc.     1,622,400  
  77,901     Facebook, Inc. Class A     13,398,972  
   

 

 

 
      35,027,124  

 

 

 
IT Services – 1.5%      
  74,942     International Business Machines Corp.     10,863,592  

 

 

 
Life Sciences Tools & Services* – 0.3%  
  4,462     Mettler-Toledo International, Inc.     2,498,408  

 

 

 
Machinery – 1.4%  
  15,324     Caterpillar, Inc.     2,212,173  
  94,806     Ingersoll-Rand PLC     7,953,275  
  4,858     The Toro Co.     283,659  
   

 

 

 
      10,449,107  

 

 

 
Media – 3.1%      
  10,354     Charter Communications, Inc. Class A*     2,808,936  
  300,248     Comcast Corp. Class A     9,424,785  
  98,597     News Corp. Class A     1,575,580  
  239,747     The Interpublic Group of Cos., Inc.     5,655,632  
  18,484     The Walt Disney Co.     1,854,500  
  20,436     Time Warner, Inc.     1,937,333  
   

 

 

 
      23,256,766  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   61


Table of Contents

GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)      
Metals & Mining – 0.2%      
  98,635     Freeport-McMoRan, Inc.   $ 1,500,238  

 

 

 
Multi-Utilities – 0.1%  
  20,730     CenterPoint Energy, Inc.     525,091  
  13,115     MDU Resources Group, Inc.     369,449  
   

 

 

 
      894,540  

 

 

 
Multiline Retail* – 0.3%      
  25,490     Dollar Tree, Inc.     2,444,236  

 

 

 
Oil, Gas & Consumable Fuels – 6.6%  
  22,686     Chevron Corp.     2,838,246  
  195,676     CNX Resources Corp.*     2,907,745  
  150,784     ConocoPhillips     9,876,352  
  43,309     Exxon Mobil Corp.     3,367,275  
  62,976     HollyFrontier Corp.     3,822,013  
  108,168     Marathon Petroleum Corp.     8,102,865  
  81,602     Phillips 66     9,083,119  
  82,442     Valero Energy Corp.     9,145,291  
   

 

 

 
      49,142,906  

 

 

 
Personal Products – 0.5%      
  23,711     The Estee Lauder Cos., Inc. Class A     3,511,362  

 

 

 
Pharmaceuticals – 6.4%  
  8,144     Allergan PLC     1,251,326  
  168,963     Bristol-Myers Squibb Co.     8,808,041  
  6,684     Eli Lilly & Co.     541,872  
  143,762     Johnson & Johnson     18,184,455  
  171,360     Merck & Co., Inc.     10,087,963  
  104,897     Zoetis, Inc.     8,756,802  
   

 

 

 
      47,630,459  

 

 

 
Professional Services – 0.1%      
  3,915     ManpowerGroup, Inc.     374,744  

 

 

 
Real Estate Management & Development – 0.8%  
  87,372     CBRE Group, Inc. Class A*     3,958,825  
  1,327     Jones Lang LaSalle, Inc.     224,940  
  68,429     Realogy Holdings Corp.     1,697,724  
   

 

 

 
      5,881,489  

 

 

 
Road & Rail – 2.4%  
  143,279     CSX Corp.     8,509,340  
  20,679     Kansas City Southern     2,205,002  
  28,688     Norfolk Southern Corp.     4,115,867  
  14,911     Ryder System, Inc.     1,005,449  
  13,702     Union Pacific Corp.     1,830,998  
   

 

 

 
      17,666,656  

 

 

 
Semiconductors & Semiconductor Equipment – 2.6%  
  106,756     Applied Materials, Inc.     5,302,571  
  8,931     Intel Corp.     461,018  
  22,802     KLA-Tencor Corp.     2,319,875  
  19,985     Lam Research Corp.     3,698,424  
  138,992     Micron Technology, Inc.*     6,390,852  
  7,576     Teradyne, Inc.     246,599  
  5,469     Texas Instruments, Inc.     554,721  
   

 

 

 
      18,974,060  

 

 

 
Common Stocks – (continued)      
Software – 6.0%  
  37,351     Adobe Systems, Inc.*   8,276,981  
  76,703     Citrix Systems, Inc.*     7,893,506  
  17,391     Fortinet, Inc.*     962,766  
  4,477     Intuit, Inc.     827,305  
  173,923     Microsoft Corp.     16,265,279  
  38,259     salesforce.com, Inc.*     4,628,956  
  17,478     ServiceNow, Inc.*     2,903,795  
  30,180     Splunk, Inc.*     3,097,977  
   

 

 

 
      44,856,565  

 

 

 
Specialty Retail – 1.9%  
  101,905     Best Buy Co., Inc.     7,798,790  
  12,644     Burlington Stores, Inc.*     1,717,687  
  13,753     Dick’s Sporting Goods, Inc.     455,087  
  9,703     L Brands, Inc.     338,732  
  40,155     Ross Stores, Inc.     3,246,532  
  5,336     The TJX Cos., Inc.     452,759  
   

 

 

 
      14,009,587  

 

 

 
Technology Hardware, Storage & Peripherals – 4.8%  
  121,550     Apple, Inc.(a)     20,087,353  
  119,816     NetApp, Inc.     7,977,349  
  91,507     Western Digital Corp.     7,209,837  
      35,274,539  

 

 

 
  TOTAL COMMON STOCKS
 
  (Cost $647,595,330)   $ 723,035,647  

 

 

 

 

Shares     Distribution
Rate
  Value  
Investment Company(b) – 1.3%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  9,431,762     1.623%   $ 9,431,762  
  (Cost $9,431,762)  

 

 

 
  TOTAL INVESTMENTS – 98.7%
 
  (Cost $657,027,092)   $ 732,467,409  

 

 

 
 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 1.3%
    9,651,015  

 

 

 
  NET ASSETS – 100.0%   $ 742,118,424  

 

 

 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

 

All or a portion of security is segregated as collateral for initial margin

requirements on futures transactions.

(b)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

PLC

 

—Public Limited Company

 

 

62   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND

 

 

 

ADDITIONAL INVESTMENT INFORMATION

 

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

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

Long position contracts:

                 

S&P 500 E-Mini Index

   93      06/15/18      $ 12,308,550        $ (660,002

 

The accompanying notes are an integral part of these financial statements.   63


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

Statements of Assets and Liabilities

April 30, 2018 (Unaudited)

 

        Large Cap Growth
Insights Fund
 
  Assets:  
 

Investments of unaffiliated issuers, at value (cost $1,776,960,255, $417,833,345, $287,045,731, $601,772,856, $177,191,677 and $647,595,330)(a)

  $ 2,008,062,451  
 

Investments of affiliated issuers, at value (cost $23,211,669, $4,657,952, $5,751,978, $11,800,978, $2,510,778 and $9,431,762)

    23,211,669  
 

Investments in securities lending reinvestment vehicle — affiliated issuer, at value (cost $0, $0, $2,861,925, $12,825,038, $1,512,337, $0)

     
 

Cash

    31,198,300  
 

Receivables:

 
 

Fund shares sold

    2,576,176  
 

Dividends

    1,072,539  
 

Investments sold

     
 

Reimbursement from investment adviser

     
 

Securities lending income

     
 

Other assets

    92,676  
  Total assets     2,066,213,811  
   
  Liabilities:  
 

Variation margin on futures

    308,621  
 

Payables:

 
 

Fund shares redeemed

    1,702,429  
 

Management fees

    836,188  
 

Distribution and Service fees and Transfer Agency fees

    298,342  
 

Investments purchased

    24,433  
 

Payable upon return of securities loaned

     
 

Accrued expenses

    164,826  
  Total liabilities     3,334,839  
   
  Net Assets:  
 

Paid-in capital

    1,717,674,764  
 

Undistributed (distributions in excess of) net investment income (loss)

    4,051,115  
 

Accumulated net realized gain

    111,846,387  
 

Net unrealized gain

    229,306,706  
    NET ASSETS   $ 2,062,878,972  
   

Net Assets:

   
   

Class A

  $ 324,439,584  
   

Class C

    67,749,034  
   

Institutional

    746,347,474  
   

Service

    69,680,483  
   

Investor

    423,578,365  
   

Class P

    9,876  
   

Class R

    30,614,178  
   

Class R6

    400,459,978  
   

Total Net Assets

  $ 2,062,878,972  
   

Shares Outstanding $0.001 par value (unlimited number of shares authorized):

   
   

Class A

    10,584,323  
   

Class C

    2,461,531  
   

Institutional

    23,550,952  
   

Service

    2,310,858  
   

Investor

    13,998,185  
   

Class P

    312  
   

Class R

    1,022,364  
   

Class R6

    12,642,207  
   

Net asset value, offering and redemption price per share:(b)

   
   

Class A

    $30.65  
   

Class C

    27.52  
   

Institutional

    31.69  
   

Service

    30.15  
   

Investor

    30.26  
   

Class P

    31.67  
   

Class R

    29.94  
   

Class R6

    31.68  

 

  (a)   Includes loaned securities having a market value of $2,786,594, $12,394,650 and $1,452,109 for Small Cap Equity Insights, Small Cap Growth Insights and Small Cap Value Insights Funds, respectively.
  (b)   Maximum public offering price per share for Class A Shares of the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds is $32.43, $22.90, $27.19, $39.21, $45.48 and $49.87, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares.

 

64   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

    Large Cap Value
Insights Fund
        Small Cap Equity
Insights Fund
        Small Cap Growth
Insights Fund
        Small Cap Value
Insights Fund
        U.S. Equity
Insights Fund
 
                 
 

$

434,525,486

 

    $ 317,730,460       $ 682,527,487       $ 195,680,665       $ 723,035,647  
    4,657,952         5,751,978         11,800,978         2,510,778         9,431,762  
            2,861,925         12,825,038         1,512,337          
    6,820,102         5,344,759         10,731,402         3,114,163         11,259,497  
                 
    921,184         195,545         1,916,846         51,539         754,920  
    345,532         42,481         60,261         34,873         467,277  
            5,114,359         10,137,273         3,676,162         16,658,256  
                    23,177                  
            2,493         8,782         894          
    62,766           46,663           62,592           49,896           64,555  
    447,333,022           337,090,663           730,093,836           206,631,307           761,671,914  
                 
                 
    65,874         67,146         93,585         29,424         113,411  
                 
    462,233         175,897         779,626         107,039         317,274  
    189,473         213,369         457,393         132,174         314,828  
    52,109         39,724         95,424         55,703         175,772  
    6,894         7,110,588         12,773,571         3,343,349         18,523,877  
            2,861,925         12,825,038         1,512,337          
    102,078           163,128           84,928           103,206           108,328  
    878,661           10,631,777           27,109,565           5,283,232           19,553,490  
                 
                 
    418,686,206         284,218,241         593,958,822         174,388,555         621,418,259  
    196,776         380,513         (570,303       242,348         2,209,750  
    11,262,465         11,327,910         29,197,534         8,340,282         43,710,100  
    16,308,914           30,532,221           80,398,218           18,376,890           74,780,315  
    $ 446,454,361         $ 326,458,885         $ 702,984,271         $ 201,348,075         $ 742,118,424  
                     
    $ 62,726,784       $ 41,284,875       $ 78,876,527       $ 100,131,242       $ 281,489,077  
      11,513,968         9,024,592         10,198,208         16,317,445         28,452,884  
      90,950,539         129,397,815         278,665,904         71,945,625         321,907,404  
      8,828,712         1,254,061                         6,322,289  
      47,091,983         7,637,654         257,759,874         5,231,807         49,435,272  
      9,881         9,801         9,760         9,902         9,892  
      5,671,810         14,338,778         16,055,112         1,584,769         50,895,816  
      219,660,684           123,511,309           61,418,886           6,127,285           3,605,790  
    $ 446,454,361         $ 326,458,885         $ 702,984,271         $ 201,348,075         $ 742,118,424  
                     
      2,899,092         1,606,967         2,128,975         2,329,859         5,973,038  
      537,138         405,149         352,389         527,102         670,628  
      4,207,338         4,852,929         6,443,560         1,273,457         6,624,491  
      406,449         49,554                         134,951  
      2,183,513         299,043         6,795,657         122,214         1,062,557  
      457         368         226         175         204  
      263,792         569,841         449,024         37,420         1,101,117  
      10,164,068           4,631,844           1,419,618           108,465           74,249  
                     
      $21.64         $25.69         $37.05         $42.98         $47.13  
      21.44         22.27         28.94         30.96         42.43  
      21.62         26.66         43.25         56.50         48.59  
      21.72         25.31                         46.85  
      21.57         25.54         37.93         42.81         46.52  
      21.61         26.67         43.27         56.49         48.56  
      21.50         25.16         35.76         42.35         46.22  
      21.61           26.67           43.26           56.49           48.56  

 

The accompanying notes are an integral part of these financial statements.   65


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

Statements of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

 

        Large Cap Growth
Insights Fund
 
  Investment income:  
 

Dividends — unaffiliated issuers (net of foreign withholding taxes of $0, $0, $519, $0, $688 and $0)

  $ 12,502,703  
 

Dividends — affiliated issuers

    136,318  
 

Securities lending income — affiliated issuer

    826  
  Total investment income     12,639,847  
   
  Expenses:  
 

Management fees

    4,955,422  
 

Distribution and Service fees(a)

    819,477  
 

Transfer Agency fees(a)

    967,612  
 

Professional fees

    51,972  
 

Custody, accounting and administrative services

    3,573  
 

Printing and mailing costs

    89,110  
 

Trustee fees

    10,873  
 

Service Share fees — Service Plan

    88,026  
 

Service Share fees — Shareholder Administration Plan

    88,026  
 

Other

    49,223  
  Total expenses     7,123,314  
 

Less — expense reductions

    (181,960
  Net expenses     6,941,354  
  NET INVESTMENT INCOME (LOSS)     5,698,493  
   
  Realized and unrealized gain (loss):  
 

Net realized gain from:

 
 

Investments — unaffiliated issuers

    111,408,015  
 

Futures contracts

    2,751,036  
 

Net change in unrealized gain (loss) on:

 
 

Investments

    (11,078,317
 

Futures contracts

    (1,830,056
  Net realized and unrealized gain     101,250,678  
  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS   $ 106,949,171  

 

  (a)   Class specific Distribution and Service and Transfer Agency fees were as follows:

 

     Distribution and Service Fees      Transfer Agency Fees  

Fund

  

Class A

    

Class C

    

Class R

    

Class A

    

Class C

    

Institutional

    

Service

    

Investor

    

Class P(b)

    

Class R

    

Class R6

 

Large Cap Growth Insights

   $ 406,426      $ 334,917      $ 78,134      $ 292,627      $ 60,285      $ 169,955      $ 14,084      $ 363,751      $      $ 28,128      $ 38,782  

Large Cap Value Insights

     78,812        57,549        13,878        56,744        10,359        38,918        1,722        35,954               4,996        14,724  

Small Cap Equity Insights

     51,892        46,532        36,875        37,362        8,376        37,175        205        4,016               13,275        8,481  

Small Cap Growth Insights

     99,028        50,165        35,536        71,300        9,030        52,648               202,525               12,793        7,727  

Small Cap Value Insights

     125,574        83,270        4,193        90,414        14,989        12,174               4,704               1,510        786  

U.S. Equity Insights

     353,084        144,959        135,163        254,220        26,093        58,391        1,367        41,719               48,658        491  

 

  (b)   Commenced operations April 16, 2018.

 

66   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

    Large Cap Value
Insights Fund
        Small Cap Equity
Insights Fund
        Small Cap Growth
Insights Fund
        Small Cap Value
Insights Fund
        U.S. Equity
Insights Fund
 
                 
  $ 4,123,639       $ 1,945,000       $ 2,518,255       $ 1,613,851       $ 5,844,503  
    36,685         20,718         57,553         13,552         49,258  
    218           34,890           140,447           9,704           33  
    4,160,542           2,000,608           2,716,255           1,637,107           5,893,794  
                 
                 
    1,095,690         1,253,885         2,573,015         760,536         1,856,251  
    150,239         135,299         184,729         213,037         633,206  
    163,417         108,890         356,023         124,577         430,939  
    49,892         49,892         52,350         51,962         51,960  
    30,842         2,452         24,213         11,638         7,945  
    25,204         21,606         117,699         30,695         54,929  
    9,118         8,983         9,341         8,846         9,442  
    10,761         1,282                         8,547  
    10,761         1,282                         8,547  
    7,405           11,750           38,877           26,469           31,467  
    1,553,329           1,595,321           3,356,247           1,227,760           3,093,233  
    (120,355         (91,118         (278,161         (127,673         (147,723
    1,432,974           1,504,203           3,078,086           1,100,087           2,945,510  
    2,727,568           496,405           (361,831         537,020           2,948,284  
                 
                 
                 
    10,991,276         11,378,928         29,817,705         8,346,533         43,726,444  
    565,217         151,544         924,480         326,711         686,381  
                 
    (1,225,900       (277,321       2,884,268         (2,040,828       (15,657,766
    (383,227         (152,508         (852,373         (260,886         (660,002
    9,947,366           11,100,643           32,774,080           6,371,530           28,095,057  
  $ 12,674,934         $ 11,597,048         $ 32,412,249         $ 6,908,550         $ 31,043,341  

 

The accompanying notes are an integral part of these financial statements.   67


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

Statements of Changes in Net Assets

 

 

        Large Cap Growth Insights Fund  
        For the
Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal
Year Ended
October 31, 2017
 
  From operations:     
 

Net investment income

  $ 5,698,493      $ 7,960,098  
 

Net realized gain

    114,159,051        113,581,156  
 

Net change in unrealized gain (loss)

    (12,908,373      229,840,094  
  Net increase in net assets resulting from operations     106,949,171        351,381,348  
      
  Distributions to shareholders:     
 

From net investment income

    
 

Class A Shares

    (809,713      (1,237,586
 

Class C Shares

            
 

Institutional Shares

    (5,450,085      (3,993,399
 

Service Shares

    (253,590      (83,880
 

Investor Shares

    (2,093,893      (508,915
 

Class P Shares(a)

            
 

Class R Shares

    (16,516      (70,878
 

Class R6 Shares

    (907,923      (117,502
 

From net realized gains

    
 

Class A Shares

    (13,388,524       
 

Class C Shares

    (2,987,929       
 

Institutional Shares

    (37,141,845       
 

Service Shares

    (2,915,814       
 

Investor Shares

    (16,248,649       
 

Class P Shares(a)

            
 

Class R Shares

    (1,315,655       
 

Class R6 Shares

    (5,657,032       
  Total distributions to shareholders     (89,187,168      (6,012,160
      
  From share transactions:     
 

Proceeds from sales of shares

    602,883,873        1,212,021,021  
 

Reinvestment of distributions

    79,836,761        5,487,280  
 

Cost of shares redeemed

    (511,699,060      (529,881,680
  Net increase (decrease) in net assets resulting from share transactions     171,021,574        687,626,621  
  TOTAL INCREASE (DECREASE)     188,783,577        1,032,995,809  
      
  Net assets:     
 

Beginning of period

    1,874,095,395        841,099,586  
 

End of period

  $ 2,062,878,972      $ 1,874,095,395  
  Undistributed (distributions in excess of) net investment income   $ 4,051,115      $ 7,884,342  

 

  (a)   Commenced operations April 16, 2018.

 

68   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

    Large Cap Value Insights Fund         Small Cap Equity Insights Fund  
    For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
        For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
 
             
  $ 2,727,568       $ 7,443,780       $ 496,405       $ 1,167,860  
    11,556,493         64,155,237         11,530,472         29,813,457  
    (1,609,127         21,198,767           (429,829         31,177,220  
    12,674,934           92,797,784           11,597,048           62,158,537  
             
             
             
    (340,586       (940,133               (97,192
    (22,549       (91,588                
    (1,394,923       (5,996,741       (640,783       (1,223,631
    (41,642       (108,847               (1,402
    (263,576       (423,614       (3,431       (52,520
                             
    (24,403       (52,750               (13,506
    (738,887       (845       (999       (277
             
                             
                             
                             
                             
                             
                             
                             
                                   
    (2,826,566         (7,614,518         (645,213         (1,388,528
             
             
    309,092,689         121,316,875         165,668,952         118,589,838  
    2,720,585         7,397,342         640,255         1,367,531  
    (254,929,941         (268,232,894         (152,487,273         (117,654,373
    56,883,333           (139,518,677         13,821,934           2,302,996  
    66,731,701           (54,335,411         24,773,769           63,073,005  
             
             
    379,722,660           434,058,071           301,685,116           238,612,111  
  $ 446,454,361         $ 379,722,660         $ 326,458,885         $ 301,685,116  
  $ 196,776         $ 295,774         $ 380,513         $ 529,321  

 

The accompanying notes are an integral part of these financial statements.   69


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

Statements of Changes in Net Assets (continued)

 

 

        Small Cap Growth Insights Fund  
        For the
Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal
Year Ended
October 31, 2017
 
  From operations:     
 

Net investment income (loss)

  $ (361,831    $ (16,983
 

Net realized gain

    30,742,185        24,881,776  
 

Net change in unrealized gain (loss)

    2,031,895        74,581,013  
  Net increase in net assets resulting from operations     32,412,249        99,445,806  
      
  Distributions to shareholders:     
 

From net investment income

    
 

Class A Shares

    (31       
 

Class C Shares

            
 

Institutional Shares

           (215,269
 

Service Shares

            
 

Investor Shares

           (165,943
 

Class P Shares(a)

            
 

Class R Shares

            
 

Class R6 Shares

           (17,101
 

From net realized gains

    
 

Class A Shares

    (3,251,706       
 

Class C Shares

    (521,416       
 

Institutional Shares

    (9,557,173       
 

Service Shares

            
 

Investor Shares

    (8,261,586       
 

Class P Shares(a)

            
 

Class R Shares

    (567,593       
 

Class R6 Shares

    (1,567,068       
  Total distributions to shareholders     (23,726,573      (398,313
      
  From share transactions:     
 

Proceeds from sales of shares

    166,494,275        410,435,969  
 

Reinvestment of distributions

    22,652,616        357,428  
 

Cost of shares redeemed

    (94,882,194      (131,852,818
  Net increase (decrease) in net assets resulting from share transactions     94,264,697        278,940,579  
  TOTAL INCREASE (DECREASE)     102,950,373        377,988,072  
      
  Net assets:     
 

Beginning of period

    600,033,898        222,045,826  
 

End of period

  $ 702,984,271      $ 600,033,898  
  Undistributed (distributions in excess of) net investment income (loss)   $ (570,303    $ (208,441

 

  (a)   Commenced operations April 16, 2018.

 

70   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

    Small Cap Value Insights Fund         U.S. Equity Insights Fund  
    For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
        For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
 
             
  $ 537,020       $ 1,031,101       $ 2,948,284       $ 7,054,674  
    8,673,244         18,330,510         44,412,825         60,219,067  
    (2,301,714         13,872,348           (16,317,768         71,055,193  
    6,908,550           33,233,959           31,043,341           138,328,934  
             
             
             
    (406,735       (617,358       (2,715,807       (1,901,340
            (42,467       (88,290       (13,485
    (339,987       (358,224       (3,484,320       (2,041,814
                    (64,497       (42,934
    (34,619       (49,629       (567,893       (216,480
                             
            (31,204       (480,854       (175,187
    (29,742       (91       (37,980       (1,127
             
    (10,280,836       (3,697,883       (24,270,701       (8,414,369
    (2,305,227       (812,978       (2,769,317       (1,145,513
    (4,424,518       (1,012,988       (22,262,774       (6,017,503
                    (601,122       (185,727
    (553,267       (192,503       (3,936,754       (647,912
                             
    (177,610       (241,746       (4,612,564       (1,048,717
    (377,526         (346         (234,149         (3,121
    (18,930,067         (7,057,417         (66,127,022         (21,855,229
             
             
    28,847,708         74,838,850         130,566,617         162,634,133  
    18,382,160         6,806,909         63,915,868         20,897,271  
    (21,073,209         (56,458,736         (77,436,105         (154,299,884
    26,156,659           25,187,023           117,046,380           29,231,520  
    14,135,142           51,363,565           81,962,699           145,705,225  
             
             
    187,212,933           135,849,368           660,155,725           514,450,500  
  $ 201,348,075         $ 187,212,933         $ 742,118,424         $ 660,155,725  
  $ 242,348         $ 516,411         $ 2,209,750         $ 6,701,107  

 

The accompanying notes are an integral part of these financial statements.   71


Table of Contents

GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
     Distributions
to shareholders
 
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income (loss)(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     From net
investment
income
     From net
realized
gains
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 30.36      $ 0.05      $ 1.61      $ 1.66      $ (0.08    $ (1.29    $ (1.37
 

2018 - C

    27.42        (0.06      1.45        1.39               (1.29      (1.29
 

2018 - Institutional

    31.39        0.12        1.65        1.77        (0.18      (1.29      (1.47
 

2018 - Service

    29.94        0.03        1.58        1.61        (0.11      (1.29      (1.40
 

2018 - Investor

    30.03        0.09        1.59        1.68        (0.16      (1.29      (1.45
 

2018 - P (Commenced April 16, 2018)

    32.07        (e)       (0.40      (0.40                     
 

2018 - R

    29.67        0.01        1.57        1.58        (0.02      (1.29      (1.31
 

2018 - R6

    31.38        0.11        1.67        1.78        (0.19      (1.29      (1.48
                     
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    23.44        0.10        6.93        7.03        (0.11             (0.11
 

2017 - C

    21.23        (0.09      6.28        6.19                       
 

2017 - Institutional

    24.21        0.22        7.15        7.37        (0.19             (0.19
 

2017 - Service

    23.15        0.04        6.88        6.92        (0.13             (0.13
 

2017 - Investor(g)

    23.19        0.16        6.86        7.02        (0.18             (0.18
 

2017 - R

    22.93        0.04        6.78        6.82        (0.08             (0.08
 

2017 - R6

    24.21        0.21        7.16        7.37        (0.20             (0.20
 

2016 - A

    23.13        0.11        0.33        0.44        (0.13             (0.13
 

2016 - C

    21.02        (0.05      0.30        0.25        (0.04             (0.04
 

2016 - Institutional

    23.86        0.21        0.34        0.55        (0.20             (0.20
 

2016 - Service

    22.89        0.08        0.33        0.41        (0.15             (0.15
 

2016 - Investor(g)

    22.88        0.17        0.32        0.49        (0.18             (0.18
 

2016 - R

    22.71        0.05        0.32        0.37        (0.15             (0.15
 

2016 - R6

    23.86        0.18        0.38        0.56        (0.21             (0.21
 

2015 - A

    21.57        0.16        1.55        1.71        (0.15             (0.15
 

2015 - C

    19.67        (0.01      1.41        1.40        (0.05             (0.05
 

2015 - Institutional

    22.22        0.26        1.60        1.86        (0.22             (0.22
 

2015 - Service

    21.41        0.13        1.55        1.68        (0.20             (0.20
 

2015 - Investor(g)

    21.36        0.22        1.52        1.74        (0.22             (0.22
 

2015 - R

    21.25        0.09        1.55        1.64        (0.18             (0.18
 

2015 - R6 (Commenced July 31, 2015)

    23.90        0.06        (0.10      (0.04                     
 

2014 - A

    18.05        0.12        3.54        3.66        (0.14             (0.14
 

2014 - C

    16.51        (0.02      3.23        3.21        (0.05             (0.05
 

2014 - Institutional

    18.59        0.21        3.62        3.83        (0.20             (0.20
 

2014 - Service

    17.81        0.18        3.42        3.60                       
 

2014 - Investor(g)

    17.88        0.14        3.52        3.66        (0.18             (0.18
 

2014 - R

    17.85        0.07        3.48        3.55        (0.15             (0.15
 

2013 - A

    14.05        0.21 (f)       3.95        4.16        (0.16             (0.16
 

2013 - C

    12.88        0.06 (f)       3.65        3.71        (0.08             (0.08
 

2013 - Institutional

    14.48        0.27 (f)       4.07        4.34        (0.23             (0.23
 

2013 - Service

    13.88        0.16 (f)       3.93        4.09        (0.16             (0.16
 

2013 - Investor(g)

    13.95        0.22 (f)       3.93        4.15        (0.22             (0.22
 

2013 - R

    13.97        0.11 (f)       3.97        4.08        (0.20             (0.20

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Amount is less than $0.005 per share.
  (f)   Reflects income recognized from special dividends which amounted to $0.05 per share and 0.31% of average net assets.
  (g)   Effective August 15, 2017, Class IR changed its name to Investor.

 

72   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 30.65         5.57     $ 324,440         0.93 %(d)        0.94 %(d)        0.34 %(d)        84
    27.52         5.18         67,749         1.68 (d)        1.69 (d)        (0.42 )(d)        84  
    31.69         5.78         746,347         0.54 (d)        0.56 (d)        0.73 (d)        84  
    30.15         5.49         69,680         1.04 (d)        1.05 (d)        0.23 (d)        84  
    30.26         5.72         423,578         0.68 (d)        0.69 (d)        0.58 (d)        84  
    31.67         (1.25       10         0.52 (d)        0.52 (d)        (0.29 )(d)        84  
    29.94         5.43         30,614         1.18 (d)        1.19 (d)        0.09 (d)        84  
    31.68         5.80         400,460         0.53 (d)        0.54 (d)        0.72 (d)        84  
                         
                         
    30.36         30.11         316,689         0.95         1.10         0.38         196  
    27.42         29.16         63,500         1.70         1.85         (0.37       196  
    31.39         30.63         897,009         0.56         0.70         0.78         196  
    29.94         30.04         67,450         1.05         1.19         0.17         196  
    30.03         30.43         365,836         0.70         0.84         0.59         196  
    29.67         29.81         29,734         1.20         1.35         0.14         196  
    31.38           30.64           133,877           0.54           0.67           0.74           196  
    23.44         1.93         254,036         0.96         1.15         0.49         254  
    21.23         1.18         48,610         1.71         1.90         (0.25       254  
    24.21         2.35         448,961         0.56         0.75         0.89         254  
    23.15         1.82         12,517         1.06         1.26         0.34         254  
    23.19         2.18         48,133         0.71         0.90         0.74         254  
    22.93         1.66         20,635         1.21         1.40         0.22         254  
    24.21           2.38           8,208           0.54           0.74           0.72           254  
    23.13         7.96         200,634         0.96         1.16         0.72         222  
    21.02         7.12         49,658         1.71         1.91         (0.05       222  
    23.86         8.41         493,322         0.56         0.76         1.13         222  
    22.89         7.88         3,096         1.06         1.26         0.60         222  
    22.88         8.21         36,001         0.71         0.91         0.97         222  
    22.71         7.73         10,660         1.21         1.41         0.39         222  
    23.86           (0.17         10           0.54 (d)          0.74 (d)          1.00 (d)          222  
    21.57         20.41         94,053         0.96         1.20         0.63         234  
    19.67         19.51         19,448         1.71         1.95         (0.12       234  
    22.22         20.88         269,611         0.56         0.80         1.05         234  
    21.41         20.21         408         1.06         1.30         0.96         234  
    21.36         20.69         20,793         0.71         0.97         0.68         234  
    21.25           20.10           535           1.21           1.45           0.37           234  
    18.05         29.90         74,524         0.95         1.20         1.34 (f)        232  
    16.51         28.96         14,133         1.70         1.95         0.42 (f)        232  
    18.59         30.40         289,326         0.55         0.80         1.65 (f)        232  
    17.81         29.77         1,155         1.05         1.30         1.05 (f)        232  
    17.88         30.26         784         0.70         0.95         1.40 (f)        232  
    17.85           29.53           359           1.20           1.46           0.70 (f)          232  

 

The accompanying notes are an integral part of these financial statements.   73


Table of Contents

GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
        
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income (loss)(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 21.01      $ 0.11      $ 0.64      $ 0.75      $ (0.12
 

2018 - C

    20.82        0.03        0.63        0.66        (0.04
 

2018 - Institutional

    20.99        0.16        0.63        0.79        (0.16
 

2018 - Service

    21.09        0.10        0.64        0.74        (0.11
 

2018 - Investor

    20.94        0.13        0.65        0.78        (0.15
 

2018 - P (Commenced April 16, 2018)

    21.87        (0.01      (0.25      (0.26       
 

2018 - R

    20.88        0.09        0.62        0.71        (0.09
 

2018 - R6

    20.99        0.15        0.63        0.78        (0.16
               
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    17.27        0.27        3.77        4.04        (0.30
 

2017 - C

    17.12        0.11        3.75        3.86        (0.16
 

2017 - Institutional

    17.25        0.35        3.77        4.12        (0.38
 

2017 - Service

    17.34        0.25        3.79        4.04        (0.29
 

2017 - Investor

    17.22        0.34        3.74        4.08        (0.36
 

2017 - R

    17.18        0.24        3.73        3.97        (0.27
 

2017 - R6

    17.25        0.36        3.77        4.13        (0.39
 

2016 - A

    16.92        0.23        0.33        0.56        (0.21
 

2016 - C

    16.78        0.10        0.33        0.43        (0.09
 

2016 - Institutional

    16.91        0.29        0.32        0.61        (0.27
 

2016 - Service

    16.99        0.21        0.33        0.54        (0.19
 

2016 - Investor

    16.88        0.26        0.33        0.59        (0.25
 

2016 - R

    16.84        0.18        0.33        0.51        (0.17
 

2016 - R6

    16.90        0.29        0.34        0.63        (0.28
 

2015 - A

    16.86        0.24        0.06        0.30        (0.24
 

2015 - C

    16.71        0.11        0.07        0.18        (0.11
 

2015 - Institutional

    16.85        0.31        0.06        0.37        (0.31
 

2015 - Service

    16.92        0.22        0.07        0.29        (0.22
 

2015 - Investor

    16.81        0.27        0.08        0.35        (0.28
 

2015 - R

    16.81        0.18        0.08        0.26        (0.23
 

2015 - R6 (Commenced July 31, 2015)

    17.23        0.07        (0.32      (0.25      (0.08
 

2014 - A

    14.75        0.16        2.10        2.26        (0.15
 

2014 - C

    14.63        0.04        2.08        2.12        (0.04
 

2014 - Institutional

    14.74        0.22        2.11        2.33        (0.22
 

2014 - Service

    14.81        0.14        2.11        2.25        (0.14
 

2014 - Investor

    14.72        0.21        2.08        2.29        (0.20
 

2014 - R

    14.71        0.08        2.13        2.21        (0.11
 

2013 - A

    11.49        0.25 (e)       3.22        3.47        (0.21
 

2013 - C

    11.40        0.12 (e)       3.23        3.35        (0.12
 

2013 - Institutional

    11.48        0.28 (e)       3.25        3.53        (0.27
 

2013 - Service

    11.54        0.21 (e)       3.26        3.47        (0.20
 

2013 - Investor

    11.47        0.23 (e)       3.27        3.50        (0.25
 

2013 - R

    11.46        0.16 (e)       3.28        3.44        (0.19

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Reflects income recognized from a special dividend which amounted to $0.04 per share and 0.32% of average net assets.

 

74   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 21.64         3.56     $ 62,727         0.95 %(d)        1.01 %(d)        1.05 %(d)        86
    21.44         3.18         11,514         1.70 (d)        1.76 (d)        0.28 (d)        86  
    21.62         3.75         90,951         0.56 (d)        0.63 (d)        1.44 (d)        86  
    21.72         3.49         8,829         1.06 (d)        1.12 (d)        0.93 (d)        86  
    21.57         3.70         47,092         0.70 (d)        0.76 (d)        1.23 (d)        86  
    21.61         (1.19       10         0.55 (d)        0.55 (d)        (1.61 )(d)        86  
    21.50         3.42         5,672         1.20 (d)        1.26 (d)        0.80 (d)        86  
    21.61         3.72         219,661         0.55 (d)        0.59 (d)        1.37 (d)        86  
                         
                         
    21.01         23.51         63,848         0.96         1.10         1.37         208  
    20.82         22.59         10,601         1.71         1.85         0.59         208  
    20.99         24.02         261,684         0.56         0.70         1.78         208  
    21.09         23.37         8,403         1.06         1.20         1.28         208  
    20.94         23.79         29,871         0.71         0.84         1.70         208  
    20.88         23.19         5,240         1.21         1.34         1.22         208  
    20.99           24.05           75           0.55           0.67           1.81           208  
    17.27         3.35         60,942         0.96         1.15         1.36         229  
    17.12         2.56         13,437         1.71         1.90         0.61         229  
    17.25         3.69         341,830         0.56         0.75         1.73         229  
    17.34         3.22         6,014         1.06         1.24         1.27         229  
    17.22         3.57         9,947         0.71         0.90         1.56         229  
    17.18         3.08         1,877         1.21         1.40         1.07         229  
    17.25           3.76           10           0.54           0.74           1.77           229  
    16.92         1.82         62,150         0.96         1.12         1.39         221  
    16.78         1.11         15,658         1.71         1.87         0.64         221  
    16.91         2.24         296,403         0.56         0.72         1.81         221  
    16.99         1.77         7,271         1.06         1.22         1.29         221  
    16.88         2.14         5,425         0.71         0.87         1.60         221  
    16.84         1.56         1,270         1.21         1.37         1.07         221  
    16.90           (1.41         10           0.58 (d)          0.74 (d)          1.62 (d)          221  
    16.86         15.42         62,704         0.96         1.14         1.00         222  
    16.71         14.50         16,567         1.71         1.89         0.25         222  
    16.85         15.89         389,534         0.56         0.74         1.39         222  
    16.92         15.24         6,062         1.06         1.24         0.91         222  
    16.81         15.62         5,238         0.71         0.88         1.27         222  
    16.81           15.13           332           1.21           1.39           0.49           222  
    14.75         30.54         52,993         0.95         1.14         1.95 (e)        221  
    14.63         29.61         13,723         1.70         1.90         0.91 (e)        221  
    14.74         31.13         245,662         0.55         0.75         2.21 (e)        221  
    14.81         30.40         5,061         1.05         1.25         1.64 (e)        221  
    14.72         30.88         293         0.71         0.91         1.72 (e)        221  
    14.71           30.25           79           1.20           1.40           1.23 (e)          221  

 

The accompanying notes are an integral part of these financial statements.   75


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
        
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income (loss)(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 24.77      $ 0.01      $ 0.91      $ 0.92      $  
 

2018 - C

    21.56        (0.08      0.79        0.71         
 

2018 - Institutional

    25.73        0.05        0.95        1.00        (0.07
 

2018 - Service

    24.41        (0.01      0.91        0.90         
 

2018 - Investor

    24.61        0.03        0.92        0.95        (0.02
 

2018 - P (Commenced April 16, 2018)

    27.21        (0.01      (0.53      (0.54       
 

2018 - R

    24.29        (0.03      0.90        0.87         
 

2018 - R6

    25.73        0.07        0.95        1.02        (0.08
               
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    19.73        0.04        5.06        5.10        (0.06
 

2017 - C

    17.25        (0.11      4.42        4.31         
 

2017 - Institutional

    20.47        0.13        5.27        5.40        (0.14
 

2017 - Service

    19.44        0.01        5.00        5.01        (0.04
 

2017 - Investor

    19.61        0.14        4.99        5.13        (0.13
 

2017 - R

    19.36        (0.02      4.98        4.96        (0.03
 

2017 - R6

    20.47        0.11        5.29        5.40        (0.14
 

2016 - A

    19.10        0.08        0.58        0.66        (0.03
 

2016 - C

    16.81        (0.05      0.49        0.44         
 

2016 - Institutional

    19.84        0.17        0.57        0.74        (0.11
 

2016 - Service

    18.82        0.06        0.56        0.62         
 

2016 - Investor

    19.02        0.09        0.59        0.68        (0.09
 

2016 - R

    18.78        0.03        0.55        0.58        (e) 
 

2016 - R6

    19.84        0.17        0.58        0.75        (0.12
 

2015 - A

    18.25        0.03        0.82        0.85         
 

2015 - C

    16.18        (0.10      0.73        0.63         
 

2015 - Institutional

    18.94        0.11        0.86        0.97        (0.07
 

2015 - Service

    18.00        0.02        0.80        0.82         
 

2015 - Investor

    18.14        0.06        0.84        0.90        (0.02
 

2015 - R

    17.98        (0.02      0.82        0.80         
 

2015 - R6 (Commenced July 31, 2015)

    20.22        0.02        (0.40      (0.38       
 

2014 - A

    16.86        0.01        1.52        1.53        (0.14
 

2014 - C

    15.01        (0.11      1.36        1.25        (0.08
 

2014 - Institutional

    17.48        0.09        1.57        1.66        (0.20
 

2014 - Service

    16.64        (0.01      1.50        1.49        (0.13
 

2014 - Investor

    16.70        0.08        1.48        1.56        (0.12
 

2014 - R

    16.67        (0.03      1.49        1.46        (0.15
 

2013 - A

    12.93        0.20 (f)       3.75        3.95        (0.02
 

2013 - C

    11.57        0.06 (f)       3.38        3.44         
 

2013 - Institutional

    13.42        0.25 (f)       3.91        4.16        (0.10
 

2013 - Service

    12.78        0.17 (f)       3.72        3.89        (0.03
 

2013 - Investor

    12.83        0.23 (f)       3.72        3.95        (0.08
 

2013 - R

    12.81        0.03 (f)       3.86        3.89        (0.03

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Amount is less than $0.005 per share.
  (f)   Reflects income recognized from special dividends which amounted to $0.13 per share and 0.85% of average net assets.

 

76   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 25.69         3.71     $ 41,285         1.23 %(d)        1.29 %(d)        0.04 %(d)        55
    22.27         3.39         9,025         1.98 (d)        2.04 (d)        (0.71 )(d)        55  
    26.66         3.93         129,398         0.84 (d)        0.92 (d)        0.40 (d)        55  
    25.31         3.69         1,254         1.34 (d)        1.39 (d)        (0.05 )(d)        55  
    25.54         3.86         7,638         0.98 (d)        0.99 (d)        0.25 (d)        55  
    26.67         (1.98       10         0.84 (d)        0.84 (d)        (0.97 )(d)        55  
    25.16         3.62         14,339         1.48 (d)        1.54 (d)        (0.21 )(d)        55  
    26.67         3.96         123,511         0.83 (d)        0.81 (d)        0.56 (d)        55  
                         
                         
    24.77         25.87         41,945         1.24         1.43         0.16         137  
    21.56         24.93         9,439         1.99         2.18         (0.56       137  
    25.73         26.44         231,226         0.84         1.03         0.56         137  
    24.41         25.77         769         1.34         1.53         0.06         137  
    24.61         26.22         2,684         0.99         1.17         0.60         137  
    24.29         25.60         15,284         1.49         1.68         (0.10       137  
    25.73           26.45           337           0.83           1.02           0.47           137  
    19.73         3.44         31,733         1.25         1.49         0.43         144  
    17.25         2.61         12,133         2.00         2.24         (0.32       144  
    20.47         3.77         176,644         0.85         1.08         0.84         144  
    19.44         3.29         651         1.35         1.59         0.31         144  
    19.61         3.63         7,462         0.99         1.22         0.45         144  
    19.36         3.11         9,954         1.50         1.74         0.18         144  
    20.47           3.81           35           0.83           1.06           0.85           144  
    19.10         4.66         34,680         1.26         1.47         0.15         127  
    16.81         3.89         14,153         2.01         2.22         (0.60       127  
    19.84         5.13         81,067         0.86         1.07         0.57         127  
    18.82         4.56         959         1.36         1.58         0.12         127  
    19.02         4.99         1,119         1.01         1.23         0.32         127  
    18.78         4.45         8,986         1.51         1.72         (0.11       127  
    19.84           (1.88         10           0.86 (d)          1.06 (d)          0.38 (d)          127  
    18.25         9.16         40,458         1.27         1.51         0.07         130  
    16.18         8.33         15,348         2.02         2.26         (0.68       130  
    18.94         9.58         119,013         0.87         1.11         0.47         130  
    18.00         9.02         1,769         1.37         1.60         (0.04       130  
    18.14         9.39         448         1.02         1.24         0.47         130  
    17.98           8.83           8,126           1.52           1.76           (0.18         130  
    16.86         30.64         42,607         1.26         1.46         1.39 (f)        151  
    15.01         29.73         16,202         2.01         2.21         0.45 (f)        151  
    17.48         31.18         134,276         0.86         1.06         1.61 (f)        151  
    16.64         30.55         2,514         1.36         1.56         1.13 (f)        151  
    16.70         30.94         1,767         1.01         1.21         1.62 (f)        151  
    16.67           30.39           7,450           1.51           1.73           0.18 (f)          151  

 

The accompanying notes are an integral part of these financial statements.   77


Table of Contents

GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
     Distributions
to shareholders
 
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income
(loss)(a)
    Net realized
and unrealized
gain (loss)
    Total from
investment
operations
     From net
investment
income
    From net
realized
gains
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 36.71      $ (0.07   $ 1.94     $ 1.87      $ (d)    $ (1.53    $ (1.53
 

2018 - C

    29.12        (0.16     1.51       1.35              (1.53      (1.53
 

2018 - Institutional

    42.53        (d)      2.25       2.25              (1.53      (1.53
 

2018 - Investor

    37.50        (0.02     1.98       1.96              (1.53      (1.53
 

2018 - P (Commenced April 16, 2018)

    44.33        (0.02     (1.04     (1.06                    
 

2018 - R

    35.53        (0.11     1.87       1.76              (1.53      (1.53
 

2018 - R6

    42.54        (d)      2.25       2.25              (1.53      (1.53
                  
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    28.34        (0.07     8.44       8.37                      
 

2017 - C

    22.64        (0.25     6.73       6.48                      
 

2017 - Institutional

    32.76        0.05       9.79       9.84        (0.07            (0.07
 

2017 - Investor

    28.93        (d)      8.63       8.63        (0.06            (0.06
 

2017 - R

    27.49        (0.16     8.20       8.04                      
 

2017 - R6

    32.78        0.04       9.80       9.84        (0.08            (0.08
 

2016 - A

    31.15        (d)      (0.12 )(f)      (0.12            (2.69      (2.69
 

2016 - C

    25.61        (0.16     (0.12 )(f)      (0.28            (2.69      (2.69
 

2016 - Institutional

    35.46        0.13       (0.14 )(f)      (0.01            (2.69      (2.69
 

2016 - Investor

    31.68        0.01       (0.07 )(f)      (0.06            (2.69      (2.69
 

2016 - R

    30.37        (0.06     (0.13 )(f)      (0.19            (2.69      (2.69
 

2016 - R6

    35.46        0.13       (0.12 )(f)      0.01              (2.69      (2.69
 

2015 - A

    31.17        (0.10     1.87       1.77              (1.79      (1.79
 

2015 - C

    26.12        (0.28     1.56       1.28              (1.79      (1.79
 

2015 - Institutional

    35.10        0.02       2.13       2.15              (1.79      (1.79
 

2015 - Investor

    31.59        (0.04     1.92       1.88              (1.79      (1.79
 

2015 - R

    30.51        (0.18     1.83       1.65              (1.79      (1.79
 

2015 - R6 (Commenced July 31, 2015)

    36.95        (0.01     (1.48     (1.49                    
 

2014 - A

    31.10        (0.10     2.67       2.57              (2.50      (2.50
 

2014 - C

    26.64        (0.27     2.25       1.98              (2.50      (2.50
 

2014 - Institutional

    34.59        0.01       3.00       3.01              (2.50      (2.50
 

2014 - Investor

    31.41        (0.04     2.72       2.68              (2.50      (2.50
 

2014 - R

    30.56        (0.19     2.64       2.45              (2.50      (2.50
 

2013 - A

    23.40        0.18 (g)      7.70       7.88        (0.18            (0.18
 

2013 - C

    20.09        (0.03 )(g)      6.63       6.60        (0.05            (0.05
 

2013 - Institutional

    26.01        0.29 (g)      8.57       8.86        (0.28            (0.28
 

2013 - Investor

    23.64        0.18 (g)      7.83       8.01        (0.24            (0.24
 

2013 - R

    23.08        (d)(g)      7.68       7.68        (0.20            (0.20

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Amount is less than $0.005 per share.
  (e)   Annualized.
  (f)   The amount shown for a share outstanding does not correspond with the aggregate net gain on investments for during the period due to the timing of sales and redemptions of Fund shares in relation to the fluctuating market values of the investments of the Fund.
  (g)   Reflects income recognized from special dividends which amounted to $0.17 per share and 0.65% of average net assets.

 

78   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 37.05         5.30     $ 78,877         1.20 %(e)        1.31 %(e)        (0.36 )%(e)        54
    28.94         4.88         10,198         1.96 (e)        2.06 (e)        (1.11 )(e)        54  
    43.25         5.50         278,666         0.84 (e)        0.91 (e)        0.01 (e)        54  
    37.93         5.43         257,760         0.96 (e)        1.05 (e)        (0.12 )(e)        54  
    43.27         (2.39       10         0.84 (e)        0.84 (e)        (0.89 )(e)        54  
    35.76         5.16         16,055         1.46 (e)        1.55 (e)        (0.61 )(e)        54  
    43.26         5.47         61,419         0.83 (e)        0.90 (e)        (e)        54  
                         
                         
    36.71         29.53         77,969         1.22         1.40         (0.21       136  
    29.12         28.62         9,852         1.97         2.15         (0.95       136  
    42.53         30.04         265,199         0.85         1.01         0.13         136  
    37.50         29.87         192,860         0.96         1.16         0.01         136  
    35.53         29.25         12,113         1.46         1.66         (0.50       136  
    42.54           30.05           42,042           0.83           1.00           0.09           136  
    28.34         (0.37       65,195         1.25         1.51                 139  
    22.64         (1.14       7,420         2.00         2.26         (0.74       139  
    32.76         0.01         91,248         0.85         1.11         0.40         139  
    28.93         (0.15       47,826         1.00         1.23         0.04         139  
    27.49         (0.63       3,689         1.50         1.76         (0.21       139  
    32.78           0.07           6,667           0.83           1.06           0.40           139  
    31.15         5.95         43,647         1.26         1.60         (0.33       145  
    25.61         5.18         7,964         2.01         2.36         (1.06       145  
    35.46         6.39         64,023         0.86         1.20         0.06         145  
    31.68         6.24         4,683         1.01         1.33         (0.12       145  
    30.37         5.67         2,299         1.51         1.85         (0.60       145  
    35.46           (4.03         10           0.85 (e)          1.16 (e)          (0.07 )(e)          145  
    31.17         8.74         32,390         1.30         1.86         (0.33       162  
    26.12         7.96         7,124         2.05         2.61         (1.08       162  
    35.10         9.15         30,166         0.90         1.47         0.02         162  
    31.59         9.02         1,269         1.05         1.62         (0.12       162  
    30.51           8.48           847           1.54           2.09           (0.63         162  
    31.10         33.98         30,803         1.30         1.93         0.67 (g)        163  
    26.64         32.92         7,402         2.05         2.68         (0.12 )(g)        163  
    34.59         34.48         14,171         0.90         1.53         0.96 (g)        163  
    31.41         34.25         639         1.05         1.71         0.62 (g)        163  
    30.56           33.60           209           1.55           2.18           (0.01 )(g)          163  

 

The accompanying notes are an integral part of these financial statements.   79


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
     Distributions
to shareholders
 
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income (loss)(a)
    Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     From net
investment
income
     From net
realized
gains
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 46.29      $ 0.11     $ 1.47      $ 1.58      $ (0.17    $ (4.72    $ (4.89
 

2018 - C

    34.65        (0.04     1.07        1.03               (4.72      (4.72
 

2018 - Institutional

    59.38        0.25       1.92        2.17        (0.33      (4.72      (5.05
 

2018 - Investor

    46.17        0.15       1.48        1.63        (0.27      (4.72      (4.99
 

2018 - P (Commenced April 16, 2018)

    57.05        (0.02     (0.54      (0.56                     
 

2018 - R

    45.57        0.05       1.45        1.50               (4.72      (4.72
 

2018 - R6

    59.38        0.25       1.93        2.18        (0.35      (4.72      (5.07
                    
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    38.86        0.23 (e)      9.04        9.27        (0.25      (1.59      (1.84
 

2017 - C

    29.53        (0.07 )(e)      6.85        6.78        (0.07      (1.59      (1.66
 

2017 - Institutional

    49.35        0.50 (e)      11.53        12.03        (0.41      (1.59      (2.00
 

2017 - Investor

    38.78        0.31 (e)      9.05        9.36        (0.38      (1.59      (1.97
 

2017 - R

    38.32        0.14 (e)      8.89        9.03        (0.19      (1.59      (1.78
 

2017 - R6

    49.35        0.46 (e)      11.56        12.02        (0.40      (1.59      (1.99
 

2016 - A

    38.37        0.28       2.55        2.83        (0.29      (2.05      (2.34
 

2016 - C

    29.75        0.01       1.92        1.93        (0.10      (2.05      (2.15
 

2016 - Institutional

    48.06        0.55       3.23        3.78        (0.44      (2.05      (2.49
 

2016 - Investor

    38.31        0.37       2.54        2.91        (0.39      (2.05      (2.44
 

2016 - R

    37.99        0.20       2.50        2.70        (0.32      (2.05      (2.37
 

2016 - R6

    48.07        0.55       3.23        3.78        (0.45      (2.05      (2.50
 

2015 - A

    38.89        0.30       (0.09      0.21        (0.14      (0.59      (0.73
 

2015 - C

    30.40              (0.06      (0.06             (0.59      (0.59
 

2015 - Institutional

    48.49        0.55       (0.10      0.45        (0.29      (0.59      (0.88
 

2015 - Investor

    38.84        0.39       (0.10      0.29        (0.23      (0.59      (0.82
 

2015 - R

    38.50        0.14       (0.04      0.10        (0.02      (0.59      (0.61
 

2015 - R6 (Commenced July 31, 2015)

    48.87        0.10       (0.90      (0.80                     
 

2014 - A

    35.97        0.15       2.95        3.10        (0.18             (0.18
 

2014 - C

    28.20        (0.10     2.31        2.21        (0.01             (0.01
 

2014 - Institutional

    44.76        0.38       3.67        4.05        (0.32             (0.32
 

2014 - Investor

    35.92        0.25       2.94        3.19        (0.27             (0.27
 

2014 - R

    35.62        0.07       2.92        2.99        (0.11             (0.11
 

2013 - A

    28.75        0.42 (f)      7.12        7.54        (0.32             (0.32
 

2013 - C

    22.62        0.15 (f)      5.60        5.75        (0.17             (0.17
 

2013 - Institutional

    35.67        0.69 (f)      8.84        9.53        (0.44             (0.44
 

2013 - Investor

    28.75        0.49 (f)      7.11        7.60        (0.43             (0.43
 

2013 - R

    28.54        0.31 (f)      7.09        7.40        (0.32             (0.32

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Reflects income recognized from special dividends which amounted to $0.03 per share and 0.07% of average net assets.
  (f)   Reflects income recognized from special dividends which amounted to $0.20 per share and 0.65% of average net assets.

 

80   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 42.98         3.73     $ 100,131         1.23 %(d)        1.37 %(d)        0.49 %(d)        57
    30.96         3.34         16,317         1.98 (d)        2.12 (d)        (0.26 )(d)        57  
    56.50         3.92         71,946         0.84 (d)        0.97 (d)        0.88 (d)        57  
    42.81         3.86         5,232         0.98 (d)        1.12 (d)        0.72 (d)        57  
    56.49         (0.98       10         0.84 (d)        0.84 (d)        (1.05 )(d)        57  
    42.35         3.59         1,585         1.48 (d)        1.62 (d)        0.26 (d)        57  
    56.49         3.93         6,127         0.83 (d)        0.96 (d)        0.89 (d)        57  
                         
                         
    46.29         23.98         102,127         1.24         1.49         0.53 (e)        138  
    34.65         23.09         17,037         1.99         2.24         (0.22 )(e)        138  
    59.38         24.49         56,191         0.84         1.09         0.90 (e)        138  
    46.17         24.30         5,695         0.99         1.24         0.72 (e)        138  
    45.57         23.67         1,621         1.49         1.73         0.33 (e)        138  
    59.38           24.49           4,542           0.83           1.11           0.83 (e)          138  
    38.86         7.99         91,210         1.25         1.54         0.78         129  
    29.53         7.15         15,224         2.00         2.29         0.03         129  
    49.35         8.41         21,717         0.85         1.14         1.19         129  
    38.78         8.26         1,925         1.00         1.29         1.02         129  
    38.32         7.72         5,762         1.50         1.79         0.55         129  
    49.35           8.41           11           0.84           1.14           1.18           129  
    38.37         0.53         93,151         1.25         1.52         0.76         133  
    29.75         (0.21       16,416         2.00         2.27         0.01         133  
    48.06         0.93         21,036         0.85         1.12         1.13         133  
    38.31         0.76         1,774         1.00         1.27         1.00         133  
    37.99         0.27         4,992         1.51         1.77         0.36         133  
    48.07           (1.64         10           0.83 (d)          1.09 (d)          0.83 (d)          133  
    38.89         8.66         96,094         1.27         1.59         0.41         114  
    30.40         7.84         18,994         2.02         2.34         (0.34       114  
    48.49         9.12         15,973         0.87         1.20         0.81         114  
    38.84         8.94         1,788         1.02         1.35         0.66         114  
    38.50           8.40           1,176           1.52           1.84           0.18           114  
    35.97         26.54         99,381         1.26         1.54         1.32 (f)        141  
    28.20         25.63         19,416         2.00         2.29         0.58 (f)        141  
    44.76         27.05         12,204         0.86         1.13         1.74 (f)        141  
    35.92         26.91         1,310         1.01         1.29         1.53 (f)        141  
    35.62           26.21           1,154           1.51           1.79           0.96 (f)          141  

 

The accompanying notes are an integral part of these financial statements.   81


Table of Contents

GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               From
Investment Operations
     Distributions
to shareholders
 
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income
(loss)(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     From net
investment
income
     From net
realized
gains
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 49.73      $ 0.17      $ 2.06      $ 2.23      $ (0.45    $ (4.38    $ (4.83
 

2018 - C

    45.08        (0.01      1.87        1.86        (0.13      (4.38      (4.51
 

2018 - Institutional

    51.21        0.27        2.12        2.39        (0.63      (4.38      (5.01
 

2018 - Service

    49.47        0.14        2.05        2.19        (0.43      (4.38      (4.81
 

2018 - Investor

    49.22        0.22        2.04        2.26        (0.58      (4.38      (4.96
 

2018 - P (Commenced April 16, 2018)

    49.09        (0.01      (0.52      (0.53                     
 

2018 - R

    48.89        0.11        2.02        2.13        (0.42      (4.38      (4.80
 

2018 - R6

    51.19        0.27        2.12        2.39        (0.64      (4.38      (5.02
                     
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    40.76        0.49        10.17        10.66        (0.31      (1.38      (1.69
 

2017 - C

    37.10        0.13        9.25        9.38        (0.02      (1.38      (1.40
 

2017 - Institutional

    41.92        0.70        10.45        11.15        (0.48      (1.38      (1.86
 

2017 - Service

    40.60        0.43        10.14        10.57        (0.32      (1.38      (1.70
 

2017 - Investor

    40.39        0.61        10.05        10.66        (0.45      (1.38      (1.83
 

2017 - R

    40.12        0.37        10.01        10.38        (0.23      (1.38      (1.61
 

2017 - R6

    41.91        0.82        10.33        11.15        (0.49      (1.38      (1.87
 

2016 - A

    41.46        0.38        0.49        0.87        (0.38      (1.19      (1.57
 

2016 - C

    37.88        0.08        0.44        0.52        (0.11      (1.19      (1.30
 

2016 - Institutional

    42.60        0.54        0.52        1.06        (0.55      (1.19      (1.74
 

2016 - Service

    41.37        0.33        0.50        0.83        (0.41      (1.19      (1.60
 

2016 - Investor

    41.13        0.45        0.50        0.95        (0.50      (1.19      (1.69
 

2016 - R

    40.91        0.27        0.49        0.76        (0.36      (1.19      (1.55
 

2016 - R6

    42.60        0.56        0.50        1.06        (0.56      (1.19      (1.75
 

2015 - A

    40.20        0.43        1.12        1.55        (0.29             (0.29
 

2015 - C

    36.78        0.11        1.03        1.14        (0.04             (0.04
 

2015 - Institutional

    41.29        0.60        1.16        1.76        (0.45             (0.45
 

2015 - Service

    40.12        0.36        1.15        1.51        (0.26             (0.26
 

2015 - Investor

    39.89        0.51        1.13        1.64        (0.40             (0.40
 

2015 - R

    39.80        0.26        1.18        1.44        (0.33             (0.33
 

2015 - R6 (Commenced July 31, 2015)

    43.19        0.14        (0.73      (0.59                     
 

2014 - A

    34.52        0.33        5.71        6.04        (0.36             (0.36
 

2014 - C

    31.63        0.05        5.24        5.29        (0.14             (0.14
 

2014 - Institutional

    35.44        0.49        5.86        6.35        (0.50             (0.50
 

2014 - Service

    34.44        0.29        5.71        6.00        (0.32             (0.32
 

2014 - Investor

    34.26        0.42        5.67        6.09        (0.46             (0.46
 

2014 - R

    34.16        0.23        5.67        5.90        (0.26             (0.26
 

2013 - A

    26.80        0.44        7.68        8.12        (0.40             (0.40
 

2013 - C

    24.59        0.19        7.07        7.26        (0.22             (0.22
 

2013 - Institutional

    27.51        0.53        7.91        8.44        (0.51             (0.51
 

2013 - Service

    26.76        0.41        7.65        8.06        (0.38             (0.38
 

2013 - Investor

    26.62        0.45        7.67        8.12        (0.48             (0.48
 

2013 - R

    26.58        0.36        7.61        7.97        (0.39             (0.39

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.

 

82   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 47.13         4.60     $ 281,489         0.95 %(d)        0.99 %(d)        0.70 %(d)        86
    42.43         4.21         28,453         1.70 (d)        1.74 (d)        (0.04 )(d)        86  
    48.59         4.81         321,907         0.56 (d)        0.60 (d)        1.08 (d)        86  
    46.85         4.54         6,322         1.06 (d)        1.11 (d)        0.60 (d)        86  
    46.52         4.74         49,435         0.70 (d)        0.74 (d)        0.95 (d)        86  
    48.56         (1.08       10         0.56 (d)        0.56 (d)        (0.27 )(d)        86  
    46.22         4.48         50,896         1.20 (d)        1.25 (d)        0.46 (d)        86  
    48.56         4.81         3,606         0.55 (d)        0.59 (d)        1.09 (d)        86  
                         
                         
    49.73         26.89         278,516         0.96         1.14         1.08         193  
    45.08         25.93         28,756         1.71         1.89         0.31         193  
    51.21         27.40         249,034         0.56         0.74         1.50         193  
    49.47         26.76         6,739         1.06         1.24         0.96         193  
    49.22         27.21         43,290         0.71         0.89         1.36         193  
    48.89         26.58         51,263         1.21         1.39         0.84         193  
    51.19           27.41           2,557           0.55           0.71           1.70           193  
    40.76         2.25         251,466         0.96         1.18         0.96         213  
    37.10         1.48         31,377         1.71         1.93         0.21         213  
    41.92         2.66         177,412         0.56         0.78         1.33         213  
    40.60         2.15         5,473         1.06         1.28         0.83         213  
    40.39         2.48         18,322         0.71         0.93         1.13         213  
    40.12         1.99         30,341         1.21         1.43         0.70         213  
    41.91           2.66           60           0.55           0.77           1.36           213  
    41.46         3.86         272,738         0.96         1.17         1.04         224  
    37.88         3.09         37,811         1.71         1.92         0.28         224  
    42.60         4.27         121,863         0.56         0.77         1.42         224  
    41.37         3.75         3,344         1.06         1.27         0.86         224  
    41.13         4.12         4,615         0.71         0.92         1.24         224  
    40.91         3.58         27,685         1.21         1.42         0.64         224  
    42.60           (1.37         10           0.55 (d)          0.74 (d)          1.37 (d)          224  
    40.20         17.67         275,574         0.97         1.21         0.88         222  
    36.78         16.80         36,503         1.72         1.96         0.13         222  
    41.29         18.14         105,300         0.57         0.81         1.27         222  
    40.12         17.57         1,132         1.07         1.31         0.78         222  
    39.89         17.98         1,003         0.72         0.96         1.13         222  
    39.80           17.42           457           1.22           1.46           0.63           222  
    34.52         30.75         256,626         0.95         1.21         1.46         203  
    31.63         29.78         34,143         1.70         1.96         0.70         203  
    35.44         31.27         64,809         0.56         0.82         1.70         203  
    34.44         30.57         1,020         1.05         1.31         1.37         203  
    34.26         31.06         546         0.71         0.97         1.48         203  
    34.16           30.42           343           1.20           1.46           1.19           203  

 

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Notes to Financial Statements

April 30, 2018 (Unaudited)

 

1. ORGANIZATION

 

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:

 

Fund      Share Classes Offered   

Diversified/

Non-diversified

Large Cap Growth Insights,

Large Cap Value Insights,

Small Cap Equity Insights and

U.S. Equity Insights

    

A, C, Institutional, Service, Investor, P*, R and R6

   Diversified

Small Cap Growth Insights and

Small Cap Value Insights

    

A, C, Institutional, Investor, P*, R and R6

   Diversified

 

*   Commenced operations on April 16, 2018.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R and Class R6 Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

D.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to

 

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2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:

 

Fund         Income Distributions
Declared/Paid
   Capital Gains Distributions
Declared/Paid

Large Cap Value Insights

       Quarterly    Annually

Large Cap Growth Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights

       Annually    Annually

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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 levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

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.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

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 are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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, and are generally classified as Level 2.

Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Government Money Market Fund’s accounting policies and investment holdings, please see the Government Money Market Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A 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.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and 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.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. 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. 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 Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.

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.

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

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. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies. 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. GSAM did not develop the unobservable inputs for the valuation of Level 3 Assets and Liabilities.

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of April 30, 2018:

LARGE CAP GROWTH INSIGHTS  
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Europe

   $ 36,386,804        $         —        $         —  

North America

     1,971,675,647                    

Investment Company

     23,211,669                    
Total    $ 2,031,274,120        $        $  
Derivative Type                            
Liabilities(b)             

Futures Contracts

   $ (1,795,490      $        $  
LARGE CAP VALUE INSIGHTS             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Europe

   $ 13,513,844        $        $  

North America

     421,011,642                    

Investment Company

     4,657,952                    
Total    $ 439,183,438        $        $  
Derivative Type                            
Liabilities(b)             

Futures Contracts

   $ (383,227      $        $  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

SMALL CAP EQUITY INSIGHTS             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Asia

   $ 45,108        $         —        $  

Europe

     800,085                    

North America

     316,885,267                    

Investment Company

     5,751,978                    

Securities Lending Reinvestment Vehicle

     2,861,925                    
Total    $ 326,344,363        $        $  
Derivative Type                            
Liabilities(b)             

Futures Contracts

   $ (152,508      $        $  
SMALL CAP GROWTH INSIGHTS             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Asia

   $ 329,719        $        $  

Europe

     140,736                    

North America

     681,967,404                   89,628  

Investment Company

     11,800,978                    

Securities Lending Reinvestment Vehicle

     12,825,038                    
Total    $ 707,063,875        $        $ 89,628  
Derivative Type                            
Liabilities(b)             

Futures Contracts

   $ (356,413      $        $  
SMALL CAP VALUE INSIGHTS             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Europe

   $ 208,722        $        $  

North America

     195,471,943                    

Investment Company

     2,510,778                    

Securities Lending Reinvestment Vehicle

     1,512,337                    
Total    $ 199,703,780        $        $  

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

SMALL CAP VALUE INSIGHTS (continued)             
Derivative Type    Level 1        Level 2        Level 3  
Liabilities(b)             

Futures Contracts

   $ (112,098      $         —        $         —  
U.S. EQUITY INSIGHTS             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Europe

   $ 11,034,061        $        $  

North America

     712,001,586                    

Investment Company

     9,431,762                    
Total    $ 732,467,409        $        $  
Derivative Type                            
Liabilities(b)             

Futures Contracts

   $ (660,002      $        $  

 

(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 noted in the table.
(b)   Amount shown represents unrealized gain (loss) at period end.

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

 

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2018. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

 

Risk              Fund         Statement of Assets
and Liabilities
        

Liabilities(a)

 

Equity

            Large Cap Growth Insights        Variation Margin on Futures Contracts         $ (1,795,490

Equity

            Large Cap Value Insights        Variation Margin on Futures Contracts           (383,227

Equity

            Small Cap Equity Insights        Variation Margin on Futures Contracts           (152,508

Equity

            Small Cap Growth Insights        Variation Margin on Futures Contracts           (356,413

Equity

            Small Cap Value Insights        Variation Margin on Futures Contracts           (112,098

Equity

            U.S. Equity Insights        Variation Margin on Futures Contracts           (660,002

 

(a)   Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of April 30, 2018 is reported within the Statements of Assets and Liabilities.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

4. INVESTMENTS IN DERIVATIVES (continued)

 

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2018. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

 

Risk         Fund    Net Realized
Gain (Loss) from
Futures Contracts
     Net Change in
Unrealized
Gain (Loss) on
Futures Contracts
    Average
Number of
Contracts(a)
 
Equity        Large Cap Growth Insights    $ 2,751,036      $ (1,830,056     253  
Equity        Large Cap Value Insights      565,217        (383,227     45  
Equity        Small Cap Equity Insights      151,544        (152,508     82  
Equity        Small Cap Growth Insights      924,480        (852,373     126  
Equity        Small Cap Value Insights      326,711        (260,886     39  
Equity        U.S. Equity Insights      686,381        (660,002     84  

 

(a)   Average number of contracts is based on the month end balances for the six months ended April 30, 2018.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.

 

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS

 

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.    

For the six months ended April 30, 2018, contractual and effective net management fees with GSAM were at the following rates:

 

            Contractual Management Rate             Effective Net
Management
Rate
^
 
Fund            First
$1 billion
     Next
$1 billion
     Next
$3 billion
     Next
$3 billion
     Over
$8 billion
     Effective
Rate
    

Large Cap Growth Insights

            0.52      0.47      0.44      0.44      0.43      0.49      0.49

Large Cap Value Insights

            0.52        0.47        0.44        0.44        0.43        0.52        0.52  

Small Cap Equity Insights

            0.80        0.80        0.72        0.68        0.67        0.80        0.80  

Small Cap Growth Insights

            0.80        0.80        0.72        0.68        0.67        0.80        0.80  

Small Cap Value Insights

            0.80        0.80        0.72        0.68        0.67        0.80        0.80  

U.S. Equity Insights

            0.52        0.47        0.44        0.44        0.43        0.52        0.52  

 

^   Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

The Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds invest in Institutional Shares of the Government Money Market Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest, except those management fees it earns from the Portfolio’s investment of cash collateral received in connection with securities lending transactions in the Government Money Market Fund. For the six months ended April 30, 2018, the management fee waived by GSAM for each Fund was as follows:

 

Fund         Management
Fee Waived
 

Large Cap Growth Insights

       $ 17,154  

Large Cap Value Insights

         4,435  

Small Cap Equity Insights

         2,686  

Small Cap Growth Insights

         7,021  

Small Cap Value Insights

         1,738  

U.S. Equity Insights

         6,120  

B.  Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable, as set forth below.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds as set forth below.

 

     Distribution and Service Plan Rates  
      Class A*      Class C      Class R*      Service
Shares
 

Distribution and/or Service Plan

     0.25      0.75      0.50      0.25

 

*   With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2018, Goldman Sachs advised that it retained the following amounts:

 

         Front End
Sales Charge
       Contingent Deferred
Sales Charge
 
Fund         Class A        Class C  

Large Cap Growth Insights

       $ 32,986        $  

Large Cap Value Insights

         7,559          373  

Small Cap Equity Insights

         2,721          96  

Small Cap Growth Insights

         1,349           

Small Cap Value Insights

         2,301          1  

U.S. Equity Insights

         11,548          192  

D.  Service and/or Shareholder Administration Plans The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administration Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, respectively.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Effective February 28, 2017, Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.04% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Goldman Sachs Small Cap Growth Insights Fund. This arrangement was in effect at the start of fiscal year and discontinued as of February 28, 2018.

 

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets are 0.004%. These Other Expense limitations will remain in place through at least February 28, 2019 for Class A, Class C, Institutional, Service, Investor, Class R and Class R6 Shares, and through at least April 16, 2019 for Class P Shares, and prior to such dates, GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the six months ended April 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

 

Fund         Management
Fee Waiver
       Transfer
Agency Waivers/
Credits
       Other
Expense
Reimbursements
       Total
Expense
Reductions
 

Large Cap Growth Insights

       $ 17,154        $ 182        $ 164,624        $ 181,960  

Large Cap Value Insights

         4,435          25          115,895          120,355  

Small Cap Equity Insights

         2,686          16          88,416          91,118  

Small Cap Growth Insights

         7,021          41,525          229,615          278,161  

Small Cap Value Insights

         1,738          128          125,807          127,673  

U.S. Equity Insights

         6,120          139          141,464          147,723  

G.  Line of Credit Facility — As of April 30, 2018, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2018, the Funds did not have any borrowings under the facility. The facility was decreased to $770,000,000 effective May 1, 2018.

H.  Other Transactions with Affiliates — For the six months ended April 30, 2018, Goldman Sachs earned $743, $454, $266, $457, $94 and $370 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds, respectively.

As of April 30, 2018, the following Goldman Sachs Fund of Funds Portfolios and Goldman Sachs Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:

 

Fund         Goldman Sachs
Balanced Strategy
     Goldman Sachs
Equity Growth
Strategy
     Goldman Sachs
Growth
Strategy
     Goldman Sachs
Equity Growth
and Strategy
     Goldman Sachs
Enhanced
Dividend
Global Equity
 

Large Cap Value Insights

         5      10      18      17     

Small Cap Equity Insights

                7        10               16  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

As of April 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of 100% of outstanding Class P Shares of Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds.

The following table provides information about the Funds’ investments in the Government Money Market Fund as of and for the six months ended April 30, 2018:

 

Fund    Market
Value as of
October 31, 2017
       Purchased
at Cost
       Proceeds
from Sales
     Market
Value as of
April 30, 2017
       Shares as of
April 30, 2018
       Dividend
Income from
Affiliated
Investment
Companies
 

Large Cap Growth Insights

   $ 2,014,724        $ 148,223,628        $ (127,026,683    $ 23,211,669          23,211,669        $ 136,318  

Large Cap Value Insights

              76,592,273          (71,934,321      4,657,952          4,657,952          36,685  

Small Cap Equity Insights

     1,888,255          35,110,026          (31,246,303      5,751,978          5,751,978          20,718  

Small Cap Growth Insights

     6,845,839          90,952,983          (85,997,844      11,800,978          11,800,978          57,553  

Small Cap Value Insights

     2,138,517          22,921,677          (22,549,416      2,510,778          2,510,778          13,552  

U.S. Equity Insights

     7,537          86,677,388          (77,253,163      9,431,762          9,431,762          49,258  

 

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2018 were as follows:

 

Fund         Purchases        Sales and Maturities  

Large Cap Growth Insights

       $ 1,703,261,222        $ 1,640,795,708  

Large Cap Value Insights

         406,479,324          355,931,495  

Small Cap Equity Insights

         181,031,475          169,274,607  

Small Cap Growth Insights

         409,414,427          341,492,400  

Small Cap Value Insights

         114,339,386          106,155,336  

U.S. Equity Insights

         646,341,452          599,651,293  

 

7. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their 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 Funds’ securities lending procedures, the Funds receive 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 Funds, 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 Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities

 

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7. SECURITIES LENDING (continued)

 

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 Funds invest the cash collateral received in connection with securities lending transactions in the Government Money Market Fund, an affiliated series of the 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% (prior to February 21, 2018, GSAM may have received a management fee of up to 0.205%) on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The Large Cap Growth Insights, Large Cap Value Insights, and U.S. Equity Insights Funds did not have securities on loan as of April 30, 2018.

Both the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2018, are reported under Investment Income on the Statements of Operations.

The table below details securities lending activity with affiliates of Goldman Sachs:

 

         For the Period Ended April 30, 2018        Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned as of
April 30, 2018
 
Fund         Earnings of GSAL
Relating to
Securities
Loaned
       Amounts Received
by the Funds
from Lending to
Goldman Sachs
      

Large Cap Growth Insights

       $ 92        $ 15        $  

Large Cap Value Insights

         24                    

Small Cap Equity Insights

         3,854          5,405          230,325  

Small Cap Growth Insights

         15,437          9,870          1,921,200  

Small Cap Value Insights

         1,069          2,476          38,000  

U.S. Equity Insights

         4                    

The following table provides information about the Funds’ investments in the Government Money Market Fund for the six months ended April 30, 2018:

 

Fund              Beginning
Value as of
October 31, 2017
       Purchases
at Cost
       Proceeds
from Sales
       Ending
Value as of
April 30, 2018
 

Large Cap Growth Insights

            $        $ 13,035,500        $ (13,035,500      $  

Large Cap Value Insights

                       4,244,500          (4,244,500         

Small Cap Equity Insights

              3,814,124          21,898,736          (22,850,935        2,861,925  

Small Cap Growth Insights

              9,975,846          54,969,585          (52,120,393        12,825,038  

Small Cap Value Insights

              1,754,725          10,538,392          (10,780,780        1,512,337  

U.S. Equity Insights

                       3,410,900          (3,410,900         

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

8. TAX INFORMATION

 

As of the Funds’ most recent fiscal year end, October 31, 2017, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

 

      Large Cap
Growth
Insights
     Large Cap
Value
Insights
     Small Cap
Equity
Insights
     Small Cap
Growth
Insights
    Small Cap
Value
Insights
     U.S
Equity
Insights
 

Timing differences (Qualified Late Year Ordinary Loss Deferrals):

   $      $      $      $ (218,113   $      $  

As of April 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

 

      Large Cap
Growth
Insights
     Large Cap
Value
Insights
     Small Cap
Equity
Insights
     Small Cap
Growth
Insights
     Small Cap
Value
Insights
     U.S.
Equity
Insights
 

Tax Cost

   $ 1,802,480,515      $ 422,668,739      $ 295,852,148      $ 627,932,603      $ 181,542,497      $ 657,684,806  

Gross unrealized gain

     275,328,279        32,566,326        42,085,593        100,254,963        125,134,242        93,700,803  

Gross unrealized loss

     (46,534,674      (16,051,627      (11,593,378      (21,034,063      (106,972,959      (18,918,200

Net unrealized gain

     228,793,605        16,514,699        30,492,215        79,220,900        18,161,283        74,782,603  

The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains (losses) on regulated futures contracts, and differences in the tax treatment of underlying fund investments and real estate investment trusts.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

 

9. OTHER RISKS

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.

 

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9. OTHER RISKS (continued)

 

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.

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 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 and is required to maintain 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 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.

Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds 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 Funds have unsettled or open transactions defaults.

 

10. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

 

11. SUBSEQUENT EVENTS

Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

12. SUMMARY OF SHARE TRANSACTIONS

 

Share activity is as follows:

 

    Large Cap Growth Insights Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    1,594,586     $ 49,119,902        5,156,133     $ 135,665,162  

Reinvestment of distributions

    368,877       11,027,208        42,896       1,054,814  

Shares redeemed

    (1,809,186     (55,777,691      (5,606,697     (147,687,466
      154,277       4,369,419        (407,668     (10,967,490
Class C Shares         

Shares sold

    332,880       9,217,542        706,134       16,925,441  

Reinvestment of distributions

    93,096       2,498,705               

Shares redeemed

    (279,922     (7,731,153      (679,932     (16,427,926
      146,054       3,985,094        26,202       497,515  
Institutional Shares         

Shares sold

    4,729,529       151,212,469        19,993,972       549,427,327  

Reinvestment of distributions

    1,221,475       37,829,628        146,880       3,721,935  

Shares redeemed

    (10,975,085     (339,315,615      (10,111,072     (283,638,805
      (5,024,081     (150,273,518      10,029,780       269,510,457  
Service Shares         

Shares sold

    317,142       9,635,346        2,147,028       58,878,257  

Reinvestment of distributions

    106,775       3,145,083        2,689       65,256  

Shares redeemed

    (366,155     (11,040,032      (437,214     (11,689,352
      57,762       1,740,397        1,712,503       47,254,161  
Investor Shares         

Shares sold

    3,345,442       101,757,810        12,034,053       319,213,183  

Reinvestment of distributions

    620,319       18,342,393        20,951       508,700  

Shares redeemed

    (2,147,923     (65,220,212      (1,950,131     (52,002,689
      1,817,838       54,879,991        10,104,873       267,719,194  
Class P Shares(a)         

Shares sold

    312       10,005               

Shares redeemed

          (5             
      312       10,000               
Class R Shares         

Shares sold

    191,329       5,722,229        554,938       14,366,418  

Reinvestment of distributions

    14,724       429,404        792       19,073  

Shares redeemed

    (185,854     (5,594,165      (453,392     (11,967,082
      20,199       557,468        102,338       2,418,409  
Class R6 Shares         

Shares sold

    9,006,117       276,208,570        4,149,527       117,545,233  

Reinvestment of distributions

    212,022       6,564,340        4,639       117,502  

Shares redeemed

    (841,881     (27,020,187      (227,276     (6,468,360
      8,376,258       255,752,723        3,926,890       111,194,375  

NET INCREASE (DECREASE)

    5,548,619     $ 171,021,574        25,494,918     $ 687,626,621  

 

(a)   Commenced operations on April 16, 2018.

 

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Large Cap Value Insights Fund     Small Cap Equity Insights Fund  
For the Six Months Ended
April 30, 2018
(Unaudited)
    For the Fiscal Year Ended
October 31, 2017
    For the Six Months Ended
April 30, 2018
(Unaudited)
    For the Fiscal Year Ended
October 31, 2017
 
Shares     Dollars     Shares     Dollars     Shares     Dollars     Shares     Dollars  
             
  490,798     $ 10,714,015       938,642     $ 18,325,585       112,668     $ 2,873,018       704,895     $ 16,033,151  
  13,850       299,526       41,408       831,300                   3,894       89,903  
  (644,711     (14,135,094     (1,470,486     (28,520,531     (199,168     (5,062,753     (624,039     (14,181,081
  (140,063     (3,121,553     (490,436     (9,363,646     (86,500     (2,189,735     84,750       1,941,973  
             
  95,546       2,060,125       155,187       3,005,263       21,896       482,004       137,899       2,725,601  
  1,000       21,494       4,317       86,981                          
  (68,586     (1,482,943     (435,318     (8,416,740     (54,639     (1,204,580     (403,390     (7,999,719
  27,960       598,676       (275,814     (5,324,496     (32,743     (722,576     (265,491     (5,274,118
             
  2,539,266       56,418,959       3,634,705       70,136,767       1,100,212       29,199,386       3,733,505       88,306,553  
  61,304       1,335,573       296,835       5,903,889       24,305       635,825       50,681       1,211,288  
  (10,858,540     (228,197,113     (11,277,388     (221,248,461     (5,259,207     (134,334,675     (3,424,030     (80,667,613
  (8,257,970     (170,442,581     (7,345,848     (145,207,805     (4,134,690     (104,499,464     360,156       8,850,228  
             
  54,634       1,194,478       126,977       2,490,712       21,073       540,622       20,415       463,044  
  1,917       41,587       5,367       108,696                   24       557  
  (48,526     (1,050,108     (80,809     (1,578,770     (3,001     (74,698     (22,418     (501,963
  8,025       185,957       51,535       1,020,638       18,072       465,924       (1,979     (38,362
             
  837,378       18,414,226       1,221,228       23,843,819       225,416       5,754,386       179,915       4,058,493  
  12,247       263,255       20,975       422,970       137       3,431       2,293       52,520  
  (92,408     (2,015,774     (393,594     (7,748,706     (35,574     (891,348     (453,613     (10,078,212
  757,217       16,661,707       848,609       16,518,083       189,979       4,866,469       (271,405     (5,967,199
             
  457       10,005                   368       10,005              
        (5                       (5            
  457       10,000                   368       10,000              
             
  79,296       1,732,822       175,752       3,454,830       106,837       2,683,239       302,315       6,719,996  
  997       21,383       2,106       42,661                   572       12,986  
  (67,421     (1,474,189     (36,231     (719,513     (166,258     (4,164,429     (187,672     (4,209,761
  12,872       280,016       141,627       2,777,978       (59,421     (1,481,190     115,215       2,523,221  
             
  10,429,985       218,548,059       2,971       59,899       4,873,449       124,126,292       12,053       283,000  
  34,832       737,767       41       845       38       999       12       277  
  (304,346     (6,574,715     (8     (173     (254,758     (6,754,785     (674     (16,024
  10,160,471       212,711,111       3,004       60,571       4,618,729       117,372,506       11,391       267,253  
  2,568,969     $ 56,883,333       (7,067,323   $ (139,518,677     513,794     $ 13,821,934       32,637     $ 2,302,996  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

12. SUMMARY OF SHARE TRANSACTIONS (continued)

 

Share activity is as follows:

 

    Small Cap Growth Insights Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    388,553     $ 14,368,400        1,136,249     $ 37,199,052  

Reinvestment of distributions

    89,749       3,166,328               

Shares redeemed

    (473,037     (17,367,161      (1,313,240     (42,282,750
      5,265       167,567        (176,991     (5,083,698
Class C Shares         

Shares sold

    29,532       851,876        102,607       2,660,555  

Reinvestment of distributions

    18,384       508,120               

Shares redeemed

    (33,893     (967,394      (91,970     (2,394,250
      14,023       392,602        10,637       266,305  
Institutional Shares         

Shares sold

    1,191,440       51,444,151        4,659,005       177,869,765  

Reinvestment of distributions

    211,110       8,682,959        4,666       174,384  

Shares redeemed

    (1,195,204     (50,617,204      (1,212,399     (46,266,257
      207,346       9,509,906        3,451,272       131,777,892  
Service Shares         

Shares sold

                        

Reinvestment of distributions

                        

Shares redeemed

                        
                          
Investor Shares         

Shares sold

    1,926,281       72,846,467        4,505,011       149,045,196  

Reinvestment of distributions

    228,916       8,261,586        5,030       165,943  

Shares redeemed

    (501,792     (18,987,417      (1,020,946     (34,220,908
      1,653,405       62,120,636        3,489,095       114,990,231  
Class P Shares(a)         

Shares sold

    226       10,005               

Shares redeemed

          (5             
      226       10,000               
Class R Shares         

Shares sold

    136,876       4,843,218        276,199       8,757,965  

Reinvestment of distributions

    13,690       466,555               

Shares redeemed

    (42,482     (1,498,217      (69,462     (2,201,233
      108,084       3,811,556        206,737       6,556,732  
Class R6 Shares         

Shares sold

    519,597       22,130,158        901,874       34,903,436  

Reinvestment of distributions

    38,091       1,567,068        457       17,101  

Shares redeemed

    (126,372     (5,444,796      (117,452     (4,487,420
      431,316       18,252,430        784,879       30,433,117  

NET INCREASE (DECREASE)

    2,419,665     $ 94,264,697        7,765,629     $ 278,940,579  

 

(a)   Commenced operations on April 16, 2018.

 

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Small Cap Value Insights Fund     U.S. Equity Insights Fund  
For the Six Months Ended
April 30, 2018
(Unaudited)
    For the Fiscal Year Ended
October 31, 2017
    For the Six Months Ended
April 30, 2018
(Unaudited)
    For the Fiscal Year Ended
October 31, 2017
 
Shares     Dollars     Shares     Dollars     Shares     Dollars     Shares     Dollars  
             
  105,513     $ 4,581,881       210,248     $ 9,215,874       244,216     $ 11,654,191       444,307     $ 20,229,205  
  248,444       10,399,770       93,198       4,222,632       540,991       25,388,649       228,207       9,688,682  
  (230,255     (9,926,639     (444,455     (19,351,639     (412,357     (19,817,134     (1,241,858     (55,458,022
  123,702       5,055,012       (141,009     (5,913,133     372,850       17,225,706       (569,344     (25,540,135
             
  19,657       609,539       70,947       2,350,748       37,198       1,610,959       74,268       3,052,518  
  75,551       2,274,846       23,439       798,161       65,851       2,772,693       26,804       1,032,502  
  (59,779     (1,849,839     (118,162     (3,861,488     (70,237     (3,029,322     (309,071     (12,642,103
  35,429       1,034,546       (23,776     (712,579     32,812       1,354,330       (207,999     (8,557,083
             
  366,355       20,550,052       812,411       46,070,997       1,879,687       92,452,142       1,821,964       83,752,938  
  84,092       4,631,023       22,451       1,300,286       525,650       25,470,196       183,080       7,994,734  
  (123,329     (6,921,686     (328,579     (18,217,268     (643,389     (31,564,385     (1,374,603     (63,460,830
  327,118       18,259,389       506,283       29,154,015       1,761,948       86,357,953       630,441       28,286,842  
             
                          11,907       568,014       33,426       1,560,910  
                          13,459       628,029       5,039       213,019  
                          (26,638     (1,281,647     (37,040     (1,638,279
                          (1,272     (85,604     1,425       135,650  
             
  22,140       946,502       213,800       9,389,755       237,174       11,276,883       576,197       25,554,721  
  14,076       587,886       5,359       242,132       97,081       4,504,647       20,573       864,392  
  (37,343     (1,623,320     (145,468     (6,290,855     (151,161     (7,196,989     (170,917     (7,688,730
  (1,127     (88,932     73,691       3,341,032       183,094       8,584,541       425,853       18,730,383  
             
  175       10,005                   204       10,005              
        (5                       (5            
  175       10,000                   204       10,000              
             
  9,923       421,190       67,892       2,921,620       246,048       11,631,723       566,443       26,105,639  
  1,979       81,367       5,447       243,261       105,956       4,879,524       26,329       1,099,694  
  (10,047     (420,041     (188,151     (8,158,331     (299,393     (14,144,031     (300,543     (13,224,161
  1,855       82,516       (114,812     (4,993,450     52,611       2,367,216       292,229       13,981,172  
             
  30,416       1,728,539       86,823       4,889,856       26,939       1,362,700       52,331       2,378,202  
  7,394       407,268       8       437       5,619       272,130       97       4,248  
  (5,838     (331,679     (10,556     (579,155     (8,260     (402,592     (3,916     (187,759
  31,972       1,804,128       76,275       4,311,138       24,298       1,232,238       48,512       2,194,691  
  519,124     $ 26,156,659       376,652     $ 25,187,023       2,426,545     $ 117,046,380       621,117     $ 29,231,520  

 

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Fund Expenses — Period Ended April 30, 2018 (Unaudited)

As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P, Class R or Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class P, Class R or Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2017 through April 30, 2018, which represents a period of 181 days in a 365 day year. The Class P example is based on the period from April 17, 2018 through April 30, 2018, which represents a period of 14 out of 365 days. The Class P example for hypothetical expenses reflects projected activity for the period from November 1, 2017 through April 30, 2018 for purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher:

 

     Large Cap Growth Insights Fund     Large Cap Value Insights Fund     Small Cap Equity Insights Fund     Small Cap Growth Insights Fund  
Share Class   Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
 
Class A                                                

Actual

  $ 1,000.00     $ 1,055.70     $ 4.74     $ 1,000.00     $ 1,035.60     $ 4.79     $ 1,000.00     $ 1,037.10     $ 6.21     $ 1,000.00     $ 1,053.00     $ 6.11  

Hypothetical 5% return

    1,000.00       1,020.18     4.66       1,000.00       1,020.08     4.76       1,000.00       1,018.70     6.16       1,000.00       1,018.84     6.01  
Class C                                                

Actual

    1,000.00       1,051.80       8.55       1,000.00       1,031.80       8.56       1,000.00       1,033.90       9.99       1,000.00       1,048.80       9.96  

Hypothetical 5% return

    1,000.00       1,016.46     8.40       1,000.00       1,016.36     8.50       1,000.00       1,014.98     9.89       1,000.00       1,015.08     9.79  
Institutional                                                

Actual

    1,000.00       1,057.80       2.76       1,000.00       1,037.50       2.83       1,000.00       1,039.30       4.25       1,000.00       1,055.00       4.28  

Hypothetical 5% return

    1,000.00       1,022.12     2.71       1,000.00       1,022.02     2.81       1,000.00       1,020.63     4.21       1,000.00       1,020.63     4.21  
Service                                                

Actual

    1,000.00       1,054.90       5.30       1,000.00       1,034.90       5.35       1,000.00       1,036.90       6.77                    

Hypothetical 5% return

    1,000.00       1,019.64     5.21       1,000.00       1,019.54     5.31       1,000.00       1,018.15     6.71                    
Investor                                                

Actual

    1,000.00       1,057.20       3.47       1,000.00       1,037.00       3.54       1,000.00       1,038.60       4.95       1,000.00       1,054.30       4.89  

Hypothetical 5% return

    1,000.00       1,021.42     3.41       1,000.00       1,021.32     3.51       1,000.00       1,019.94     4.91       1,000.00       1,020.03     4.81  
Class P(a)                                                

Actual

    1,000.00       987.21       0.21       1,000.00       988.10       0.22       1,000.00       980.20       0.34       1,000.00       976.10       0.34  

Hypothetical 5% return

    1,000.00       1,022.22     2.58       1,000.00       1,022.07     2.73       1,000.00       1,020.63     4.16       1,000.00       1,020.63     4.16  

 

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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

Fund Expenses — Period Ended April 30, 2018 (Unaudited) (continued)

 

     Large Cap Growth Insights Fund     Large Cap Value Insights Fund     Small Cap Equity Insights Fund     Small Cap Growth Insights Fund  
Share Class   Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
 
Class R                                                

Actual

    1,000.00       1,054.30       6.01       1,000.00       1,034.20       6.05       1,000.00       1,036.20       7.47       1,000.00       1,051.60       7.43  

Hypothetical 5% return

    1,000.00       1,018.94     5.91       1,000.00       1,018.84     6.01       1,000.00       1,017.46     7.40       1,000.00       1,017.56     7.30  
Class R6                                                

Actual

  $ 1,000.00     $ 1,058.00     $ 2.70     $ 1,000.00     $ 1,037.20     $ 2.78     $ 1,000.00     $ 1,039.60     $ 4.20     $ 1,000.00     $ 1,054.70     $ 4.23  

Hypothetical 5% return

    1,000.00       1,022.17     2.66       1,000.00       1,022.07     2.76       1,000.00       1,020.68     4.16       1,000.00       1,020.68     4.16  

 

(a)   Commenced operations on April 16, 2018.

 

     Small Cap Value Insights Fund     U.S. Equity Insights Fund  
Share Class   Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
 
Class A                        

Actual

  $ 1,000.00     $ 1,037.30     $ 6.21     $ 1,000.00     $ 1,046.00     $ 4.82  

Hypothetical 5% return

    1,000.00       1,018.70     6.16       1,000.00       1,020.08     4.76  
Class C                        

Actual

    1,000.00       1,033.40       9.98       1,000.00       1,042.10       8.61  

Hypothetical 5% return

    1,000.00       1,014.98     9.89       1,000.00       1,016.36     8.50  
Institutional                        

Actual

    1,000.00       1,039.20       4.25       1,000.00       1,048.10       2.84  

Hypothetical 5% return

    1,000.00       1,020.63     4.21       1,000.00       1,022.02     2.81  
Service                        

Actual

                      1,000.00       1,045.40       5.38  

Hypothetical 5% return

                      1,000.00       1,019.54     5.31  
Investor                        

Actual

    1,000.00       1,038.60       4.95       1,000.00       1,047.40       3.55  

Hypothetical 5% return

    1,000.00       1,019.94     4.91       1,000.00       1,021.32     3.51  
Class P(a)                        

Actual

  $ 1,000.00     $ 990.20     $ 0.34     $ 1,000.00     $ 989.20     $ 0.23  

Hypothetical 5% return

    1,000.00       1,020.63     4.16       1,000.00       1,022.02     2.78  
Class R                        

Actual

    1,000.00       1,035.90       7.47       1,000.00       1,044.80       6.08  

Hypothetical 5% return

    1,000.00       1,017.46     7.40       1,000.00       1,018.84     6.01  

 

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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS

 

Fund Expenses — Period Ended April 30, 2018 (Unaudited) (continued)

 

     Small Cap Value Insights Fund     U.S. Equity Insights Fund  
Share Class   Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
    Beginning
Account
Value
11/1/17
    Ending
Account
Value
4/30/18
    Expenses
Paid for the
6 months ended
4/30/18
*
 
Class R6                        

Actual

    1,000.00       1,039.30       4.20       1,000.00       1,048.10       2.79  

Hypothetical 5% return

    1,000.00       1,020.68     4.16       1,000.00       1,022.07     2.76  

 

*   Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2018. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:
+   Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.

 

Fund    Class A     Class C     Institutional     Service     Investor     Class P(a)     Class R     Class R6  

Large Cap Growth Insights+

     0.93     1.68     0.54     1.04     0.68     0.52     1.18     0.53

Large Cap Value Insights+

     0.95       1.70       0.56       1.06       0.70       0.55       1.20       0.55  

Small Cap Equity Insights+

     1.23       1.98       0.84       1.34       0.98       0.07       1.48       0.83  

Small Cap Growth Insights+

     1.20       1.96       0.84       N/A       0.96       0.84       1.46       0.83  

Small Cap Value Insights+

     1.23       1.98       0.84       N/A       0.98       0.84       1.48       0.83  

U.S. Equity Insights+

     0.95       1.70       0.56       1.06       0.70       0.56       1.20       0.55  

 

(a)   Commenced operations on April 16, 2018.

 

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FUNDS PROFILE

 

Goldman Sachs Funds

 

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.29 trillion in assets under supervision as of March 31, 2018, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

 

Money Market

Financial Square FundsSM

  Financial Square Treasury Solutions Fund1
  Financial Square Government Fund1
  Financial Square Money Market Fund2
  Financial Square Prime Obligations Fund2
  Financial Square Treasury Instruments Fund1
  Financial Square Treasury Obligations Fund1
  Financial Square Federal Instruments Fund1
  Financial Square Tax-Exempt Money Market Fund2

Investor FundsSM

  Investor Money Market Fund3
  Investor Tax-Exempt Money Market Fund3

Fixed Income

Short Duration and Government

  Enhanced Income Fund
  High Quality Floating Rate Fund
  Short-Term Conservative Income Fund
  Short Duration Government Fund
  Short Duration Income Fund
  Government Income Fund
  Inflation Protected Securities Fund

Multi-Sector

  Bond Fund
  Core Fixed Income Fund
  Global Income Fund
  Strategic Income Fund

Municipal and Tax-Free

  High Yield Municipal Fund
  Dynamic Municipal Income Fund
  Short Duration Tax-Free Fund

Single Sector

  Investment Grade Credit Fund
  U.S. Mortgages Fund
  High Yield Fund
  High Yield Floating Rate Fund
  Emerging Markets Debt Fund
  Local Emerging Markets Debt Fund
  Total Emerging Markets Income Fund4

Fixed Income Alternatives

  Long Short Credit Strategies Fund

Fundamental Equity

  Equity Income Fund5
  Small Cap Value Fund
  Small/Mid Cap Value Fund
  Mid Cap Value Fund
  Large Cap Value Fund
  Focused Value Fund
  Capital Growth Fund
  Strategic Growth Fund
  Small/Mid Cap Growth Fund
  Flexible Cap Fund6
  Concentrated Growth Fund7
  Technology Opportunities Fund
  Growth Opportunities Fund
  Rising Dividend Growth Fund
  Blue Chip Fund8
  Income Builder Fund

Tax-Advantaged Equity

  U.S. Tax-Managed Equity Fund
  International Tax-Managed Equity Fund
  U.S. Equity Dividend and Premium Fund
  International Equity Dividend and Premium Fund

Equity Insights

  Small Cap Equity Insights Fund
  U.S. Equity Insights Fund
  Small Cap Growth Insights Fund
  Large Cap Growth Insights Fund
  Large Cap Value Insights Fund
  Small Cap Value Insights Fund
  International Small Cap Insights Fund
  International Equity Insights Fund
  Emerging Markets Equity Insights Fund

Fundamental Equity International

  International Equity Income Fund9
  International Equity ESG Fund10
  Asia Equity Fund
  Emerging Markets Equity Fund
  N-11 Equity Fund
  ESG Emerging Markets Equity Fund

Select Satellite

  Real Estate Securities Fund
  International Real Estate Securities Fund
  Commodity Strategy Fund
  Global Real Estate Securities Fund
  Alternative Premia Fund11
  Absolute Return Tracker Fund
  Managed Futures Strategy Fund
  MLP Energy Infrastructure Fund
  MLP & Energy Fund
  Multi-Manager Alternatives Fund
  Absolute Return Multi-Asset Fund
  Global Infrastructure Fund

Total Portfolio Solutions

  Global Managed Beta Fund
  Multi-Manager Non-Core Fixed Income Fund
  Multi-Manager U.S. Dynamic Equity Fund
  Multi-Manager Global Equity Fund
  Multi-Manager International Equity Fund
  Tactical Tilt Overlay Fund
  Balanced Strategy Portfolio
  Multi-Manager U.S. Small Cap Equity Fund
  Multi-Manager Real Assets Strategy Fund
  Growth and Income Strategy Portfolio
  Growth Strategy Portfolio
  Equity Growth Strategy Portfolio
  Satellite Strategies Portfolio
  Enhanced Dividend Global Equity Portfolio
  Tax-Advantaged Global Equity Portfolio
  Strategic Factor Allocation Fund
  Target Date 2020 Portfolio
  Target Date 2025 Portfolio
  Target Date 2030 Portfolio
  Target Date 2035 Portfolio
  Target Date 2040 Portfolio
  Target Date 2045 Portfolio
  Target Date 2050 Portfolio
  Target Date 2055 Portfolio
  Target Date 2060 Portfolio
  GQG Partners International Opportunities Fund
  Tactical Exposure Fund
1   You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2    You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3    You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4    Effective after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund.
5    Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
6    Effective after the close of business on August 31, 2017, the Goldman Sachs Flexible Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Fund.
7    Effective on July 28, 2017, the Goldman Sachs Focused Growth Fund was reorganized with and into the Goldman Sachs Concentrated Growth Fund.
8    Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund.
9    Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund.
10    Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund.
11    Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund.
    Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
*This   list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.


Table of Contents

TRUSTEES

Jessica Palmer, Chair

Kathryn A. Cassidy

Diana M. Daniels

Herbert J. Markley

James A. McNamara

Roy W. Templin

Gregory G. Weaver

 

OFFICERS

James A. McNamara, President

Scott M. McHugh, Treasurer, Senior Vice President

and Principal Financial Officer

Joseph F. DiMaria, Assistant Treasurer

and Principal Accounting Officer

Caroline L. Kraus, Secretary

GOLDMAN SACHS & CO. LLC

Distributor and Transfer Agent

 

GOLDMAN SACHS ASSET MANAGEMENT, L.P.

Investment Adviser

Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Fund holdings and allocations shown are unaudited, and may not be representative of current or future investments. Fund holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

 

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY AND IS PROVIDED SOLELY ON THE BASIS THAT IT WILL NOT CONSTITUTE INVESTMENT OR OTHER ADVICE OR A RECOMMENDATION RELATING TO ANY PERSON’S OR PLAN’S INVESTMENT OR OTHER DECISIONS, AND GOLDMAN SACHS IS NOT A FIDUCIARY OR ADVISOR WITH RESPECT TO ANY PERSON OR PLAN BY REASON OF PROVIDING THE MATERIAL OR CONTENT HEREIN INCLUDING UNDER THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 OR DEPARTMENT OF LABOR REGULATIONS. PLAN SPONSORS AND OTHER FIDUCIARIES SHOULD CONSIDER THEIR OWN CIRCUMSTANCES IN ASSESSING ANY POTENTIAL COURSE OF ACTION.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

© 2018 Goldman Sachs. All rights reserved. 132644-OTU-779566 DOMINSSAR-18/101.1K


Table of Contents

Goldman Sachs Funds

 

LOGO

 

 

 
Semi-Annual Report      

April 30, 2018

 
     

Fundamental Emerging Markets Equity Funds

     

Asia Equity

     

Emerging Markets Equity

     

N-11 Equity

 

LOGO


Table of Contents

Goldman Sachs Fundamental Emerging Markets Equity Funds

 

  ASIA EQUITY

 

  EMERGING MARKETS EQUITY

 

  N-11 EQUITY

 

TABLE OF CONTENTS

 

Investment Process

    1  

Market Review

    2  

Portfolio Management Discussions and Performance Summaries

    4  

Schedules of Investments

    23  

Financial Statements

    32  

Financial Highlights

    36  

Notes to the Financial Statements

    42  

Other Information

    57  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

What Differentiates Goldman Sachs’ Fundamental Emerging Markets Equity Investment Process?

 

Goldman Sachs’ Fundamental Emerging Markets Equity investment process is based on the belief that strong, consistent results are best achieved through expert stock selection, performed by our dedicated Emerging Markets Team that works together on a global scale. Our deep, diverse and experienced team of research analysts and portfolio managers combines local insights with global, industry-specific expertise to seek to identify its best investment ideas.

 

 

LOGO

 

LOGO

 

  The Emerging Markets Equity research team, based in the United States, United Kingdom, Japan, China, Korea, Singapore, Brazil, India and Australia, focuses on long-term business and management quality

 

  Proprietary, bottom-up research is the key driver of our investment process

 

  Analysts collaborate regularly to leverage regional and industry-specific research and insights

 

LOGO

 

  Members of each local investment team are aligned by sector and are responsible for finding ideas with the best risk-adjusted upside in their respective areas of coverage

 

  The decision-making process includes active participation in frequent and regular research meetings

 

  The Emerging Market Equity team benefits from the country and currency expertise of our Global Emerging Markets Debt and Currency teams

 

LOGO

 

  Security selections are aligned with levels of investment conviction and risk-adjusted upside

 

  Continual risk monitoring identifies various risks at the stock and portfolio level and assesses whether they are intended and justified

 

  Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the Funds

 

LOGO

Emerging markets equity portfolios that strive to offer:

 

    Access to markets across emerging markets  

 

    Disciplined approach to stock selection  

 

    Optimal risk/return profiles  

 

1


Table of Contents

MARKET REVIEW

 

Goldman Sachs Fundamental Emerging Markets Equity Funds

 

Market Review

Emerging markets equities advanced during the six-month period ended April 30, 2018 (the “Reporting Period”). The MSCI Emerging Markets Index (Net, USD, Unhedged) (the “MSCI EM Index”) posted a return of 4.80%.* Emerging markets equities outperformed developed markets equities on a relative basis, as measured by the MSCI Europe, Australasia, Far East (EAFE) Index, which returned 3.41% for the same time period.

As the Reporting Period began in November 2017, a robust third calendar quarter corporate earnings reporting season was a positive driver for emerging market equities, despite a pullback from a global technology sell-off. A weaker U.S. dollar and commodities strength also helped emerging market equities close out calendar year 2017 with a healthy total return. In December 2017, the U.S. Federal Reserve (the “Fed”) delivered its third interest rate hike of 2017, as had been widely expected, and maintained its projections for three additional interest rate hikes in 2018.

Emerging market equities endured a rather volatile first three months of 2018 to post positive returns for a fifth consecutive quarter. The new calendar year began strongly, with emerging market equities outperforming developed market equities in January 2018, buoyed by a strong global economic backdrop, rising oil prices and a softer U.S. dollar. Latin American equities were the strongest performers, led by Brazil, while Asian equities were largely driven by a notable rally in Chinese equities. In February 2018, however, the MSCI EM Index lost 4.61%, as equities sold off globally on market speculation of a faster pace of interest rate hikes by the Fed, which stoked a sharp rise in bond yields and in equity market volatility. Concerns about monetary policy tightening were further exacerbated by solid U.S. labor and inflation data. While the hawkish Fed minutes released were largely expected, Fed Chair Jerome Powell’s Congressional testimony surprised markets with its hawkish tilt, sparking another sell-off. (Hawkish language tends to suggest higher interest rates; opposite of dovish.) In March 2018, a global equity market sell-off was driven by escalating concerns about trade relations with the U.S., as the current Administration’s announcement of a 25% tariff on an estimated $50 billion of Chinese imports weighed on investor sentiment broadly.

April saw volatility continue, driven by trade headlines around U.S. and China, rising U.S. Treasury yields and increased focus on the technology sector given ongoing discussion around the regulatory environment. Investor concern also increased with rising geopolitical risks surrounding North Korea and Syria as well as by the announcement of additional sanctions on Russia. The MSCI EM Index posted a modest decline for the month.

For the Reporting Period as a whole, health care and energy were the best performing sectors in the MSCI EM Index by some distance, followed by materials and financials, which also posted robust positive returns. Consumer discretionary was the weakest sector in the MSCI EM Index and the only one to post a negative absolute return during the Reporting Period. Information technology, telecommunication services and real estate were also weak performers but eked out modestly positive absolute returns for the Reporting Period.

From a country perspective, Colombia, Greece, Peru, Qatar, Malaysia and Thailand were the best performing individual constituents of the MSCI EM Index for the Reporting Period, each posting double-digit absolute gains for the Reporting Period. Conversely, Turkey, the Philippines, United Arab Emirates, Poland and Indonesia were the weakest individual country constituents of the MSCI EM Index, each posting a negative absolute return during the Reporting Period.

 

*All   index returns are expressed in U.S. dollar terms.

 

2


Table of Contents

MARKET REVIEW

 

Looking Ahead

At the end of the Reporting Period, we believed emerging market equities were still a bright spot. In our view, emerging market equities could be in the early stages of a multi-year recovery, underpinned by economic growth acceleration, corporate earnings revival and what we see as attractive valuations. We expect accelerating emerging market economic growth to exceed that of developed market economies in the next few years. Indeed, a variety of economists expect the emerging markets to contribute more than 70% of global Gross Domestic Product (“GDP”) growth from 2015 to 2025, and we estimate that 1.2 billion people in the emerging markets may rise into middle and higher income classes during this 10-year period, with real consumption expanding more than 100%. (Real consumption is the value of goods and services bought by people to be used up out of a household’s current income.) This shift toward a higher income, higher consuming level has been evident in the changing composition of emerging market equity markets toward the information technology and consumer-oriented sectors. Further bolstering our positive view on emerging market equities going forward are supportive macro fundamentals, which have revived emerging market corporate earnings growth to the point of outpacing that of developed markets, and valuations that were trading, at the end of the Reporting Period, at approximately a 20% discount to developed market equities.

We were particularly optimistic on India at the end of the Reporting Period given the earnings recovery spurred by its government’s focus on improving the ease of doing business, simplifying taxation, pushing for infrastructure and promoting a stable inflationary outlook. We believe Goods and Services Tax (“GST”) implementation could be a structural growth driver in India in the coming years. Anecdotally, a logistics company we met with not long ago saw a one-third reduction in the time taken to transport goods between Mumbai and Delhi due to the abandoning of checkpoints at state borders. GST could also accelerate, in our view, the shift toward the organized segment, and those companies operating in industries until now dominated by unorganized players could be key beneficiaries, such as jewelry, retail, ceramics and textiles. (The organized segment refers to the portion of India’s market that is formally registered with state governments and thus subject to regulation.) At the end of the Reporting Period, we continued to favor businesses exposed to the cyclical recovery in sectors such as building materials, industrials and non-banking financials.

As always, we maintain our focus on seeking high-quality equity investments trading at compelling valuations and intend to stay true to our long-term discipline as we seek to navigate potentially volatile markets ahead.

 

 

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Goldman Sachs Asia Equity Fund

 

Investment Objective

The Fund seeks long-term capital appreciation

 

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Asia ex Japan Equity Portfolio Management Team discusses the Goldman Sachs Asia Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional and Investor Shares generated cumulative total returns, without sales charges, of 3.69%, 3.32%, 3.88% and 3.77%, respectively. These returns compare to the 4.77% cumulative total return of the Fund’s benchmark, the MSCI All Country Asia ex-Japan Index (Net, USD, Unhedged) (the “Index”), during the same time period.

 

    From their inception on February 28, 2018 through the end of the Reporting Period, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of -2.66%. This return compares to the -0.81% cumulative total return of the Index during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -1.96%. This return compares to the 0.51% cumulative total return of the Index during the same period.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund posted positive absolute returns but underperformed the Index on a relative basis during the Reporting Period, primarily attributable to individual stock selection. From a country perspective, stock selection in South Korea and Taiwan and positioning in Malaysia detracted from the Fund’s relative results most. Stock selection in China/Hong Kong, Singapore and the Philippines contributed most positively.

 

Q   Which stocks detracted significantly from the Fund’s performance during the Reporting Period?

 

A   Detracting most from the Fund’s results relative to the Index were positions in NCSoft, Brilliance China Automotive Holdings and Kingpak Technology.

 

    NCSoft is a South Korea-based company that develops and markets online games and designs and constructs databases, Intranet and commercial Internet access systems. Its share price declined during the Reporting Period mainly due to investors rotating from the information technology sector into more late-cyclical names. A delay in the normalization of Korea/China political relations further affected the overall sentiment around the stock, as the company has been on course to launch a new game in China. Despite these headwinds, we remained positive on the stock at the end of the Reporting Period, as we view the company as a leading game development and distribution company with a strong user base.

 

    Shares of Brilliance China Automotive Holdings declined significantly during the Reporting Period. The company manufactures motor vehicles and is a distributor of a variety of automotive components. It also holds a joint venture with BMW for the production and sales of BMW passenger cars in China. Brilliance China Automotive Holdings reported positive 2017 results with strong profitability and free cash flow for the BMW joint venture. It also reported strong auto sales during the Reporting Period. However, increased friction in the China/U.S. trade relationship, along with uncertainty with regard to regulatory changes, affected its share price performance. At the end of the Reporting Period, we maintained our positive view of the company’s fundamentals and were carefully monitoring any visible regulatory changes that might affect the company.

 

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    Kingpak Technology was a new purchase for the Fund during the Reporting Period. Not a component of the Index, it underperformed the Index during the time held in the Fund and thus detracted. Kingpak Technology is an integrated circuit packaging company listed in the Taiwanese market with a focus on complementary metal-oxide semiconductor (“CMOS”) image sensor packaging services and automotive applications. We initiated the position during the first quarter of 2018 on our expectations of an increase in camera adoption per vehicle following growing high safety requirements as well as a need for driver-assisted and driverless systems in automobiles. In our view, Kingpak Technology offers a unique packaging technology for auto CMOS sensor packaging, and we expect this technology to help extend its customer base in the coming years. The stock detracted from Fund results, during the Reporting Period, however, as information technology companies in Taiwan experienced weak end-demand during the first quarter of 2018, which led multi-layer ceramic capacitor and memory companies to become the favored space for investors in an effort to avoid weak seasonality.

 

Q   What were some of the Fund’s best-performing individual stocks?

 

A   The Fund benefited most relative to the Index from holdings in DBS Group Holdings, Jiangsu Hengrui Medicine and Celltrion Healthcare.

 

    The Fund’s overweight position in DBS Group Holdings, a Singapore-based bank, contributed the most to its relative results during the Reporting Period. The company, through its subsidiaries, provides consumer banking, financial advisory and brokerage services. Its shares performed well on expectations of an increase in profit margins, as DBS Group Holdings, with its high current and savings account ratio, could benefit from an upward U.S. interest rate cycle. Higher commodity prices also helped in the recovery of loan loss provisions for the oil and gas sector. Additionally, diminishing concerns about a slowdown in both the Singapore property market and Chinese market growth supported its stock price’s rally.

 

    Jiangsu Hengrui Medicine, one of the largest pharmaceutical producers in China, is not a component of the Index but outperformed the Index during the Reporting Period. Its stock’s strong performance was driven by the company’s significant progress in research and development, as some of its pipeline products progressed into advanced stages of clinical trials while others are awaiting final regulatory approval. At the end of the Reporting Period, we believed that, along with its strong research and development capability, what we view as Jiangsu Hengrui Medicine’s healthy pipeline of both first-to-market generics and innovation drugs could yield positive results for the business in the coming years.

 

    Celltrion Healthcare is a marketer of biopharmaceutical products in the South Korean health care sector. Following the success of its first product, infliximab similar, in Europe in 2016, the company launched the same product in the U.S. during the Reporting Period. The company also has two more products in its pipeline — Rituxan and Herceptin similar, each of which either completed its last phase of clinical testing or has already received approval from regulatory bodies in both the European Union and the U.S. Given fixed profit sharing plans between the manufacturing and sales companies, we believed at the end of the Reporting Period that robust sales performance of its biosimilar products in these major markets may well be a primary driver of both top-line and bottom-line growth over the next three to five years. That said, we opted to sell the Fund’s position in Celltrion Healthcare, taking profits, as its share price rose well above our target price under any scenario we foresaw. (A biosimilar product is a biological product that is approved based on a showing that it is highly similar to a Food and Drug Administration-approved biological product, known as a reference product, and has no clinically meaningful differences in terms of safety and effectiveness from the reference product.)

 

Q   Which equity market sectors most significantly affected Fund performance during the Reporting Period?

 

A  

The sectors that detracted most from the Fund’s relative results during the Reporting Period were consumer discretionary, information technology and energy, each driven primarily by weak stock selection. Having an overweighted allocation to consumer discretionary, which lagged the Index during the Reporting Period, and an underweighted allocation to energy, which outpaced the Index during the Reporting Period, also hurt. At an individual stock level, the Fund’s position in Brilliance China Automotive Holdings, mentioned earlier, disappointed most in the consumer discretionary sector. In information technology, the Fund’s overweight position in NCSoft, also mentioned earlier, detracted most. The Fund’s overweight position in Bharat Petroleum, an India-based exploration and oil marketing company, dampened relative results most in energy. Having a position in cash during a Reporting Period

 

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when the Index advanced also dampened the Fund’s relative results.

 

    The sectors that contributed most positively to the Fund’s performance relative to the Index were industrials, health care and financials, where stock selection in each boosted relative results. Having an overweight to health care, which was the strongest performing sector in the Index during the Reporting Period, also helped. At an individual stock level, an out-of-Index position in TeamLease Services, an India-based recruitment consultant and human resource staffing firm, helped most in industrials. The Fund’s out-of-Index position in Jiangsu Hengrui Medicine, mentioned earlier, boosted results most in health care. The Fund’s overweight position in DBS Group Holdings, also mentioned earlier, added the most value within the financials sector.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund did not use derivatives or similar instruments during the Reporting Period.

 

Q   Did the Fund make any significant purchases or sales during the Reporting Period?

 

A   In addition to the purchase already mentioned, we initiated a Fund position in Hankook Tire during the Reporting Period. Based in South Korea, it is the seventh largest manufacturer of tires in the world, selling close to 100 million tires annually. We established the position because we expect the company to benefit from the shift in demand toward greater than 17-inch tires. With raw material prices expected to remain benign during the next few years, Hankook Tire, in our opinion, could reduce its pricing gap with other major players in the industry, which could further improve its margins. On the date of purchase, we believed its valuation was attractive and the company was well positioned in the competitive environment to sustain its strong return profile.

 

    We established a Fund position in Bursa Malaysia within the financials sector. It is a holding company operating a fully integrated stock exchange in Malaysia. We are constructive on the company’s monopolistic position, dividend yield level and strong free cash flow conversion.

 

    Conversely, in addition to the sale mentioned earlier, we eliminated the Fund’s position in Sino Biopharmaceutical, one of the largest manufacturers of drugs for the treatment of hepatitis, cardiovascular diseases and oncology in China. It is one among many companies showcasing consistent spending on research and development along with having a huge product pipeline. We sold the stock after its strong price rally during the Reporting Period on the back of good performance and the Chinese government’s supportive policies encouraging innovation and favoring quality companies.

 

    We exited the Fund’s position in Telekomunikasi, an Indonesian telecommunication services provider. The Indonesian telecommunications industry has been witnessing intense competition given subscriber registration being made mandatory by the regulators. The companies in the industry want to “lock in” subscribers before the registration deadline, resulting in intense competition. This has resulted in data yield compression and a severe decline in voice revenues. We expect the competition to last through 2018, and thus we sold the position.

 

Q   Were there any notable changes in the Fund’s weightings during the Reporting Period?

 

A   Most sector weights are usually established within a relatively narrow range from the Index, as our team prefers to make decisions at the individual stock level, where we believe we can generate more added value. That said, during the Reporting Period, relative to the Index, the Fund’s exposure to information technology and consumer discretionary increased, and its allocations to health care and telecommunication services decreased.

 

    Similarly, allocations to countries are directly the result of various stock selection decisions. During the Reporting Period, relative to the Index, the Fund’s allocations to China/Hong Kong and South Korea increased, and its exposure to India decreased.

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   There were no changes to the Fund’s portfolio management team during the Reporting Period.

 

Q   How was the Fund positioned relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund had overweighted exposure to South Korea and India and held an out-of-Index allocation in Vietnam. On the same date, the Fund had underweighted exposure relative to the Index to Taiwan, Malaysia, Indonesia and Singapore and had rather neutral exposure relative to the Index in China/Hong Kong, Thailand and the Philippines. The Fund had no exposure to Pakistan at the end of the Reporting Period.

 

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    From a sector allocation perspective, the Fund had overweighted positions relative to the Index in the consumer discretionary, information technology and health care sectors at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the Index in the real estate, telecommunication services and energy sectors and was relatively neutrally weighted compared to the Index in financials, industrials, consumer staples and materials. The Fund had no exposure to the utilities sector at the end of the Reporting Period.

 

    As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect.

 

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FUND BASICS

 

Asia Equity Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       MSCI® (All Country) Asia
ex-Japan Index2
 
  Class A        3.69        4.77
  Class C        3.32          4.77  
  Institutional        3.88          4.77  
  Investor        3.77          4.77  
  February 28, 2018–April 30, 2018          
  Class R6        -2.66          -0.81  
  April 16, 2018–April 30, 2018          
    Class P        -1.96          0.51  

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The MSCI® All Country Asia ex-Japan Index (Net, USD, Unhedged) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of Asia, excluding Japan. As of April 30, 2018, the MSCI All Country Asia ex-Japan Index consisted of the following 11 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Singapore, Taiwan, and Thailand. The series of returns reflected by the MSCI All Country Asia ex-Japan Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI Barra uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     24.49     8.74     3.81     3.59   07/08/94
  Class C     29.76       9.16       3.62       3.01     08/15/97
  Institutional     32.29       10.42       4.82       3.78     02/02/96
  Investor     32.08       N/A       N/A       10.43     02/28/14
  Class P     N/A       N/A       N/A       N/A     04/16/18
    Class R6     N/A       N/A       N/A       -0.26     02/28/18

 

  3   The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.54      2.02
  Class C     2.29        2.77  
  Institutional     1.15        1.63  
  Investor     1.29        1.77  
  Class P     1.14        1.62  
    Class R6     1.14        1.62  

 

  4   The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
    

Holding

 

% of
Net Assets

   

Line of Business

 

Country

 

Tencent Holdings Ltd.

    7.1   Software & Services   China
 

Samsung Electronics Co. Ltd.

    5.9   Technology Hardware &
Equipment
  South Korea
 

Taiwan Semiconductor Manufacturing Co. Ltd.

    4.2   Semiconductors &
Semiconductor Equipment
  Taiwan
 

Alibaba Group Holding Ltd. ADR

    3.9   Software & Services   China
 

AIA Group Ltd.

    3.7   Insurance   Hong Kong
 

Ping An Insurance Group Co. of China Ltd. Class H

    3.6   Insurance   China
 

DBS Group Holdings Ltd.

    3.1   Banks   Singapore
 

China Merchants Bank Co. Ltd. Class H

    2.6   Banks   China
 

Kweichow Moutai Co. Ltd. Class A

    2.5   Food, Beverage & Tobacco   China
   

NCSoft Corp.

    2.3   Software & Services   South Korea

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

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FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

 

LOGO

 

 

  6    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.5% of the Fund’s net assets at April 30, 2018.

 

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PORTFOLIO RESULTS

 

Goldman Sachs Emerging Markets Equity Fund

 

Investment Objective

The Fund seeks long-term capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Emerging Markets Equity Portfolio Management Team discusses the Goldman Sachs Emerging Markets Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Service, Investor and R6 Shares generated cumulative total returns, without sales charges, of 2.89%, 2.48%, 3.05%, 2.83%, 3.02% and 3.13%, respectively. These returns compare to the 4.80% cumulative total return of the Fund’s benchmark, the MSCI Emerging Markets Index (Net, USD, Unhedged) (the “Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -2.00%. This return compares to the 0.15% cumulative total return of the Index during the same period.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund posted positive absolute returns but underperformed the Index on a relative basis during the Reporting Period, primarily attributable to individual stock selection. From a country perspective, stock selection in Taiwan and South Korea detracted from the Fund’s performance most. Having an overweighted allocation to India, which lagged the Index during the Reporting Period, also hurt. These detractors were partially offset by the positive contributions of effective stock selection in China, Mexico and United Arab Emirates.

 

Q   Which stocks detracted significantly from the Fund’s performance during the Reporting Period?

 

A   Detracting most from the Fund’s results relative to the Index were positions in Fit Hong Teng, X5 Retail Group and Hindalco Industries.

 

    Fit Hong Teng, an out-of-Index holding, is a Taiwan-based electrical components manufacturer and distributor. The company reported earnings in line with consensus expectations during the second half of 2017. However, its margin performance was weaker than market expected due to higher shipments for smartphone connectors. The weak margin performance, in turn, triggered some concern about its earnings growth potential. Meanwhile, the trade war between the U.S. and China also caused concern about its U.S. auto component business development. As a result, its share price faced selling pressures and experienced a double-digit decline.

 

    X5 Retail Group, also an out-of-Index holding, is the largest food retailer in Russia. The company witnessed a weak start to 2018 with lower than consensus expected earnings before interest, taxes, depreciation and amortization margins. It also faced increased competition in Moscow, particularly from specialized stores and supermarkets. While we continued to like its management’s proactive approach toward preparing the business for a more disruptive retail environment going forward, we sold the Fund’s position in the stock by the end of the Reporting Period in favor of what we considered more compelling investment opportunities.

 

    Hindalco Industries is an India-based integrated aluminum producer and copper manufacturer. It underperformed the Index during the Reporting Period as the company reported poor margins due to both lower copper earnings and cost increases. Its costs increased as rising energy prices pushed up aluminum production costs for smelters globally. Still, at the end of the Reporting Period, the Fund maintained its position in the stock, as we found the company’s cost increases modest relative to industry standards.

 

Q   What were some of the Fund’s best-performing individual stocks?

 

A   The strongest contributors to the Fund’s performance during the Reporting Period were Celltrion Healthcare, Galaxy Entertainment Group and Anhui Conch Cement.

 

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    Celltrion Healthcare is a marketer of biopharmaceutical products in the South Korean health care sector. Following the success of its first product, infliximab similar, in Europe in 2016, the company launched the same product in the U.S. during the Reporting Period. The company also has two more products in its pipeline — Rituxan and Herceptin similar, each of which either completed its last phase of clinical testing or has already received approval from regulatory bodies in both the European Union and the U.S. Given fixed profit sharing plans between the manufacturing and sales companies, we believed at the end of the Reporting Period that robust sales performance of its biosimilar products in these major markets may well be a primary driver of both top-line and bottom-line growth over the next three to five years. That said, we opted to sell the Fund’s position in Celltrion Healthcare, taking profits, as its share price rose well above our target price under any scenario we foresaw. (A biosimilar product is a biological product that is approved based on a showing that it is highly similar to a Food and Drug Administration-approved biological product, known as a reference product, and has no clinically meaningful differences in terms of safety and effectiveness from the reference product.)

 

    Galaxy Entertainment Group, based in Hong Kong, operates casino, hotels and other entertainment facilities in Macau through its subsidiary. Galaxy Entertainment Group performed well, as Macau gross gaming revenue remained strong during the Reporting Period. Headline gross gaming revenue grew approximately 21% year over year and 6% quarter over quarter in the first quarter of 2018 to a three-year high. The industry’s VIP consumer base was still the primary driver of growth, while a broader consumer base was also strong. At the end of the Reporting Period, we remained constructive on the industry, as we believe it is in the middle of a positive profit cycle.

 

    Anhui Conch Cement, a new purchase for the Fund during the Reporting Period, is the largest cement producer in China. We initiated the position because we expected supply-side discipline and enforcement of stricter environmental measures to lead to limited capacity addition and increasing utilization of the cement industry in China. Further, in our view, the company stood out as the cost leader with the strongest balance sheet in its industry. We expected its free cash flow yield to potentially move the company to a net cash position with the possibility of a higher dividend payout. During the time we held the position during the Reporting Period, it outperformed the Index, especially in April 2018 when demand for its products picked up substantially, and lower inventory led to higher cement prices and shipments. Anhui Conch Cement also reported strong first quarter 2018 earnings growth of approximately 122% year over year, with its profitability reaching a multi-year high level as supply discipline and government-enforced production cuts resulted in a particularly tight market.

 

Q   Which equity market sectors most significantly affected Fund performance during the Reporting Period?

 

A   Relative to the Index, weak stock selection in energy, financials and materials detracted most from the Fund’s relative results. Having an underweighted allocation to energy, which outpaced the Index during the Reporting Period, also dampened relative results. In energy, the Fund’s position in BPCL, an Indian exploration and oil marketing company, was the largest detractor from relative returns. In financials, the Fund’s position in Qudian, a Chinese online micro lending service provider, was the biggest disappointment. In materials, the Fund’s position in Hindalco Industries, already mentioned, detracted most from returns.

 

    Conversely, strong stock selection within the industrials, health care and consumer staples sectors contributed most positively to the Fund’s performance. In industrials, the Fund’s holding in TeamLease Services, a recruitment consultant and human resource staffing firm in India, was the strongest contributor. In health care, the Fund’s holding in Celltrion Healthcare, mentioned earlier, was the strongest contributor. In consumer staples, Kweichow Moutai, the largest Chinese hard liquor maker positioned at the premium-end of the market in China, boosted Fund results most.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we did not use derivatives as part of our active management strategy. However, we used index futures to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of index futures, which facilitated purchases and redemptions. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   Did the Fund make any significant purchases or sales during the Reporting Period?

 

A  

In addition to the purchase mentioned earlier, we initiated a Fund position in China Merchants Bank during the Reporting Period. We like China Merchants Bank’s focus on consumer

 

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banking, which caters to the growing financial services need of the country’s middle class. The bank generated more than 50% of its net income from the retail segment in 2017, leading to what we view as its superior return on assets profile. Further, the bank’s balance sheet, in our opinion, has been prudently managed, with 180% non-performing loan coverage and 3.37% loan reserve coverage at the end of 2017.

 

    Conversely, in addition to those sales already mentioned, we exited the Fund’s position in Bharat Petroleum, an India-based exploration and oil marketing company, during the Reporting Period. We exited the Fund’s position in the stock, as we expect the business to experience headwinds due to rising oil prices, which could put further pressure on its margins, especially if the Indian government decides not to pass on rising costs to customers. The slow stabilization of its recent Kochi refinery expansion could also hurt the company’s gross refining margins, in our opinion.

 

Q   Were there any notable changes in the Fund’s weightings during the Reporting Period?

 

A   Fund weightings at a sector level are driven by bottom-up stock selection. That said, during the Reporting Period, the Fund’s exposure relative to the Index to consumer discretionary increased, and its allocations relative to the Index to financials, consumer staples and health care decreased. The Fund’s position in cash also increased during the Reporting Period.

 

    Similarly, allocations to countries are directly the result of various stock selection decisions. As such, the Fund’s exposure relative to the Index in Taiwan and South Africa increased, and its allocation relative to the Index to India decreased.

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   There were no changes to the Fund’s portfolio management team during the Reporting Period.

 

Q   How was the Fund positioned relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund had overweighted exposures to India and Peru and underweighted exposures to South Africa, Taiwan, South Korea and Malaysia relative to the Index. On the same date, the Fund was relatively neutrally weighted to the Index in the remaining components of the Index and had exposure to several equity markets that are not components of the Index, including Argentina, Georgia, Germany, Ukraine, Spain, Romania and Vietnam. The Fund had no exposure to Index components Chile, Hungary, Pakistan and Qatar at the end of the Reporting Period.

 

    From a sector allocation perspective, the Fund had overweighted positions relative to the Index in financials and consumer discretionary at the end of the Reporting Period. The Fund had underweighted positions compared to the Index in the materials, real estate, telecommunication services and energy sectors at the end of the Reporting Period. The Fund had rather neutral exposure to the consumer staples, health care, industrials and information technology sectors and no allocation to the utilities sector at the end of the Reporting Period.

 

    As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect.

 

13


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FUND BASICS

 

Emerging Markets Equity Fund

as of April 30, 2018

 

 

LOGO

 

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       MSCI® Emerging
Markets Index2
 
  Class A        2.89        4.80
  Class C        2.48          4.80  
  Institutional        3.05          4.80  
  Service        2.83          4.80  
  Investor        3.02          4.80  
  Class R6        3.13          4.80  
    April 16, 2018–April 30, 2018                  
   

Class P

       -2.00          0.15  

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The MSCI® Emerging Markets Index (Net, USD, Unhedged) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of April 30, 2018 the MSCI® Emerging Markets Index consists of the following 24 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. For this Index, the dividend is reinvested after deduction of withholding tax, applying the rate to nonresident individuals who do not benefit from double taxation treaties. MSCI Barra uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI Emerging Markets Index does not reflect any deductions of expenses associated with mutual funds such as management fees and other expenses. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     23.71     6.88     2.78     6.87   12/15/97
  Class C     28.97       7.30       2.59       6.47     12/15/97
  Institutional     31.40       8.52       3.78       7.69     12/15/97
  Service     30.78       8.00       3.26       7.06     12/15/97
  Investor     31.26       8.38       N/A       6.53     8/31/10
  Class P     N/A       N/A       N/A       N/A     04/16/18
    Class R6     31.48       N/A       N/A       14.87     07/31/15

 

  3    The Standardized Total Returns are average annual returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

14


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FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.57      1.58
  Class C     2.32        2.33  
  Institutional     1.18        1.19  
  Service     1.68        1.69  
  Investor     1.32        1.33  
  Class P     1.17        1.18  
    Class R6     1.17        1.18  

 

  4   The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185,6
     Holding   % of
Net Assets
     Line of Business   Country
  Tencent Holdings Ltd.     5.4    Software & Services   China
  Samsung Electronics Co. Ltd.     4.8      Technology Hardware &
Equipment
  South Korea
  Alibaba Group Holding Ltd. ADR     3.7      Software & Services   China
  Taiwan Semiconductor Manufacturing Co. Ltd.     3.5      Semiconductors &
Semiconductor Equipment
  Taiwan
  iShares MSCI Taiwan ETF     3.1      Diversified Financials   United States
  iShares MSCI Emerging Markets ETF     2.9      Diversified Financials   United States
  Ping An Insurance Group Co. of China Ltd. Class H     2.4      Insurance   China
  Kweichow Moutai Co. Ltd. Class A     2.0      Food, Beverage & Tobacco   China
  China Merchants Bank Co. Ltd. Class H     1.9      Banks   China
    AIA Group Ltd.     1.7      Insurance   Hong Kong

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.
  6    The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund), which represents approximately 1.7% of the Fund’s net assets as of 4/30/18.

 

15


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FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS7
As of April 30, 2018

 

LOGO

 

 

  7    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.9% of the Fund’s net assets at April 30, 2018.

 

16


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs N-11 Equity Fund

 

Investment Objective

The Fund seeks long-term capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Emerging Markets Equity Portfolio Management Team discusses the Goldman Sachs N-11 Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional and Investor Shares generated cumulative total returns, without sales charges, of 1.72%, 1.37%, 2.02% and 1.85%, respectively. These returns compare to the 2.54% cumulative total return of the Fund’s benchmark, the MSCI Next 11 ex-Iran GDP Weighted Index (Net, USD, Unhedged) (the “Index”), during the same period.

 

    From their inception on February 28, 2018 through the end of the Reporting Period, the Fund’s Class R6 shares generated a cumulative total return, without sales charges, of -2.40%. This return compares to the -2.61% cumulative total return of the Index during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P shares generated a cumulative total return, without sales charges, of -1.07%. This return compares to the -1.27% cumulative total return of the Index during the same period.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund posted positive absolute returns but underperformed the Index on a relative basis during the Reporting Period. The Fund’s stock selection in South Korea and Pakistan detracted most. Having no exposure to Nigeria, the second strongest performing constituent of the Index during the Reporting Period, also hurt. Such detractors were only partially offset by the positive contributions of effective stock selection in Mexico and Egypt and of having an overweight to Vietnam, the best performing constituent in the Index during the Reporting Period.

 

Q   Which stocks detracted significantly from the Fund’s performance during the Reporting Period?

 

A   Detracting most from the Fund’s results relative to the Index were positions in Indocement Tunggal Prakarsa, ING Life Insurance Korea and Hanssem.

 

    Indocement Tunggal Prakarsa is an Indonesian producer of cement and specialty cement products. The company’s shares declined during the Reporting Period on the back of investor concerns about oversupply in the market.

 

    ING Life Insurance Korea is an insurance and financial services provider throughout South Korea. Its shares underperformed the Index during the Reporting Period on heightened investor concerns that a potential acquisition by a bank holding group might cut what had been the industry’s highest dividend payout, i.e. more than 60% in 2017. However, non-banking financial companies are not subject to Financial Supervisory Service’s (“FSS”) stringent regulation on capital adequacy, and thus we maintained the Fund’s position in ING Life Insurance Korea at the end of the Reporting Period. (The FSS was established on January 2, 1999, as South Korea’s fully integrated supervisory authority under the Act on the Establishment of Financial Supervisory Organizations (the “Establishment Act”) that the National Assembly approved on December 29, 1997. The Establishment Act created the FSS as a specially legislated quasi-government supervisory authority and charged it with financial supervision across the entire financial sector.)

 

    Hanssem is a South Korean manufacturer of kitchen and other interior household and office furniture. Hanssem’s share declined sharply after reporting both first quarter 2018 earnings that missed market expectations and sales downgrades.

 

17


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PORTFOLIO RESULTS

 

 

Q   What were some of the Fund’s best-performing individual stocks?

 

A   The strongest contributors to the Fund’s performance during the Reporting Period were each in the financials sector — Joint Stock Bank for Foreign Trade of Vietnam, Commercial International Bank Egypt and Regional SAB de CV.

 

    Joint Stock Bank for Foreign Trade of Vietnam provides banking products and services for individuals, corporations and financial institutions in Vietnam. The company saw its share price rise during the Reporting Period, primarily driven by what the market perceived as a strong set of numbers with high profits and solid performance.

 

    Commercial International Bank Egypt provides a range of financial services in Egypt. The bank performed strongly during the Reporting Period on the back of reports of strong revenues and a solid balance sheet.

 

    Regional SAB de CV provides banking services in Mexico. The Mexican bank posted strong returns during the Reporting Period attributably mostly to growth in its margins.

 

Q   Which equity market sectors most significantly affected Fund performance during the Reporting Period?

 

A   Relative to the Index, weak stock selection in the health care, real estate and materials sectors detracted most from the Fund’s performance. Having an underweighted allocation to real estate, the second strongest performer in the Index during the Reporting Period, also hurt.

 

    Conversely, strong stock selection within financials, consumer discretionary and energy contributed most positively to the Fund’s performance. Having an underweight to energy, which was among the weakest sectors in the Index during the Reporting Period, also helped.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, the Fund did not use derivatives or similar instruments.

 

Q   Did the Fund make any significant purchases or sales during the Reporting Period?

 

A   During the Reporting Period, we initiated a Fund position in Hankook Tire. Based in South Korea, it is the seventh largest manufacturer of tires in the world, selling close to 100 million tires annually. We established the position because we expect the company to benefit from the shift in demand toward greater than 17-inch tires. With raw material prices expected to remain benign during the next few years, Hankook Tire, in our opinion, could reduce its pricing gap with other major players in the industry, which could further improve its margins. On the date of purchase, we believed its valuation was attractive and the company was well positioned in the competitive environment to sustain its strong return profile.

 

    We established a Fund position in MLP Saglik Himetleri, Turkey’s largest private health care services provider, given what we consider to be its strong growth prospects.

 

    Conversely, we sold the Fund’s position in Amorepacific, the South Korean make-up brand. Sluggish sales in its domestic market due to one of its key products, a cushion foundation, entering into a down cycle, was the primary driver for us to exit the position. Further, to overcome its headwinds, we believed the company would likely be required to either incur significantly higher marketing costs for new product replacements or channel restructuring spending going forward.

 

    We eliminated the Fund’s position in Celltrion Healthcare. Celltrion Healthcare is a marketer of biopharmaceutical products in the South Korean health care sector. Following the success of its first product, infliximab similar, in Europe in 2016, the company launched the same product in the U.S. during the Reporting Period. The company also has two more products in its pipeline — Rituxan and Herceptin similar, each of which either completed its last phase of clinical testing or has already received approval from regulatory bodies in both the European Union and the U.S. Given fixed profit sharing plans between the manufacturing and sales companies, we believed at the end of the Reporting Period that robust sales performance of its biosimilar products in these major markets may well be a primary driver of both top-line and bottom-line growth over the next three to five years. That said, we opted to sell the Fund’s position in Celltrion Healthcare, taking profits, as its share price rose well above our target price under any scenario we foresaw. (A biosimilar product is a biological product that is approved based on a showing that it is highly similar to a Food and Drug Administration-approved biological product, known as a reference product, and has no clinically meaningful differences in terms of safety and effectiveness from the reference product.)

 

18


Table of Contents

PORTFOLIO RESULTS

 

 

Q   Were there any notable changes in the Fund’s weightings during the Reporting Period?

 

A   Fund weightings at a sector level are driven by bottom-up stock selection. That said, during the Reporting Period, the Fund’s exposure relative to the Index to financials, consumer discretionary and information technology increased, and its allocation relative to the Index to consumer staples decreased.

 

    Similarly, allocations to countries are directly the result of various stock selection decisions. As such, the Fund’s allocation relative to the Index to Indonesia increased, and its exposure relative to the Index in South Korea decreased.

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   There were no changes to the Fund’s portfolio management team during the Reporting Period.

 

Q   How was the Fund positioned relative to the Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight relative to the Index in Pakistan, Vietnam, Egypt, the Philippines and Indonesia and was underweight relative to the Index in South Korea. On the same date, the Fund was relatively neutrally weighted to the Index in all of the remaining country components of the Index, with the exception of Nigeria, where the Fund held no exposure at all.

 

    From a sector allocation perspective, the Fund had overweighted positions relative to the Index in financials, and to a lesser extent, in materials and information technology. The Fund had underweighted positions compared to the Index in industrials, consumer staples, telecommunication services, energy, real estate and health care at the end of the Reporting Period. The Fund was relatively neutrally weighted to the Index in utilities and consumer discretionary at the end of the Reporting Period.

 

    As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect.

 

19


Table of Contents

FUND BASICS

 

N-11 Equity Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018   Fund Total Return
(based on NAV)1
       MSCI® Next 11 ex-Iran  GDP
Weighted Index (Net,
USD, Unhedged)2
 
  Class A     1.72        2.54
  Class C     1.37          2.54  
  Institutional     2.02          2.54  
  Investor     1.85          2.54  
  February 28, 2018–April 30, 2018       
  Class R6     -2.40          -2.61  
  April 16, 2018–April 30, 2018       
    Class P     -1.07          -1.27  

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The MSCI® Next 11 ex-Iran GDP Weighted Index (Net, Unhedged, USD) comprises the following 10 emerging and frontier market indices: Bangladesh, Egypt, Indonesia, Mexico, Nigeria, Pakistan, Philippines, South Korea, Turkey and Vietnam. The index is designed to reflect the performance of the N-11 ex Iran countries based on the size of each country’s economy rather than the size of its equity market, by using country weights based on a country’s gross domestic product (GDP). Each country is divided into large- and mid-cap segments and provides exhaustive coverage of these size segments by targeting a coverage range around 85% of free float-adjusted market capitalization in that market. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3  
     For the period ended 3/31/18   One Year      Five Years      Since Inception      Inception Date  
  Class A     8.85      -3.14      -0.21      02/28/11  
  Class C     13.35        -2.75        -0.16        02/28/11  
  Institutional     15.63        -1.63        0.99        02/28/11  
  Investor     15.48        -1.80        0.84        02/28/11  
  Class P     N/A        N/A        N/A        04/16/18  
    Class R6     N/A        N/A        -0.10        02/28/18  

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

20


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FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.73      1.95
  Class C     2.48        2.70  
  Institutional     1.34        1.56  
  Investor     1.48        1.70  
  Class P     1.33        1.55  
    Class R6     1.33        1.55  

 

  4   The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding  

% of

Net Assets

    Line of Business   Country
  Samsung Electronics Co. Ltd.     9.5   Technology Hardware &
Equipment
  South Korea
  Commercial International Bank Egypt SAE     6.4   Banks   Egypt
  Bank Central Asia Tbk. PT     5.9   Banks   Indonesia
  Vietnam Dairy Products JSC     2.9   Food, Beverage &
Tobacco
  Vietnam
  Telekomunikasi Indonesia Persero Tbk. PT     2.9   Telecommunication
Services
  Indonesia
  Grupo Financiero Banorte SAB de CV Class O     2.7   Banks   Mexico
  BRAC Bank Ltd.     2.5   Banks   Bangladesh
  Wal-Mart de Mexico SAB de CV     2.3   Food & Staples
Retailing
  Mexico
  ING Life Insurance Korea Ltd.     2.2   Insurance   South Korea
    Bolsa Mexicana de Valores SAB de CV     2.2   Diversified Financials   Mexico

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

21


Table of Contents

FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

 

LOGO

 

 

  6   The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 1.7% of the Fund’s net assets at April 30, 2018.

 

22


Table of Contents

GOLDMAN SACHS ASIA EQUITY FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

Shares     Description  

Value

 
Common Stocks – 98.6%  
China – 38.7%  
  6,283     58.com, Inc. ADR (Software & Services)*   $ 549,071  
  20,438     Alibaba Group Holding Ltd. ADR (Software & Services)*     3,649,001  
  574,000     Angang Steel Co. Ltd. Class H (Materials)     615,286  
  216,800     Anhui Conch Cement Co. Ltd. Class H (Materials)     1,353,153  
  133,000     ANTA Sports Products Ltd. (Consumer Durables & Apparel)     758,924  
  314,000     Brilliance China Automotive Holdings Ltd. (Automobiles & Components)     559,082  
  82,299     China Literature Ltd. (Media)*(a)(b)     662,927  
  558,500     China Merchants Bank Co. Ltd. Class H (Banks)     2,435,283  
  786,000     China Petroleum & Chemical Corp. Class H (Energy)     765,454  
  23,222     Ctrip.com International Ltd. ADR (Retailing)*     949,780  
  150,000     Geely Automobile Holdings Ltd. (Automobiles & Components)     394,505  
  82,061     Hangzhou Hikvision Digital Technology Co. Ltd. Class A (Technology Hardware & Equipment)     496,121  
  79,800     Hangzhou Robam Appliances Co. Ltd. Class A (Consumer Durables & Apparel)     419,173  
  1,624,000     Hilong Holding Ltd. (Energy)     246,217  
  39,698     Huami Corp. ADR (Technology Hardware & Equipment)*(b)     357,679  
  233,000     Huayu Automotive Systems Co. Ltd. Class A (Automobiles & Components)     813,256  
  1,336,635     Industrial & Commercial Bank of China Ltd. Class H (Banks)     1,173,407  
  166,800     Inner Mongolia Yili Industrial Group Co. Ltd. Class A (Food, Beverage & Tobacco)     689,355  
  125,386     Jiangsu Hengrui Medicine Co. Ltd. Class A (Pharmaceuticals, Biotechnology & Life Sciences)     1,640,479  
  22,640     Kweichow Moutai Co. Ltd. Class A (Food, Beverage & Tobacco)     2,353,152  
  234,000     Minth Group Ltd. (Automobiles & Components)     1,111,060  
  12,073     New Oriental Education & Technology Group, Inc. ADR (Consumer Services)     1,084,638  
  235,000     Nexteer Automotive Group Ltd. (Automobiles & Components)*     361,564  
  345,000     Ping An Insurance Group Co. of China Ltd. Class H (Insurance)     3,371,133  
  98,000     Shenzhou International Group Holdings Ltd. (Consumer Durables & Apparel)     1,069,791  
  38,752     Silergy Corp. (Semiconductors & Semiconductor Equipment)     810,384  
  134,500     Tencent Holdings Ltd. (Software & Services)     6,612,414  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  80,500     Wuxi Biologics Cayman, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)*(a)   730,211  
   

 

 

 
      36,032,500  

 

 

 
Hong Kong – 8.1%  
  384,836     AIA Group Ltd. (Insurance)     3,439,356  
  107,000     Galaxy Entertainment Group Ltd. (Consumer Services)     936,532  
  49,550     Hong Kong Exchanges & Clearing Ltd. (Diversified Financials)     1,605,150  
  455,200     IMAX China Holding, Inc. (Media)*(a)     1,510,660  
  1,960,000     Peace Mark Holdings Ltd. (Consumer Durables & Apparel)*(c)      
   

 

 

 
      7,491,698  

 

 

 
India – 11.9%  
  2,826     Abbott India Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     261,668  
  22,968     AIA Engineering Ltd. (Capital Goods)     496,492  
  22,394     Amber Enterprises India Ltd. (Consumer Durables & Apparel)*     382,080  
  22,064     Bajaj Finance Ltd. (Diversified Financials)     627,857  
  28,408     Bandhan Bank Ltd. (Banks)*(a)     218,551  
  17,686     Bharat Financial Inclusion Ltd. (Diversified Financials)*     306,846  
  18,778     Castrol India Ltd. (Materials)     54,629  
  155,333     Crompton Greaves Consumer Electricals Ltd. (Consumer Durables & Apparel)     545,979  
  30,128     Divi’s Laboratories Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     538,732  
  175,502     Edelweiss Financial Services Ltd. (Diversified Financials)     747,807  
  1,200     Eicher Motors Ltd. (Capital Goods)     558,067  
  205,181     Hindalco Industries Ltd. (Materials)     718,533  
  131,475     Hindustan Zinc Ltd. (Materials)     642,309  
  45,369     ICICI Lombard General Insurance Co. Ltd. (Insurance)(a)     516,570  
  419,323     Idea Cellular Ltd. (Telecommunication Services)*     432,933  
  8,705     Info Edge India Ltd. (Software & Services)     161,846  
  6,861     Maruti Suzuki India Ltd. (Automobiles & Components)     902,831  
  479     MRF Ltd. (Automobiles & Components)     571,982  
  55,002     Muthoot Finance Ltd. (Diversified Financials)     369,441  
  35,939     Navin Fluorine International Ltd. (Materials)     414,460  
  75,495     Prestige Estates Projects Ltd. (Real Estate)     344,120  
  1,548     Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products)     221,079  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   23


Table of Contents

GOLDMAN SACHS ASIA EQUITY FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Shares     Description  

Value

 
Common Stocks – (continued)  
India – (continued)  
  17,772     TeamLease Services Ltd. (Commercial & Professional Services)*   $ 731,355  
  10,070     Thermax Ltd. (Capital Goods)     171,088  
  25,142     VRL Logistics Ltd. (Transportation)*     159,417  
   

 

 

 
      11,096,672  

 

 

 
Indonesia – 0.7%  
  225,800     Bank Central Asia Tbk. PT (Banks)     357,053  
  4,944,000     BFI Finance Indonesia Tbk. PT (Diversified Financials)     287,845  
   

 

 

 
      644,898  

 

 

 
Italy – 0.6%  
  101,100     PRADA SpA (Consumer Durables & Apparel)     512,972  

 

 

 
Malaysia – 0.9%  
  461,700     Bursa Malaysia Bhd. (Diversified Financials)     847,064  

 

 

 
Philippines – 1.2%  
  139,120     Jollibee Foods Corp. (Consumer Services)     764,546  
  766,800     Megawide Construction Corp. (Capital Goods)     354,387  
   

 

 

 
      1,118,933  

 

 

 
Singapore – 3.1%  
  126,121     DBS Group Holdings Ltd. (Banks)     2,909,875  

 

 

 
South Korea – 21.1%  
  43,883     DGB Financial Group, Inc. (Banks)     490,466  
  18,498     Hankook Tire Co. Ltd. (Automobiles & Components)     854,302  
  2,243     Hanssem Co. Ltd. (Consumer Durables & Apparel)     244,019  
  37,427     ING Life Insurance Korea Ltd. (Insurance)(a)     1,437,858  
  18,676     Jin Air Co. Ltd. (Transportation)     553,817  
  6,190     Korea Kolmar Co. Ltd. (Household & Personal Products)     472,088  
  383     Korea Zinc Co. Ltd. (Materials)     155,011  
  2,702     LG Chem Ltd. (Materials)     904,438  
  5,389     LG Electronics, Inc. (Consumer Durables & Apparel)     510,978  
  1,856     LG Innotek Co. Ltd. (Technology Hardware & Equipment)     200,123  
  20,177     Modetour Network, Inc. (Consumer Services)     697,594  
  721     NAVER Corp. (Software & Services)     480,794  
  6,433     NCSoft Corp. (Software & Services)     2,156,168  
  714     NongShim Co. Ltd. (Food, Beverage & Tobacco)     215,807  
  5,751     Osstem Implant Co. Ltd. (Health Care Equipment & Services)*     294,782  
  110,302     Pan Ocean Co. Ltd. (Transportation)*     563,225  
  18,803     Samsung Electro-Mechanics Co. Ltd. (Technology Hardware & Equipment)     2,064,698  

 

 

 
Common Stocks – (continued)  
South Korea – (continued)  
  2,228     Samsung Electronics Co. Ltd. (Technology Hardware & Equipment)   5,522,339  
  1,507     Samsung Fire & Marine Insurance Co. Ltd. (Insurance)     376,283  
  18,416     SK Hynix, Inc. (Semiconductors & Semiconductor Equipment)     1,448,308  
   

 

 

 
      19,643,098  

 

 

 
Taiwan – 7.2%  
  611,000     FIT Hon Teng Ltd. (Technology Hardware & Equipment)(a)     234,443  
  159,000     Fubon Financial Holding Co. Ltd. (Diversified Financials)     272,026  
  96,000     Kingpak Technology, Inc. (Technology Hardware & Equipment)     626,394  
  6,000     Largan Precision Co. Ltd. (Technology Hardware & Equipment)     697,850  
  40,000     Nien Made Enterprise Co. Ltd. (Consumer Durables & Apparel)     355,302  
  62     Poya International Co. Ltd. (Retailing)     688  
  518,338     Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment)     3,948,358  
  74,000     Win Semiconductors Corp. (Semiconductors & Semiconductor Equipment)     554,873  
   

 

 

 
      6,689,934  

 

 

 
Thailand – 3.2%  
  783,400     Airports of Thailand PCL (Transportation)     1,762,717  
  164,200     Bumrungrad Hospital PCL (Health Care Equipment & Services)     985,832  
  334,100     Thai Beverage PCL (Food, Beverage & Tobacco)     214,789  
   

 

 

 
      2,963,338  

 

 

 
United States – 0.8%  
  9,210     Cognizant Technology Solutions Corp. Class A (Software & Services)     753,562  

 

 

 
Vietnam – 1.1%  
  124,920     Vietnam Dairy Products JSC (Food, Beverage & Tobacco)     1,013,015  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $78,862,235)   $ 91,717,559  

 

 

 

 

24   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS ASIA EQUITY FUND

 

 

 

 

Shares   Distribution
Rate
    Value  
Investment Company(d) – 0.0%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

190

    1.623   $ 190  
(Cost $190)    

 

 

TOTAL INVESTMENTS BEFORE SECURITIES

LENDING REINVESTMENT VEHICLE

 

 

(Cost $78,862,425)     $ 91,717,749  

 

 
   
Securities Lending Reinvestment Vehicle(d) – 0.5%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

507,366

    1.623   $ 507,366  
(Cost $507,366)    

 

 
TOTAL INVESTMENTS – 99.1%  
(Cost $79,369,791)     $ 92,225,115  

 

 
OTHER ASSETS IN EXCESS
    OF LIABILITIES – 0.9%
      832,407  

 

 
NET ASSETS – 100.0%     $ 93,057,522  

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $5,311,220, which represents approximately 5.7% of net assets as of April 30, 2018. The liquidity determination is unaudited.

(b)

  All or a portion of security is on loan.

(c)

  Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3.

(d)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviation:

ADR

 

—American Depositary Receipt

 

 

The accompanying notes are an integral part of these financial statements.   25


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

Shares     Description  

Value

 
Common Stocks – 90.0%  
Argentina – 1.4%  
  456,418     Grupo Supervielle SA ADR (Banks)   $ 12,752,319  
  145,983     Loma Negra Cia Industrial Argentina SA ADR (Materials)*     3,027,687  
  19,108     MercadoLibre, Inc. (Software & Services)     6,489,268  
   

 

 

 
      22,269,274  

 

 

 
Australia – 0.2%  
  248,768     SEEK Ltd. (Commercial & Professional Services)     3,618,540  

 

 

 
Brazil – 5.7%  
  591,200     Azul SA (Preference) (Transportation)*,(a)     6,142,864  
  1,872,100     B3 SA – Brasil Bolsa Balcao (Diversified Financials)*     13,520,247  
  297,993     Banco Bradesco SA ADR (Banks)*     2,920,331  
  1,547,113     Banco Bradesco SA (Preference) (Banks)*,(a)     15,267,098  
  1,021,241     BB Seguridade Participacoes SA (Insurance)     8,010,876  
  665,800     Bradespar SA (Preference) (Materials)(a)     6,758,349  
  641,400     CVC Brasil Operadora e Agencia de Viagens SA (Consumer Services)     10,617,374  
  995,300     Fleury SA (Health Care Equipment & Services)     7,418,156  
  229,091     Pagseguro Digital Ltd. Class A (Software & Services)*     7,612,694  
  1,180,800     Petrobras Distribuidora SA (Retailing)     7,738,972  
  915,500     Wiz Solucoes e Corretagem de Seguros SA (Insurance)     2,602,872  
   

 

 

 
      88,609,833  

 

 

 
China – 25.2%  
  95,688     58.com, Inc. ADR (Software & Services)*     8,362,174  
  327,009     Alibaba Group Holding Ltd. ADR (Software & Services)*     58,384,187  
  3,495,000     Anhui Conch Cement Co. Ltd. Class H (Materials)     21,813,976  
  2,095,000     ANTA Sports Products Ltd. (Consumer Durables & Apparel)     11,954,476  
  765,664     China Literature Ltd. (Media)*(b)(c)     6,167,504  
  6,689,000     China Merchants Bank Co. Ltd. Class H (Banks)     29,166,716  
  257,652     Ctrip.com International Ltd. ADR (Retailing)*     10,537,967  
  3,819,000     Geely Automobile Holdings Ltd. (Automobiles & Components)     10,044,092  
  1,730,511     Hangzhou Hikvision Digital Technology Co. Ltd. Class A (Technology Hardware & Equipment)     10,462,256  
  1,019,321     Hangzhou Robam Appliances Co. Ltd. Class A (Consumer Durables & Apparel)     5,354,289  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  516,570     Huami Corp. ADR (Technology Hardware & Equipment)*(c)   4,654,296  
  2,730,900     Inner Mongolia Yili Industrial Group Co. Ltd. Class A (Food, Beverage & Tobacco)     11,286,323  
  793,298     Jiangsu Hengrui Medicine Co. Ltd. Class A (Pharmaceuticals, Biotechnology & Life Sciences)     10,379,059  
  306,824     Kweichow Moutai Co. Ltd. Class A (Food, Beverage & Tobacco)     31,890,621  
  2,454,000     Minth Group Ltd. (Automobiles & Components)     11,651,882  
  130,107     New Oriental Education & Technology Group, Inc. ADR (Consumer Services)     11,688,813  
  2,991,000     Nexteer Automotive Group Ltd. (Automobiles & Components)*     4,601,865  
  3,768,000     Ping An Insurance Group Co. of China Ltd. Class H (Insurance)     36,818,634  
  317,497     Silergy Corp. (Semiconductors & Semiconductor Equipment)     6,639,515  
  1,707,100     Tencent Holdings Ltd. (Software & Services)     83,926,034  
  699,895     Wuxi Biologics Cayman, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)*(b)     6,348,708  
   

 

 

 
      392,133,387  

 

 

 
Colombia – 0.3%  
  97,135     Banco de Bogota SA (Banks)     2,403,343  
  113,839     Grupo Aval Acciones y Valores SA ADR (Banks)     1,008,614  
  3,223,981     Grupo Aval Acciones y Valores SA (Preference) (Banks)(a)     1,417,472  
   

 

 

 
      4,829,429  

 

 

 
Czech Republic – 0.5%  
  2,185,931     Moneta Money Bank A/S (Banks)(b)     7,857,246  

 

 

 
Egypt – 0.3%  
  778,945     Commercial International Bank Egypt SAE (Registered) GDR (Banks)     3,995,988  

 

 

 
Georgia – 0.5%  
  47,711     BGEO Group plc (Banks)     2,280,772  
  218,742     TBC Bank Group plc (Banks)     5,551,490  
   

 

 

 
      7,832,262  

 

 

 
Germany – 0.5%  
  291,474     Infineon Technologies AG (Semiconductors & Semiconductor Equipment)     7,463,401  

 

 

 
Greece – 0.5%  
  212,182     JUMBO SA (Retailing)     3,883,881  
  276,686     Sarantis SA (Household & Personal Products)     4,738,661  
   

 

 

 
      8,622,542  

 

 

 

 

26   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY FUND

 

 

Shares     Description  

Value

 
Common Stocks – (continued)  
Hong Kong – 4.8%  
  3,039,400     AIA Group Ltd. (Insurance)   $ 27,163,726  
  2,071,000     Galaxy Entertainment Group Ltd. (Consumer Services)     18,126,701  
  758,096     Hong Kong Exchanges & Clearing Ltd. (Diversified Financials)     24,558,174  
  1,452,100     IMAX China Holding, Inc. (Media)*(b)     4,819,045  
   

 

 

 
      74,667,646  

 

 

 
India – 10.6%  
  24,359     Abbott India Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     2,255,470  
  371,991     AIA Engineering Ltd. (Capital Goods)     8,041,216  
  314,547     Amber Enterprises India Ltd. (Consumer Durables & Apparel)*     5,366,717  
  352,951     Bajaj Finance Ltd. (Diversified Financials)     10,043,634  
  458,593     Bandhan Bank Ltd. (Banks)*(b)     3,528,088  
  237,757     Bharat Financial Inclusion Ltd. (Diversified Financials)*     4,125,001  
  152,923     Castrol India Ltd. (Materials)     444,887  
  2,134,222     Crompton Greaves Consumer Electricals Ltd. (Consumer Durables & Apparel)     7,501,564  
  531,171     Divi’s Laboratories Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     9,498,106  
  2,368,815     Edelweiss Financial Services Ltd. (Diversified Financials)     10,093,419  
  17,416     Eicher Motors Ltd. (Capital Goods)     8,099,419  
  3,893,034     Hindalco Industries Ltd. (Materials)     13,633,193  
  2,026,764     Hindustan Zinc Ltd. (Materials)     9,901,570  
  664,122     ICICI Lombard General Insurance Co. Ltd. (Insurance)(b)     7,561,677  
  7,003,914     Idea Cellular Ltd. (Telecommunication Services)*     7,231,232  
  263,063     Info Edge India Ltd. (Software & Services)     4,890,946  
  125,221     Maruti Suzuki India Ltd. (Automobiles & Components)     16,477,685  
  5,785     MRF Ltd. (Automobiles & Components)     6,907,971  
  631,932     Muthoot Finance Ltd. (Diversified Financials)     4,244,604  
  389,460     Navin Fluorine International Ltd. (Materials)     4,491,378  
  1,086,238     Prestige Estates Projects Ltd. (Real Estate)     4,951,277  
  19,257     Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products)     2,750,204  
  198,470     TeamLease Services Ltd. (Commercial & Professional Services)*     8,167,459  

 

 

 
Common Stocks – (continued)  
India – (continued)  
  158,489     Thermax Ltd. (Capital Goods)   2,692,699  
  323,501     VRL Logistics Ltd. (Transportation)*     2,051,206  
   

 

 

 
      164,950,622  

 

 

 
Indonesia – 1.2%  
  9,373,900     Bank Central Asia Tbk. PT (Banks)     14,822,787  
  64,673,000     BFI Finance Indonesia Tbk. PT (Diversified Financials)     3,765,329  
   

 

 

 
      18,588,116  

 

 

 
Malaysia – 0.8%  
  6,622,350     Bursa Malaysia Bhd. (Diversified Financials)     12,149,778  

 

 

 
Mexico – 2.3%  
  2,449,885     Alsea SAB de CV (Consumer Services)     9,112,049  
  1,530,843     Becle SAB de CV (Food, Beverage & Tobacco)*     2,593,144  
  5,447,510     Bolsa Mexicana de Valores SAB de CV (Diversified Financials)     10,509,338  
  1,015,000     Grupo Cementos de Chihuahua SAB de CV (Materials)     5,907,521  
  2,362,668     Unifin Financiera SAB de CV SOFOM ENR (Diversified Financials)*     8,455,403  
   

 

 

 
      36,577,455  

 

 

 
Peru – 2.2%  
  1,002,816     Alicorp SAA (Food, Beverage & Tobacco)     3,683,877  
  3,371,516     BBVA Banco Continental SA (Banks)     4,663,948  
  52,934     Credicorp Ltd. (Banks)     12,306,625  
  125,776     Intercorp Financial Services, Inc. (Banks)     5,381,955  
  444,081     Nexa Resources SA (Materials)*     7,762,536  
   

 

 

 
      33,798,941  

 

 

 
Philippines – 0.6%  
  1,670,360     Jollibee Foods Corp. (Consumer Services)     9,179,611  

 

 

 
Poland – 1.3%  
  371,628     Dino Polska SA (Food & Staples Retailing)*(b)     9,995,695  
  95,022     KRUK SA (Diversified Financials)     6,201,674  
  311,097     Warsaw Stock Exchange (Diversified Financials)     3,496,667  
   

 

 

 
      19,694,036  

 

 

 
Romania – 0.3%  
  6,455,021     Banca Transilvania SA (Banks)     4,278,513  

 

 

 
Russia – 2.4%  
  233,994     LUKOIL PJSC ADR (Energy)     15,417,865  
  2,749,837     Moscow Exchange MICEX-RTS PJSC (Diversified Financials)     5,260,123  
  4,510,273     Sberbank of Russia PJSC (Banks)     16,076,846  
   

 

 

 
      36,754,834  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   27


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Shares     Description  

Value

 
Common Stocks – (continued)  
South Africa – 3.9%  
  10,484,362     Alexander Forbes Group Holdings Ltd. (Diversified Financials)   $ 5,425,121  
  793,152     Barclays Africa Group Ltd. (Banks)     11,617,515  
  157,576     Bid Corp. Ltd. (Food & Staples Retailing)     3,622,393  
  2,606,756     Dis-Chem Pharmacies Ltd. (Food & Staples Retailing)(b)     7,854,774  
  1,101,885     FirstRand Ltd. (Diversified Financials)     5,901,175  
  723,733     JSE Ltd. (Diversified Financials)     11,352,128  
  298,343     Santam Ltd. (Insurance)     7,659,026  
  5,144,176     Transaction Capital Ltd. (Diversified Financials)     7,230,322  
   

 

 

 
      60,662,454  

 

 

 
South Korea – 12.8%  
  276,170     Hankook Tire Co. Ltd. (Automobiles & Components)     12,754,496  
  37,572     Hanssem Co. Ltd. (Consumer Durables & Apparel)     4,087,503  
  460,410     ING Life Insurance Korea Ltd. (Insurance)(b)     17,687,877  
  262,625     Jin Air Co. Ltd. (Transportation)     7,787,866  
  86,623     Korea Kolmar Co. Ltd. (Household & Personal Products)     6,606,409  
  41,660     LG Chem Ltd. (Materials)     13,944,808  
  98,951     LG Electronics, Inc. (Consumer Durables & Apparel)     9,382,414  
  8,740     NAVER Corp. (Software & Services)     5,828,207  
  32,357     NCSoft Corp. (Software & Services)     10,845,196  
  4,922     NongShim Co. Ltd. (Food, Beverage & Tobacco)     1,487,677  
  46,468     Osstem Implant Co. Ltd. (Health Care Equipment & Services)*     2,381,836  
  106,670     Samsung Electro-Mechanics Co. Ltd. (Technology Hardware & Equipment)     11,713,095  
  30,200     Samsung Electronics Co. Ltd. (Technology Hardware & Equipment)     74,853,972  
  21,456     Samsung Fire & Marine Insurance Co. Ltd. (Insurance)     5,357,347  
  198,142     SK Hynix, Inc. (Semiconductors & Semiconductor Equipment)     15,582,687  
   

 

 

 
      200,301,390  

 

 

 
Spain – 0.3%  
  1,885,119     Prosegur Cash SA (Commercial & Professional Services)(b)     5,509,057  

 

 

 
Switzerland – 0.5%  
  2,256,870     Ferrexpo plc (Materials)     7,307,045  

 

 

 
Common Stocks – (continued)  
Taiwan – 6.3%  
  218,000     Chunghwa Precision Test Tech Co. Ltd. (Technology Hardware & Equipment)   5,550,821  
  10,945,000     FIT Hon Teng Ltd. (Technology Hardware & Equipment)(b)     4,199,636  
  600,000     Kingpak Technology, Inc. (Technology Hardware & Equipment)     3,914,960  
  125,000     Largan Precision Co. Ltd. (Technology Hardware & Equipment)     14,538,532  
  498,000     Nien Made Enterprise Co. Ltd. (Consumer Durables & Apparel)     4,423,507  
  3,600     Poya International Co. Ltd. (Retailing)     39,966  
  382,000     President Chain Store Corp. (Food & Staples Retailing)     3,754,857  
  7,227,883     Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment)     55,057,260  
  894,000     Win Semiconductors Corp. (Semiconductors & Semiconductor Equipment)     6,703,470  
   

 

 

 
      98,183,009  

 

 

 
Thailand – 1.5%  
  4,827,500     Airports of Thailand PCL (Transportation)     10,862,288  
  8,949,800     Beauty Community PCL (Retailing)     6,576,149  
  592,500     Kasikornbank PCL (Banks)     3,761,808  
  3,876,200     Thai Beverage PCL (Food, Beverage & Tobacco)     2,491,958  
   

 

 

 
      23,692,203  

 

 

 
Turkey – 0.8%  
  137,932     BIM Birlesik Magazalar A/S (Food & Staples Retailing)     2,343,554  
  2,735,649     Dogtas Kelebek Mobilya Sanayi ve Ticaret A/S (Consumer Durables & Apparel)*(c)     1,873,128  
  1,541,577     Eregli Demir ve Celik Fabrikalari TAS (Materials)*     3,848,145  
  959,845     MLP Saglik Hizmetleri A/S (Health Care Equipment & Services)*(b)     4,002,800  
   

 

 

 
      12,067,627  

 

 

 
United Arab Emirates – 0.6%  
  195,844     NMC Health plc (Health Care Equipment & Services)     9,569,547  

 

 

 
United States – 1.2%  
  148,457     Cognizant Technology Solutions Corp. Class A (Software & Services)     12,146,752  

 

 

 

 

28   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY FUND

 

 

 

Shares     Description  

Value

 
Common Stocks – (continued)  
United States – (continued)  
  1,370,700     Samsonite International SA (Consumer Durables & Apparel)   $ 6,182,809  
   

 

 

 
      18,329,561  

 

 

 
Vietnam – 0.5%  
  1,018,288     Vietnam Dairy Products JSC (Food, Beverage & Tobacco)     8,257,616  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $1,322,905,198)   $ 1,401,750,963  

 

 

 
   
Exchange Traded Funds – 8.1%  
United States – 8.1%  
  969,352     iShares MSCI Emerging Markets ETF   $ 45,481,996  
  212,859     iShares MSCI South Africa ETF(c)     14,014,637  
  241,537     iShares MSCI South Korea ETF     18,260,197  
  1,323,527     iShares MSCI Taiwan ETF     48,044,030  

 

 

 
  TOTAL EXCHANGE TRADED FUNDS  
  (Cost $129,935,750)   $ 125,800,860  

 

 

 
   
Shares    

Distribution

Rate

    Value  
Investment Company(d) – 0.8%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  12,986,271       1.623   $ 12,986,271  
(Cost $12,986,271)  

 

 

 
 
TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE
 
 
  (Cost $1,465,827,219)     $ 1,540,538,094  

 

 

 
   
Securities Lending Reinvestment Vehicle(d) – 0.9%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  14,494,050       1.623   $ 14,494,050  
  (Cost $14,494,050)  

 

 

 
  TOTAL INVESTMENTS – 99.8%  
  (Cost $1,480,321,269)     $ 1,555,032,144  

 

 

 
 
OTHER ASSETS IN EXCESS
    OF LIABILITIES – 0.2%
 
 
    3,815,542  

 

 

 
  NET ASSETS – 100.0%     $ 1,558,847,686  

 

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares.

(b)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $85,532,107, which represents approximately 5.5% of net assets as of April 30, 2018. The liquidity determination is unaudited.

(c)

  All or a portion of security is on loan.

(d)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

GDR

 

—Global Depositary Receipt

 

 

The accompanying notes are an integral part of these financial statements.   29


Table of Contents

GOLDMAN SACHS N-11 EQUITY FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

Shares     Description       
Value
 
Common Stocks – 96.8%  
Bangladesh – 4.8%  
  1,537,125     BRAC Bank Ltd. (Banks)*   $ 1,623,678  
  94,800     GrameenPhone Ltd. (Telecommunication Services)     534,555  
  158,485     Olympic Industries Ltd. (Food, Beverage & Tobacco)     503,945  
  110,027     Square Pharmaceuticals Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     406,712  
   

 

 

 
      3,068,890  

 

 

 
Egypt – 7.0%  
  773,972     Commercial International Bank Egypt SAE (Banks)     4,114,261  
  250,666     Egyptian Financial Group-Hermes Holding Co. (Diversified Financials)     370,994  
   

 

 

 
      4,485,255  

 

 

 
Indonesia – 15.5%  
  1,610,400     Astra International Tbk. PT (Automobiles & Components)     824,246  
  2,377,300     Bank Central Asia Tbk. PT (Banks)     3,759,184  
  3,634,500     Bank Rakyat Indonesia Persero Tbk. PT (Banks)     838,001  
  598,000     Indocement Tunggal Prakarsa Tbk. PT (Materials)     756,776  
  7,046,700     Kalbe Farma Tbk. PT (Pharmaceuticals, Biotechnology & Life Sciences)     760,723  
  873,200     Matahari Department Store Tbk. PT (Retailing)     646,538  
  693,500     Semen Indonesia Persero Tbk. PT (Materials)*     478,990  
  6,803,900     Telekomunikasi Indonesia Persero Tbk. PT (Telecommunication Services)     1,856,612  
   

 

 

 
      9,921,070  

 

 

 
Mexico – 17.4%  
  197,327     Alsea SAB de CV (Consumer Services)     733,934  
  40,006     America Movil SAB de CV Class L ADR (Telecommunication Services)     739,711  
  108,242     Becle SAB de CV (Food, Beverage & Tobacco)*     183,355  
  718,500     Bolsa Mexicana de Valores SAB de CV (Diversified Financials)     1,386,130  
  13,492     Fomento Economico Mexicano SAB de CV ADR (Food, Beverage & Tobacco)     1,304,137  
  14,431     Grupo Aeroportuario del Sureste SAB de CV Class B (Transportation)     259,521  
  120,500     Grupo Cementos de Chihuahua SAB de CV (Materials)     701,336  
  277,533     Grupo Financiero Banorte SAB de CV Class O (Banks)     1,736,543  
  195,608     Grupo Mexico SAB de CVSeries B (Materials)     650,247  
  161,600     Regional SAB de CV (Banks)     1,032,398  

 

 

 
Common Stocks – (continued)  
Mexico – (continued)  
  254,785     Unifin Financiera SAB de CV SOFOM ENR (Diversified Financials)*   911,812  
  534,224     Wal-Mart de Mexico SAB de CV (Food & Staples Retailing)     1,484,523  
   

 

 

 
      11,123,647  

 

 

 
Pakistan – 4.2%  
  215,133     Engro Corp. Ltd. (Materials)     581,717  
  217,200     Habib Bank Ltd. (Banks)     365,915  
  247,400     MCB Bank Ltd. (Banks)     447,084  
  334,300     Oil & Gas Development Co. Ltd. (Energy)     483,088  
  496,100     United Bank Ltd. (Banks)     861,353  
   

 

 

 
      2,739,157  

 

 

 
Philippines – 6.1%  
  41,300     Ayala Corp. (Diversified Financials)     768,222  
  1,492,900     Ayala Land, Inc. (Real Estate)     1,173,108  
  103,090     Jollibee Foods Corp. (Consumer Services)     566,540  
  511,194     Metropolitan Bank & Trust Co. (Banks)     837,266  
  310,870     Robinsons Retail Holdings, Inc. (Food & Staples Retailing)     546,656  
   

 

 

 
      3,891,792  

 

 

 
South Korea – 24.0%  
  8,222     Hana Financial Group, Inc. (Banks)     365,330  
  11,665     Hankook Tire Co. Ltd. (Automobiles & Components)     538,730  
  3,648     Hanssem Co. Ltd. (Consumer Durables & Apparel)     396,870  
  37,209     ING Life Insurance Korea Ltd. (Insurance)(a)     1,429,483  
  10,673     KT Corp. (Telecommunication Services)     284,396  
  3,738     LG Chem Ltd. (Materials)     1,251,217  
  6,755     LG Electronics, Inc. (Consumer Durables & Apparel)     640,501  
  736     NAVER Corp. (Software & Services)     490,796  
  2,047     NCSoft Corp. (Software & Services)     686,099  
  733     NongShim Co. Ltd. (Food, Beverage & Tobacco)     221,550  
  7,476     Osstem Implant Co. Ltd. (Health Care Equipment & Services)*     383,202  
  2,848     POSCO (Materials)     981,309  
  2,451     Samsung Electronics Co. Ltd. (Technology Hardware & Equipment)     6,075,069  
  2,069     Samsung Fire & Marine Insurance Co. Ltd. (Insurance)     516,608  
  14,112     SK Hynix, Inc. (Semiconductors & Semiconductor Equipment)     1,109,825  
   

 

 

 
      15,370,985  

 

 

 

 

30   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS N-11 EQUITY FUND

 

 

 

Shares     Description       
Value
 
Common Stocks – (continued)  
Turkey – 11.6%  
  308,209     Akbank Turk A/S (Banks)   $ 641,282  
  165,374     Aygaz A/S (Utilities)     548,790  
  69,180     BIM Birlesik Magazalar A/S (Food & Staples Retailing)     1,175,413  
  61,925     Cimsa Cimento Sanayi ve Ticaret A/S (Materials)     191,771  
  361,360     Enka Insaat ve Sanayi A/S (Capital Goods)     434,818  
  405,659     Eregli Demir ve Celik Fabrikalari TAS (Materials)*     1,012,622  
  271,020     Haci Omer Sabanci Holding A/S (Diversified Financials)     640,946  
  106,909     KOC Holding A/S (Capital Goods)     361,178  
  50,770     MLP Saglik Hizmetleri A/S (Health Care Equipment & Services)*(a)     211,724  
  239,418     Soda Sanayii A/S (Materials)     284,973  
  339,773     Turkiye Garanti Bankasi A/S (Banks)     769,393  
  1,783,613     Turkiye Sinai Kalkinma Bankasi A/S (Banks)     615,998  
  94,856     Ulker Biskuvi Sanayi A/S (Food, Beverage & Tobacco)*     497,246  
   

 

 

 
      7,386,154  

 

 

 
Vietnam – 6.2%  
  508,608     Bank for Foreign Trade of Vietnam JSC (Banks)     1,333,290  
  180,420     Masan Group Corp. (Food, Beverage & Tobacco)*     724,628  
  63,556     Saigon Thuong Tin Commercial JSB (Banks)*     38,498  
  229,990     Vietnam Dairy Products JSC (Food, Beverage & Tobacco)     1,865,061  
   

 

 

 
      3,961,477  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $46,688,254)   $ 61,948,427  

 

 

 
   
Exchange Traded Funds – 2.5%  
United States – 2.5%  
  13,390     iShares MSCI Indonesia ETF   $ 339,571  
  2,272     iShares MSCI South Korea ETF     171,763  
  28,624     iShares MSCI Turkey ETF(b)     1,078,552  

 

 

 
  TOTAL EXCHANGE TRADED FUNDS  
  (Cost $1,688,956)   $ 1,589,886  

 

 

 
 
TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE
 
 
  (Cost $48,377,210)   $ 63,538,313  

 

 

 
   
Shares    

Distribution

Rate

    Value  
Securities Lending Reinvestment Vehicle(c) – 1.7%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  1,077,225       1.623   $ 1,077,225  
  (Cost $1,077,225)  

 

 

 
  TOTAL INVESTMENTS – 101.0%  
  (Cost $49,454,435)     $ 64,615,538  

 

 

 
 
LIABILITIES IN EXCESS OF
    OTHER ASSETS – (1.0)%
 
 
    (664,161

 

 

 
  NET ASSETS – 100.0%     $ 63,951,377  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,641,207, which represents approximately 2.6% of net assets as of April 30, 2018. The liquidity determination is unaudited.

(b)

  All or a portion of security is on loan.

(c)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviation:

ADR

 

—American Depositary Receipt

 

 

The accompanying notes are an integral part of these financial statements.   31


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

Statements of Assets and Liabilities

April 30, 2018 (Unaudited)

 

        Asia
Equity Fund
     Emerging Markets
Equity Fund
     N-11
Equity Fund
 
  Assets:        
 

Investments in unaffiliated issuers, at value (cost $78,862,235, $1,452,840,948 and $48,377,210)(a)

  $ 91,717,559      $ 1,527,551,823      $ 63,538,313  
 

Investments in affiliated issuers, at value (cost $190, $12,986,271 and $0)

    190        12,986,271         
 

Investments in affiliated securities lending reinvestment vehicle, at value (cost $507,366, $14,494,050 and $1,077,225)

    507,366        14,494,050        1,077,225  
 

Cash

    1,090,009        24,211,118        95,777  
 

Foreign currencies, at value (cost $146,620, $4,560,993 and $300,431)

    146,314        4,561,139        301,749  
 

Receivables:

       
 

Investments sold

    336,032        6,730,238        320,059  
 

Dividends

    87,620        2,318,037        30,123  
 

Fund shares sold

    13,887        5,920,548        6,769  
 

Securities lending income

    1,452        25,371        1,614  
 

Foreign tax reclaims

           126,560         
 

Reimbursement from investment adviser

                  3,804  
 

Other assets

    35,684        91,424        38,471  
  Total assets     93,936,113        1,599,016,579        65,413,904  
         
  Liabilities:        
 

Payables:

       
 

Payable upon return of securities loaned

    507,366        14,494,050        1,077,225  
 

Foreign capital gains taxes

    176,399        585,665        786  
 

Management fees

    85,634        1,294,725        60,557  
 

Fund shares redeemed

    13,981        415,695        174,276  
 

Distribution and Service fees and Transfer Agency fees

    11,342        172,559        10,605  
 

Investments purchased

           23,120,346         
 

Accrued expenses

    83,869        85,853        139,078  
  Total liabilities     878,591        40,168,893        1,462,527  
         
  Net Assets:        
 

Paid-in capital

    79,440,749        1,531,107,221        111,293,723  
 

Undistributed (distributions in excess of) net investment income (loss)

    (206,884      1,590,500        259,580  
 

Accumulated net realized gain (loss)

    1,125,220        (47,782,444      (62,924,031
 

Net unrealized gain

    12,698,437        73,932,409        15,322,105  
    NET ASSETS   $ 93,057,522      $ 1,558,847,686      $ 63,951,377  
   

Net Assets:

         
   

Class A

  $ 18,765,051      $ 154,208,272      $ 13,133,447  
   

Class C

    2,114,731        48,701,908        3,339,426  
   

Institutional

    71,192,145        1,151,872,391        39,781,393  
   

Service

           27,890,013         
   

Investor

    966,057        144,036,866        7,677,472  
   

Class P

    9,805        9,799        9,885  
   

Class R6

    9,733        32,128,437        9,754  
   

Total Net Assets

  $ 93,057,522      $ 1,558,847,686      $ 63,951,377  
   

Shares outstanding $0.001 par value (unlimited shares authorized):

         
   

Class A

    662,697        7,214,227        1,300,843  
   

Class C

    82,136        2,542,724        346,652  
   

Institutional

    2,372,255        50,337,866        3,910,769  
   

Service

           1,350,181         
   

Investor

    32,371        6,342,256        756,687  
   

Class P

    327        426        972  
   

Class R6

    324        1,397,773        959  
   

Net asset value, offering and redemption price per share:(b)

         
   

Class A

    $28.32        $21.38        $10.10  
   

Class C

    25.75        19.15        9.63  
   

Institutional

    30.01        22.88        10.17  
   

Service

           20.66         
   

Investor

    29.84        22.71        10.15  
   

Class P

    30.01        22.99        10.17  
   

Class R6

    30.01        22.99        10.17  

 

  (a)   Includes loaned securities having a market value of $489,401, $13,807,890 and 1,021,128 for the Asia Equity, Emerging Markets Equity and N-11 Equity Funds, respectively.
  (b)   Maximum public offering price per share for Class A Shares of the Asia Equity, Emerging Markets Equity and N-11 Equity Funds is $29.97, $22.62 and $10.69, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares.

 

32   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

Statements of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

 

        Asia
Equity Fund
     Emerging Markets
Equity Fund
     N-11
Equity Fund
 
  Investment income:        
 

Dividends — unaffiliated issuers (net of foreign taxes withheld of $44,595, $726,862 and $120,177)

  $ 364,496      $ 10,327,759      $ 780,152  
 

Dividends — affiliated issuers

    8,414        18,912         
 

Securities lending income — affiliated issuer

    7,751        101,322        19,661  
  Total investment income     380,661        10,447,993        799,813  
         
  Expenses:        
 

Management fees

    461,805        6,711,638        451,705  
 

Custody, accounting and administrative services

    65,783        412,339        80,516  
 

Professional fees

    61,205        75,738        68,459  
 

Distribution and Service fees(a)

    34,301        380,149        37,531  
 

Transfer Agency fees(a)

    33,708        429,344        33,444  
 

Printing and mailing costs

    18,853        101,259        37,021  
 

Trustee fees

    8,729        9,613        8,727  
 

Service share fees — Service and Shareholder Administration Plan

           68,940         
 

Registration fees

           5,515        6,039  
 

Other

    19,389        38,660        5,328  
  Total expenses     703,773        8,233,195        728,770  
 

Less — expense reductions

    (122,926      (630,716      (189,226
  Net expenses     580,847        7,602,479        539,544  
  NET INVESTMENT INCOME (LOSS)     (200,186      2,845,514        260,269  
         
  Realized and unrealized gain (loss):        
 

Net realized gain (loss) from:

       
 

Investments — unaffiliated issuers

    1,191,850        (11,750,028      2,852,117  
 

Futures contracts

           52,344         
 

Foreign currency transactions

    (23,224      (723,350      (6,688
 

Net change in unrealized gain (loss) on:

       
 

Investments — unaffiliated issuers (including the effects of the net change in the foreign capital gains tax liability of $89,978, $899,677 and $153,439)

    1,876,259        6,286,876        (1,161,996
 

Foreign currency translation

    17,317        (607,509      154,588  
  Net realized and unrealized gain (loss)     3,062,202        (6,741,667      1,838,021  
  NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 2,862,016      $ (3,896,153    $ 2,098,290  

 

  (a)   Class specific Distribution and Service, and Transfer Agency fees were as follows:

 

     Distribution and Service Fees      Transfer Agency Fees  

Fund

  

Class A

      

Class C

    

Class A

    

Class C

    

Institutional

    

Service

    

Investor

    

Class P(c)

    

Class R6

 

Asia Equity

   $ 23,453        $ 10,848      $ 16,886      $ 1,953      $ 14,118      $      $ 751      $      $ (b) 

Emerging Markets Equity

     161,650          218,499        116,388        39,330        175,751        5,515        90,333               2,027  

N-11 Equity Fund

     19,222          18,309        13,840        3,296        9,071               7,236               1 (b) 

 

  (b)   Commenced operation on February 28, 2018 for Asia Equity and N-11 Funds.
  (c)   Commenced operations on April 16, 2018.

 

The accompanying notes are an integral part of these financial statements.   33


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

Statements of Changes in Net Assets

 

 

        Asia Equity Fund  
        For the
Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal
Year Ended
October 31, 2017
 
  From operations:     
 

Net investment income (loss)

  $ (200,186    $ 164,802  
 

Net realized gain (loss)

    1,168,626        10,003,993  
 

Net change in unrealized gain (loss)

    1,893,576        8,215,950  
  Net increase (decrease) in net assets resulting from operations     2,862,016        18,384,745  
      
  Distributions to shareholders:     
 

From net investment income

    
 

Class A Shares

            
 

Class C Shares

            
 

Institutional Shares

    (13,260       
 

Service Shares

            
 

Investor Shares(a)

    (212       
 

Class P(b)

            
 

Class R6 Shares

    (c)        
 

From net realized gains

    
 

Class A Shares

    (243,743       
 

Class C Shares

    (31,458       
 

Institutional Shares

    (883,156       
 

Investor Shares(a)

    (7,038       
 

Class P(b)

            
  Total distributions to shareholders     (1,178,867       
      
  From share transactions:     
 

Proceeds from sales of shares

    14,867,863        9,759,750  
 

Reinvestment of distributions

    1,163,235         
 

Cost of shares redeemed

    (6,226,900      (19,492,502
  Net increase (decrease) in net assets resulting from share transactions     9,804,198        (9,732,752
  TOTAL INCREASE (DECREASE)     11,487,347        8,651,993  
      
  Net assets:     
 

Beginning of period

    81,570,175        72,918,182  
 

End of period

  $ 93,057,522      $ 81,570,175  
  Undistributed (distributions in excess of) net investment income (loss)   $ (206,884    $ 6,774  

 

  (a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (b)   Commenced operations on April 16, 2018.
  (c)   Commenced operation on February 28, 2018 for Asia Equity and N-11 Funds.

 

34   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

    Emerging Markets Equity Fund         N-11 Equity Fund  
    For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
        For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
 
             
  $ 2,845,514       $ 3,705,487       $ 260,269       $ 646,742  
    (12,421,034       182,025,680         2,845,429         3,537,958  
    5,679,367           14,028,840           (1,007,408         2,728,305  
    (3,896,153         199,760,007           2,098,290           6,913,005  
             
             
             
    (628,195       (385,998       (1,461        
    (70,973                        
    (6,577,764       (4,455,372       (166,435       (17,504
    (162,107       (141,339                
    (666,445       (67,461       (11,520        
                             
    (1,439       (79,414       (c)         
             
                             
                             
                             
                             
                                   
    (8,106,923         (5,129,584         (179,416         (17,504
             
             
    830,526,286         327,967,113         1,970,264         17,192,942  
    7,341,874         4,901,687         176,285         17,132  
    (142,334,628         (216,241,806         (19,806,653         (44,403,561
    695,533,532           116,626,994           (17,660,104         (27,193,487
    683,530,456           311,257,417           (15,741,230         (20,297,986
             
             
    875,317,230           564,059,813           79,692,607           99,990,593  
  $ 1,558,847,686         $ 875,317,230         $ 63,951,377         $ 79,692,607  
  $ 1,590,500         $ 6,851,909         $ 259,580         $ 178,727  

 

The accompanying notes are an integral part of these financial statements.   35


Table of Contents

GOLDMAN SACHS ASIA EQUITY FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               Income (loss) from
investment operations
     Distributions
to shareholders
 
    Year - Share Class   Net asset
value,
beginning
of period
     Net
investment
income (loss)(a)
    Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     From net
investment
income
     From net
realized
gains
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 27.69      $ (0.10   $ 1.12      $ 1.02      $      $ (0.39    $ (0.39
 

2018 - C

    25.31        (0.19     1.02        0.83               (0.39      (0.39
 

2018 - Institutional

    29.28        (0.05     1.18        1.13        (0.01      (0.39      (0.40
 

2018 - Investor(e)

    29.14        (0.07     1.17        1.10        (0.01      (0.39      (0.40
 

2018 - P (Commenced April 16, 2018)

    30.61        (f)      (0.60      (0.60                     
 

2018 - R6 (Commenced February 28, 2018)

    30.83        (0.03     (0.79      (0.82                     
                    
FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    21.08        (0.02 )(g)      6.63        6.61                       
 

2017 - C

    19.41        (0.17 )(g)      6.07        5.90                       
 

2017 - Institutional

    22.20        0.09 (g)      6.99        7.08                       
 

2017 - Investor(e)

    22.12        0.06 (g)      6.96        7.02                       
                    
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2016 - A

    20.28        (0.02     0.82        0.80                       
 

2016 - C

    18.81        (0.15     0.75        0.60                       
 

2016 - Institutional

    21.27        0.07       0.86        0.93                       
 

2016 - Investor(e)

    21.23        0.06       0.83        0.89                       
                    
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2015 - A

    20.04        (0.03     0.27        0.24                       
 

2015 - C

    18.73        (0.18     0.26        0.08                       
 

2015 - Institutional

    20.99        0.05       0.29        0.34        (0.06             (0.06
 

2015 - Investor(e)

    20.98        0.01       0.29        0.30        (0.05             (0.05
                    
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2014 - A

    19.21        (f)(h)      0.91        0.91        (0.08             (0.08
 

2014 - C

    18.02        (0.13 )(h)      0.84        0.71                       
 

2014 - Institutional

    20.13        0.12 (h)      0.90        1.02        (0.16             (0.16
 

2014 - Investor (Commenced February 28, 2014)(e)

    20.71        0.06 (h)      0.21        0.27                       
                    
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2013 - A

    17.78        0.04       1.51        1.55        (0.12             (0.12
 

2013 - C

    16.77        (0.10     1.43        1.33        (0.08             (0.08
 

2013 - Institutional

    18.71        0.12       1.58        1.70        (0.28             (0.28

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (f)   Amount is less than $0.005 per share.
  (g)   Reflects income recognized from special dividends which amounted to $0.04 per share and 0.17% of average net assets.
  (h)   Reflects income recognized from special dividends which amounted to $0.05 per share and 0.25% of average net assets.

 

36   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS ASIA EQUITY FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 28.32         3.69     $ 18,765         1.54 %(d)        1.81 %(d)        (0.72 )%(d)        12
    25.75         3.32         2,115         2.29 (d)        2.56 (d)        (1.46 )(d)        12  
    30.01         3.88         71,192         1.15 (d)        1.42 (d)        (0.33 )(d)        12  
    29.84         3.77         966         1.29 (d)        1.54 (d)        (0.44 )(d)        12  
    30.01         (1.96       10         1.15 (d)        1.51 (d)        (0.42 )(d)        12  
    30.01         (2.66       10         1.14 (d)        1.28 (d)        (0.67 )(d)        12  
                         
                         
    27.69         31.36         16,860         1.55         2.03         (0.09 )(g)        89  
    25.31         30.35         1,732         2.30         2.78         (0.79 )(g)        89  
    29.28         31.91         62,843         1.15         1.63         0.36 (g)        89  
    29.14         31.74         136         1.30         1.78         0.24 (g)        89  
                         
                         
    21.08         3.93         14,975         1.60         2.18         (0.08       111  
    19.41         3.18         1,810         2.35         2.93         (0.83       111  
    22.20         4.31         56,077         1.20         1.78         0.32         111  
    22.12         4.18         57         1.34         1.93         0.27         111  
                         
                         
    20.28         1.20         16,310         1.69         1.99         (0.16       153  
    18.81         0.43         1,951         2.44         2.76         (0.91       153  
    21.27         1.60         58,967         1.29         1.61         0.21         153  
    21.23         1.46         52         1.44         1.75         0.06         153  
                         
                         
    20.04         4.75         13,711         1.73         2.24         0.02 (h)        169  
    18.73         4.00         2,114         2.48         3.00         (0.71 )(h)        169  
    20.99         5.15         62,951         1.32         1.87         0.59 (h)        169  
    20.98         1.30         51         1.43 (d)        2.06 (d)        0.41 (d)(h)        169  
                         
                         
    19.21         8.72         14,097         1.72         2.25         0.21         102  
    18.02         7.87         2,331         2.47         2.99         (0.56       102  
    20.13           9.16           43,208           1.32           1.85           0.62           102  

 

The accompanying notes are an integral part of these financial statements.   37


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               Income (loss) from
investment operations
        
    Year - Share Class   Net asset
value,
beginning
of period
     Net
investment
income (loss)(a)
    Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 20.91      $ 0.02     $ 0.59      $ 0.61      $ (0.14
 

2018 - C

    18.72        (0.06     0.52        0.46        (0.03
 

2018 - Institutional

    22.40        0.07       0.62        0.69        (0.21
 

2018 - Service

    20.21        0.01       0.56        0.57        (0.12
 

2018 - Investor(e)

    22.24        0.05       0.61        0.66        (0.19
 

2018 - P (Commenced April 16, 2018)

    23.46        0.03       (0.50      (0.47       
 

2018 - R6

    22.41        0.08       0.61        0.69        (0.11
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    16.23        0.05 (f)      4.74        4.79        (0.11
 

2017 - C

    14.53        (0.09 )(f)      4.28        4.19         
 

2017 - Institutional

    17.38        0.12 (f)      5.07        5.19        (0.17
 

2017 - Service

    15.71        0.02 (f)      4.59        4.61        (0.11
 

2017 - Investor(e)

    17.27        0.13 (f)      5.01        5.14        (0.17
 

2017 - R6

    17.38        0.16 (f)      5.05        5.21        (0.18
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2016 - A

    14.75        0.04       1.44        1.48         
 

2016 - C

    13.31        (0.06     1.28        1.22         
 

2016 - Institutional

    15.75        0.11       1.54        1.65        (0.02
 

2016 - Service

    14.29        0.02       1.40        1.42         
 

2016 - Investor(e)

    15.67        0.08       1.53        1.61        (0.01
 

2016 - R6

    15.74        0.10       1.56        1.66        (0.02
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2015 - A

    16.00        0.03       (1.28      (1.25       
 

2015 - C

    14.55        (0.10     (1.14      (1.24       
 

2015 - Institutional

    17.08        0.08       (1.36      (1.28      (0.05
 

2015 - Service

    15.52        (g)      (1.23      (1.23       
 

2015 - Investor(e)

    16.99        0.01       (1.30      (1.29      (0.03
 

2015 - R6 (Commenced July 31, 2015)

    16.72        0.01       (0.99      (0.98       
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2014 - A

    15.20        0.03       0.83        0.86        (0.06
 

2014 - C

    13.87        (0.08     0.76        0.68         
 

2014 - Institutional

    16.22        0.10       0.88        0.98        (0.12
 

2014 - Service

    14.74        0.02       0.80        0.82        (0.04
 

2014 - Investor(e)

    16.14        0.08       0.87        0.95        (0.10
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2013 - A

    14.68        0.05       0.54        0.59        (0.07
 

2013 - C

    13.42        (0.06     0.51        0.45         
 

2013 - Institutional

    15.65        0.13       0.58        0.71        (0.14
 

2013 - Service

    14.24        0.04       0.53        0.57        (0.07
 

2013 - Investor(e)

    15.58        0.10       0.58        0.68        (0.12

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (f)   Reflects income recognized from special dividends which amounted to $0.04 per share and 0.19% of average net assets.
  (g)   Amount is less than $0.005 per share.

 

38   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 21.38         2.89     $ 154,208         1.56 %(d)        1.66 %(d)        0.15 %(d)        20
    19.15         2.48         48,702         2.31 (d)        2.42 (d)        (0.57 )(d)        20  
    22.88         3.05         1,151,872         1.17 (d)        1.27 (d)        0.59 (d)        20  
    20.66         2.83         27,890         1.67 (d)        1.79 (d)        0.07 (d)        20  
    22.71         3.02         144,037         1.31 (d)        1.41 (d)        0.47 (d)        20  
    22.99         (2.00       10         1.17 (d)        1.18 (d)        2.89 (d)        20  
    22.99         3.13         32,128         1.15 (d)        1.19 (d)        0.67 (d)        20  
                         
                         
    20.91         29.78         85,679         1.57         1.75         0.29 (f)        113  
    18.72         28.84         36,286         2.32         2.50         (0.55 )(f)        113  
    22.40         30.31         664,085         1.18         1.36         0.63 (f)        113  
    20.21         29.65         26,049         1.68         1.86         0.11 (f)        113  
    22.24         30.11         62,974         1.31         1.49         0.67 (f)        113  
    22.41         30.35         245         1.17         1.35         0.88 (f)        113  
                         
                         
    16.23         10.01         59,593         1.65         1.90         0.27         92  
    14.53         9.14         30,104         2.40         2.65         (0.48       92  
    17.38         10.43         445,019         1.25         1.50         0.69         92  
    15.71         9.91         19,069         1.75         2.00         0.17         92  
    17.27         10.26         5,263         1.40         1.64         0.52         92  
    17.38         10.52         5,012         1.23         1.44         0.57         92  
                         
                         
    14.75         (7.81       64,169         1.67         1.91         0.17         118  
    13.31         (8.52       35,927         2.41         2.67         (0.68       118  
    15.75         (7.49       326,068         1.28         1.52         0.48         118  
    14.29         (7.93       15,759         1.77         2.02         0.02         118  
    15.67         (7.62       1,424         1.42         1.69         0.04         118  
    15.74         (5.86       9         1.24 (d)        1.53 (d)        0.14 (d)        118  
                         
                         
    16.00         5.67         28,157         1.70         1.93         0.19         114  
    14.55         4.90         11,217         2.46         2.68         (0.55       114  
    17.08         6.17         303,676         1.30         1.53         0.58         114  
    15.52         5.55         15,919         1.81         2.03         0.11         114  
    16.99         5.93         313         1.46         1.68         0.46         114  
                         
                         
    15.20         4.04         36,578         1.73         1.89         0.32         159  
    13.87         3.35         11,869         2.48         2.64         (0.44       159  
    16.22         4.49         388,046         1.33         1.49         0.80         159  
    14.74         4.02         14,584         1.83         1.99         0.25         159  
    16.14           4.37           329           1.48           1.64           0.62           159  

 

 

The accompanying notes are an integral part of these financial statements.   39


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GOLDMAN SACHS N-11 EQUITY FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               Income (loss) from
investment operations
        
    Year - Share Class   Net asset
value,
beginning
of period
     Net
investment
income (loss)(a)
    Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)     
 

2018 - A

  $ 9.93      $ 0.02     $ 0.15      $ 0.17      $ (d) 
 

2018 - C

    9.51        (0.01     0.13        0.12         
 

2018 - Institutional

    10.02        0.05       0.13        0.18        (0.03
 

2018 - Investor(f)

    9.98        0.04       0.15        0.19        (0.02
 

2018 - P (Commenced April 16, 2018)

    10.29        (d)      (0.12      (0.12       
 

2018 - R6 (Commenced February 28, 2018)

    10.43        0.03       (0.29      (0.26       
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,     
 

2017 - A

    8.98        0.05       0.90        0.95         
 

2017 - C

    8.66        (0.01     0.86        0.85         
 

2017 - Institutional

    9.02        0.09       0.91        1.00        (d) 
 

2017 - Investor(f)

    9.00        0.08       0.90        0.98         
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,     
 

2016 - A

    9.26        0.06       (0.32      (0.26      (0.02
 

2016 - C

    8.98        (0.01     (0.31      (0.32       
 

2016 - Institutional

    9.33        0.10       (0.33      (0.23      (0.08
 

2016 - Investor(f)

    9.30        0.08       (0.32      (0.24      (0.06
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,     
 

2015 - A

    11.25        0.04       (2.03      (1.99      (d) 
 

2015 - C

    10.99        (0.04     (1.97      (2.01       
 

2015 - Institutional

    11.34        0.08       (2.04      (1.96      (0.05
 

2015 - Investor(f)

    11.30        0.06       (2.03      (1.97      (0.03
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,     
 

2014 - A

    11.03        0.02       0.26        0.28        (0.06
 

2014 - C

    10.81        (0.06     0.25        0.19        (0.01
 

2014 - Institutional

    11.12        0.06       0.26        0.32        (0.10
 

2014 - Investor(f)

    11.08        0.05       0.25        0.30        (0.08
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,     
 

2013 - A

    10.38        0.01       0.65        0.66        (0.01
 

2013 - C

    10.25        (0.07     0.63        0.56         
 

2013 - Institutional

    10.45        0.05       0.65        0.70        (0.03
 

2013 - Investor(f)

    10.42        0.03       0.65        0.68        (0.02

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Amount is less than $0.005 per share.
  (e)   Annualized.
  (f)   Effective August 15, 2017, Class IR changed its name to Investor Shares.

 

40   The accompanying notes are an integral part of these financial statements.


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GOLDMAN SACHS N-11 EQUITY FUND

 

 

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 10.10         1.72     $ 13,133         1.72 %(e)        2.25 %(e)        0.47 %(e)        1
    9.63         1.37         3,339         2.47 (e)        2.99 (e)        (0.28 )(e)        1  
    10.17         2.02         39,781         1.33 (e)        1.86 (e)        0.88 (e)        1  
    10.15         1.85         7,677         1.47 (e)        1.99 (e)        0.73 (e)        1  
    10.17         (1.07       10         1.33 (e)        1.80 (e)        1.20 (e)        1  
    10.17         (2.40       10         1.33 (e)        1.64 (e)        1.88 (e)        1  
                         
                         
    9.93         10.58         16,496         1.73         2.11         0.50         26  
    9.51         9.82         3,854         2.48         2.84         (0.15       26  
    10.02         11.02         50,730         1.33         1.67         0.94         26  
    9.98         10.89         8,613         1.48         1.80         0.91         26  
                         
                         
    8.98         (2.84       25,955         1.74         2.39         0.66         27  
    8.66         (3.55       5,642         2.49         3.14         (0.07       27  
    9.02         (2.46       58,958         1.33         1.99         1.08         27  
    9.00         (2.59       9,436         1.48         2.14         0.90         27  
                         
                         
    9.26         (17.68       54,045         1.73         2.07         0.35         48  
    8.98         (18.29       8,564         2.48         2.82         (0.41       48  
    9.33         (17.34       115,099         1.33         1.68         0.78         48  
    9.30         (17.45       13,092         1.48         1.82         0.59         48  
                         
                         
    11.25         2.54         96,440         1.74         2.08         0.20         41  
    10.99         1.76         15,127         2.49         2.83         (0.54       41  
    11.34         2.88         310,186         1.34         1.68         0.57         41  
    11.30         2.76         27,343         1.49         1.82         0.44         41  
                         
                         
    11.03         6.31         114,658         1.74         2.12         0.07         53  
    10.81         5.46         19,018         2.49         2.87         (0.66       53  
    11.12         6.73         308,502         1.35         1.72         0.44         53  
    11.08           6.48           36,429           1.49           1.87           0.26           53  

 

The accompanying notes are an integral part of these financial statements.   41


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

Notes to Financial Statements

April 30, 2018 (Unaudited)

 

1. ORGANIZATION

 

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:

 

Fund      Share Classes Offered   

Diversified/

Non-diversified

Asia Equity

    

A, C, Institutional, Investor, P(a) and R6(b)

   Diversified

Emerging Markets Equity

    

A, C, Institutional, Service, Investor, P(a) and R6

   Diversified

N-11 Equity

    

A, C, Institutional, Investor, P(a) and R6(b)

   Diversified

 

(a)   Commenced operations on April 16, 2018.
(b)   Commenced operations on February 28, 2018.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class P and Class R6 Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

D.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.

 

42


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GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

E.  Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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 levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

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

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class 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.

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.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and 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.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. 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. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.

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

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

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. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of April 30, 2018:

ASIA EQUITY  
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Asia

   $ 6,590,169        $ 83,860,856        $         —  

Europe

              512,972           

North America

     753,562                    

Investment Company

     190                    

Securities Lending Reinvestment Vehicle

     507,366                    
Total    $ 7,851,287        $ 84,373,828        $  
EMERGING MARKETS EQUITY  
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Africa

   $ 105,006        $ 64,553,436        $  

Asia

     109,045,302          951,450,084           

Australia and Oceania

              3,618,540           

Europe

              68,564,102           

North America

     48,724,207          6,182,809           

South America

     119,921,694          29,585,783           

Exchange Traded Funds

     125,800,860                    

Investment Company

     12,986,271                    

Securities Lending Reinvestment Vehicle

     14,494,050                    
Total    $ 431,077,390        $ 1,123,954,754        $  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

N-11 EQUITY             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Africa

   $        $ 4,485,255        $         —  

Asia

              46,339,525           

North America

     11,123,647                    

Exchange Traded Funds

     1,589,886                    

Securities Lending Reinvestment Vehicle

     1,077,225                    
Total    $ 13,790,758        $ 50,824,780        $  

 

(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 noted in the table. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification.

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

 

4. INVESTMENTS IN DERIVATIVES

The following table sets forth, by certain risk types, the Fund‘s gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2018. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

 

                    Fund    Risk    Statements of Operations   Net
Realized
Gain (Loss)
  Average
Number of
Contracts(a)

Emerging Markets Equity

   Equity    Net realized gain (loss) from futures contracts   $52,344   1

 

(a)   Average number of contracts is based on the average of month end balances for the six months ended April 30, 2018.

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

 

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

For the six months ended April 30, 2018, contractual and effective net management fees with GSAM were at the following rates:

 

         Contractual Management Rate           Effective Net
Management
Rate^
 
Fund         First
$1 billion
    Next
$1 billion
    Next
$3 billion
    Next
$3 billion
    Over
$8 billion
    Effective
Rate
   

Asia Equity

         1.00     0.90     0.86     0.84     0.82     1.00     1.00

Emerging Markets Equity

         1.02       1.02       0.92       0.87       0.85       1.13       1.02

N-11 Equity

         1.13       1.13       1.02       0.97       0.95       1.25       1.13

 

^   Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.
*   GSAM agreed to waive a portion of its management fee in order to achieve net management rate as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least February 28, 2019, and prior to such date, GSAM may not terminate the arrangements without the approval of the Trustees.

Prior to February 28, 2018, the contractual management fee rates for the Emerging Markets Equity Fund and N-11 Equity Fund were as stated below and GSAM agreed to waive a portion of its management fee in order to achieve an Effective Net Management Rate as set forth in the Funds’ prospectus dated February 28, 2017.

 

Fund           First
$1 billion
       Next
$1 billion
       Next
$3 billion
       Next
$3 billion
       Over
$8 billion
 

Emerging Markets Equity

           1.20        1.20        1.08        1.03        1.01

N-11 Equity

           1.30          1.30          1.24          1.21          1.19  

The Asia Equity, Emerging Markets Equity and N-11 Equity Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended April 30, 2018, GSAM waived $1,188, $628,393 and $42,418 of the Asia Equity, Emerging Markets Equity and N-11 Equity Funds’ management fees, respectively.

B.  Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.

The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

 

     Distribution and/or Service Plan Rates  
      Class A*      Class C      Service  

Distribution and/or Service Plan

     0.25      0.75      0.25

 

*   With respect to Class A Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2018, Goldman Sachs advised that it retained the following amounts:

 

     Front End
Sales Charge
       Contingent Deferred
Sales Charge
 
                Fund    Class A        Class C  

Asia Equity

   $ 1,915        $  

Emerging Markets Equity

     35,382           

N-11 Equity

     2           

D.  Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administration Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, respectively.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.18% of the average daily net assets of Class A, Class C, and Investor Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Asia Equity, Emerging Markets Equity and N-11 Equity Funds are 0.114%, 0.104% and 0.164%, respectively. Prior to February 28, 2018, the Other Expense limitation was 0.194% for the Emerging Markets Equity Fund. These Other Expense limitations will remain in place through at least February 28, 2019 for Class A, Class C, Institutional, Service, Investor and Class R6 Shares, and through at least April 16, 2019 for Class P Shares, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

 

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

For the six months ended April 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

 

Fund         Management
Fee Waiver
      

Other

Expense
Reimbursement

       Custody Fee
Credits
       Total
Expense
Reductions
 

Asia Equity

       $ 1,188        $ 121,308        $ 430        $ 122,926  

Emerging Markets Equity

         628,393                   2,323          630,716  

N-11 Equity

         42,418          146,679          129          189,226  

G.  Line of Credit Facility — As of April 30, 2018, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2018, the Funds did not have any borrowings under the facility. The facility was decreased to $770,000,000 effective May 1, 2018.

H.  Other Transactions with Affiliates — As of April 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% of the Class R6 Shares of the Asia Equity and N-11 Equity Funds and approximately 100% of the Class P Shares of the Asia Equity, Emerging Markets Equity, and N-11 Equity Funds.

The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2018:

 

                    Fund    Beginning
Value as of
October 31, 2017
     Purchases
at Cost
     Proceeds
from Sales
    Ending
Value as of
April 30, 2018
     Shares as of
April 30, 2018
     Dividend
Income From
Affiliated
Investment
Company
 

Asia Equity

   $ 2,420,450      $ 13,585,153      $ (16,005,413   $ 190        190      $ 8,414  

Emerging Markets Equity

            269,192,694        (256,206,423     12,986,271        12,986,271        18,912  

 

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2018, were as follows:

 

Fund         Purchases        Sales and
Maturities
 

Asia Equity

       $ 20,821,835        $ 10,572,619  

Emerging Markets Equity

         910,431,665          245,401,697  

N-11 Equity

         1,007,504          18,611,982  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

7. SECURITIES LENDING

 

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their 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 Funds’ securities lending procedures, the Funds receive 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 Funds, 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 Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. 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 Funds invest 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% (prior to February 21, 2018, GSAM may have received a management fee of up to 0.205%) on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.

Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2018, are reported under Investment Income on the Statements of Operations.

The table below details securities lending activity with affiliates of Goldman Sachs:

 

         For the six months ended April 30, 2018  
                    Fund         Earnings of GSAL
Relating to
Securities
Loaned
       Amounts Received
by the Funds
from Lending to
Goldman Sachs
 

Asia Equity

       $ 865        $ 219  

Emerging Markets Equity

         11,326          7,646  

N-11 Equity

         2,192          2,378  

 

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7. SECURITIES LENDING (continued)

 

The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended April 30, 2018.

 

Fund         Beginning
Value as of
October 31, 2017
       Purchases
at Cost
       Proceeds
from Sales
       Ending
Value as of
April 30, 2018
 

Asia Equity

       $        $ 4,303,932        $ (3,796,566      $ 507,366  

Emerging Markets Equity

         751,625          126,870,188          (113,127,763        14,494,050  

N-11 Equity

         1,923,875          10,182,800          (11,029,450        1,077,225  

 

8. TAX INFORMATION

As of the Funds’ most recent fiscal year end, October 31, 2017, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:

 

      Asia
Equity
       Emerging
Markets Equity
       N-11 Equity  

Capital loss carryforwards:

            

Perpetual Long-term

   $        $ (16,224,003      $ (32,869,361

Perpetual Short-term

              (19,031,869        (32,285,070

Total capital loss carryforwards

   $        $ (35,255,872      $ (65,154,431

As of April 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

 

     

Asia

Equity

      

Emerging

Markets Equity

       N-11 Equity  

Tax cost

   $ 79,419,573        $ 1,481,679,939        $ 50,069,764  

Gross unrealized gain

     17,932,192          135,152,154          18,760,423  

Gross unrealized loss

     (5,126,650        (61,799,949        (4,176,831

Net unrealized gain

   $ 12,805,542        $ 73,352,205        $ 14,583,592  

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of passive foreign investment company investments.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

9. OTHER RISKS

 

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), confiscations, 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.

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

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 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

 

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9. OTHER RISKS (continued)

 

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 and is required to maintain 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 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.

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). 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.

 

10. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

 

11. SUBSEQUENT EVENTS

Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

12. SUMMARY OF SHARE TRANSACTIONS

 

Share activity is as follows:

 

    Asia Equity Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    109,166     $ 3,233,710        157,150     $ 3,888,750  

Reinvestment of distributions

    8,226       233,609               

Shares redeemed

    (63,543     (1,854,591      (258,762     (5,384,902
      53,849       1,612,728        (101,612     (1,496,152
Class C Shares         

Shares sold

    27,266       729,681        6,782       148,981  

Reinvestment of distributions

    1,145       29,647               

Shares redeemed

    (14,709     (393,545      (31,607     (677,536
      13,702       365,783        (24,825     (528,555
Institutional Shares         

Shares sold

    316,674       9,763,165        234,353       5,655,912  

Reinvestment of distributions

    29,693       892,729               

Shares redeemed

    (120,705     (3,683,150      (614,302     (13,410,220
      225,662       6,972,744        (379,949     (7,754,308
Investor Shares(a)         

Shares sold

    36,849       1,121,302        2,923       66,107  

Reinvestment of distributions

    242       7,250               

Shares redeemed

    (9,383     (295,609      (842     (19,844
      27,708       832,943        2,081       46,263  
Class P Shares(b)         

Shares sold

    327       10,005               

Shares redeemed

          (5             
      327       10,000               
Class R6 Shares(c)         

Shares sold

    324       10,000               
      324       10,000               

NET INCREASE (DECREASE)

    321,572     $ 9,804,198        (504,305   $ (9,732,752

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operation on April 16, 2018.
(c)   Commenced operation on February 28, 2018.

 

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12. SUMMARY OF SHARE TRANSACTIONS (continued)

 

 

    Emerging Markets Equity Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    4,530,685     $ 103,404,636        3,712,565     $ 62,773,188  

Reinvestment of distributions

    27,247       590,988        24,604       363,154  

Shares redeemed

    (1,440,796     (31,997,794      (3,312,487     (60,131,411
      3,117,136       71,997,830        424,682       3,004,931  
Class C Shares         

Shares sold

    787,967       15,789,026        459,354       7,554,467  

Reinvestment of distributions

    3,236       63,061               

Shares redeemed

    (186,694     (3,706,204      (592,983     (9,248,055
      604,509       12,145,883        (133,629     (1,693,588
Institutional Shares         

Shares sold

    24,354,830       581,109,015        9,659,830       180,090,551  

Reinvestment of distributions

    252,609       5,858,001        269,690       4,250,319  

Shares redeemed

    (3,916,319     (92,073,600      (5,892,735     (109,319,295
      20,691,120       494,893,416        4,036,785       75,021,575  
Service Shares         

Shares sold

    194,194       4,091,928        331,682       5,778,509  

Reinvestment of distributions

    7,730       162,107        9,898       141,339  

Shares redeemed

    (140,630     (2,985,381      (266,772     (4,693,437
      61,294       1,268,654        74,808       1,226,411  
Investor Shares(a)         

Shares sold

    3,965,212       93,915,439        3,234,790       59,478,508  

Reinvestment of distributions

    28,938       666,445        4,308       67,461  

Shares redeemed

    (483,813     (11,501,565      (711,914     (13,690,385
      3,510,337       83,080,319        2,527,184       45,855,584  
Class P Shares(b)         

Shares sold

    426       10,005               

Shares redeemed

          (5             
      426       10,000               
Class R6 Shares         

Shares sold

    1,389,713       32,206,237        694,283       12,291,890  

Reinvestment of distributions

    55       1,272        5,039       79,414  

Shares redeemed

    (2,911     (70,079      (976,795     (19,159,223
      1,386,857       32,137,430        (277,473     (6,787,919

NET INCREASE

    29,371,679     $ 695,533,532        6,652,357     $ 116,626,994  

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operation on April 16, 2018.

 

55


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

 

    N-11 Equity Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    44,428     $ 452,269        579,743     $ 5,579,274  

Reinvestment of distributions

    140       1,457               

Shares redeemed

    (405,173     (4,206,245      (1,809,097     (15,839,645
      (360,605     (3,752,519      (1,229,354     (10,260,371
Class C Shares         

Shares sold

    8,731       84,575        25,009       216,838  

Shares redeemed

    (67,415     (660,005      (271,102     (2,331,663
      (58,684     (575,430      (246,093     (2,114,825
Institutional Shares         

Shares sold

    99,911       1,040,550        517,574       4,638,851  

Reinvestment of distributions

    15,615       163,337        2,084       17,132  

Shares redeemed

    (1,269,908     (13,476,979      (1,989,135     (17,348,896
      (1,154,382     (12,273,092      (1,469,477     (12,692,913
Investor Shares(a)         

Shares sold

    35,632       372,865        773,003       6,757,979  

Reinvestment of distributions

    1,101       11,491               

Shares redeemed

    (143,169     (1,463,419      (958,301     (8,883,357
      (106,436     (1,079,063      (185,298     (2,125,378
Class P Shares(b)         

Shares sold

    972       10,005               

Shares redeemed

          (5             
      972       10,000               
Class R6 Shares(c)         

Shares sold

    959       10,000               
      959       10,000               

NET DECREASE

    (1,678,176   $ (17,660,104      (3,130,222   $ (27,193,487

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operation on April 16, 2018.
(c)   Commenced operation on February 28, 2018.

 

56

12. SUMMARY OF SHARE TRANSACTIONS (continued)


Table of Contents

GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS

 

Fund Expenses — Six Month Period Ended April 30, 2018 (Unaudited)

As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P or Class R6 Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Service Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class P and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2017 through April 30, 2018, which represents a period of 181 days of a 365 day year. The Class R6 example is based on the period from March 1, 2017 through April 30, 2018, which represents a period of 61 out of 365 days for Asia Equity and N-11 funds. The Class P example is based on the period from April 17, 2018 through April 30, 2018, which represents a period of 14 out of 365 days. The Class P and Class R6 example for hypothetical expenses reflects projected activity for the period from November 1, 2017 through April 30, 2018 for the purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fee or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     Asia Equity Fund     Emerging Markets Equity Fund     N-11 Equity Fund  
Share Class   Beginning
Account
Value
11/01/2017
    Ending
Account
Value
04/30/2018
    Expenses
Paid for the
6 Months Ended
04/30/2018
*
    Beginning
Account
Value
11/01/2017
    Ending
Account
Value
04/30/2018
    Expenses
Paid for the
6 Months Ended
04/30/2018
*
    Beginning
Account
Value
11/01/2017
    Ending
Account
Value
04/30/2018
    Expenses
Paid for the
6 Months Ended
04/30/2018
*
 
Class A                                    

Actual

  $ 1,000     $ 1,036.90     $ 7.78     $ 1,000     $ 1,028.90     $ 7.85     $ 1,000     $ 1,017.20     $ 8.60  

Hypothetical 5% return

    1,000       1,017.16     7.70       1,000       1,017.06     7.80       1,000       1,016.27     8.60  
Class C                                    

Actual

    1,000       1,033.20       11.54       1,000       1,024.80       11.60       1,000       1,013.70       12.33  

Hypothetical 5% return

    1,000       1,013.44     11.43       1,000       1,013.34     11.53       1,000       1,012.55     12.33  
Institutional                                    

Actual

    1,000       1,038.80       5.81       1,000       1,030.50       5.89       1,000       1,020.20       6.66  

Hypothetical 5% return

    1,000       1,019.09     5.76       1,000       1,018.99     5.86       1,000       1,018.20     6.66  
Service                                    

Actual

    N/A       N/A       N/A       1,000       1,028.30       8.40       N/A       N/A       N/A  

Hypothetical 5% return

    N/A       N/A       N/A       1,000       1,016.51     8.35       N/A       N/A       N/A  
Investor                                    

Actual

    1,000       1,037.70       6.52       1,000       1,030.20       6.59       1,000       1,018.50       7.36  

Hypothetical 5% return

    1,000       1,018.40     6.46       1,000       1,018.30     6.56       1,000       1,017.50     7.35  
Class P(a)                                    

Actual

    1,000       980.40       0.44       1,000       980.00       0.44       1,000       989.30       0.51  

Hypothetical 5% return

    1,000       1,019.09     5.76       1,000       1,018.99     5.86       1,000       1,018.20     6.66  
Class R6(b)                                    

Actual

    1,000       973.40       1.88       1,000       1,031.30       5.79       1,000       976.00       2.20  

Hypothetical 5% return

    1,000       1,019.14     5.71       1,000       1,019.09     5.76       1,000       1,018.20     6.66  

 

+   Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.
*   Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2018. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

 

Fund    Class A     Class C     Institutional     Service     Investor     Class P(a)     Class R6(b)  

Asia Equity

     1.54     2.29     1.15     N/A       1.29     1.15     1.14

Emerging Markets Equity

     1.56       2.31       1.17       1.67     1.31       1.17       1.15  

N-11 Equity

     1.72       2.47       1.33       N/A       1.47       1.33       1.33  

 

(a)   Commenced operations on April 16, 2018.
(b)   Commenced operations on February 28, 2018 for Asia Equity and N-11 Equity Funds.

 

57


Table of Contents

FUNDS PROFILE

 

Goldman Sachs Funds

 

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.29 trillion in assets under supervision as of March 31, 2018, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

 

Money Market

Financial Square FundsSM

  Financial Square Treasury Solutions Fund1
  Financial Square Government Fund1
  Financial Square Money Market Fund2
  Financial Square Prime Obligations Fund2
  Financial Square Treasury Instruments Fund1
  Financial Square Treasury Obligations Fund1
  Financial Square Federal Instruments Fund1
  Financial Square Tax-Exempt Money Market Fund2

Investor FundsSM

  Investor Money Market Fund3
  Investor Tax-Exempt Money Market Fund3

Fixed Income

Short Duration and Government

  Enhanced Income Fund
  High Quality Floating Rate Fund
  Short-Term Conservative Income Fund
  Short Duration Government Fund
  Short Duration Income Fund
  Government Income Fund
  Inflation Protected Securities Fund

Multi-Sector

  Bond Fund
  Core Fixed Income Fund
  Global Income Fund
  Strategic Income Fund

Municipal and Tax-Free

  High Yield Municipal Fund
  Dynamic Municipal Income Fund
  Short Duration Tax-Free Fund

Single Sector

  Investment Grade Credit Fund
  U.S. Mortgages Fund
  High Yield Fund
  High Yield Floating Rate Fund
  Emerging Markets Debt Fund
  Local Emerging Markets Debt Fund
  Total Emerging Markets Income Fund4

Fixed Income Alternatives

  Long Short Credit Strategies Fund

Fundamental Equity

  Equity Income Fund5
  Small Cap Value Fund
  Small/Mid Cap Value Fund
  Mid Cap Value Fund
  Large Cap Value Fund
  Focused Value Fund
  Capital Growth Fund
  Strategic Growth Fund
  Small/Mid Cap Growth Fund
  Flexible Cap Fund6
  Concentrated Growth Fund7
  Technology Opportunities Fund
  Growth Opportunities Fund
  Rising Dividend Growth Fund
  Blue Chip Fund8
  Income Builder Fund

Tax-Advantaged Equity

  U.S. Tax-Managed Equity Fund
  International Tax-Managed Equity Fund
  U.S. Equity Dividend and Premium Fund
  International Equity Dividend and Premium Fund

Equity Insights

  Small Cap Equity Insights Fund
  U.S. Equity Insights Fund
  Small Cap Growth Insights Fund
  Large Cap Growth Insights Fund
  Large Cap Value Insights Fund
  Small Cap Value Insights Fund
  International Small Cap Insights Fund
  International Equity Insights Fund
  Emerging Markets Equity Insights Fund

Fundamental Equity International

  International Equity Income Fund9
  International Equity ESG Fund10
  Asia Equity Fund
  Emerging Markets Equity Fund
  N-11 Equity Fund
  ESG Emerging Markets Equity Fund

Select Satellite

  Real Estate Securities Fund
  International Real Estate Securities Fund
  Commodity Strategy Fund
  Global Real Estate Securities Fund
  Alternative Premia Fund11
  Absolute Return Tracker Fund
  Managed Futures Strategy Fund
  MLP Energy Infrastructure Fund
  MLP & Energy Fund
  Multi-Manager Alternatives Fund
  Absolute Return Multi-Asset Fund
  Global Infrastructure Fund

Total Portfolio Solutions

  Global Managed Beta Fund
  Multi-Manager Non-Core Fixed Income Fund
  Multi-Manager U.S. Dynamic Equity Fund
  Multi-Manager Global Equity Fund
  Multi-Manager International Equity Fund
  Tactical Tilt Overlay Fund
  Balanced Strategy Portfolio
  Multi-Manager U.S. Small Cap Equity Fund
  Multi-Manager Real Assets Strategy Fund
  Growth and Income Strategy Portfolio
  Growth Strategy Portfolio
  Equity Growth Strategy Portfolio
  Satellite Strategies Portfolio
  Enhanced Dividend Global Equity Portfolio
  Tax-Advantaged Global Equity Portfolio
  Strategic Factor Allocation Fund
  Target Date 2020 Portfolio
  Target Date 2025 Portfolio
  Target Date 2030 Portfolio
  Target Date 2035 Portfolio
  Target Date 2040 Portfolio
  Target Date 2045 Portfolio
  Target Date 2050 Portfolio
  Target Date 2055 Portfolio
  Target Date 2060 Portfolio
  GQG Partners International Opportunities Fund
  Tactical Exposure Fund
1   You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2    You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3    You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4    Effective after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund.
5    Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
6    Effective after the close of business on August 31, 2017, the Goldman Sachs Flexible Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Fund.
7    Effective on July 28, 2017, the Goldman Sachs Focused Growth Fund was reorganized with and into the Goldman Sachs Concentrated Growth Fund.
8    Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund.
9    Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund.
10    Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund.
11    Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund.
    Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
*   This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.


Table of Contents

TRUSTEES

Jessica Palmer, Chair

Kathryn A. Cassidy

Diana M. Daniels

Herbert J. Markley

James A. McNamara

Roy W. Templin

Gregory G. Weaver

 

OFFICERS

James A. McNamara, President

Scott M. McHugh, Treasurer, Senior Vice President
and Principal Financial Officer

Joseph F. DiMaria, Assistant Treasurer
and Principal Accounting Officer

Caroline L. Kraus, Secretary

GOLDMAN SACHS & CO. LLC

Distributor and Transfer Agent

 

GOLDMAN SACHS ASSET MANAGEMENT, L.P.

Investment Adviser

Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282

 

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (the “SEC”) web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Holdings and allocations shown are as of April 30, 2018 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY AND IS PROVIDED SOLELY ON THE BASIS THAT IT WILL NOT CONSTITUTE INVESTMENT OR OTHER ADVICE OR A RECOMMENDATION RELATING TO ANY PERSON’S OR PLAN’S INVESTMENT OR OTHER DECISIONS, AND GOLDMAN SACHS IS NOT A FIDUCIARY OR ADVISOR WITH RESPECT TO ANY PERSON OR PLAN BY REASON OF PROVIDING THE MATERIAL OR CONTENT HEREIN INCLUDING UNDER THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 OR DEPARTMENT OF LABOR REGULATIONS. PLAN SPONSORS AND OTHER FIDUCIARIES SHOULD CONSIDER THEIR OWN CIRCUMSTANCES IN ASSESSING ANY POTENTIAL COURSE OF ACTION.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about a Fund and may be obtained from your Authorized Institution or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

© 2018 Goldman Sachs. All rights reserved. 132504-OTU-779573/2018/EMESAR-18/21K


Table of Contents

Goldman Sachs Funds

 

LOGO

 

 

 
Semi-Annual Report      

April 30, 2018

 
     

Fundamental International Equity Funds

     

International Equity ESG*

     

International Equity Income**

 

  *   Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund (the Fund) was renamed the Goldman Sachs International Equity ESG Fund and changed its principal investment strategy. Performance information prior to this date reflects the Fund’s former strategies.  

 

  **   Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund (the Fund) was renamed the Goldman Sachs International Equity Income Fund and changed its principal investment strategy and investment objective. Performance information prior to this date reflects the Fund’s former strategies.  

 

LOGO


Table of Contents

Goldman Sachs Fundamental International Equity Funds

 

  INTERNATIONAL EQUITY ESG

 

  INTERNATIONAL EQUITY INCOME

 

TABLE OF CONTENTS

 

Investment Process

    1  

Market Review

    2  

Portfolio Management Discussions and Performance Summaries

    4  

Schedules of Investments

    17  

Financial Statements

    21  

Financial Highlights

    24  

Notes to the Financial Statements

    28  

Other Information

    40  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


Table of Contents

GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

What Differentiates Goldman Sachs’ Fundamental International Equity Investment Process?

 

Goldman Sachs’ Fundamental International Equity investment process is based on the belief that strong, consistent results are best achieved through expert stock selection, performed by research teams working together on a global scale. Our deep, diverse and experienced team of research analysts and portfolio managers combines local insights with global, industry-specific expertise in order to identify our high conviction investment ideas.

 

 

LOGO

 

 

 

LOGO

 

  Fundamental research teams based in the United States, United Kingdom, Japan, China, Korea, Singapore, Brazil, and India and focusing on long-term business and management quality

 

  Analysts collaborate regularly to leverage regional and industry-specific research and insights

 

  Global perspective is informed by local market expertise

 

  A common valuation framework, focusing on long-term earnings power, ensures consistency when valuing and comparing a company to its peers globally

 

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  Team of experienced Research Analysts is regionally aligned and has sector expertise

 

  Team leverages the research of the approximately 80+ regional investment professionals

 

  Decision-making process is informed by active participation in the global research process

 

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  Security selections are aligned with the level of investment conviction

 

  Risk monitoring considers whether investment and other risks to the Funds are intended and justified

 

  Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the stocks and their respective weightings in the Funds

 

LOGO

International equity portfolios that strive to offer:

 

    Access to markets across the world  
    Disciplined approach to stock selection  
    Optimal risk/return profiles  

 

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MARKET REVIEW

 

Goldman Sachs Fundamental International Equity Funds

 

Market Review

International equities advanced during the six-month period ended April 30, 2018 (the “Reporting Period”). The MSCI Europe, Australasia, Far East (EAFE) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”) posted a return of 3.41%.*

Early in the Reporting Period, i.e. in the last two months of 2017, international equity market returns were relatively muted, particularly amongst larger companies. The U.K., however, performed better than many other developed markets. Although the U.K. Prime Minister suffered a defeat in the House of Commons over the European Union Withdrawal Bill in December 2017, the U.K. was judged by the European Union to have made sufficient progress on key issues to allow the next phase of Brexit negotiations — including discussions on trade — to begin. Elsewhere, the European Central Bank (“ECB”) upgraded its growth forecasts for the Eurozone’s economy, though optimism was tempered by lackluster inflation. The German and French equity markets declined for the month of December. The Bank of Japan’s quarterly Tankan survey of business sentiment showed that confidence improved, boosted by strengthening export activity, and the Japanese equity market eked out a modest gain for December 2017. That same month, the U.S. Federal Reserve (the “Fed”) delivered its third interest rate hike of 2017, as had been widely expected, and maintained its projections for three additional interest rate hikes in 2018.

International equities enjoyed a strong start to 2018, driven by market exuberance about strong economic data, the $1.5 trillion U.S. tax reform plan signed by Congress the previous month and the favorable start to the corporate earnings reporting season. In February 2018, however, equities sold off globally on market speculation of a faster pace of interest rate hikes by the Fed, which stoked a sharp rise in bond yields and in equity market volatility. Concerns about monetary policy tightening were further exacerbated by solid U.S. labor and inflation data. While the hawkish Fed minutes released were largely expected, Fed Chair Jerome Powell’s Congressional testimony surprised markets with its hawkish tilt, sparking another sell-off. (Hawkish language tends to suggest higher interest rates; opposite of dovish.) In March 2018, escalating trade tensions and tariffs weighed on investor sentiment and on global equity market performance. Political uncertainty in Germany and Italy and signs of slowing economic growth in Europe dampened investor sentiment as well. Meanwhile, the Fed delivered on a consensus-expected interest rate increase in March, with its projections continuing to point to three interest rate hikes this calendar year. In Europe, an agreement on a 21-month transition after Brexit between the U.K. and the European Union reduced political uncertainty. The international equity markets posted a modestly positive return in April 2018, but remained relatively muted for the month, as the U.S. and China generated trade headlines and geopolitical uncertainty stemming from sanctions on Russia surfaced. The ECB and Bank of Japan kept their respective monetary policies unchanged, indicating ongoing monetary accommodation.

For the Reporting Period as a whole, energy was the best performing sector in the MSCI EAFE Index by some distance, followed by consumer discretionary and real estate. The weakest performing sectors in the MSCI EAFE Index during the Reporting Period were telecommunication services, consumer staples and industrials.

From a country perspective, Singapore, Finland and Italy were the best performing individual constituents of the MSCI EAFE Index during the Reporting Period. Sweden, Belgium and

 

*   All index returns are expressed in U.S. dollar terms.

 

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Denmark were the weakest individual country constituents in the MSCI EAFE Index during the Reporting Period.

Looking Ahead

At the end of the Reporting Period, we believed the moderation in global economic data seen in the latter months of the Reporting Period led to risks to global economic growth being roughly balanced. We saw risks to the upside in Japan, where we believe there is room for a payback after surprisingly weak economic data. This was balanced by risks we saw as somewhat to the downside for Europe, which may face headwinds from stronger currency and higher interest rates as well as by the eventual fading of the rebound of the global industrial cycle.

We believe the fundamentals for Japanese corporations remained strong at the end of the Reporting Period. In particular, we are looking for domestic consumption in Japan to recover on the back of wage increases and a slowdown in its inflation rate. We also continued to believe that corporate reforms proposed by Abenomics, the Japanese Prime Minister’s economic plan, should increase focus on return on equity while improving corporate governance and shareholder value.

We were also constructive on European equities at the end of the Reporting Period though more moderately so. European earnings have benefited from strong economic growth. The euro area recovery gained pace in 2017, with economic growth reaching its strongest level since before the European sovereign debt crisis. Unemployment declined by one percentage point to 8.6%, its lowest level since 2008, and the euro area’s manufacturing purchasing managers index reached an all-time high of 60.6. But firm activity had not boosted inflation, which remained sluggish. Annual headline and core inflation averaged just 1.4% and 1.2%, respectively, over the past decade. At the end of the Reporting Period, we saw no near-term change in this trend due to both cyclical and structural factors. We expect some monetary policy normalization in 2019, but this does not preclude the ECB, in our view, from maintaining its accommodative stance.

Overall, at the end of the Reporting Period, our focus remained on seeking alpha opportunities through fundamental, bottom-up security selection. (Alpha, often considered the active return on an investment, gauges the performance of an investment against a market index used as a benchmark, since market indices are often considered to represent the market’s movement as a whole. The excess returns of a fund relative to the return of a benchmark index is the fund’s alpha.) We believe active managers should have the greatest ability to respond to potential changes in the post-monetary world, and value generated through active management may well become an increasingly important contributor to returns. As always, we maintain our focus on seeking companies that we believe will generate long-term growth in today’s ever-changing market conditions.

 

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PORTFOLIO RESULTS

 

Goldman Sachs International Equity ESG Fund

 

Investment Objective

The Fund seeks long-term capital appreciation.

Portfolio Management Discussion and Analysis

Effective after the close of business on February 27, 2018, Goldman Sachs Focused International Equity Fund was re-named Goldman Sachs International Equity ESG Fund (the “Fund”) and its principal investment strategy changed. Below, the Goldman Sachs Global Equity Team discusses the Fund’s performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Service, Investor and R6 Shares generated cumulative total returns, without sales charges, of 4.31%, 3.89%, 4.51%, 4.27%, 4.45% and 4.52%, respectively. These returns compare to the 3.41% cumulative total return of the Fund’s benchmark, the MSCI EAFE Index (Net, USD, Unhedged) (the “MSCI EAFE Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of 0.14%. This return compares to the 0.22% cumulative total return of the MSCI EAFE Index during the same period.

 

Q   What changes were made to the Fund’s strategy during the Reporting Period?

 

A   Effective after the close of business on February 27, 2018, the Fund invests, under normal circumstances, at least 80% of its net assets plus any borrowing for investment purposes (measured at the time of purchase) in a diversified portfolio of equity investments of non-U.S. issuers that we believe adhere to the Fund’s environmental, social and governance (“ESG”) criteria. Such equity investments may include exchange-traded funds, futures and other instruments with similar economic exposures. The Fund intends to have investments economically tied to at least three countries, not including the U.S., and may invest in the securities of issuers in emerging market countries.

 

    We use a quantitative and qualitative process to identify, at the time of investment, issuers that satisfy the Fund’s ESG criteria. We evaluate company ESG performance based on fundamental, proprietary research using internal and external data sources as well as engagement with company management. We analyze individual companies, incorporating the Fund’s ESG criteria as part of a fundamental, bottom-up financial analysis. We conduct an analysis of the issuer’s corporate governance factors and a range of environmental and social factors that may vary by sector, alongside traditional fundamental metrics. We engage in active dialogues with company management teams to further inform investment decision-making and to foster best corporate governance practices using its fundamental and ESG analysis. We seek to avoid what we believe to be structurally unattractive market segments, industries that do not meet the Fund’s ESG criteria and particular companies with weak corporate governance that are involved in and/or derive significant revenue from certain industries or product lines, including gambling, adult entertainment, alcohol, tobacco, coal and weapons. The Fund may also invest up to 20% of its net assets in fixed income securities, such as government, corporate and bank debt obligations. The Fund’s investment objective and benchmark did not change.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund outperformed the MSCI EAFE Index during the Reporting Period, attributable primarily to individual stock selection. Country allocation also contributed positively, albeit more modestly. Sector allocation overall detracted slightly during the Reporting Period.

 

Q   What were some of the Fund’s best-performing individual stocks?

 

A   Among the greatest contributors to Fund performance relative to the MSCI EAFE Index during the Reporting Period were UBM, DBS Group Holdings and Nidec.

 

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PORTFOLIO RESULTS

 

 

    UBM, an out-of-MSCI EAFE Index holding, is a global business-to-business events organizer headquartered in the U.K. In January 2018, Informa made a cash/equity offer to acquire UBM at a 30% premium, which boosted the stock’s performance. UBM shareholders would own a 34.5% stake in the combined entity. The transaction is expected to close by the end of the second quarter of 2018. Further, for its fiscal year 2017, UBM posted top-line earnings and earnings before interest, taxes, depreciation and amortization that beat consensus expectations. Its organic growth was also positive and exceeded consensus expectations. At the end of the Reporting Period, we remained optimistic on the stock, trimming opportunistically, as we felt comfortable with the combined entity’s fundamentals and valuation.

 

    DBS Group Holdings is a multinational banking and financial services corporation headquartered in Singapore. Its margin expansion and loan growth improved during the Reporting Period, and its stock beat consensus expectations on earnings for the first quarter of 2018 in part due to higher fee income. DBS Group had excess capital, and it distributed that capital as a one-time special dividend during the fourth quarter of 2017. It also announced dividend growth in line with earnings growth.

 

    Nidec is a Japanese manufacturer of precision and industrial-use motors. It performed well during the Reporting Period on the back of heightened demand expectations for its assisted driving/electric vehicles-related motors as well as on the faster than market expected progress of the post-merger integration of its recently acquired Emerson Motor-Drive business. In early December 2017, Nidec formed its first joint venture of electric vehicle motors with an automotive manufacturer, PSA Group, which boosted the confidence of the long-term growth trajectory of its electric vehicle motor business and of the future earnings prospects for the company. Led by Europe and China, the drive toward increased automation and energy efficiency has been gaining pace within the transportation and logistics industry, factories and household appliances, which could potentially boost the growth potential for Nidec’s power electronics and medium-sized motors.

 

Q   Which stocks detracted significantly from the Fund’s performance during the Reporting Period?

 

A   Among the biggest detractors from Fund performance relative to the MSCI EAFE Index during the Reporting Period were Bayer, Novo Nordisk and Hoya.

 

    German pharmaceutical and life sciences company Bayer was a top detractor from the Fund’s relative results during the Reporting Period. Early in the Reporting Period, its stock underperformed the MSCI EAFE Index following weaker sales in its pharmaceutical and consumer divisions and on skepticism around the higher special charges related to the Monsanto acquisition. However, the most recent approval of the Monsanto acquisition by the European Union commission gave further impetus to a deal that we believe may well prove to be good for Bayer both financially and strategically in the long term. Additionally, Bayer management’s initial guidance for the calendar year 2018 was disappointing. Most of the news could be attributed to the negative currency impacts and a one-off effect of a manufacturing issue at its German plant following a warning letter from the U.S. Food and Drug Administration. At the end of the Reporting Period, we believed the company’s management was fully dedicated to addressing these issues diligently and, aside from some temporary supply limitations, this incident should not have a major effect on its mature product pipeline.

 

    Novo Nordisk is a multinational pharmaceutical company headquartered in Denmark. Novo Nordisk underperformed the broader European Union pharmaceuticals sector following the mid-February 2018 headlines about its oral semaglutide (the first oral treatment for diabetes) phase three trials, a reaction we believe was unwarranted. We believe Novo Nordisk’s share price decline was driven by three major factors. First investor confusion around the statistical analysis used in the headline trial data. Second, a perception that the catalyst has passed. We believe these concerns are unwarranted given that further key oral semaglutide data is due during the second quarter of 2018 that could confirm its profile at the top end of market expectations. Third, currency concerns. After the significant share price decline Novo Nordisk experienced during the Reporting Period and the opportunity we have had to discuss the issues with company management, we continued to believe at the end of the Reporting Period that the company should be able to gain market share through its strong franchise and upcoming pipeline.

 

   

Hoya is a Japanese company that engages in the manufacture and sale of imaging products, electronics and medical-related equipment. Its share price declined due to investor concerns about the business environment for hard disk drive substrate, or underlying layers. However, at the end of the Reporting Period, we remained positive on Hoya Management’s commitment to increasing shareholder returns, good synergy

 

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PORTFOLIO RESULTS

 

 

opportunities from recent acquisitions and increasing focus on its high potential, in our view, life care business segment.

 

Q   Which equity market sectors most significantly affected Fund performance during the Reporting Period?

 

A   The sectors that contributed most positively to the Fund’s performance relative to the MSCI EAFE Index during the Reporting Period were financials, consumer discretionary and consumer staples, each due primarily to effective stock selection.

 

    The sectors that detracted most from the Fund’s relative results during the Reporting Period were health care, industrials and energy, each hurt by weak stock selection. Having an overweight to industrials, which lagged the MSCI EAFE Index during the Reporting Period, and having an underweight to energy, which outpaced the MSCI EAFE Index during the Reporting Period, also hurt. Having an allocation to cash during a Reporting Period when the MSCI EAFE Index advanced further dampened relative results.

 

Q   Which countries most affected the Fund’s performance during the Reporting Period?

 

A   Typically, the Fund’s individual stock holdings will significantly influence the Fund’s performance within a particular country or region relative to the MSCI EAFE Index. This effect may be even more pronounced in a concentrated portfolio or in countries that represent only a modest proportion of the MSCI EAFE Index.

 

    That said, effective stock selection and effective allocation positioning in the U.K. and Singapore and strong stock selection in New Zealand boosted the Fund’s relative returns most. Conversely, the countries that detracted most from the Fund’s performance during the Reporting Period were Germany, France and Italy, where stock selection overall hurt.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, the Fund did not use derivatives or similar instruments.

 

Q   Did the Fund make any significant purchases or sales during the Reporting Period?

 

A   In changing the Fund’s principal investment strategy effective after the close of business on February 27, 2018, we bought and sold a larger number of stocks during the Reporting Period than the portfolio turnover rate we expect to have in the Fund going forward.

 

Q   Were there any notable changes in the Fund’s weightings during the Reporting Period?

 

A   In this Fund, both sector weightings and country allocations are largely the result of our bottom-up stock selection process rather than any top-down macroeconomic views or regional, country, sector or industry bets. We seek to outpace the MSCI EAFE Index by overweighting stocks that we expect to outperform and underweighting those we think may lag. Consequently, changes in its sector or country weightings are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to industrials, health care, consumer discretionary and financials increased relative to the MSCI EAFE Index during the Reporting Period, while its relative exposure to energy, information technology and materials decreased. From a country perspective, the Fund’s exposure to the U.K., Ireland, New Zealand, Sweden and Japan increased relative to the MSCI EAFE Index, while its relative exposure to France, Germany, Italy and Australia decreased during the Reporting Period.

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   There were no changes to the Fund’s named portfolio managers as per the prospectus during the Reporting Period.

 

Q   How was the Fund positioned relative to the MSCI EAFE Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund had more exposure to the U.K., France, Ireland, Denmark and New Zealand and less exposure to Switzerland, Japan and the Netherlands relative to the MSCI EAFE Index. At the end of the Reporting Period, the Fund held a neutral position relative to the MSCI EAFE Index in Singapore, Sweden, Germany, Italy and Spain and held no exposure to the remaining components of the MSCI EAFE Index.

 

   

From a sector allocation perspective, the Fund had overweight positions relative to the MSCI EAFE Index in industrials, health care, consumer discretionary and real estate at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the MSCI EAFE Index in energy and financials and was rather neutrally weighted compared to the MSCI EAFE Index in

 

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PORTFOLIO RESULTS

 

 

telecommunication services and consumer staples. The Fund had no exposure to the utilities, information technology and materials sectors at the end of the Reporting Period.

 

    As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect.

 

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FUND BASICS

 

International Equity ESG Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW       
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       MSCI® EAFE Index2  
  Class A        4.31        3.41
  Class C        3.89          3.41  
  Institutional        4.51          3.41  
  Service        4.27          3.41  
  Investor        4.45          3.41  
  Class R6        4.52          3.41  
   

April 16, 2018–April 30, 2018

Class P

       0.14          0.22  

 

  1    The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The MSCI® EAFE Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI® EAFE Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI® EAFE Index is unmanaged and the figures for the MSCI® EAFE Index do not include any deduction for fees or expenses. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3    
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     10.74     4.13     1.07     4.54   12/01/92
  Class C     15.29       4.53       0.89       2.15     08/15/97
  Institutional     17.61       5.73       2.05       4.43     02/07/96
  Service     17.03       5.20       1.53       3.84     03/06/96
  Investor     17.41       5.57       N/A       6.66     08/31/10
  Class P     N/A       N/A       N/A       N/A     04/16/18
    Class R6     17.64       N/A       N/A       15.39     02/26/16

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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FUND BASICS

 

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.29      1.46
  Class C     2.04        2.21  
  Institutional     0.90        1.07  
  Service     1.40        1.57  
  Investor     1.04        1.21  
  Class P     0.89        1.06  
    Class R6     0.89        1.06  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185,6
     Holding  

% of

Net Assets

    Line of Business   Country
  Bayer AG (Registered)     4.0   Pharmaceuticals,
Biotechnology & Life Sciences
  Germany
  BNP Paribas SA     3.9   Banks   France
  Klepierre SA     3.9   Real Estate   France
  Novo Nordisk A/S Class B     3.8   Pharmaceuticals,
Biotechnology & Life Sciences
  Denmark
  Shire plc     3.7   Pharmaceuticals,
Biotechnology & Life Sciences
  United States
  Reckitt Benckiser Group plc     3.3   Household & Personal
Products
  United Kingdom
  Compass Group plc     3.3   Consumer Services   United Kingdom
  UBM plc     3.3   Media   United Kingdom
  Royal Dutch Shell plc Class A     3.3   Energy   Netherlands
    Ferguson plc     3.3   Capital Goods   Switzerland

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.

 

  6    The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund), which represents approximately 5.5% of the Fund’s net assets as of 4/30/18.

 

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FUND BASICS

 

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS7
As of April 30, 2018

 

LOGO

 

 

  7    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 5.0% of the Fund’s net assets at April 30, 2018.

 

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PORTFOLIO RESULTS

 

Goldman Sachs International Equity Income Fund

 

Investment Objective

The Fund seeks long-term capital appreciation and growth of income.

Portfolio Management Discussion and Analysis

Effective after the close of business on February 27, 2018, Goldman Sachs Strategic International Equity Fund was re-named Goldman Sachs International Equity Income Fund (the “Fund”) and its investment objective and principal investment strategy were changed. Below, the Goldman Sachs Global Equity Team discusses the Fund’s performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 4.14%, 3.78%, 4.35%, 4.28%, 4.00% and 4.31%, respectively. These returns compare to the 3.41% cumulative total return of the Fund’s benchmark, the MSCI EAFE Index (Net, USD, Unhedged) (the “MSCI EAFE Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -0.26%. This return compares to the 0.22% cumulative total return of the MSCI EAFE Index during the same period.

 

Q   What changes were made to the Fund’s investment objective and strategy during the Reporting Period?

 

A   Effective after the close of business on February 27, 2018, the Fund’s investment objective changed from seeking long-term growth of capital to seeking long-term capital appreciation and growth of income. Effective the same date, the Fund invests, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at the time of purchase) in a diversified portfolio of equity investments of dividend-paying non-U.S. issuers. Such equity investments may include exchange-traded funds, futures and other instruments with similar economic exposures. The Fund intends to have investments economically tied to at least three countries, not including the U.S., and may invest in the securities of issuers in emerging market countries. The Fund’s investments are selected using a strong valuation discipline to purchase what we believe are well positioned, cash-generating businesses run by shareholder-oriented management team. The Fund may also invest up to 20% of its net assets in fixed income securities, such as government, corporate and bank debt obligations. The Fund’s benchmark did not change.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund outperformed the MSCI EAFE Index during the Reporting Period, attributable primarily to individual stock selection. Country and sector allocation also contributed positively.

 

Q   What were some of the Fund’s best-performing individual stocks?

 

A   Among the greatest contributors to Fund performance relative to the MSCI EAFE Index during the Reporting Period were DBS Group Holdings, UBM and Nidec.

 

    DBS Group Holdings is a multinational banking and financial services corporation headquartered in Singapore. Its margin expansion and loan growth improved during the Reporting Period, and its stock beat consensus expectations on earnings for the first quarter of 2018 in part due to higher fee income. DBS Group had excess capital, and it distributed that capital as a one-time special dividend during the fourth quarter of 2017. It also announced dividend growth in line with earnings growth.

 

   

UBM, an out-of-MSCI EAFE Index holding, is a global business-to-business events organizer headquartered in the U.K. In January 2018, Informa made a cash/equity offer to acquire UBM at a 30% premium, which boosted the stock’s performance. UBM shareholders would own a 34.5% stake in the combined entity. The transaction is expected to close by the end of the second quarter of 2018. Further, for its fiscal year 2017, UBM posted top-line earnings and earnings

 

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before interest, taxes, depreciation and amortization that beat consensus expectations. Its organic growth was also positive and exceeded consensus expectations.

 

    Nidec is a Japanese manufacturer of precision and industrial-use motors. It performed well during the Reporting Period on the back of heightened demand expectations for its assisted driving/electric vehicles-related motors as well as on the faster than market expected progress of the post-merger integration of its recently acquired Emerson Motor-Drive business. In early December 2017, Nidec formed its first joint venture of electric vehicle motors with an automotive manufacturer, PSA Group, which boosted the confidence of the long-term growth trajectory of its electric vehicle motor business and of the future earnings prospects for the company. Led by Europe and China, the drive toward increased automation and energy efficiency has been gaining pace within the transportation and logistics industry, factories and household appliances, which could potentially boost the growth potential for Nidec’s power electronics and medium-sized motors.

 

    As a result of the Fund’s restructure during the first quarter of 2018, we sold the Fund’s positions in each of these stocks by the end of the Reporting Period.

 

Q   Which stocks detracted significantly from the Fund’s performance during the Reporting Period?

 

A   Among the biggest detractors from Fund performance relative to the MSCI EAFE Index during the Reporting Period were Bayer, Novo Nordisk and Hoya.

 

    German pharmaceutical and life sciences company Bayer was a top detractor from the Fund’s relative results during the Reporting Period. Early in the Reporting Period, its stock underperformed the MSCI EAFE Index following weaker sales in its pharmaceutical and consumer divisions and on skepticism around the higher special charges related to the Monsanto acquisition. However, the most recent approval of the Monsanto acquisition by the European Union commission gave further impetus to a deal that we believe may well prove to be good for Bayer both financially and strategically in the long term. Additionally, Bayer management’s initial guidance for the calendar year 2018 was disappointing. Most of the news could be attributed to the negative currency impacts and a one-off effect of a manufacturing issue at its German plant following a warning letter from the U.S. Food and Drug Administration. At the end of the Reporting Period, we believed the company’s management was fully dedicated to addressing these issues diligently and, aside from some temporary supply limitations, this incident should not have a major effect on its mature product pipeline.

 

    Novo Nordisk is a multinational pharmaceutical company headquartered in Denmark. Novo Nordisk underperformed the broader European Union pharmaceuticals sector following the mid-February 2018 headlines about its oral semaglutide (the first oral treatment for diabetes) phase three trials, a reaction we believe was unwarranted. We believe Novo Nordisk’s share price decline was driven by three major factors. First investor confusion around the statistical analysis used in the headline trial data. Second, a perception that the catalyst has passed. We believe these concerns are unwarranted given that further key oral semaglutide data is due during the second quarter of 2018 that could confirm its profile at the top end of market expectations. Third, currency concerns. After the significant share price decline Novo Nordisk experienced during the Reporting Period and the opportunity we have had to discuss the issues with company management, we continued to believe at the end of the Reporting Period that the company should be able to gain market share through its strong franchise and upcoming pipeline.

 

    Hoya is a Japanese company that engages in the manufacture and sale of imaging products, electronics and medical-related equipment. Its share price declined due to investor concerns about the business environment for hard disk drive substrate, or underlying layers. As a result of the Fund’s restructure during the first quarter of 2018, we sold the Fund’s position in Hoya by the end of the Reporting Period.

 

Q   Which equity market sectors most significantly affected Fund performance during the Reporting Period?

 

A   The sectors that contributed most to the Fund’s performance relative to the MSCI EAFE Index were financials, industrials and consumer discretionary. Stock selection in all three sectors proved effective during the Reporting Period.

 

    The only two sectors to detract from the Fund’s results during the Reporting Period were health care and consumer staples, where weak stock selection in each hurt.

 

Q   Which countries most affected the Fund’s performance during the Reporting Period?

 

A  

Typically, the Fund’s individual stock holdings will significantly influence the Fund’s performance within a particular country or region relative to the MSCI EAFE

 

12


Table of Contents

PORTFOLIO RESULTS

 

 

Index. This effect may be even more pronounced in countries that represent only a modest proportion of the MSCI EAFE Index.

 

    That said, effective stock selection in Singapore and Italy and having overweighted allocations to the U.K. and Italy contributed most positively to the Fund’s results relative to the MSCI EAFE Index during the Reporting Period. Conversely, the countries that detracted most from the Fund’s relative performance were Belgium, Taiwan and Denmark, where stock selection and allocation positioning overall hurt.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, the Fund did not use derivatives or similar instruments.

 

Q   Did the Fund make any significant purchases or sales during the Reporting Period?

 

A   In changing the Fund’s principal investment strategy effective after the close of business on February 27, 2018, we bought and sold a larger number of stocks during the Reporting Period than the portfolio turnover rate we expect to have in the Fund going forward.

 

Q   Were there any notable changes in the Fund’s weightings during the Reporting Period?

 

A   In this Fund, both sector weightings and country allocations are largely the result of our bottom-up stock selection process rather than any top-down macroeconomic views or regional, country, sector or industry bets. We seek to outpace the MSCI EAFE Index by overweighting stocks that we expect to outperform and underweighting those we think may lag. Consequently, changes in its sector or country weightings are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to health care, real estate, telecommunication services, utilities, energy and financials increased relative to the MSCI EAFE Index during the Reporting Period, while its relative exposure to consumer staples, industrials, information technology, materials and consumer discretionary decreased. From a country perspective, the Fund’s exposure to the U.K., Switzerland, the Netherlands, Spain and Sweden increased relative to the MSCI EAFE Index, while its relative exposure to Italy, Portugal, Ireland, Finland, France, Germany, Hong Kong and Australia decreased during the Reporting Period.

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   There were no changes to the Fund’s named portfolio managers as per the prospectus during the Reporting Period.

 

Q   How was the Fund positioned relative to the MSCI EAFE Index at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund had more exposure to the U.K., Switzerland, the Netherlands, Spain, Italy, Denmark and Belgium relative to the MSCI EAFE Index and less exposure to Japan, Australia, Germany and France relative to the MSCI EAFE Index. At the end of the Reporting Period, the Fund held neutral positions relative to the MSCI EAFE Index in Singapore and Sweden and had no exposure to several other components of the MSCI EAFE Index, including Portugal, New Zealand, Austria, Israel, Ireland, Norway, Finland, Hong Kong and Japan. The Fund also held a position in Taiwan, which is not a component of the MSCI EAFE Index.

 

    From a sector allocation perspective, the Fund had overweight positions relative to the MSCI EAFE Index in health care, real estate, telecommunication services, consumer staples, utilities and energy at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the MSCI EAFE Index in consumer discretionary, materials, information technology and industrials and a rather neutral position relative to the MSCI EAFE Index in financials.

 

    As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect.

 

13


Table of Contents

FUND BASICS

 

International Equity Income Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       MSCI® EAFE Index2  
  Class A        4.14        3.41
  Class C        3.78          3.41  
  Institutional        4.35          3.41  
  Investor        4.28          3.41  
  Class R        4.00          3.41  
  Class R6        4.31          3.41  
 

April 16, 2018–April 30, 2018

         
    Class P        -0.26        0.22

 

  1   The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2   The MSCI® EAFE Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI® EAFE Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI® EAFE Index is unmanaged and the figures for the MSCI® EAFE Index do not include any deduction for fees or expenses. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     10.35     4.63     1.27     0.52   06/25/07
  Class C     14.88       5.05       1.09       0.29     06/25/07
  Institutional     17.27       6.25       2.24       1.44     06/25/07
  Investor     17.13       6.12       2.14       0.68     11/30/07
  Class P     N/A       N/A       N/A       N/A     04/16/18
  Class R     16.54       5.58       1.59       0.12     11/30/07
    Class R6     17.30       N/A       N/A       15.02     02/26/16

 

  3   The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

14


Table of Contents

FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.24      1.83
  Class C     1.99        2.58  
  Institutional     0.85        1.44  
  Investor     0.99        1.58  
  Class P     0.84        1.43  
  Class R     1.49        2.08  
    Class R6     0.84        1.43  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185
     Holding   % of
Net Assets
     Line of Business    Country
  Royal Dutch Shell plc Class A     5.4    Energy    Netherlands
  Unilever plc     4.2    Household &
Personal Products
   United Kingdom
  British American Tobacco plc     4.0    Food, Beverage &
Tobacco
   United Kingdom
  Klepierre SA     3.9    Real Estate    France
  Koninklijke KPN NV     3.9    Telecommunication
Services
   Netherlands
  HSBC Holdings plc     3.8    Banks    United Kingdom
  Vonovia SE     3.8    Real Estate    Germany
  Vodafone Group plc     3.6    Telecommunication
Services
   United Kingdom
  Rio Tinto plc     3.4    Materials    United Kingdom
    Aviva plc     3.1    Insurance    United Kingdom

 

  5   The top 10 holdings may not be representative of the Fund’s future investments.

 

15


Table of Contents

FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS6
As of April 30, 2018

LOGO

 

 

  6    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 3.0% of the Fund’s net assets at April 30, 2018.

 

16


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY ESG FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.1%  
Denmark – 3.8%  
  147,623     Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences)   $ 6,942,407  

 

 

 
France – 16.0%  
  93,554     BNP Paribas SA (Banks)     7,222,308  
  176,437     Klepierre SA (REIT)     7,221,350  
  79,672     Publicis Groupe SA (Media)     5,957,867  
  338,036     Rexel SA (Capital Goods)     5,240,156  
  38,250     Vinci SA (Capital Goods)(a)     3,824,377  
   

 

 

 
      29,466,058  

 

 

 
Germany – 9.7%  
  61,106     Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     7,303,366  
  50,440     Beiersdorf AG (Household & Personal Products)     5,706,695  
  122,714     GEA Group AG (Capital Goods)     4,791,140  
   

 

 

 
      17,801,201  

 

 

 
Ireland – 2.9%  
  601,737     Bank of Ireland Group plc (Banks)     5,374,465  

 

 

 
Italy – 2.0%  
  167,223     UniCredit SpA (Banks)     3,625,384  

 

 

 
Japan – 21.0%  
  118,400     Dentsu, Inc. (Media)     5,608,934  
  99,300     Hoya Corp. (Health Care Equipment & Services)     5,305,087  
  348,300     Isuzu Motors Ltd. (Automobiles & Components)     5,316,552  
  258,700     Mitsubishi Estate Co. Ltd. (Real Estate)     4,727,109  
  29,000     Nidec Corp. (Capital Goods)     4,536,823  
  219,400     ORIX Corp. (Diversified Financials)     3,848,024  
  86,100     Pigeon Corp. (Household & Personal Products)     4,035,857  
  122,400     Sumitomo Mitsui Financial Group, Inc. (Banks)     5,101,420  
   

 

 

 
      38,479,806  

 

 

 
Netherlands – 5.3%  
  73,793     Aalberts Industries NV (Capital Goods)     3,633,342  
  173,169     Royal Dutch Shell plc Class A (Energy)     6,024,760  
   

 

 

 
      9,658,102  

 

 

 
New Zealand – 1.8%  
  392,440     a2 Milk Co. Ltd. (Food, Beverage & Tobacco)*     3,309,226  

 

 

 
Singapore – 2.3%  
  181,980     DBS Group Holdings Ltd. (Banks)     4,198,658  

 

 

 
Spain – 2.4%  
  164,997     Cellnex Telecom SA (Telecommunication Services)(b)     4,425,096  

 

 

 
Sweden – 2.8%  
  249,560     Assa Abloy AB Class B (Capital Goods)(a)   5,230,010  

 

 

 
Switzerland – 6.0%  
  297,900     Credit Suisse Group AG (Registered) (Diversified Financials)*     5,024,454  
  77,947     Ferguson plc (Capital Goods)     5,966,619  
   

 

 

 
      10,991,073  

 

 

 
United Kingdom – 17.4%  
  419,696     BTG plc (Pharmaceuticals, Biotechnology & Life Sciences)*     3,934,636  
  283,491     Compass Group plc (Consumer Services)     6,081,671  
  77,753     Reckitt Benckiser Group plc (Household & Personal Products)     6,099,574  
  1,383,895     Rentokil Initial plc (Commercial & Professional Services)     5,838,547  
  453,554     UBM plc (Media)     6,038,403  
  1,332,247     Vodafone Group plc (Telecommunication Services)     3,887,784  
   

 

 

 
      31,880,615  

 

 

 
United States – 3.7%  
  127,397     Shire plc (Pharmaceuticals, Biotechnology & Life Sciences)     6,783,881  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $172,237,050)   $ 178,165,982  

 

 

 
   
Shares    

Distribution

Rate

  Value  
Investment Company(c) – 0.5%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  924,392     1.623%   $ 924,392  
  (Cost $924,392)  

 

 

 
 

TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
(Cost $173,161,442)
  $ 179,090,374  

 

 

 
   
Securities Lending Reinvestment Vehicle(c) – 5.0%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  9,082,530     1.623%   $ 9,082,530  
  (Cost $9,082,530)  

 

 

 
  TOTAL INVESTMENTS – 102.6%  
  (Cost $182,243,972)   $ 188,172,904  

 

 

 
 
LIABILITIES IN EXCESS OF
    OTHER ASSETS – (2.6)%
    (4,730,526

 

 

 
  NET ASSETS – 100.0%   $ 183,442,378  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   17


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY ESG FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  All or a portion of security is on loan.

(b)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $4,425,096, which represents approximately 2.4% of net assets as of April 30, 2018. The liquidity determination is unaudited.

(c)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviation:

REIT

 

—Real Estate Investment Trust

 

 

18   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INCOME FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.8%  
Australia – 2.1%  
  245,739     Sydney Airport (Transportation)   $ 1,315,707  

 

 

 
Belgium – 2.2%  
  13,650     Anheuser-Busch InBev SA/NV (Food, Beverage & Tobacco)     1,355,904  

 

 

 
Denmark – 3.1%  
  40,716     Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences)     1,914,790  

 

 

 
France – 8.7%  
  58,975     Klepierre SA (REIT)     2,413,774  
  14,982     Publicis Groupe SA (Media)     1,120,353  
  18,301     Vinci SA (Capital Goods)(a)     1,829,802  
   

 

 

 
      5,363,929  

 

 

 
Germany – 6.4%  
  13,797     Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     1,649,012  
  46,458     Vonovia SE (Real Estate)     2,327,772  
   

 

 

 
      3,976,784  

 

 

 
Italy – 4.8%  
  39,682     Atlantia SpA (Transportation)     1,313,469  
  261,504     Enel SpA (Utilities)     1,658,909  
   

 

 

 
      2,972,378  

 

 

 
Netherlands – 12.1%  
  102,962     ING Groep NV (Banks)     1,734,963  
  768,323     Koninklijke KPN NV (Telecommunication Services)     2,391,202  
  96,300     Royal Dutch Shell plc Class A (Energy)     3,350,394  
   

 

 

 
      7,476,559  

 

 

 
Singapore – 2.1%  
  218,300     Singapore Exchange Ltd. (Diversified Financials)     1,265,927  

 

 

 
Spain – 6.1%  
  85,209     Ferrovial SA (Capital Goods)     1,819,993  
  248,567     Iberdrola SA (Utilities)     1,920,416  
   

 

 

 
      3,740,409  

 

 

 
Sweden – 1.7%  
  48,876     Swedbank AB Class A (Banks)     1,061,747  

 

 

 
Switzerland – 15.1%  
  62,437     ABB Ltd. (Registered) (Capital Goods)     1,455,755  
  23,053     Nestle SA (Registered) (Food, Beverage & Tobacco)     1,785,918  
  18,335     Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     1,411,324  
  6,556     Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences)     1,456,661  
  84,463     UBS Group AG (Registered) (Diversified Financials)*     1,417,703  
  5,585     Zurich Insurance Group AG (Insurance)*   1,784,047  
   

 

 

 
      9,311,408  

 

 

 
Taiwan – 2.7%  
  222,000     Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment)     1,691,050  

 

 

 
United Kingdom – 30.7%  
  17,937     AstraZeneca plc (Pharmaceuticals, Biotechnology & Life Sciences)     1,255,633  
  266,637     Aviva plc (Insurance)     1,937,297  
  186,992     BP plc (Energy)     1,388,970  
  44,910     British American Tobacco plc (Food, Beverage & Tobacco)     2,463,202  
  229,318     Direct Line Insurance Group plc (Insurance)     1,178,302  
  68,689     GlaxoSmithKline plc (Pharmaceuticals, Biotechnology & Life Sciences)     1,377,707  
  237,390     HSBC Holdings plc (Banks)     2,363,451  
  38,932     Rio Tinto plc (Materials)     2,122,025  
  46,739     Unilever plc (Household & Personal Products)     2,621,687  
  764,224     Vodafone Group plc (Telecommunication Services)     2,230,170  
   

 

 

 
      18,938,444  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $60,691,451)   $ 60,385,036  

 

 

 
   
Shares    

Distribution

Rate

  Value  
Investment Company(b) – 0.0%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  24     1.623%   $ 24  
  (Cost $24)  

 

 

 
 

TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
(Cost $60,691,475)
  $ 60,385,060  

 

 

 
   
Securities Lending Reinvestment Vehicle(b) – 3.0%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  1,829,007     1.623%   $ 1,829,007  
  (Cost $1,829,007)  

 

 

 
  TOTAL INVESTMENTS – 100.8%  
  (Cost $62,520,482)   $ 62,214,067  

 

 

 
 
LIABILITIES IN EXCESS OF
    OTHER ASSETS – (0.8)%
    (464,376

 

 

 
  NET ASSETS – 100.0%   $ 61,749,691  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   19


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INCOME FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  All or a portion of security is on loan.

(b)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviation:

REIT

 

—Real Estate Investment Trust

 

 

20   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

Statements of Assets and Liabilities

April 30, 2018 (Unaudited)

 

        

International

Equity ESG Fund

    International
Equity Income Fund
 
  Assets:  
 

Investments in unaffiliated issuers, at value (cost $172,237,050 and $60,691,451)(a)

   $ 178,165,982     $ 60,385,036  
 

Investments in affiliated issuers, at value (cost $924,392 and $24)

     924,392       24  
 

Investments in affiliated securities lending reinvestment vehicle, at value (cost $9,082,530 and $1,829,007)

     9,082,530       1,829,007  
 

Cash

     2,747,941       498,872  
 

Foreign currencies, at value (cost $171,642 and $185,924)

     169,932       184,308  
 

Receivables:

    
 

Dividends

     1,025,396       384,703  
 

Foreign tax reclaims

     625,354       305,917  
 

Securities lending income

     29,278       8,501  
 

Fund shares sold

     10,955       2,029  
 

Investments sold

           53  
 

Other assets

     47,138       64,542  
  Total assets      192,828,898       63,662,992  
      
  Liabilities:     
 

Payables:

    
 

Payable upon return of securities loaned

     9,082,530       1,829,007  
 

Management fees

     133,880       43,114  
 

Fund shares redeemed

     111,277       4,552  
 

Distribution and Service fees and Transfer Agency fees

     33,054       11,247  
 

Investments purchased

     92        
 

Accrued expenses

     25,687       25,381  
  Total liabilities      9,386,520       1,913,301  
      
  Net Assets:     
 

Paid-in capital

     194,644,752       55,365,812  
 

Undistributed net investment income

     531,136       592,118  
 

Accumulated net realized gain (loss)

     (17,649,387     6,103,515  
 

Net unrealized gain (loss)

     5,915,877       (311,754
    NET ASSETS    $ 183,442,378     $ 61,749,691  
   

Net Assets:

      
   

Class A

   $ 37,562,795     $ 17,607,833  
   

Class C

     16,091,409       3,721,561  
   

Institutional

     129,272,050       39,884,512  
   

Service

     4,037        
   

Investor

     489,549       398,999  
   

Class P

     10,017       9,974  
   

Class R

           53,110  
   

Class R6

     12,521       73,702  
   

Total Net Assets

   $ 183,442,378     $ 61,749,691  
   

Shares outstanding $0.001 par value (unlimited shares authorized):

      
   

Class A

     1,830,701       1,182,715  
   

Class C

     847,166       278,818  
   

Institutional

     6,190,027       2,558,808  
   

Service

     188        
   

Investor

     23,460       26,805  
   

Class P

     480       640  
   

Class R

           3,547  
   

Class R6

     600       4,730  
   

Net asset value, offering and redemption price per share:(b)

      
   

Class A

     $20.52       $14.89  
   

Class C

     18.99       13.35  
   

Institutional

     20.88       15.59  
   

Service

     21.47        
   

Investor

     20.87       14.89  
   

Class P

     20.88       15.58  
   

Class R

           14.97  
   

Class R6

     20.88       15.58  

 

  (a)   Includes loaned securities having a market value of $8,637,753 and $1,745,578 for the International Equity ESG and International Equity Income Funds, respectively.
  (b)   Maximum public offering price per share for Class A Shares of the International Equity ESG and International Equity Income Funds is $21.71 and $15.76, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares.

 

The accompanying notes are an integral part of these financial statements.   21


Table of Contents

GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

Statements of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

 

        International
Equity ESG Fund
     International
Equity Income Fund
 
  Investment income:  
 

Dividends — unaffiliated issuers (net of foreign taxes withheld of $200,836 and $146,071)

  $ 1,951,683      $ 1,177,776  
 

Securities lending income — affiliated issuer

    59,528        24,263  
 

Dividends — affiliated issuers

    23,671        1,518  
  Total investment income     2,034,882        1,203,557  
      
  Expenses:  
 

Management fees

    875,974        261,789  
 

Distribution and Service fees(a)

    126,838        41,049  
 

Transfer Agency fees(a)

    75,111        27,915  
 

Professional fees

    70,036        64,360  
 

Custody, accounting and administrative services

    51,264        44,699  
 

Printing and mailing costs

    32,253        23,740  
 

Trustee fees

    8,852        8,707  
 

Registration fees

           3,462  
 

Service share fees — Service and Shareholder Administration Plan

    10         
 

Other

    5,604        5,504  
  Total expenses     1,245,942        481,225  
 

Less — expense reductions

    (251,017      (146,513
  Net expenses     994,925        334,712  
  NET INVESTMENT INCOME     1,039,957        868,845  
      
  Realized and unrealized gain (loss):  
 

Net realized gain from:

    
 

Investments — unaffiliated issuers

    6,626,910        7,681,099  
 

Foreign currency transactions

    8,948        64,755  
 

Net change in unrealized gain (loss) on:

    
 

Investments — unaffiliated issuers

    386,738        (5,968,221
 

Foreign currency translation

    (1,426      (2,438
  Net realized and unrealized gain     7,021,170        1,775,195  
  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS   $ 8,061,127      $ 2,644,040  

 

  (a)   Class specific Distribution and Service, and Transfer Agency fees were as follows:

 

     Distribution and Service Fees      Transfer Agency Fees  

Fund

  

Class A

    

Class C

    

Class R

    

Class A

    

Class C

    

Institutional

    

Service

    

Investor

    

Class P(b)

    

Class R

    

Class R6

 

International Equity ESG

   $ 47,568      $ 79,270      $      $ 34,248      $ 14,269      $ 25,982      $      $ 610      $      $      $ 2  

International Equity Income

     22,148        18,792        109        15,947        3,383        8,169               366               39        11  

 

  (b)   Commenced operations on April 16, 2018.

 

22   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

Statements of Changes in Net Assets

 

        International Equity ESG Fund           International Equity Income Fund  
        For the
Six Months Ended
April 30, 2018
(Unaudited)
    For the
Fiscal Year Ended
October 31, 2017
          For the
Six Months Ended
April 30, 2018
(Unaudited)
    For the Fiscal
Year Ended
October 31, 2017
 
  From operations:  
 

Net investment income

  $ 1,039,957     $ 2,197,593       $ 868,845     $ 939,157  
 

Net realized gain (loss)

    6,635,858       4,066,189         7,745,854       (766,283
 

Net change in unrealized gain (loss)

    385,312       38,112,475               (5,970,659     12,721,416  
  Net increase in net assets resulting from operations     8,061,127       44,376,257               2,644,040       12,894,290  
           
  Distributions to shareholders:  
 

From net investment income

         
 

Class A Shares

    (483,063     (1,011,348       (250,766     (351,087
 

Class C Shares

    (95,376     (357,000       (34,195     (50,020
 

Institutional Shares

    (2,074,667     (5,581,602       (702,100     (850,993
 

Service Shares

    (19                    
 

Investor Shares(a)

    (8,008     (23,297       (6,541     (10,518
 

Class P(b)

                         
 

Class R Shares

                  (562     (360
 

Class R6 Shares

    (196     (307             (1,182     (247
  Total distributions to shareholders     (2,661,329     (6,973,554             (995,346     (1,263,225
           
  From share transactions:  
 

Proceeds from sales of shares

    6,056,702       64,107,733         1,909,098       8,646,134  
 

Reinvestment of distributions

    2,615,810       6,884,889         977,524       1,235,952  
 

Cost of shares redeemed

    (13,068,510     (182,222,881             (5,701,196     (23,573,429
  Net decrease in net assets resulting from share transactions     (4,395,998     (111,230,259             (2,814,574     (13,691,343
  TOTAL INCREASE (DECREASE)     1,003,800       (73,827,556             (1,165,880     (2,060,278
           
  Net assets:  
 

Beginning of period

    182,438,578       256,266,134               62,915,571       64,975,849  
 

End of period

  $ 183,442,378     $ 182,438,578             $ 61,749,691     $ 62,915,571  
  Undistributed net investment income   $ 531,136     $ 2,152,508             $ 592,118     $ 718,619  

 

  (a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (b)   Commenced operations on April 16, 2018.

 

The accompanying notes are an integral part of these financial statements.   23


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY ESG FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               Income (loss) from
investment operations
        
    Year - Share Class   Net asset
value,
beginning
of period
     Net
investment
income(a)
    Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 19.92      $ 0.09     $ 0.76      $ 0.85      $ (0.25
 

2018 - C

    18.39        0.02       0.69        0.71        (0.11
 

2018 - Institutional

    20.30        0.13       0.78        0.91        (0.33
 

2018 - Service

    20.68        0.09       0.80        0.89        (0.10
 

2018 - Investor(e)

    20.23        0.10       0.79        0.89        (0.25
 

2018 - P (Commenced April 16, 2018)

    20.84        0.11       (0.07      0.04       
 

2018 - R6

    20.30        0.14       0.77        0.91        (0.33
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    16.61        0.14       3.63        3.77        (0.46
 

2017 - C

    15.37        0.02       3.35        3.37        (0.35
 

2017 - Institutional

    16.93        0.22       3.69        3.91        (0.54
 

2017 - Service

    16.79        0.13       3.76        3.89       
 

2017 - Investor(e)

    16.86        0.27       3.60        3.87        (0.50
 

2017 - R6

    16.93        0.22       3.69        3.91        (0.54
 

2016 - A

    17.98        0.48 (f)      (1.65      (1.17      (0.20
 

2016 - C

    16.67        0.32 (f)      (1.53      (1.21      (0.09
 

2016 - Institutional

    18.34        0.47 (f)      (1.60      (1.13      (0.28
 

2016 - Service

    18.05        0.47 (f)      (1.67      (1.20      (0.06
 

2016 - Investor(e)

    18.25        0.45 (f)      (1.60      (1.15      (0.24
 

2016 - R6 (Commenced February 26, 2016)

    15.87        0.21 (f)      0.85        1.06       
 

2015 - A

    18.49        0.21       (0.16      0.05        (0.56
 

2015 - C

    17.18        0.08       (0.16      (0.08      (0.43
 

2015 - Institutional

    18.86        0.29       (0.16      0.13        (0.65
 

2015 - Service

    18.57        0.14       (0.11      0.03        (0.55
 

2015 - Investor(e)

    18.76        0.26       (0.17      0.09        (0.60
 

2014 - A

    20.00        0.55 (g)      (1.99      (1.44      (0.07
 

2014 - C

    18.65        0.36 (g)      (1.83      (1.47     
 

2014 - Institutional

    20.39        0.64 (g)      (2.02      (1.38      (0.15
 

2014 - Service

    20.08        0.52 (g)      (1.98      (1.46      (0.05
 

2014 - Investor(e)

    20.29        0.75 (g)      (2.14      (1.39      (0.14
 

2013 - A

    15.58        0.15       4.71        4.86        (0.44
 

2013 - C

    14.60        0.02       4.41        4.43        (0.38
 

2013 - Institutional

    15.92        0.23       4.79        5.02        (0.55
 

2013 - Service

    15.69        0.14       4.72        4.86        (0.47
 

2013 - Investor(e)

    15.87        0.16       4.82        4.98        (0.56

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (f)   Reflects income recognized from corporate actions which amounted to $0.28 per share and 1.63% of average net assets.
  (g)   Reflects income recognized from a corporate action which amounted to $0.35 per share and 1.76% of average net assets.

 

24   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY ESG FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 20.52         4.31     $ 37,563         1.29 %(d)        1.56 %(d)        0.90 %(d)        15
    18.99         3.89         16,091         2.04 (d)        2.31 (d)        0.19 (d)        15  
    20.88         4.51         129,272         0.90 (d)        1.17 (d)        1.31 (d)        15  
    21.47         4.27         4         1.34 (d)        1.50 (d)        0.87 (d)        15  
    20.87         4.45         490         1.04 (d)        1.32 (d)        0.95 (d)        15  
    20.88         0.14         10         0.89 (d)        1.14 (d)        13.19 (d)        15  
    20.88         4.52         13         0.89 (d)        1.15 (d)        1.35 (d)        15  
                         
                         
    19.92         23.29         38,330         1.30         1.63         0.78         116  
    18.39         22.40         15,681         2.05         2.37         0.12         116  
    20.30         23.78         127,403         0.90         1.22         1.22         116  
    20.68         23.17         4         1.39         1.66         0.71         116  
    20.23         23.63         1,009         1.05         1.39         1.50         116  
    20.30           23.80           12           0.89           1.22           1.21           116  
    16.61         (6.54       38,152         1.30         1.62         2.86 (f)        78  
    15.37         (7.27       15,577         2.05         2.37         2.05 (f)        78  
    16.93         (6.21       201,746         0.90         1.21         2.76 (f)        78  
    16.79         (6.66       32         1.41         1.72         2.77 (f)        78  
    16.86         (6.34       749         1.05         1.36         2.62 (f)        78  
    16.93           6.68           11           0.89 (d)          1.19 (d)          1.83 (d)(f)          78  
    17.98         0.34         48,772         1.30         1.64         1.18         105  
    16.67         (0.42       18,415         2.05         2.39         0.44         105  
    18.34         0.74         151,755         0.90         1.24         1.56         105  
    18.05         0.19         37         1.40         1.73         0.76         105  
    18.25           0.56           1,268           1.05           1.39           1.38           105  
    18.49         (7.16       58,368         1.33         1.63         2.78 (g)        121  
    17.18         (7.83       18,247         2.08         2.38         1.97 (g)        121  
    18.86         (6.79       170,954         0.93         1.23         3.17 (g)        121  
    18.57         (7.28       332         1.43         1.73         2.62 (g)        121  
    18.76           (6.90         2,253           1.07           1.38           3.73 (g)          121  
    20.00         31.94         61,224         1.46         1.69         0.89         189  
    18.65         30.97         17,910         2.20         2.44         0.15         189  
    20.39         32.50         112,707         1.06         1.29         1.29         189  
    20.08         31.86         364         1.56         1.79         0.80         189  
    20.29           32.36           1,609           1.20           1.44           0.89           189  

 

The accompanying notes are an integral part of these financial statements.   25


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INCOME FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               Income (loss) from
investment operations
        
    Year - Share Class   Net asset
value,
beginning
of period
     Net
investment
income(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 14.50      $ 0.19      $ 0.41      $ 0.60      $ (0.21
 

2018 - C

    12.98        0.12        0.37        0.49        (0.12
 

2018 - Institutional

    15.20        0.23        0.43        0.66        (0.27
 

2018 - Investor(e)

    14.51        0.20        0.42        0.62        (0.24
 

2018 - R

    14.59        0.19        0.39        0.58        (0.20
 

2018 - P (Commenced April 16, 2018)

    15.62        0.07        (0.11      (0.04     
 

2018 - R6

    15.20        0.24        0.41        0.65        (0.27
               
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    11.99        0.17        2.58        2.75        (0.24
 

2017 - C

    10.75        0.07        2.31        2.38        (0.15
 

2017 - Institutional

    12.56        0.23        2.70        2.93        (0.29
 

2017 - Investor(e)

    12.00        0.24        2.54        2.78        (0.27
 

2017 - R

    12.08        0.14        2.59        2.73        (0.22
 

2017 - R6

    12.56        0.16        2.77        2.93        (0.29
 

2016 - A

    12.95        0.18        (1.04      (0.86      (0.10
 

2016 - C

    11.62        0.08        (0.94      (0.86      (0.01
 

2016 - Institutional

    13.56        0.23        (1.08      (0.85      (0.15
 

2016 - Investor(e)

    12.97        0.21        (1.04      (0.83      (0.14
 

2016 - R

    13.00        0.12        (1.01      (0.89      (0.03
 

2016 - R6 (Commenced February 26, 2016)

    11.85        0.20        0.51        0.71       
 

2015 - A

    13.52        0.15        (0.23      (0.08      (0.49
 

2015 - C

    12.17        0.04        (0.20      (0.16      (0.39
 

2015 - Institutional

    14.13        0.20        (0.23      (0.03      (0.54
 

2015 - Investor(e)

    13.55        0.15        (0.20      (0.05      (0.53
 

2015 - R

    13.57        0.11        (0.23      (0.12      (0.45
 

2014 - A

    13.81        0.45 (f)       (0.63      (0.18      (0.11
 

2014 - C

    12.45        0.31 (f)       (0.57      (0.26      (0.02
 

2014 - Institutional

    14.44        0.52 (f)       (0.67      (0.15      (0.16
 

2014 - Investor(e)

    13.84        0.40 (f)       (0.56      (0.16      (0.13
 

2014 - R

    13.88        0.41 (f)       (0.63      (0.22      (0.09
 

2013 - A

    11.06        0.14        2.80        2.94        (0.19
 

2013 - C

    10.01        0.04        2.54        2.58        (0.14
 

2013 - Institutional

    11.58        0.19        2.93        3.12        (0.26
 

2013 - Investor(e)

    11.11        0.18        2.80        2.98        (0.25
 

2013 - R

    11.14        0.08        2.85        2.93        (0.19

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (f)   Reflects income recognized from a corporate action which amounted to $0.33 per share and 2.32% of average net assets.

 

26   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INCOME FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 14.89         4.14     $ 17,608         1.28 %(d)        1.74 %(d)        2.55 %(d)        70
    13.35         3.78         3,722         2.03 (d)        2.49 (d)        1.80 (d)        70  
    15.59         4.35         39,885         0.89 (d)        1.35 (d)        2.95 (d)        70  
    14.89         4.28         399         1.03 (d)        1.50 (d)        2.73 (d)        70  
    14.97         4.00         53         1.53 (d)        1.99 (d)        2.54 (d)        70  
    15.58         (0.26       10         0.85 (d)        1.43 (d)        11.85 (d)        70  
    15.58         4.31         74         0.87 (d)        1.34 (d)        3.08 (d)        70  
                         
                         
    14.50         23.38         17,937         1.30         1.88         1.32         32  
    12.98         22.44         3,770         2.05         2.63         0.58         32  
    15.20         23.88         40,667         0.90         1.49         1.71         32  
    14.51         23.75         426         1.05         1.64         1.85         32  
    14.59         22.99         44         1.55         2.12         1.05         32  
    15.20           23.91           72           0.89           1.43           1.16           32  
    11.99         (6.69       18,301         1.30         1.76         1.47         68  
    10.75         (7.37       3,974         2.05         2.51         0.74         68  
    12.56         (6.31       42,191         0.90         1.36         1.84         68  
    12.00         (6.43       471         1.05         1.51         1.71         68  
    12.08         (6.87       28         1.55         2.01         0.99         68  
    12.56           5.99           11           0.89 (d)          1.35 (d)          2.33 (d)          68  
    12.95         (0.57       23,111         1.30         1.82         1.11         83  
    11.62         (1.33       4,841         2.05         2.57         0.35         83  
    13.56         (0.15       45,795         0.90         1.42         1.47         83  
    12.97         (0.32       355         1.05         1.56         1.17         83  
    13.00           (0.84         17           1.55           2.07           0.86           83  
    13.52         (1.41       22,384         1.33         1.77         3.21 (f)        89  
    12.17         (2.10       4,873         2.08         2.52         2.44 (f)        89  
    14.13         (1.05       45,118         0.93         1.37         3.55 (f)        89  
    13.55         (1.14       128         1.07         1.52         2.86 (f)        89  
    13.57           (1.58         17           1.58           2.02           2.92 (f)          89  
    13.81         27.11         23,850         1.47         1.87         1.16         102  
    12.45         26.06         5,700         2.22         2.62         0.37         102  
    14.44         27.63         41,058         1.07         1.47         1.51         102  
    13.84         27.37         65         1.22         1.62         1.49         102  
    13.88           26.72           17           1.72           2.11           0.61           102  

 

The accompanying notes are an integral part of these financial statements.   27


Table of Contents

GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

Notes to Financial Statements

April 30, 2018 (Unaudited)

 

1. ORGANIZATION

 

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:

 

Fund      Share Classes Offered   

Diversified/

Non-diversified

International Equity ESG+

    

A, C, Institutional, Service, Investor,  P(a), R and R6

   Diversified

International Equity Income+

    

A, C, Institutional, Investor, P(a), R and R6

   Diversified

 

+   Formerly, Focused International Equity Fund and Strategic International Equity Fund, respectively. Effective at the close of business on February 27, 2018, the Funds changed their names to the International Equity ESG Fund and International Equity Income Fund, respectively.
(a)   Commenced operations on April 16, 2018.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class P, Class R and Class R6 Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

D.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.

 

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GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

E.  Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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 levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

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.

 

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GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

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 are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class 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.

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. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of April 30, 2018:

INTERNATIONAL EQUITY ESG             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Asia

   $        $ 42,678,464        $         —  

Australia and Oceania

              3,309,226           

Europe

              125,394,411           

North America

              6,783,881           

Investment Company

     924,392                    

Securities Lending Reinvestment Vehicle

     9,082,530                    
Total    $ 10,006,922        $ 178,165,982        $  

 

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GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

INTERNATIONAL EQUITY INCOME             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Asia

   $        $ 2,956,977        $         —  

Australia and Oceania

              1,315,707           

Europe

              56,112,352           

Investment Company

     24                    

Securities Lending Reinvestment Vehicle

     1,829,007                    
Total    $    1,829,031        $    60,385,036        $  

 

(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 noted in the table. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification.

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

 

4. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

For the six months ended April 30, 2018, contractual and effective net management fees with GSAM were at the following rates:

 

     Contractual Management Rate      Effective Net
Management
Rate^
 
Fund   

First

$1 billion

    

Next

$1 billion

    

Next

$3 billion

    

Next

$3 billion

    

Over

$8 billion

     Effective
Rate
    

International Equity ESG

     0.85%        0.77%        0.73%        0.71%        0.70%        0.95%        0.85%

International Equity Income

     0.80        0.72        0.68        0.67        0.66        0.83        0.83  

 

^   Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.
*   GSAM agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver was effective through at least February 28, 2019, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees.

Prior to February 28, 2018, the contractual management fee rates for the International Equity ESG Fund and International Equity Income Fund were as stated below and GSAM agreed to waive a portion of its management fee in order to achieve an Effective Net Management Rate as set forth in the Funds’ prospectus dated February 28, 2017.

 

Fund     

First

$1 billion

      

Next

$1 billion

      

Next

$3 billion

      

Next

$3 billion

      

Over

$8 billion

 

International Equity ESG

       1.00%          0.90%          0.86%          0.84%          0.82%  

International Equity Income

       0.85          0.77          0.73          0.72          0.71  

The International Equity ESG and International Equity Income Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser of the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended April 30, 2018, GSAM waived $3,226 and $208 of the International Equity ESG and International Equity Income Funds’ management fees, respectively.

B.  Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable, as set forth below.

The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.

 

     Distribution and/or Service Plan Rates  
      Class A*      Class C      Class R*      Service  

Distribution and/or Service Plan

     0.25      0.75      0.50      0.25

 

*   With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2018, Goldman Sachs advised that it retained the following amounts:

 

         Front End
Sales Charge
       Contingent Deferred
Sales Charge
 
Fund         Class A        Class C  

International Equity ESG

       $ 638        $ 108  

International Equity Income

         437          1  

D.  Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administration Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, respectively.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.

 

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GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS

 

 

4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Funds are 0.014%. These Other Expense limitations will remain in place through at least February 28, 2019 for Class A, Class C, Institutional, Service, Investor, Class R and Class R6, and through at least April 16, 2019 for Class P Shares, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the six months ended April 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

 

Fund         Management
Fee Waiver
       Custody Fee
Credits
       Other
Expense
Reimbursement
       Total
Expense
Reductions
 

International Equity ESG

       $ 95,030        $ 896        $ 155,091        $ 251,017  

International Equity Income

         208          233          146,072          146,513  

G.  Line of Credit Facility — As of April 30, 2018, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2018, the Funds did not have any borrowings under the facility. The facility was decreased to $770,000,000 effective May 1, 2018.

H.  Other Transactions with Affiliates — The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2018:

 

Fund        

Beginning

Value as of

October 31, 2017

    

Purchases

at Cost

    

Proceeds

from Sales

   

Ending

Value as of

April 30, 2018

    

Shares as of

April 30, 2018

    

Dividend

Income From

Affiliated
Investment

Company

 

International Equity ESG

       $ 977      $ 22,368,540      $ (21,445,125   $ 924,392        924,392      $ 23,671  

International Equity Income

         63        4,858,541        (4,858,580     24        24        1,518  

As of April 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 32%, 100% and 100% of the Service, Class P and Class R6 Shares of the International Equity ESG Fund and approximately 100%, 19% and 19% of the Class P, Class R and Class R6, respectively, of the International Equity Income Fund.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. PORTFOLIO SECURITIES TRANSACTIONS

 

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2018, were as follows:

 

Fund         Purchases        Sales and Maturities  

International Equity ESG

       $ 26,917,780        $ 31,803,217  

International Equity Income

         43,473,383          46,359,228  

 

6. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their 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 Funds’ securities lending procedures, the Funds receive 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 Funds, 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 Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. 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 Funds invest 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% (prior to February 21, 2018, GSAM may have received a management fee of up to 0.205%) on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.

Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2018, are reported under Investment Income on the Statements of Operations.

 

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6. SECURITIES LENDING (continued)

 

The table below details securities lending activity with affiliates of Goldman Sachs:

 

         For the six months ended April 30, 2018           
Fund         Earnings of GSAL
Relating to
Securites
Loaned
       Amounts Received
by the Funds
from Lending to
Goldman Sachs
       Amounts Payable to
Goldman Sachs
upon Return of
Securities Loaned as of
April 30, 2018
 

International Equity ESG

       $ 5,136        $ 1,115        $ 3,818,760  

International Equity Income

         2,072          4,918          1,829,007  

The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended April 30, 2018:

 

Fund            Beginning
Value as of
October 31, 2017
       Purchases
at Cost
       Proceeds
from Sales
     Ending
Value as of
April 30, 2018
 

International Equity ESG

          $ 3,715,305        $ 26,441,905        $ (21,074,680    $ 9,082,530  

International Equity Income

                     9,114,640          (7,285,633      1,829,007  

 

7. TAX INFORMATION

As of the Funds’ most recent fiscal year ended, October 31, 2017, the Funds’ capital loss carryforwards on a tax basis were as follows:

 

      International
Equity ESG
       International
Equity Income
 

Capital loss carryforwards:

       

Expiring 2019(1)

   $ (9,250,431      $  

Perpetual long-term

     (14,550,726        (1,594,962

Total capital loss carryforwards

   $ (23,801,157      $ (1,594,962

 

(1)   Expiration occurs on October 31 of the year indicated.

As of April 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

 

      International
Equity ESG
       International
Equity Income
 

Tax cost

   $ 183,236,534        $ 62,682,404  

Gross unrealized gain

     17,193,116          2,319,277  

Gross unrealized loss

     (12,256,746        (2,787,614

Net unrealized gain (loss)

   $ 4,936,370        $ (468,337

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to the tax treatment of passive foreign investment company investments.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

8. OTHER RISKS

 

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

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), confiscations, 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.

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

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.

Issuer Concentration Risk — The Funds may invest in a relatively small number of issuers. As a result, they may be subject to greater risks than a fund that invests in a greater number of issuers. A change in the value of any single investment held by the Funds may affect the overall value of the Funds more than it would affect a mutual fund that holds more investments. In particular, the Funds may be more susceptible to adverse developments affecting any single issuer in the Funds and may be susceptible to greater losses because of these developments.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include 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 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 and is required to maintain 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

 

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8. OTHER RISKS (continued)

 

the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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.

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). 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.

 

9. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

 

10. SUBSEQUENT EVENTS

Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

11. SUMMARY OF SHARE TRANSACTIONS

 

Share activity is as follows:

 

     International Equity ESG Fund  
  

 

 

 
     For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
  

 

 

 
     Shares      Dollars      Shares     Dollars  
  

 

 

 
Class A Shares           

Shares sold

     44,371      $ 906,988        321,372     $ 5,908,970  

Reinvestment of distributions

     23,108        466,316        60,147       980,995  

Shares redeemed

     (161,361      (3,315,732      (754,532     (13,300,576
       (93,882      (1,942,428      (373,013     (6,410,611
Class C Shares           

Shares sold

     44,706        848,667        174,749       2,791,451  

Reinvestment of distributions

     5,040        94,404        22,811       345,593  

Shares redeemed

     (55,446      (1,053,716      (358,231     (5,974,542
       (5,700      (110,645      (160,671     (2,837,498
Institutional Shares           

Shares sold

     202,282        4,214,414        2,990,811       53,690,002  

Reinvestment of distributions

     99,798        2,046,867        334,019       5,534,697  

Shares redeemed

     (387,810      (8,074,268      (8,963,839     (161,140,956
       (85,730      (1,812,987      (5,639,009     (101,916,257
Service Shares           

Shares sold

                   335       6,000  

Reinvestment of distributions

     1        19               

Shares redeemed

                   (2,037     (35,538
       1        19        (1,702     (29,538
Investor Shares(a)           

Shares sold

     3,665        76,628        99,638       1,711,310  

Reinvestment of distributions

     391        8,008        1,410       23,297  

Shares redeemed

     (30,485      (624,789      (95,573     (1,770,269
       (26,429      (540,153      5,475       (35,662
Class P Shares(b)           

Shares sold

     480        10,005               

Shares redeemed

            (5             
       480        10,000               
Class R6 Shares           

Reinvestment of distributions

     10        196        19       307  

Shares redeemed

                   (59     (1,000
       10        196        (40     (693

NET DECREASE

     (211,250    $ (4,395,998      (6,168,960   $ (111,230,259

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operations on April 16, 2018.

 

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11. SUMMARY OF SHARE TRANSACTIONS (continued)

 

Share activity is as follows:

 

    International Equity Income Fund  
 

 

 

 
    For the Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal Year Ended
October 31, 2017
 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    34,866     $ 516,283        94,468     $ 1,247,957  

Reinvestment of distributions

    16,597       242,656        28,887       338,841  

Shares redeemed

    (105,869     (1,566,284      (412,623     (5,377,492
      (54,406     (807,345      (289,268     (3,790,694
Class C Shares         

Shares sold

    17,255       226,914        25,143       300,955  

Reinvestment of distributions

    2,574       33,826        4,474       47,288  

Shares redeemed

    (31,407     (419,580      (108,873     (1,250,143
      (11,578     (158,840      (79,256     (901,900
Institutional Shares         

Shares sold

    71,062       1,103,902        500,234       6,548,220  

Reinvestment of distributions

    45,317       692,897        68,416       838,786  

Shares redeemed

    (233,262     (3,625,840      (1,251,949     (16,300,927
      (116,883     (1,829,041      (683,299     (8,913,921
Investor Shares(a)         

Shares sold

    2,416       35,715        37,696       467,411  

Reinvestment of distributions

    448       6,541        898       10,518  

Shares redeemed

    (5,420     (79,931      (48,507     (631,871
      (2,556     (37,675      (9,913     (153,942
Class P Shares(b)         

Shares sold

    640       10,005               

Shares redeemed

          (5             
      640       10,000               
Class R Shares         

Shares sold

    752       11,243        1,737       23,667  

Reinvestment of distributions

    29       422        23       272  

Shares redeemed

    (241     (3,513      (1,093     (12,996
      540       8,152        667       10,943  
Class R6 Shares         

Shares sold

    324       5,036        3,862       57,924  

Reinvestment of distributions

    77       1,182        20       247  

Shares redeemed

    (397     (6,043             
      4       175        3,882       58,171  

NET DECREASE

    (184,239   $ (2,814,574      (1,057,187   $ (13,691,343

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operations on April 16, 2018.

 

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Fund Expenses — Six Month Period Ended April 30, 2018  (Unaudited)

 

As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P, Class R or Class R6 Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2017 through April 30, 2018, which represents a period of 181 days of a 365 day year. The Class P example is based on the period from April 17, 2018 through April 30, 2018, which represents a period of 14 out of 365 days. The Class P example for hypothetical expenses reflects projected activity for the period from November 1, 2017 through April 30, 2018 for purposes of comparability. The projection assumes that annualized expense ratios were in effect during the period.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fee or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     International Equity ESG Fund     International Equity Income Fund  
Share Class  

Beginning

Account Value
11/01/17

    Ending
Account Value
04/30/18
   

Expenses
Paid for the
6 Months

Ended
04/30/18
*

    Beginning
Account Value
11/01/17
    Ending
Account Value
04/30/18
   

Expenses
Paid for the
6 Months

Ended
04/30/18
*

 
Class A                        

Actual

  $ 1,000     $ 1,043.10     $ 6.53     $ 1,000     $ 1,041.40     $ 6.48  

Hypothetical 5% return

    1,000       1,018.40     6.46       1,000       1,018.45     6.41  
Class C                        

Actual

    1,000       1,038.90       10.31       1,000       1,037.80       10.26  

Hypothetical 5% return

    1,000       1,014.68     10.19       1,000       1,014.73     10.14  
Institutional                        

Actual

    1,000       1,045.10       4.56       1,000       1,043.50       4.51  

Hypothetical 5% return

    1,000       1,020.33     4.51       1,000       1,020.38     4.46  
Service                        

Actual

    1,000       1,042.70       6.79       N/A       N/A       N/A  

Hypothetical 5% return

    1,000       1,018.15     6.71       N/A       N/A       N/A  
Investor                        

Actual

    1,000       1,044.50       5.27       1,000       1,042.80       5.22  

Hypothetical 5% return

    1,000       1,019.64     5.21       1,000       1,019.69     5.16  
Class P(a)                        

Actual

    1,000       1,001.40       0.34       1,000       997.40       0.33  

Hypothetical 5% return

    1,000       1,020.38     4.46       1,000       1,020.58     4.26  
Class R                        

Actual

    N/A       N/A       N/A       1,000       1,040.00       7.74  

Hypothetical 5% return

    N/A       N/A       N/A       1,000       1,017.21     7.65  
Class R6                        

Actual

    1,000       1,045.20       4.51       1,000       1,043.10       4.41  

Hypothetical 5% return

    1,000       1,020.38     4.46       1,000       1,020.48     4.36  

 

  +   Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  

 

  *   Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2018. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:  

 

Fund    Class A      Class C      Institutional      Service      Investor      Class P(a)      Class R      Class R6  

International Equity ESG

     1.29      2.04      0.90      1.34      1.04      0.89      N/A        0.89

International Equity Income

     1.28        2.03        0.89        N/A        1.03        0.85        1.53      0.87  

 

  (a)   Commenced operations on April 16, 2018.  

 

40


Table of Contents

FUNDS PROFILE

 

Goldman Sachs Funds

 

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.29 trillion in assets under supervision as of March 31, 2018, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

 

Money Market

Financial Square FundsSM

  Financial Square Treasury Solutions Fund1
  Financial Square Government Fund1
  Financial Square Money Market Fund2
  Financial Square Prime Obligations Fund2
  Financial Square Treasury Instruments Fund1
  Financial Square Treasury Obligations Fund1
  Financial Square Federal Instruments Fund1
  Financial Square Tax-Exempt Money Market Fund2

Investor FundsSM

  Investor Money Market Fund3
  Investor Tax-Exempt Money Market Fund3

Fixed Income

Short Duration and Government

  Enhanced Income Fund
  High Quality Floating Rate Fund
  Short-Term Conservative Income Fund
  Short Duration Government Fund
  Short Duration Income Fund
  Government Income Fund
  Inflation Protected Securities Fund

Multi-Sector

  Bond Fund
  Core Fixed Income Fund
  Global Income Fund
  Strategic Income Fund

Municipal and Tax-Free

  High Yield Municipal Fund
  Dynamic Municipal Income Fund
  Short Duration Tax-Free Fund

Single Sector

  Investment Grade Credit Fund
  U.S. Mortgages Fund
  High Yield Fund
  High Yield Floating Rate Fund
  Emerging Markets Debt Fund
  Local Emerging Markets Debt Fund
  Total Emerging Markets Income Fund4

Fixed Income Alternatives

  Long Short Credit Strategies Fund

Fundamental Equity

  Equity Income Fund5
  Small Cap Value Fund
  Small/Mid Cap Value Fund
  Mid Cap Value Fund
  Large Cap Value Fund
  Focused Value Fund
  Capital Growth Fund
  Strategic Growth Fund
  Small/Mid Cap Growth Fund
  Flexible Cap Fund6
  Concentrated Growth Fund7
  Technology Opportunities Fund
  Growth Opportunities Fund
  Rising Dividend Growth Fund
  Blue Chip Fund8
  Income Builder Fund

Tax-Advantaged Equity

  U.S. Tax-Managed Equity Fund
  International Tax-Managed Equity Fund
  U.S. Equity Dividend and Premium Fund
  International Equity Dividend and Premium Fund

Equity Insights

  Small Cap Equity Insights Fund
  U.S. Equity Insights Fund
  Small Cap Growth Insights Fund
  Large Cap Growth Insights Fund
  Large Cap Value Insights Fund
  Small Cap Value Insights Fund
  International Small Cap Insights Fund
  International Equity Insights Fund
  Emerging Markets Equity Insights Fund

Fundamental Equity International

  International Equity Income Fund9
  International Equity ESG Fund10
  Asia Equity Fund
  Emerging Markets Equity Fund
  N-11 Equity Fund
  ESG Emerging Markets Equity Fund

Select Satellite

  Real Estate Securities Fund
  International Real Estate Securities Fund
  Commodity Strategy Fund
  Global Real Estate Securities Fund
  Alternative Premia Fund11
  Absolute Return Tracker Fund
  Managed Futures Strategy Fund
  MLP Energy Infrastructure Fund
  MLP & Energy Fund
  Multi-Manager Alternatives Fund
  Absolute Return Multi-Asset Fund
  Global Infrastructure Fund

Total Portfolio Solutions

  Global Managed Beta Fund
  Multi-Manager Non-Core Fixed Income Fund
  Multi-Manager U.S. Dynamic Equity Fund
  Multi-Manager Global Equity Fund
  Multi-Manager International Equity Fund
  Tactical Tilt Overlay Fund
  Balanced Strategy Portfolio
  Multi-Manager U.S. Small Cap Equity Fund
  Multi-Manager Real Assets Strategy Fund
  Growth and Income Strategy Portfolio
  Growth Strategy Portfolio
  Equity Growth Strategy Portfolio
  Satellite Strategies Portfolio
  Enhanced Dividend Global Equity Portfolio
  Tax-Advantaged Global Equity Portfolio
  Strategic Factor Allocation Fund
  Target Date 2020 Portfolio
  Target Date 2025 Portfolio
  Target Date 2030 Portfolio
  Target Date 2035 Portfolio
  Target Date 2040 Portfolio
  Target Date 2045 Portfolio
  Target Date 2050 Portfolio
  Target Date 2055 Portfolio
  Target Date 2060 Portfolio
  GQG Partners International Opportunities Fund
  Tactical Exposure Fund
1   You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2    You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3    You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4    Effective after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund.
5    Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
6    Effective after the close of business on August 31, 2017, the Goldman Sachs Flexible Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Fund.
7    Effective on July 28, 2017, the Goldman Sachs Focused Growth Fund was reorganized with and into the Goldman Sachs Concentrated Growth Fund.
8    Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund.
9    Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund.
10    Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund.
11    Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund.
    Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
*   This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.


Table of Contents

TRUSTEES

Jessica Palmer, Chair

Kathryn A. Cassidy

Diana M. Daniels

Herbert J. Markley

James A. McNamara

Roy W. Templin

Gregory G. Weaver

 

OFFICERS

James A. McNamara, President

Scott M. McHugh, Treasurer, Senior Vice President
and Principal Financial Officer

Joseph F. DiMaria, Assistant Treasurer
and Principal Accounting Officer

Caroline L. Kraus, Secretary

GOLDMAN SACHS & CO. LLC

Distributor and Transfer Agent

 

GOLDMAN SACHS ASSET MANAGEMENT, L.P.

Investment Adviser

Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Fund holdings and allocations shown are as of April 30, 2018 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY AND IS PROVIDED SOLELY ON THE BASIS THAT IT WILL NOT CONSTITUTE INVESTMENT OR OTHER ADVICE OR A RECOMMENDATION RELATING TO ANY PERSON’S OR PLAN’S INVESTMENT OR OTHER DECISIONS, AND GOLDMAN SACHS IS NOT A FIDUCIARY OR ADVISOR WITH RESPECT TO ANY PERSON OR PLAN BY REASON OF PROVIDING THE MATERIAL OR CONTENT HEREIN INCLUDING UNDER THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 OR DEPARTMENT OF LABOR REGULATIONS. PLAN SPONSORS AND OTHER FIDUCIARIES SHOULD CONSIDER THEIR OWN CIRCUMSTANCES IN ASSESSING ANY POTENTIAL COURSE OF ACTION.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

© 2018 Goldman Sachs. All rights reserved. 132505-OTU-779570 EQINTSAR-18/5.8K


Table of Contents

Goldman Sachs Funds

 

LOGO

 

 
Semi-Annual Report      

April 30, 2018

 
     

International Equity Insights Funds

     

Emerging Markets Equity Insights

     

International Equity Insights

     

International Small Cap Insights

 

 

LOGO


Table of Contents

Goldman Sachs International Equity

Insights Funds

 

  EMERGING MARKETS EQUITY INSIGHTS

 

  INTERNATIONAL EQUITY INSIGHTS

 

  INTERNATIONAL SMALL CAP INSIGHTS

 

TABLE OF CONTENTS

 

Investment Process

    1  

Market Review

    3  

Portfolio Management Discussions and Performance Summaries

    6  

Schedules of Investments

    23  

Financial Statements

    46  

Financial Highlights

    50  

Notes to the Financial Statements

    56  

Other Information

    71  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

Goldman Sachs’ International Equity Insights Investment Process

 

 

LOGO

 

LOGO

 

  Comprehensive – We forecast returns on over 8,000 international stocks and 43 equity markets on a daily basis.

 

  Rigorous – We evaluate stocks, countries and currencies based on fundamental investment criteria that have outperformed historically.

 

  Objective – Our stock and equity market selection process is free from emotion that may lead to biased investment decisions.

 

LOGO

 

  Our computer optimization process allocates risk to our high conviction investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns.

 

  We use proprietary risk models that are designed to be more precise, more focused and faster to respond because they seek to identify, track and manage risk specific to our process, using daily data.

 

LOGO

Fully invested, well-diversified international portfolio that seeks to:

 

  Blend top-down market views with bottom-up stock selection.

 

  Maintain style, sector, risk and capitalization characteristics similar to the benchmark.

 

  Achieve excess returns by taking many small diversified stock positions. Additionally, in the Goldman Sachs Emerging Markets Equity Insights Fund and the Goldman Sachs International Equity Insights Fund we take intentional country bets.

 

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Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

 

Enhancements Made to Proprietary Quantitative Model during the Six-Month Period Ended April 30, 2018

We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the six-month period ended April 30, 2018 (the “Reporting Period”).

We introduced a new signal within our Profitability theme that aims to predict the profitability of non-U.S. developed markets companies by mapping U.S. consumer spending data in various segments to non-U.S. companies engaged in these business segments, as our research has shown that consumer behavior across developed markets tend to be correlated. We also introduced a new signal within our Momentum theme that helps us create economic links between companies with similar businesses. The signal identifies companies linked by a common theme based on company descriptions. In addition, we introduced an Environmental, Social and Governance (“ESG”) signal within our Management theme that helps us quantify reputational risk. The signal, which was introduced in all investment regions except Canada, looks at ESG risk events to form a view of the peak risk of a given company from an ESG perspective.

 

2


Table of Contents

MARKET REVIEW

 

Goldman Sachs International Equity

Insights Funds

 

Market Review

During the six-month period ended April 30, 2018 (the “Reporting Period”), emerging markets equities and international equities produced positive returns, with emerging markets equities generally outperforming international equities.

Emerging Markets Equities

Emerging markets equities advanced during the Reporting Period, with the MSCI Emerging Markets Standard Index (Net, USD, Unhedged) (the “MSCI EM Index”) generating a return of 4.80%.*

As the Reporting Period began in November 2017, a robust third calendar quarter corporate earnings reporting season was a positive driver for emerging markets equities, despite a pullback from a global technology sell-off. A weaker U.S. dollar and commodities strength also helped emerging markets equities close out calendar year 2017 with a healthy total return. In December 2017, the U.S. Federal Reserve (the “Fed”) delivered its third interest rate hike of 2017, as had been widely expected, and maintained its projections for three additional interest rate hikes in 2018.

Emerging markets equities endured a rather volatile first three months of 2018 to post positive returns for a fifth consecutive quarter. The new calendar year began strongly, with emerging markets equities outperforming developed markets equities in January 2018, buoyed by a strong global economic backdrop, rising oil prices and a softer U.S. dollar. Latin American equities were the strongest performers, led by Brazil, while Asian equities were largely driven by a notable rally in Chinese equities. In February 2018, however, the MSCI EM Index lost 4.61%, as equities sold off globally on market speculation of a faster pace of interest rate hikes by the Fed, which stoked a sharp rise in bond yields and in equity market volatility. Concerns about monetary policy tightening were further exacerbated by solid U.S. labor and inflation data. While the hawkish Fed minutes released were largely expected, Fed Chair Jerome Powell’s Congressional testimony surprised markets with its hawkish tilt, sparking another sell-off. (Hawkish language tends to suggest higher interest rates; opposite of dovish.) In March 2018, a global equity market sell-off was driven by escalating concerns about trade relations with the U.S., as the current Administration’s announcement of a 25% tariff on an estimated $50 billion of Chinese imports weighed on investor sentiment broadly. The Fed delivered on a consensus-expected interest rate increase in March, with its projections continuing to point to three interest rate hikes in the 2018 calendar year.

April 2018 saw volatility continue, driven by trade headlines around the U.S. and China, rising U.S. Treasury yields and increased focus on the information technology sector given ongoing discussion about the regulatory environment. Investor concern also increased due to rising geopolitical risks surrounding North Korea and Syria as well as by the announcement of additional U.S. sanctions on Russia. The MSCI EM Index posted a modest decline for the month.

For the Reporting Period as a whole, health care and energy were the best performing sectors in the MSCI EM Index by some distance, followed by materials and financials, which also posted robust positive returns. Consumer discretionary was the weakest sector in the MSCI EM Index and the only one to post a negative absolute return during the Reporting Period. Information technology, telecommunication services and real estate were also weak performers but eked out modestly positive absolute returns for the Reporting Period.

 

*   All index returns are expressed in U.S. dollar terms.

 

3


Table of Contents

MARKET REVIEW

 

 

From a country perspective, Columbia, Greece, Peru, Qatar, Malaysia and Thailand were the best performing individual constituents of the MSCI EM Index, each posting double-digit absolute gains for the Reporting Period. Conversely, Turkey, the Philippines, United Arab Emirates, Poland and Indonesia were the weakest individual country constituents of the MSCI EM Index, each posting negative absolute returns during the Reporting Period.

International Equities

International equities recorded a positive return during the Reporting Period, with the MSCI Europe, Australasia, Far East (“EAFE”) Standard Index (Net, USD, Unhedged) (the “MSCI EAFE Index”) posting a gain of 3.41%.*

In November and December 2017, the first two months of the Reporting Period, international equity market returns were relatively muted, particularly amongst larger companies. The U.K., however, performed better than many other developed markets. Although the U.K. Prime Minister suffered a defeat in the House of Commons over the European Union Withdrawal Bill in December 2017, the U.K. was judged by the European Union to have made sufficient progress on key issues to allow the next phase of Brexit negotiations — including discussions on trade — to begin. (Brexit refers to the U.K.’s efforts to leave the European Union.) Elsewhere, the European Central Bank (“ECB”) upgraded its growth forecasts for the Eurozone’s economy, though optimism was tempered by lackluster inflation. The German and French equity markets declined for the month of December. The Bank of Japan’s (“BoJ”) quarterly Tankan survey of business sentiment showed that confidence improved, boosted by strengthening export activity, and the Japanese equity market eked out a modest gain for December 2017. That same month, the U.S. Fed made its third interest rate hike of 2017, as investors had widely expected, and reaffirmed its projections for three additional interest rate hikes in 2018.

International equities enjoyed a strong start to 2018, driven by market exuberance about strong economic data, the $1.5 trillion U.S. tax reform law passed by Congress in December 2017 and the favorable start to the corporate earnings reporting season. In February 2018, however, equities sold off globally on market speculation of a faster pace of interest rate hikes by the Fed, which stoked a sharp rise in bond yields and in equity market volatility. Concerns about monetary policy tightening were further exacerbated by solid U.S. labor and inflation data. While the hawkish Fed minutes released were largely expected, Fed Chair Jerome Powell’s Congressional testimony surprised markets with its hawkish tilt, sparking another sell-off. In March 2018, escalating trade tensions and tariffs weighed on investor sentiment and on global equity market performance. Political uncertainty in Germany and Italy and signs of slowing economic growth in Europe dampened investor sentiment as well. Meanwhile, the Fed delivered on a consensus-expected interest rate increase in March, with its projections continuing to point to three interest rate hikes in the 2018 calendar year. In Europe, an agreement on a 21-month transition after Brexit between the U.K. and the European Union reduced political uncertainty.

The international equity markets posted a modestly positive return in April 2018, but remained relatively muted for the month, as the U.S. and China generated trade headlines and geopolitical uncertainty stemming from sanctions on Russia surfaced. The ECB and BoJ kept their respective monetary policies unchanged in April, indicating ongoing monetary policy accommodation.

 

*   All index returns are expressed in U.S. dollar terms.

 

4


Table of Contents

MARKET REVIEW

 

 

For the Reporting Period as a whole, energy was the best performing sector in the MSCI EAFE Index by some distance, followed by consumer discretionary and real estate. The weakest performing sectors in the MSCI EAFE Index during the Reporting Period were telecommunication services, consumer staples and industrials.

From a country perspective, Singapore, Finland and Italy were the best performing individual constituents of the MSCI EAFE Index during the Reporting Period. Sweden, Belgium and Denmark were the weakest individual country constituents in the MSCI EAFE Index during the Reporting Period.

Looking Ahead

At the end of the Reporting Period, we continued to believe that less expensive stocks should outpace more expensive stocks. In addition, we expected stocks with good momentum to outperform those with poor momentum. We plan to focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with what we view as sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.

We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.

 

 

 

 

5


Table of Contents

PORTFOLIO RESULTS

 

Goldman Sachs Emerging Markets Equity

Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Emerging Markets Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A During the Reporting Period, the Fund’s Class A, C, Institutional, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 3.20%, 2.85%, 3.32%, 3.38%, 3.06% and 3.44%, respectively. These returns compare to the 4.80% cumulative total return of the Fund’s benchmark, the MSCI Emerging Markets Standard Index (Net, USD, Unhedged) (the “Index”), during the same period.

 

     From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -0.65% compared to the 0.15% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A We use two distinct strategies — a bottom-up stock selection strategy and a top-down country/currency selection strategy — to manage the Fund. These strategies are uncorrelated, that is, they tend to perform independently of each other over time, which enables us to greater diversify the portfolio. During the Reporting Period, our stock selection strategy, which uses fundamental research and stock selection models based on six investment themes, contributed positively to relative performance. However, the Fund underperformed the Index, largely because of certain individual stock positions. The impact of our country/currency selection strategy was rather neutral during the Reporting Period.

 

Q   Which investment themes helped and which hurt within the Team’s stock selection strategy?

 

A In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

     During the Reporting Period, all six of our investment themes added to the Fund’s relative returns. Momentum was our best performing theme. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Sentiment, Valuation, Quality, Profitability and Management also contributed positively. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Quality theme seeks to assess both firm and management quality. The Profitability theme assesses whether a company is earning more than its cost of capital. The Management theme assesses the characteristics, policies and strategic decisions of company management.

 

Q   How did the Fund’s sector and industry allocations affect relative results?

 

A

In constructing the portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently,

 

6


Table of Contents

PORTFOLIO RESULTS

 

 

the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative returns.

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

     During the Reporting Period, certain individual stock positions detracted from the Fund’s relative performance. These detractors included holdings in the energy, industrials and consumer discretionary sectors. Conversely, the Fund benefited from investments in the real estate, information technology and financials sectors.

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A In terms of individual stock positions, the Fund was hampered during the Reporting Period by its overweight positions in CCR, a Brazil-based transportation company; Guangzhou Automobile Group, a China-based automaker; and Tupras Turkiye Petrol Rafinerileri (“Tupras”), which is Turkey’s only oil refiner. The overweight in CCR was the result of our positive views on Valuation and Momentum. We assumed the overweight in Guangzhou Automobile Group due to our positive views on Momentum and Quality. The Fund’s overweight in Tupras was based on our positive views on Momentum and Management.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A During the Reporting Period, the Fund was helped by overweights compared to the Index in Empresa Colombiana Petroleos, Colombia’s state-owned oil company; Tata Consultancy Services, an India-based provider of information technology services, consulting and business solutions; and Wal-Mart de Mexico, the U.S. retailer’s Mexico-based division. Our positive views on Momentum and Profitability led us to overweight Empresa Colombiana Petroleos, while the overweight in Tata Consultancy Services was due to our positive views on Momentum and Management. We chose to overweight Wal-Mart de Mexico because of our positive views on Sentiment and Quality.

 

Q   What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period?

 

A Our country/currency strategy had a rather neutral impact on the Fund’s relative returns. During the Reporting Period, the Fund benefited from its overweight compared to the Index in Russia and its underweights in Chile and the Philippines. It was hindered by overweights in Turkey and Hungary as well as by an underweight in South Africa.

 

     We made our picks using our proprietary models, which, during the Reporting Period, were based on three investment themes specific to our country/currency strategy — Valuation, Risk Premium and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. Risk Premium evaluates whether a country is overcompensating investors for various types of risk. Macro assesses a market’s macroeconomic environment and growth prospects.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What changes did you make to the Fund’s country weightings during the Reporting Period?

 

A During the Reporting Period, we shifted the Fund from an underweight position relative to the Index in Thailand to an overweight position. We increased the Fund’s overweight in India and its underweight in Malaysia. In addition, we moved the Fund from an overweight in Brazil to an underweight position compared to the Index.

 

Q   What were the Fund’s sector and country weightings at the end of the Reporting Period?

 

A

At the end of the Reporting Period, the Fund was overweight relative to the Index in the materials, real estate, health care, energy and information technology sectors. Compared to the Index, the Fund was underweight the telecommunication

 

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PORTFOLIO RESULTS

 

 

services, financials, consumer discretionary, utilities, industrials and consumer staples sectors at the end of the Reporting Period.

 

     In terms of countries, the Fund was overweight India, Thailand, Russia and Mexico relative to the Index at the end of the Reporting Period. Compared to the Index, the Fund was underweight Taiwan, Brazil and Malaysia. The Fund was relatively neutral compared to the Index in Colombia, China, Poland, South Korea, Pakistan, Hungary, Egypt, Indonesia, Czech Republic, Greece, South Africa, Turkey, United Arab Emirates, Peru, Qatar, Chile and the Philippines at the end of the Reporting Period.

 

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FUND BASICS

 

Emerging Markets Equity Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
    

November 1, 2017–April 30, 2018

     Fund Total Return
(based on NAV)1
       MSCIEmerging Markets
Standard Index2
 
  Class A        3.20        4.80
  Class C        2.85          4.80  
  Institutional        3.32          4.80  
  Investor        3.38          4.80  
  Class R        3.06          4.80  
  Class R6        3.44          4.80  
 

April 16, 2018–April 30, 2018

         
    Class P        -0.65        0.15

 

  1    The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The MSCI® Emerging Markets Standard Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of April 30, 2018, the MSCI® Emerging Markets Standard Index consists of the following 24 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, South Korea, Taiwan, Thailand, Turkey and the United Arab Emirates. Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3    
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     19.58     5.11     3.43     1.93   10/5/07
  Class C     24.53       5.50       3.30       1.76     10/5/07
  Institutional     26.82       6.69       4.42       2.88     10/5/07
  Investor     26.79       6.58       N/A       7.08     08/31/10
  Class P     N/A       N/A       N/A       N/A     04/16/18
  Class R     26.14       N/A       N/A       9.32     02/28/14
    Class R6     26.98       N/A       N/A       13.88     07/31/15

 

  3   The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)        Gross Expense Ratio (Before Waivers)  
 

Class A

    1.48        1.53
 

Class C

    2.23          2.28  
 

Institutional

    1.09          1.14  
  Investor     1.23          1.28  
 

Class P

    1.08          1.13  
 

Class R

    1.73          1.78  
   

Class R6

    1.08          1.13  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185,6
     Holding   % of Net
Assets
    Line of Business   Country
  Samsung Electronics Co. Ltd.     5.7   Technology Hardware &
Equipment
  South Korea
  Tencent Holdings Ltd.     5.2   Software & Services   China
  Taiwan Semiconductor Manufacturing Co. Ltd. ADR     3.9   Semiconductors &
Semiconductor Equipment
  Taiwan
  Industrial & Commercial Bank of China Ltd. Class H     2.5   Banks   China
  Alibaba Group Holding Ltd. ADR     2.3   Software & Services   China
  Infosys Ltd. ADR     2.1   Software & Services   India
  Tata Consultancy Services Ltd.     2.0   Software & Services   India
  LUKOIL PJSC ADR     1.9   Energy   Russia
  Sberbank of Russia PJSC     1.9   Banks   Russia
    Naspers Ltd. Class N     1.8   Media   South Africa

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.
  6    The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund), which represents approximately 2.5% of the Fund’s net assets as of 04/30/18.

 

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FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS7
As of April 30, 2018

 

LOGO

 

 

  7    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 2.5% of the Fund’s net assets at April 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

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PORTFOLIO RESULTS

 

Goldman Sachs International Equity Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 2.74%, 2.30%, 2.90%, 2.56%, 2.85%, 2.58% and 2.91%, respectively. These returns compare to the 3.41% cumulative total return of the Fund’s benchmark, the MSCI EAFE Standard Index (Net, USD, Unhedged) (the “Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -0.44% compared to the 0.22% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A We use two distinct strategies — a bottom-up stock selection strategy and a top-down country/currency selection strategy — to manage the Fund. These strategies are uncorrelated, that is, they tend to perform independently of each other over time, which enables us to greater diversify the portfolio. Our bottom-up stock selection strategy, which uses fundamental research and stock selection models based on six investment themes, added to relative performance during the Reporting Period. Our country/currency selection strategy also contributed positively. However, the Fund underperformed the Index largely because of certain individual stock positions.

 

Q   Which investment themes helped and which hurt within the Team’s stock selection strategy?

 

A In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

    During the Reporting Period, three of our six investment themes–Momentum, Sentiment and Quality–enhanced the Fund’s relative returns. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality.

 

    Our Profitability theme detracted from relative performance during the Reporting Period. The Profitability theme assesses whether a company is earning more than its cost of capital.

 

    The impact of our Management and Valuation themes was rather neutral during the Reporting Period. The Management theme assesses the characteristics, policies and strategic decisions of company management. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.

 

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PORTFOLIO RESULTS

 

 

Q   How did the Fund’s sector and industry allocations affect relative results?

 

A In constructing the portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative returns.

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

    During the Reporting Period, certain individual stock positions detracted from the Fund’s relative performance. Investments in the industrials, health care and information technology sectors had a negative impact on results. On the positive side, the Fund benefited from stock selection in the consumer staples, consumer discretionary and financials sectors.

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A In terms of individual stock positions, the Fund was hurt by overweights compared to the Index in Air France-KLM, a French-Dutch airline holding company; Fujitsu, a Japan-based information technology equipment and services company; and Aixtron, a Germany-based semiconductor manufacturing equipment maker. We decided to overweight Air France-KLM based on our positive views on Valuation and Quality. The overweight in Fujitsu was due to our positive views on Valuation and Momentum, while our positive views on Sentiment and Profitability led to the Fund’s overweight in Aixtron.

 

Q   Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period?

 

A During the Reporting Period, the Fund was helped by overweight positions in petroleum company Idemitsu Kosan and personal care company Shiseido, both Japan-based firms. Our positive views on Momentum and Valuation resulted in the Fund’s overweight in Idemitsu Kosan. The overweight in Shisedo was due to our positive views on Momentum and Sentiment. The Fund’s underweight in U.K.-based British American Tobacco, assumed because of our negative views on Momentum and Management, also contributed positively to relative performance.

 

Q   What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period?

 

A Our country/currency selection strategy added to the Fund’s relative returns during the Reporting Period. The Fund benefited from an overweight position compared to the Index in Italy and underweight positions in Switzerland and Belgium. Detracting from Fund performance were underweights in Finland and Sweden. An overweight in Spain also detracted from results.

 

    We made our picks using our proprietary models, which, during the Reporting Period, were based on five investment themes specific to our country/currency strategy — Valuation, Momentum, Risk Premium, Fund Flows and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. Momentum favors countries and currencies that have had strong recent outperformance. Risk Premium evaluates whether a country is overcompensating investors for various types of risk, while Fund Flows evaluates the strength of capital market inflows. Finally, Macro assesses a market’s macroeconomic environment and growth prospects.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What changes did you make to the Fund’s country weightings during the Reporting Period?

 

A

During the Reporting Period, we moved the Fund from rather neutral positions to overweight positions compared to the Index in Japan and Sweden. We also increased the Fund’s overweight in Spain. We moderated the Fund’s underweights in France, Germany and the U.K. In addition, we shifted the

 

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PORTFOLIO RESULTS

 

 

Fund from overweight to underweight positions versus the Index in Australia, Hong Kong, Singapore and the Netherlands during the Reporting Period.

 

Q   What were the Fund’s sector and country weightings at the end of the Reporting Period?

 

A At the end of the Reporting Period, the Fund was overweight relative to the Index in the energy, consumer discretionary, information technology and materials sectors. Compared to the Index, the Fund was underweight the consumer staples, industrials, telecommunication services, utilities and real estate sectors. The Fund was relatively neutral compared to the Index in the financials and health care sectors at the end of the Reporting Period.

 

    In terms of countries, the Fund was overweight relative to the Index in Hong Kong, Australia, Spain, Norway, Singapore and Italy. Compared to the Index, the Fund was underweight in France, Germany, the U.K. and Switzerland. The Fund was relatively neutral compared to the Index in Japan, the Netherlands, Sweden, Denmark, Finland, Austria, Belgium, Portugal, New Zealand, Ireland and Israel at the end of the Reporting Period.

 

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FUND BASICS

 

International Equity Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       MSCI® EAFE Standard  Index
(Net, USD, Unhedged)2
 
  Class A        2.74        3.41
  Class C        2.30          3.41  
  Institutional        2.90          3.41  
  Service        2.56          3.41  
  Investor        2.85          3.41  
  Class R        2.58          3.41  
  Class R6        2.91          3.41  
 

April 16, 2018–April 30, 2018

         
    Class P        -0.44        0.22

 

  1    The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The unmanaged MSCI® EAFE Standard Index (Net, USD, Unhedged) is a market capitalization-weighted composite of securities in 21 developed markets. As of April 30, 2018, the MSCI® EAFE Standard (Net) Index consists of the following 21 developed countries: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     11.24     7.76     2.51     4.07   08/15/97
  Class C     15.91       8.19       2.33       3.68     08/15/97
  Institutional     18.13       9.43       3.50       4.86     08/15/97
  Service     17.55       8.85       2.98       4.34     08/15/97
  Investor     18.03       9.25       3.35       2.01     11/30/07
  Class P     N/A       N/A       N/A       N/A     04/16/18
  Class R     17.44       8.72       2.85       1.53     11/30/07
    Class R6     18.16       N/A       N/A       9.46     07/31/15

 

  3    The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

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FUND BASICS

 

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.19      1.30
  Class C     1.94        2.05  
  Institutional     0.85        0.91  
  Service     1.35        1.41  
  Investor     0.94        1.05  
  Class P     0.84        0.90  
  Class R     1.44        1.55  
    Class R6     0.84        0.90  

 

  4   The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus, as supplemented, for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185,6
     Holding   % of
Net Assets
     Line of Business    Country
  AIA Group Ltd.     1.8    Insurance    Hong Kong
  BP plc ADR     1.5    Energy    United Kingdom
  Royal Dutch Shell plc Class A     1.2    Energy    Netherlands
  Mitsubishi UFJ Financial Group, Inc.     1.2    Banks    Japan
  Eni SpA     1.2    Energy    Italy
  Oversea-Chinese Banking Corp. Ltd.     1.1    Banks    Singapore
  Vodafone Group plc ADR     1.1    Telecommunication Services    United Kingdom
  Royal Dutch Shell plc Class B     1.1    Energy    Netherlands
  BNP Paribas SA     1.1    Banks    France
    Sumitomo Mitsui Financial Group, Inc.     1.0    Banks    Japan

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.
  6    The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund), which represents approximately 4.0% of the Fund’s net assets as of 04/30/18.

 

16


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FUND BASICS

 

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS7
As of April 30, 2018

 

LOGO

 

 

  7    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 2.9% of the Fund’s net assets at April 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

17


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PORTFOLIO RESULTS

 

Goldman Sachs International Small Cap Insights Fund

 

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Small Cap Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2018 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund’s Class A, C, Institutional, Investor and R6 Shares generated cumulative total returns, without sales charges, of 4.33%, 3.91%, 4.54%, 4.40% and 4.47%, respectively. These returns compare to the 5.96% cumulative total return of the Fund’s benchmark, the MSCI EAFE Small Cap Index (Net, USD, Unhedged) (the “Index”), during the same period.

 

    From their inception on April 16, 2018 through the end of the Reporting Period, the Fund’s Class P Shares generated a cumulative total return, without sales charges, of -0.99% compared to the -0.51% cumulative total return of the Index.

 

Q   What key factors were most responsible for the Fund’s performance during the Reporting Period?

 

A   During the Reporting Period, three of our quantitative model’s six investment themes added to relative performance. However, the Fund underperformed the Index largely because of certain individual stock positions.

 

Q   What impact did the Fund’s investment themes have on performance during the Reporting Period?

 

A   In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.

 

    During the Reporting Period, three of our six investment themes added to the Fund’s relative results. Sentiment was our best performing theme. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. Momentum and Valuation also contributed positively. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value.

 

    The Profitability theme, which assesses whether a company is earning more than its cost of capital, detracted from relative performance during the Reporting Period.

 

    The impact of our Quality and Management themes was rather neutral during the Reporting Period. The Quality theme seeks to assess both firm and management quality. The Management theme assesses the characteristics, policies and strategic decisions of company management.

 

Q   How did the Fund’s sector and industry allocations affect relative results?

 

A   In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.

 

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PORTFOLIO RESULTS

 

 

Q   Did stock selection help or hurt Fund performance during the Reporting Period?

 

A   We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the Index.

 

    During the Reporting Period, certain individual stock positions detracted from relative returns, led by holdings in the information technology, industrials and health care sectors. The Fund was helped by security selection in the energy, materials and financials sectors.

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A   In terms of individual stock positions, the Fund was hurt by overweights relative to the Index in Dialog Semiconductor, Air France-KLM and Subsea 7. We decided to overweight U.K.-based manufacturer Dialog Semiconductor and French-Dutch airline holding company Air France-KLM because of our positive views on Valuation and Quality. Our positive views on Valuation and Sentiment led us to overweight Subsea 7, a U.K.-headquartered subsea engineering, construction and services company serving the offshore energy industry.

 

Q   Which individual stock positions contributed most to the Fund’s relative results during the Reporting Period?

 

A   The Fund benefited from overweight positions in DNO, a Norwegian oil and gas operator; Moncler, an Italian apparel manufacturer; and Swedish Orphan Biovitrum, a specialty biopharmaceutical company. We adopted all three overweights because of our positive views on Momentum and Sentiment.

 

Q   What impact did country selection have on the Fund’s relative performance during the Reporting Period?

 

A   To construct the portfolio, we focus on security selection rather than on making country bets. As a result, the Fund is similar to the Index in terms of its country allocation; changes in its country weightings are generally the result of our stock picking.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   During the Reporting Period, we used futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period.

 

Q   What changes did you make to the Fund’s country weightings during the Reporting Period?

 

A   During the Reporting Period, we moved the Fund from an underweight to a slightly overweight position relative to the Index in Sweden. We increased the Fund’s overweights in Denmark and Germany. In addition, we shifted the Fund from overweight to underweight positions compared to the Index in France, Belgium and the Netherlands.

 

Q   What were the Fund’s sector and country weightings at the end of the Reporting Period?

 

A   At the end of the Reporting Period, the Fund was overweight relative to the Index in the health care, energy, information technology and materials sectors. Compared to the Index, the Fund was underweight the real estate, industrials, utilities and financials sectors. The Fund was relatively neutral compared to the Index in the consumer discretionary and consumer staples sectors at the end of the Reporting Period.

 

    In terms of countries, the Fund was overweight Norway, Germany, Australia and Denmark relative to the Index. Compared to the Index, the Fund was underweight the U.K., France and Ireland. It was relatively neutral compared to the Index in Spain, Japan, Portugal, Finland, Switzerland, Singapore, Italy, Belgium, the Netherlands, New Zealand, Israel, Austria, Hong Kong and Sweden at the end of the Reporting Period.

 

19


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FUND BASICS

 

International Small Cap Insights Fund

as of April 30, 2018

 

 

LOGO

 

  PERFORMANCE REVIEW  
     November 1, 2017–April 30, 2018      Fund Total Return
(based on NAV)1
       MSCI® EAFE Small Cap  Index
(Net, USD, Unhedged)2
 
  Class A        4.33        5.96
  Class C        3.91          5.96  
  Institutional        4.54          5.96  
  Investor        4.40          5.96  
  Class R6        4.47          5.96  
 

April 16, 2018–April 30, 2018

         
    Class P        -0.99        -0.51

 

  1    The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The MSCI® EAFE Small Cap Index (Net, USD, Unhedged) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. MSCI® selects the most liquid securities across developed markets relative to their market capitalization, and targets for index inclusion 40% of the full market capitalization of the eligible small cap universe within each industry group, within each country. Its returns include net reinvested dividends but, unlike Fund returns, do not reflect the payment of sales commissions or other expenses incurred in the purchase or sale of the securities included in the Index. It is not possible to invest directly in an index.

 

  STANDARDIZED TOTAL RETURNS3
     For the period ended 3/31/18   One Year     Five Years     Ten Years     Since Inception     Inception Date
  Class A     15.61     9.87     7.02     5.26   09/28/07
  Class C     20.37       10.29       6.84       5.06     09/28/07
  Institutional     22.87       11.59       8.06       6.26     09/28/07
  Investor     22.69       11.41       N/A       12.69     08/31/10
  Class P     N/A       N/A       N/A       N/A     04/16/18
    Class R6     22.84       N/A       N/A       12.10     07/31/15

 

  3   The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

 

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

20


Table of Contents

FUND BASICS

 

 

  EXPENSE RATIOS4  
          Net Expense Ratio (Current)      Gross Expense Ratio (Before Waivers)  
  Class A     1.29      1.33
  Class C     2.04        2.08  
  Institutional     0.90        0.94  
  Investor     1.04        1.08  
  Class P     0.89        0.93  
    Class R6     0.89        0.93  

 

  4    The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least February 28, 2019, with respect to all share classes except Class P Shares, and through April 16, 2019 with respect to Class P Shares, and prior to such dates, the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

 

  TOP TEN HOLDINGS AS OF 4/30/185,6
     Holding   % of
Net Assets
    Line of Business   Country
  Moncler SpA     1.3   Consumer Durables & Apparel   Italy
  Temenos Group AG (Registered)     1.2   Software & Services   Switzerland
  Bellway plc     1.1   Consumer Durables & Apparel   United Kingdom
  Rheinmetall AG     1.0   Capital Goods   Germany
  DNO ASA     1.0   Energy   Norway
  GN Store Nord A/S     1.0   Health Care Equipment & Services   Denmark
  OC Oerlikon Corp. AG (Registered)     1.0   Capital Goods   Switzerland
  Merlin Properties Socimi SA     1.0   Real Estate   Spain
  Aurubis AG     0.9   Materials   Germany
    DiaSorin SpA     0.9   Health Care Equipment & Services   Italy

 

  5    The top 10 holdings may not be representative of the Fund’s future investments.
  6    The Fund’s overall top 10 holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund), which represents approximately 2.6% of the Fund’s net assets as of 04/30/18.

 

21


Table of Contents

FUND BASICS

 

 

FUND VS. BENCHMARK SECTOR ALLOCATIONS7
As of April 30, 2018

 

LOGO

 

 

  7    The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 1.4% of the Fund’s net assets at April 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

 

22


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – 97.5%  
Brazil – 5.4%      
  1,728,400     Ambev SA ADR (Food, Beverage & Tobacco)   $ 11,442,008  
  52,400     Arezzo Industria e Comercio SA (Consumer Durables & Apparel)     792,462  
  852,100     B3 SA – Brasil Bolsa Balcao (Diversified Financials)*     6,153,839  
  245,100     Banco do Estado do Rio Grande do Sul SA (Preference) Class B (Banks)(a)     1,405,589  
  1,107,100     Banco Santander Brasil SA ADR (Banks)(b)     12,000,964  
  1,264,900     Cielo SA (Software & Services)     6,932,542  
  132,100     Cosan SA Industria e Comercio (Energy)     1,500,039  
  86,000     Ez Tec Empreendimentos e Participacoes SA (Consumer Durables & Apparel)     493,435  
  1,739,600     Fibria Celulose SA (Materials)     34,169,295  
  45,700     Grendene SA (Consumer Durables & Apparel)     356,526  
  1,140,500     Hypera SA (Pharmaceuticals, Biotechnology & Life Sciences)*     10,255,124  
  47,300     IRB Brasil Resseguros S/A (Insurance)     638,642  
  6,343,700     Itausa – Investimentos Itau SA (Preference) (Banks)(a)     24,645,398  
  116,400     Odontoprev SA (Health Care Equipment & Services)     499,398  
  175,350     Petroleo Brasileiro SA ADR (Energy)*     2,470,681  
  48,600     SLC Agricola SA (Food, Beverage & Tobacco)     620,402  
  36,820     TIM Participacoes SA ADR (Telecommunication Services)     837,655  
   

 

 

 
      115,213,999  

 

 

 
Chile – 0.6%      
  239,756     Empresas COPEC SA (Energy)     3,913,977  
  154,300     Sociedad Quimica y Minera de Chile SA ADR (Materials)(b)     8,469,527  
   

 

 

 
      12,383,504  

 

 

 
China – 27.6%      
  2,666,000     Agile Group Holdings Ltd. (Real Estate)     5,258,935  
  58,094,000     Agricultural Bank of China Ltd. Class H (Banks)     32,754,124  
  552,000     Air China Ltd. Class H (Transportation)     727,700  
  275,300     Alibaba Group Holding Ltd. ADR (Software & Services)*     49,152,062  
  15,433,000     Bank of China Ltd. Class H (Banks)     8,377,514  
  3,853,000     Bank of Communications Co. Ltd. Class H (Banks)     3,152,853  

 

 

 
Common Stocks – (continued)  
China – (continued)      
  5,136,000     Beijing Capital International Airport Co. Ltd. Class H (Transportation)   6,995,095  
  109,500     Beijing Enterprises Holdings Ltd. (Capital Goods)     546,941  
  2,751,000     China Construction Bank Corp. Class H (Banks)     2,882,110  
  5,420,000     China Evergrande Group (Real Estate)*(b)     17,168,262  
  1,280,000     China Medical System Holdings Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     3,134,434  
  7,249,500     China Merchants Bank Co. Ltd. Class H (Banks)     31,610,720  
  398,000     China Mobile Ltd. (Telecommunication Services)     3,791,545  
  2,220,000     China Petroleum & Chemical Corp. Class H (Energy)     2,161,968  
  4,346,000     China Resources Cement Holdings Ltd. (Materials)     4,559,294  
  12,493,000     China SCE Property Holdings Ltd. (Real Estate)     6,269,142  
  13,421,000     China Shenhua Energy Co. Ltd. Class H (Energy)     32,919,811  
  164,000     China Shineway Pharmaceutical Group Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     336,309  
  2,840,000     China Travel International Investment Hong Kong Ltd. (Consumer Services)     1,058,881  
  5,995,400     China Vanke Co. Ltd. Class H (Real Estate)     24,778,085  
  14,798,000     CNOOC Ltd. (Energy)     25,033,980  
  573,000     Consun Pharmaceutical Group Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     617,459  
  12,432,000     Country Garden Holdings Co. Ltd. (Real Estate)     25,349,670  
  7,660,000     CSPC Pharmaceutical Group Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     19,510,469  
  206,000     ENN Energy Holdings Ltd. (Utilities)     1,926,415  
  5,348,000     Fosun International Ltd. (Capital Goods)     11,364,468  
  942,000     Geely Automobile Holdings Ltd. (Automobiles & Components)     2,477,490  
  8,458,000     Guangzhou Automobile Group Co. Ltd. Class H (Automobiles & Components)     15,492,652  
  2,414,600     Guangzhou R&F Properties Co. Ltd. Class H (Real Estate)     5,740,936  
  328,500     Hengan International Group Co. Ltd. (Household & Personal Products)     2,921,463  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   23


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
China – (continued)      
  59,552,000     Industrial & Commercial Bank of China Ltd. Class H (Banks)   $ 52,279,609  
  2,860,000     Jiangsu Expressway Co. Ltd. Class H (Transportation)     3,921,413  
  190,800     Livzon Pharmaceutical Group, Inc. Class H (Pharmaceuticals, Biotechnology & Life Sciences)     1,374,331  
  210,000     Logan Property Holdings Co. Ltd. (Real Estate)     307,896  
  3,220,000     Longfor Properties Co. Ltd. (Real Estate)     9,630,165  
  2,017,000     Lonking Holdings Ltd. (Capital Goods)     916,568  
  3,350,000     PetroChina Co. Ltd. Class H (Energy)     2,468,512  
  6,026,000     PICC Property & Casualty Co. Ltd. Class H (Insurance)     10,787,561  
  1,214,000     Shanghai Industrial Holdings Ltd. (Capital Goods)     3,183,461  
  5,883,500     Shimao Property Holdings Ltd. (Real Estate)     15,562,243  
  147,100     SINA Corp. (Software & Services)*     14,053,934  
  2,234,400     Tencent Holdings Ltd. (Software & Services)     109,849,646  
  156,000     Tian Ge Interactive Holdings Ltd. (Software & Services)(c)     132,996  
  5,590,000     Weichai Power Co. Ltd. Class H (Capital Goods)     6,471,251  
  133,400     YiChang HEC ChangJiang Pharmaceutical Co. Ltd. Class H (Pharmaceuticals, Biotechnology & Life Sciences)(c)     633,472  
  1,662,000     Yuexiu Property Co. Ltd. (Real Estate)     373,920  
  7,671,000     Yuzhou Properties Co. Ltd. (Real Estate)     5,580,122  
   

 

 

 
      585,597,887  

 

 

 
Colombia – 1.3%      
  6,316     Bancolombia SA ADR (Banks)     301,021  
  1,285,216     Ecopetrol SA ADR (Energy)(b)     28,377,569  
   

 

 

 
      28,678,590  

 

 

 
Greece – 0.2%      
  52,275     Motor Oil Hellas Corinth Refineries SA (Energy)     1,245,560  
  183,332     OPAP SA (Consumer Services)     2,193,634  
   

 

 

 
      3,439,194  

 

 

 
Hong Kong – 2.0%      
  1,287,000     Haier Electronics Group Co. Ltd. (Consumer Durables & Apparel)*     4,452,730  
  641,500     Kingboard Laminates Holdings Ltd. (Technology Hardware & Equipment)     855,051  

 

 

 
Common Stocks – (continued)  
Hong Kong – (continued)      
  7,691,000     Lee & Man Paper Manufacturing Ltd. (Materials)   8,471,474  
  10,719,000     Nine Dragons Paper Holdings Ltd. (Materials)     15,986,952  
  5,218,000     Sino Biopharmaceutical Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     10,988,116  
  926,500     WH Group Ltd. (Food, Beverage & Tobacco)(c)     959,183  
   

 

 

 
      41,713,506  

 

 

 
Hungary – 0.2%      
  346,291     MOL Hungarian Oil & Gas plc (Energy)     4,001,660  

 

 

 
India – 10.7%      
  8,651     Avanti Feeds Ltd. (Food, Beverage & Tobacco)     321,084  
  58,196     Bajaj Holdings & Investment Ltd. (Diversified Financials)     2,354,876  
  78,977     Bata India Ltd. (Consumer Durables & Apparel)     947,264  
  80,124     Cyient Ltd. (Software & Services)     910,078  
  80,924     Dabur India Ltd. (Household & Personal Products)     446,663  
  136,827     Divi’s Laboratories Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     2,446,665  
  589,301     GAIL India Ltd. (Utilities)     2,863,561  
  345,330     Godrej Consumer Products Ltd. (Household & Personal Products)     5,759,884  
  1,698,776     HCL Technologies Ltd. (Software & Services)     26,732,018  
  457,452     Hexaware Technologies Ltd. (Software & Services)     3,064,779  
  142,180     Hindustan Petroleum Corp. Ltd. (Energy)     646,141  
  1,948,218     Indian Oil Corp. Ltd. (Energy)     4,714,402  
  2,477,708     Infosys Ltd. ADR (Software & Services)     43,781,100  
  227,355     Jubilant Life Sciences Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     2,987,102  
  1,348,968     KPIT Technologies Ltd. (Software & Services)     5,204,273  
  263,165     Maruti Suzuki India Ltd. (Automobiles & Components)     34,629,575  
  166,774     Mindtree Ltd. (Software & Services)     2,696,553  
  46,181     Mphasis Ltd. (Software & Services)     714,557  
  738,281     NIIT Technologies Ltd. (Software & Services)     12,784,690  
  11,035     Page Industries Ltd. (Consumer Durables & Apparel)     3,983,234  

 

 

 

 

24   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
India – (continued)      
  87,127     Piramal Enterprises Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)   $ 3,382,288  
  793,910     Tata Consultancy Services Ltd. (Software & Services)     41,907,872  
  289,525     Titan Co. Ltd. (Consumer Durables & Apparel)     4,245,795  
  2,269,491     Wipro Ltd. (Software & Services)     9,414,492  
  237,600     WNS Holdings Ltd. ADR (Software & Services)*     11,625,768  
   

 

 

 
      228,564,714  

 

 

 
Indonesia – 1.8%      
  561,200     Bank Central Asia Tbk. PT (Banks)     887,416  
  19,900,700     Bank Mandiri Persero Tbk. PT (Banks)     10,080,792  
  16,607,300     Bank Negara Indonesia Persero Tbk. PT (Banks)     9,561,089  
  55,529,200     Bank Rakyat Indonesia Persero Tbk. PT (Banks)     12,803,283  
  5,070,900     Bukit Asam Tbk. PT (Energy)     1,172,319  
  544,000     Indah Kiat Pulp & Paper Corp. Tbk. PT (Materials)     513,606  
  1,406,000     Indo Tambangraya Megah Tbk. PT (Energy)     2,382,683  
   

 

 

 
      37,401,188  

 

 

 
Luxembourg – 0.6%      
  309,400     Ternium SA ADR (Materials)     12,273,899  

 

 

 
Malaysia – 1.0%      
  318,900     Bursa Malaysia Bhd. (Diversified Financials)     585,074  
  3,087,500     Genting Malaysia Bhd. (Consumer Services)     4,019,844  
  3,690,800     Malaysia Airports Holdings Bhd. (Transportation)     8,475,623  
  219,900     Padini Holdings Bhd. (Retailing)     238,199  
  867,200     Supermax Corp. Bhd. (Health Care Equipment & Services)     632,760  
  2,704,900     Top Glove Corp. Bhd. (Health Care Equipment & Services)     6,529,767  
  1,856,700     Westports Holdings Bhd. (Transportation)     1,568,667  
   

 

 

 
      22,049,934  

 

 

 
Mexico – 3.4%      
  77,455     Grupo Aeroportuario del Pacifico SAB de CV Class B (Transportation)     805,692  
  4,051,700     Grupo Financiero Banorte SAB de CV Class O (Banks)     25,351,763  
  6,109,255     Grupo Mexico SAB de CVSeries B (Materials)     20,308,596  
  9,391,800     Wal-Mart de Mexico SAB de CV (Food & Staples Retailing)     26,098,307  
   

 

 

 
      72,564,358  

 

 

 
Common Stocks – (continued)  
Philippines – 0.1%      
  578,560     International Container Terminal Services, Inc. (Transportation)   945,829  
  2,074,000     Semirara Mining & Power Corp. (Energy)     1,236,396  
   

 

 

 
      2,182,225  

 

 

 
Poland – 1.4%      
  10,630     Bank Polska Kasa Opieki SA (Banks)     352,777  
  146,193     Grupa Lotos SA (Energy)     2,290,279  
  2,241,984     Powszechny Zaklad Ubezpieczen SA (Insurance)     27,255,828  
   

 

 

 
      29,898,884  

 

 

 
Russia – 5.3%      
  811,963     Evraz plc (Materials)     5,109,346  
  80,225     Globaltrans Investment plc GDR (Transportation)     843,967  
  628,595     LUKOIL PJSC ADR (Energy)     41,418,125  
  8,774,500     Magnitogorsk Iron & Steel Works PJSC (Materials)     6,759,907  
  281,200     Mobile TeleSystems PJSC ADR (Telecommunication Services)     2,952,600  
  1,071,480     Moscow Exchange MICEX-RTS PJSC (Diversified Financials)     2,049,619  
  216,146     Novolipetsk Steel PJSC GDR (Materials)     5,508,813  
  11,239,590     Sberbank of Russia PJSC (Banks)     40,063,463  
  348,990     Severstal PJSC GDR (Materials)     5,554,412  
  48,782     Tatneft PJSC ADR (Energy)(b)     3,117,170  
   

 

 

 
      113,377,422  

 

 

 
South Africa – 6.3%      
  351,175     African Rainbow Minerals Ltd. (Materials)     2,884,622  
  26,376     Aspen Pharmacare Holdings Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     568,710  
  35,931     Assore Ltd. (Materials)     886,125  
  31,137     Astral Foods Ltd. (Food, Beverage & Tobacco)     767,646  
  292,622     Barloworld Ltd. (Capital Goods)     3,970,645  
  196,306     Clicks Group Ltd. (Food & Staples Retailing)     3,365,156  
  183,581     Exxaro Resources Ltd. (Energy)(b)     1,628,358  
  194,214     Kumba Iron Ore Ltd. (Materials)     4,148,889  
  465,095     Mondi Ltd. (Materials)     13,580,102  
  350,358     Mr Price Group Ltd. (Retailing)     7,688,206  
  62,276     MTN Group Ltd. (Telecommunication Services)     625,708  
  157,702     Naspers Ltd. Class N (Media)     38,419,292  
  2,930,779     Sanlam Ltd. (Insurance)     18,513,790  
  72,661     Sappi Ltd. (Materials)     463,699  
  2,074,154     Standard Bank Group Ltd. (Banks)     35,572,985  
  15,224     Tiger Brands Ltd. (Food, Beverage & Tobacco)     475,802  
   

 

 

 
      133,559,735  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   25


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
South Korea – 15.2%      
  11,078     Caregen Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)   $ 923,394  
  25,479     Cell Biotech Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     1,013,128  
  75,118     Celltrion, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)*(b)     18,844,632  
  32,661     Chong Kun Dang Pharmaceutical Corp. (Pharmaceuticals, Biotechnology & Life Sciences)     3,553,643  
  2,187     CJ O Shopping Co. Ltd. (Retailing)     456,197  
  6,054     Coway Co. Ltd. (Consumer Durables & Apparel)     494,735  
  39,282     Dae Hwa Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     1,097,053  
  6,994     Daewoong Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     1,156,123  
  7,361     Dentium Co. Ltd. (Health Care Equipment & Services)     538,883  
  16,804     Douzone Bizon Co. Ltd. (Software & Services)     772,911  
  3,296     E-MART, Inc. (Food & Staples Retailing)     829,718  
  11,067     Grand Korea Leisure Co. Ltd. (Consumer Services)     281,377  
  422,677     Hana Financial Group, Inc. (Banks)     18,780,898  
  6,371     Hana Tour Service, Inc. (Consumer Services)     703,974  
  14,435     Hite Jinro Co. Ltd. (Food, Beverage & Tobacco)     293,663  
  54,514     Hotel Shilla Co. Ltd. (Retailing)     5,863,671  
  48,686     Huons Global Co. Ltd. (Health Care Equipment & Services)     3,239,310  
  61,049     InBody Co. Ltd. (Health Care Equipment & Services)     2,447,796  
  3,951     Kakao M Corp. (Media)     330,100  
  186,312     Kangwon Land, Inc. (Consumer Services)     5,026,037  
  26,261     Korea Investment Holdings Co. Ltd. (Diversified Financials)     2,218,303  
  59,213     LF Corp. (Consumer Durables & Apparel)     1,557,180  
  230,536     LG Corp. (Capital Goods)     17,438,842  
  5,901     LG Household & Health Care Ltd. (Household & Personal Products)     7,534,863  
  34,211     Lotte Chemical Corp. (Materials)     13,173,865  
  11,094     Medy-Tox, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)     7,210,279  
  167,735     Meritz Fire & Marine Insurance Co. Ltd. (Insurance)     3,278,497  
  145,620     Modetour Network, Inc. (Consumer Services)     5,034,626  
  233,802     NH Investment & Securities Co. Ltd. (Diversified Financials)     3,373,855  

 

 

 
Common Stocks – (continued)  
South Korea – (continued)      
  41,631     POSCO (Materials)   14,344,412  
  49,217     Samsung Electronics Co. Ltd. (Technology Hardware & Equipment)     121,989,667  
  15,944     Samsung SDS Co. Ltd. (Software & Services)     3,621,493  
  328,476     SK Hynix, Inc. (Semiconductors & Semiconductor Equipment)     25,832,678  
  129,967     SK Telecom Co. Ltd. (Telecommunication Services)     27,769,134  
  112,724     Whanin Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     2,261,957  
   

 

 

 
      323,286,894  

 

 

 
Taiwan – 8.8%      
  155,000     Acter Co. Ltd. (Capital Goods)     1,199,530  
  4,101,000     Ardentec Corp. (Semiconductors & Semiconductor Equipment)     4,612,737  
  4,692,000     Cathay Financial Holding Co. Ltd. (Insurance)     8,416,305  
  3,948,000     China Development Financial Holding Corp. (Banks)     1,492,731  
  10,607,000     CTBC Financial Holding Co. Ltd. (Banks)     7,564,522  
  3,661,000     Elan Microelectronics Corp. (Semiconductors & Semiconductor Equipment)*     5,298,820  
  829,000     Far Eastern Department Stores Ltd. (Retailing)     544,355  
  2,216,000     Formosa Chemicals & Fibre Corp. (Materials)     8,141,917  
  3,711,000     Formosa Plastics Corp. (Materials)     13,022,795  
  2,751,000     Fubon Financial Holding Co. Ltd. (Diversified Financials)     4,706,569  
  346,000     Gigabyte Technology Co. Ltd. (Technology Hardware & Equipment)     756,561  
  42,000     Gourmet Master Co. Ltd. (Consumer Services)     483,942  
  841,000     Grand Pacific Petrochemical (Materials)     930,504  
  179,000     Grape King Bio Ltd. (Household & Personal Products)     1,498,053  
  1,098,000     Greatek Electronics, Inc. (Semiconductors & Semiconductor Equipment)     1,987,084  
  992,000     Huaku Development Co. Ltd. (Real Estate)     2,290,357  
  840,000     Kinik Co. (Capital Goods)     2,186,912  
  1,193,000     Lien Hwa Industrial Corp. (Food, Beverage & Tobacco)     1,523,019  
  481,000     Makalot Industrial Co. Ltd. (Consumer Durables & Apparel)*     2,315,632  
  39,000     momo.com, Inc. (Retailing)*     323,445  
  646,000     President Chain Store Corp. (Food & Staples Retailing)     6,349,837  

 

 

 

 

26   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Taiwan – (continued)      
  289,000     St Shine Optical Co. Ltd. (Health Care Equipment & Services)   $ 7,748,191  
  1,486,000     Taishin Financial Holding Co. Ltd. (Banks)     722,078  
  2,171,000     Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment)     83,474,950  
  146,000     TCI Co. Ltd. (Household & Personal Products)     2,142,038  
  273,000     Tong Hsing Electronic Industries Ltd. (Technology Hardware & Equipment)*     958,650  
  1,078,000     Tripod Technology Corp. (Technology Hardware & Equipment)     3,260,838  
  3,441,000     Uni-President Enterprises Corp. (Food, Beverage & Tobacco)     8,281,337  
  343,000     United Integrated Services Co. Ltd. (Capital Goods)*     740,352  
  9,410,000     Yuanta Financial Holding Co. Ltd. (Diversified Financials)     4,490,945  
   

 

 

 
      187,465,006  

 

 

 
Thailand – 4.8%  
  499,200     Bumrungrad Hospital PCL (Health Care Equipment & Services)     2,997,123  
  254,200     Central Plaza Hotel PCL (Consumer Services)     420,186  
  4,867,800     CP All PCL (Food & Staples Retailing)     13,393,127  
  883,100     Esso Thailand PCL (Energy)*     500,078  
  194,400     Glow Energy PCL (Utilities)     529,543  
  1,265,300     Home Product Center PCL (Retailing)     598,641  
  50,223,600     IRPC PCL (Energy)     11,176,363  
  3,519,400     Kiatnakin Bank PCL (Banks)     8,202,347  
  6,300,697     PTT Global Chemical PCL (Materials)     19,472,984  
  7,810,000     PTT PCL (Energy)     13,929,668  
  9,950,500     Thai Beverage PCL (Food, Beverage & Tobacco)     6,397,046  
  7,639,000     Thai Oil PCL (Energy)     22,740,868  
  704,200     Thanachart Capital PCL (Banks)     1,195,783  
   

 

 

 
      101,553,757  

 

 

 
Turkey – 0.5%  
  2,288,725     Eregli Demir ve Celik Fabrikalari TAS (Materials)*     5,713,206  
  340,550     Turkcell Iletisim Hizmetleri A/S (Telecommunication Services)     1,172,574  
  1,989,019     Turkiye Garanti Bankasi A/S (Banks)     4,503,997  
   

 

 

 
      11,389,777  

 

 

 
Common Stocks – (continued)  
United Arab Emirates – 0.3%  
  357,327     Abu Dhabi Commercial Bank PJSC (Banks)   682,487  
  3,139,649     Emaar Properties PJSC (Real Estate)     4,949,040  
   

 

 

 
      5,631,527  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $1,822,687,063)   $ 2,072,227,660  

 

 

 

 

Shares  

Distribution

Rate

  Value  
Investment Company(d) – 0.0%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

97   1.623%   $ 97  
(Cost $97)  

 

 
TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
 
(Cost $1,822,687,160)   $ 2,072,227,757  

 

 
   
Securities Lending Reinvestment Vehicle(d) – 2.5%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

52,683,114   1.623%   $ 52,683,114  
(Cost $52,683,114)  

 

 
TOTAL INVESTMENTS – 100.0%  
(Cost $1,875,370,274)   $ 2,124,910,871  

 

 
OTHER ASSETS IN EXCESS     OF LIABILITIES – 0.0%     238,190  

 

 
NET ASSETS – 100.0%   $ 2,125,149,061  

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares.

(b)

  All or a portion of security is on loan.

(c)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,725,651, which represents approximately 0.1% of net assets as of April 30, 2018. The liquidity determination is unaudited.

(d)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

GDR

 

—Global Depositary Receipt

 

 

The accompanying notes are an integral part of these financial statements.   27


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION

 

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

Description    Number of
Contracts
     Expiration
Date
    

Notional

Amount

      

Unrealized
Appreciation/

(Depreciation)

 

Long position contracts:

 

    

MSCI Emerging Markets E-Mini Index

   550      06/15/2018      $ 31,685,500        $ (291,718

 

28   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

 

    
Shares
    Description   Value  
Common Stocks – 96.6%  
Australia – 8.4%  
  115,843     Alumina Ltd. (Materials)   $ 228,022  
  98,566     Ansell Ltd. (Health Care Equipment & Services)     1,925,779  
  722,583     Aristocrat Leisure Ltd. (Consumer Services)     14,495,431  
  303,719     ASX Ltd. (Diversified Financials)     13,352,337  
  2,380,763     Beach Energy Ltd. (Energy)     2,807,877  
  134,650     BHP Billiton Ltd. (Materials)     3,141,284  
  656,856     BHP Billiton plc (Materials)     14,005,765  
  39,313     carsales.com Ltd. (Software & Services)     421,961  
  45,208     Cochlear Ltd. (Health Care Equipment & Services)     6,579,105  
  457,784     Computershare Ltd. (Software & Services)     5,823,720  
  995,964     Crown Resorts Ltd. (Consumer Services)     9,666,760  
  74,408     CSL Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     9,530,850  
  225,179     Flight Centre Travel Group Ltd. (Consumer Services)(a)     9,433,124  
  2,008,656     Goodman Group (REIT)     13,665,973  
  541,854     Iluka Resources Ltd. (Materials)     4,756,867  
  102,766     Incitec Pivot Ltd. (Materials)     292,443  
  1,556,028     Medibank Pvt Ltd. (Insurance)     3,419,773  
  72,232     Mineral Resources Ltd. (Materials)     967,255  
  1,381,046     Origin Energy Ltd. (Energy)*     10,082,715  
  452,293     OZ Minerals Ltd. (Materials)     3,121,261  
  179,578     Primary Health Care Ltd. (Health Care Equipment & Services)     511,965  
  3,019,329     Qantas Airways Ltd. (Transportation)     13,057,940  
  157,260     REA Group Ltd. (Media)     9,520,797  
  116,934     Regis Resources Ltd. (Materials)     412,642  
  698,521     Santos Ltd. (Energy)*     3,217,258  
  242,306     SmartGroup Corp. Ltd. (Commercial & Professional Services)     1,974,111  
  1,221,165     South32 Ltd. (Materials)     3,388,759  
  839,346     Star Entertainment Group Ltd. (The) (Consumer Services)     3,321,528  
  106,116     Stockland (REIT)     329,852  
  67,583     Treasury Wine Estates Ltd. (Food, Beverage & Tobacco)     965,355  
  1,192,789     Whitehaven Coal Ltd. (Energy)     4,113,046  
  635,870     Woolworths Group Ltd. (Food & Staples Retailing)     13,299,715  
   

 

 

 
      181,831,270  

 

 

 
Austria – 0.7%  
  253,908     Erste Group Bank AG (Banks)*     12,416,525  
  62,586     OMV AG (Energy)     3,876,270  
   

 

 

 
      16,292,795  

 

 

 
Belgium – 0.7%  
  21,177     Ageas (Insurance)     1,132,811  

 

 

 
Common Stocks – (continued)  
Belgium – (continued)  
  147,548     KBC Group NV (Banks)   12,827,826  
  6,875     UCB SA (Pharmaceuticals, Biotechnology & Life Sciences)     517,784  
   

 

 

 
      14,478,421  

 

 

 
China – 0.6%  
  611,000     China Mengniu Dairy Co. Ltd. (Food, Beverage & Tobacco)*     1,969,737  
  79,000     ENN Energy Holdings Ltd. (Utilities)     738,771  
  1,567,000     Fosun International Ltd. (Capital Goods)     3,329,866  
  330,000     Tingyi Cayman Islands Holding Corp. (Food, Beverage & Tobacco)     625,636  
  668,000     Uni-President China Holdings Ltd. (Food, Beverage & Tobacco)     631,482  
  7,177,900     Yangzijiang Shipbuilding Holdings Ltd. (Capital Goods)     6,268,055  
   

 

 

 
      13,563,547  

 

 

 
Denmark – 2.2%  
  110,154     Carlsberg A/S Class B (Food, Beverage & Tobacco)     12,318,721  
  271,343     Danske Bank A/S (Banks)     9,443,315  
  16,789     DSV A/S (Transportation)     1,329,618  
  80,626     GN Store Nord A/S (Health Care Equipment & Services)     2,832,712  
  97,701     Jyske Bank A/S (Registered) (Banks)     5,850,299  
  219,548     Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences)     10,324,892  
  24,161     Pandora A/S (Consumer Durables & Apparel)     2,684,024  
  12,739     Royal Unibrew A/S (Food, Beverage & Tobacco)     843,451  
  31,441     Sydbank A/S (Banks)     1,162,317  
   

 

 

 
      46,789,349  

 

 

 
Faroe Islands – 0.1%  
  31,825     Bakkafrost P/F (Food, Beverage & Tobacco)     1,826,031  

 

 

 
Finland – 0.8%  
  62,116     Amer Sports OYJ (Consumer Durables & Apparel)*     1,900,079  
  7,738     Kesko OYJ Class B (Food & Staples Retailing)     454,374  
  155,082     Metsa Board OYJ (Materials)     1,737,589  
  363,522     UPM-Kymmene OYJ (Materials)     12,971,053  
   

 

 

 
      17,063,095  

 

 

 
France – 7.0%  
  55,446     Arkema SA (Materials)     7,263,129  
  9,831     Atos SE (Software & Services)     1,327,186  
  102,483     AXA SA (Insurance)(a)     2,930,876  
  300,785     BNP Paribas SA (Banks)     23,220,406  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   29


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
France – (continued)  
  51,041     Bureau Veritas SA (Commercial & Professional Services)   $ 1,334,611  
  11,857     Capgemini SE (Software & Services)     1,631,119  
  164,913     Cie de Saint-Gobain (Capital Goods)     8,628,423  
  25,585     Cie Generale des Etablissements Michelin SCA (Automobiles & Components)     3,597,838  
  140     Dassault Aviation SA (Capital Goods)     279,138  
  42,371     Edenred (Commercial & Professional Services)     1,459,701  
  148,658     Faurecia SA (Automobiles & Components)     12,139,251  
  16,231     Hermes International (Consumer Durables & Apparel)     10,495,616  
  33,180     Kering SA (Consumer Durables & Apparel)(a)     19,194,515  
  52,851     Peugeot SA (Automobiles & Components)(a)     1,301,382  
  16,678     Rubis SCA (Utilities)     1,297,654  
  18,005     Safran SA (Capital Goods)     2,111,810  
  98,508     Sanofi (Pharmaceuticals, Biotechnology & Life Sciences)     7,788,271  
  198,163     Schneider Electric SE (Capital Goods)*     17,962,381  
  60,167     Societe Generale SA (Banks)     3,292,867  
  31,495     TOTAL SA (Energy)     1,979,516  
  74,052     Ubisoft Entertainment SA (Software & Services)*     7,075,524  
  631,912     Vivendi SA (Telecommunication Services)     16,664,634  
   

 

 

 
      152,975,848  

 

 

 
Germany – 6.4%  
  75,485     adidas AG (Consumer Durables & Apparel)     18,551,910  
  205,915     AIXTRON SE (Semiconductors & Semiconductor Equipment)*     2,922,698  
  43,459     Aurubis AG (Materials)     3,883,686  
  158,714     BASF SE (Materials)     16,513,156  
  151,821     Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     18,145,587  
  106,494     Covestro AG (Materials)(b)     9,676,564  
  435,368     Deutsche Lufthansa AG (Registered) (Transportation)     12,654,073  
  26,537     Deutz AG (Capital Goods)     256,376  
  155,733     Fresenius Medical Care AG & Co. KGaA (Health Care Equipment & Services)     15,802,363  
  66,831     HUGO BOSS AG (Consumer Durables & Apparel)     6,265,125  
  29,471     Jenoptik AG (Technology Hardware & Equipment)     1,069,161  
  40,074     Leoni AG (Automobiles & Components)     2,509,728  

 

 

 
Common Stocks – (continued)  
Germany – (continued)  
  16,995     Nemetschek SE (Software & Services)   2,036,629  
  129,824     ProSiebenSat.1 Media SE (Media)     4,709,765  
  6,448     Rheinmetall AG (Capital Goods)     842,633  
  81,078     Schaeffler AG (Preference) (Automobiles & Components)(c)     1,254,814  
  31,307     Siltronic AG (Semiconductors & Semiconductor Equipment)     5,013,090  
  39,786     Software AG (Software & Services)     1,955,819  
  119,256     Wirecard AG (Software & Services)     16,135,461  
   

 

 

 
      140,198,638  

 

 

 
Hong Kong – 5.6%  
  4,281,400     AIA Group Ltd. (Insurance)     38,263,729  
  1,954,500     CK Asset Holdings Ltd. (Real Estate)     16,873,133  
  707,500     CLP Holdings Ltd. (Utilities)     7,346,737  
  992,000     Galaxy Entertainment Group Ltd. (Consumer Services)     8,682,611  
  462,000     Haitong International Securities Group Ltd. (Diversified Financials)     269,317  
  1,898,000     Hong Kong & China Gas Co. Ltd. (Utilities)     3,965,769  
  659,700     Hong Kong Exchanges & Clearing Ltd. (Diversified Financials)     21,370,681  
  940,000     Li & Fung Ltd. (Consumer Durables & Apparel)     472,748  
  107,000     Link REIT (REIT)     945,680  
  830,000     Melco International Development Ltd. (Consumer Services)     3,072,942  
  1,505,000     PCCW Ltd. (Telecommunication Services)     930,319  
  484,000     Shangri-La Asia Ltd. (Consumer Services)     941,920  
  456,000     Sun Hung Kai & Co. Ltd. (Diversified Financials)     281,323  
  313,000     Sun Hung Kai Properties Ltd. (Real Estate)     5,040,691  
  5,217,500     WH Group Ltd. (Food, Beverage & Tobacco)(b)     5,401,551  
  895,000     Wheelock & Co. Ltd. (Real Estate)     6,640,196  
  523,000     Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel)     1,482,164  
   

 

 

 
      121,981,511  

 

 

 
Ireland – 0.0%  
  10,471     Paddy Power Betfair plc (Consumer Services)     1,036,240  

 

 

 
Italy – 2.7%  
  212,700     Enav SpA (Transportation)(b)     1,159,380  
  938,435     Enel SpA (Utilities)     5,953,171  
  1,293,216     Eni SpA (Energy)     25,280,322  
  3,069,231     Intesa Sanpaolo SpA (Banks)     11,675,226  
  19,709     Luxottica Group SpA (Consumer Durables & Apparel)     1,229,557  

 

 

 

 

30   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Italy – (continued)  
  47,567     Maire Tecnimont SpA (Capital Goods)   $ 241,760  
  66,399     Mediobanca Banca di Credito Finanziario SpA (Banks)     804,591  
  187,488     Moncler SpA (Consumer Durables & Apparel)     8,450,442  
  69,076     Recordati SpA (Pharmaceuticals, Biotechnology & Life Sciences)     2,463,985  
  16,339     Reply SpA (Software & Services)     1,032,650  
  417,504     Saras SpA (Energy)     996,408  
   

 

 

 
      59,287,492  

 

 

 
Japan – 23.5%  
  78,000     Adastria Co. Ltd. (Retailing)     1,353,161  
  10,000     AEON Financial Service Co. Ltd. (Diversified Financials)     234,241  
  111,700     Aisin Seiki Co. Ltd. (Automobiles & Components)     6,051,339  
  286,600     Ajinomoto Co., Inc. (Food, Beverage & Tobacco)     5,251,226  
  39,800     Aoyama Trading Co. Ltd. (Retailing)     1,532,866  
  138,400     Aozora Bank Ltd. (Banks)     5,583,280  
  230,800     Asahi Glass Co. Ltd. (Capital Goods)     9,578,477  
  151,700     Asahi Group Holdings Ltd. (Food, Beverage & Tobacco)     7,673,858  
  79,200     Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)     1,158,398  
  48,000     Bandai Namco Holdings, Inc. (Consumer Durables & Apparel)     1,624,262  
  47,100     Benesse Holdings, Inc. (Consumer Services)     1,715,535  
  156,000     Chiba Bank Ltd. (The) (Banks)     1,258,674  
  96,000     Citizen Watch Co. Ltd. (Technology Hardware & Equipment)     715,278  
  89,100     Concordia Financial Group Ltd. (Banks)     518,004  
  101,400     Daiwa House Industry Co. Ltd. (Real Estate)     3,707,312  
  30,600     Dip Corp. (Software & Services)     741,965  
  469,300     DMG Mori Co. Ltd. (Capital Goods)     8,768,701  
  16,700     Don Quijote Holdings Co. Ltd. (Retailing)     899,081  
  49,500     Ebara Corp. (Capital Goods)     1,890,677  
  18,600     Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     1,247,484  
  16,500     Electric Power Development Co. Ltd. (Utilities)     448,726  
  8,000     Fancl Corp. (Household & Personal Products)     313,941  
  58,600     Fuji Corp. (Capital Goods)     1,051,716  
  35,300     FUJIFILM Holdings Corp. (Technology Hardware & Equipment)     1,419,628  

 

 

 
Common Stocks – (continued)  
Japan – (continued)  
  2,400,000     Fujitsu Ltd. (Software & Services)   14,549,890  
  1,696,000     Fukuoka Financial Group, Inc. (Banks)     9,080,577  
  161,700     Gree, Inc. (Software & Services)     893,444  
  61,300     Gunma Bank Ltd. (The) (Banks)     357,758  
  23,300     Haseko Corp. (Consumer Durables & Apparel)     366,500  
  9,400     Hitachi Capital Corp. (Diversified Financials)     251,182  
  174,300     Hitachi Construction Machinery Co. Ltd. (Capital Goods)     6,334,314  
  523,000     Hitachi Ltd. (Technology Hardware & Equipment)     3,817,146  
  24,200     Horiba Ltd. (Technology Hardware & Equipment)     1,758,181  
  279,200     Hoya Corp. (Health Care Equipment & Services)     14,916,218  
  57,200     Ichiyoshi Securities Co. Ltd. (Diversified Financials)     699,975  
  327,500     Idemitsu Kosan Co. Ltd. (Energy)     12,794,088  
  31,900     IwaiCosmo Holdings, Inc. (Diversified Financials)     442,906  
  26,800     Jafco Co. Ltd. (Diversified Financials)     1,175,396  
  39,000     Japan Aviation Electronics Industry Ltd. (Technology Hardware & Equipment)     664,318  
  232,500     Japan Exchange Group, Inc. (Diversified Financials)     4,305,687  
  238,600     JFE Holdings, Inc. (Materials)     4,896,631  
  385,200     JTEKT Corp. (Capital Goods)     6,232,590  
  246,900     Kansai Electric Power Co., Inc. (The) (Utilities)     3,454,568  
  230,400     Kao Corp. (Household & Personal Products)     16,562,544  
  33,700     Kato Works Co. Ltd. (Capital Goods)     788,989  
  52,700     KDDI Corp. (Telecommunication Services)     1,414,658  
  20,200     Kewpie Corp. (Food, Beverage & Tobacco)     470,690  
  482,000     Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco)     13,529,264  
  231,500     KLab, Inc. (Software & Services)(a)     3,935,444  
  36,400     Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products)     3,071,429  
  189,900     Konami Holdings Corp. (Software & Services)     9,325,830  
  12,700     Kose Corp. (Household & Personal Products)     2,346,918  
  8,500     Kurita Water Industries Ltd. (Capital Goods)     275,262  
  21,200     KYB Corp. (Automobiles & Components)     1,021,345  
  81,700     Kyowa Hakko Kirin Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     1,767,819  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   31


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Japan – (continued)  
  51,400     Kyushu Railway Co. (Transportation)   $ 1,644,955  
  128,000     Link And Motivation, Inc. (Commercial & Professional Services)(a)     1,297,625  
  54,000     Makino Milling Machine Co. Ltd. (Capital Goods)     509,617  
  20,400     Mandom Corp. (Household & Personal Products)     735,425  
  42,000     Marusan Securities Co. Ltd. (Diversified Financials)     399,921  
  32,700     Megmilk Snow Brand Co. Ltd. (Food, Beverage & Tobacco)     984,447  
  7,400     MEIJI Holdings Co. Ltd. (Food, Beverage & Tobacco)     593,483  
  7,000     Meitec Corp. (Commercial & Professional Services)     383,827  
  6,500     Milbon Co. Ltd. (Household & Personal Products)     282,404  
  26,700     Miraca Holdings, Inc. (Health Care Equipment & Services)     1,039,429  
  36,400     Mitsubishi Corp. (Capital Goods)     1,003,750  
  205,800     Mitsubishi Materials Corp. (Materials)     6,263,980  
  14,800     Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences)     281,101  
  3,811,900     Mitsubishi UFJ Financial Group, Inc. (Banks)     25,544,851  
  56,700     Mitsui & Co. Ltd. (Capital Goods)     1,021,914  
  6,564,900     Mizuho Financial Group, Inc. (Banks)     11,877,459  
  8,000     Morinaga Milk Industry Co. Ltd. (Food, Beverage & Tobacco)     351,382  
  15,200     Nagase & Co. Ltd. (Capital Goods)     259,573  
  20,400     NGK Insulators Ltd. (Capital Goods)     374,217  
  202,200     Nihon M&A Center, Inc. (Commercial & Professional Services)     5,901,533  
  18,600     Nippon Carbon Co. Ltd. (Capital Goods)     845,082  
  148,200     Nippon Electric Glass Co. Ltd. (Technology Hardware & Equipment)     4,270,835  
  18,800     Nippon Kayaku Co. Ltd. (Materials)     235,240  
  388,400     Nippon Light Metal Holdings Co. Ltd. (Materials)     1,038,202  
  98,800     Nippon Paper Industries Co. Ltd. (Materials)     1,892,237  
  24,800     Nippon Shokubai Co. Ltd. (Materials)     1,685,162  
  19,600     Nisshin Steel Co. Ltd. (Materials)     259,377  
  9,800     Noevir Holdings Co. Ltd. (Household & Personal Products)     704,736  
  176,600     NOK Corp. (Automobiles & Components)     3,611,705  

 

 

 
Common Stocks – (continued)  
Japan – (continued)  
  543,900     NTN Corp. (Capital Goods)   2,392,325  
  8,400     Obic Co. Ltd. (Software & Services)     703,595  
  63,000     OKUMA Corp. (Capital Goods)     3,598,607  
  12,100     Open House Co. Ltd. (Real Estate)     673,627  
  940,700     ORIX Corp. (Diversified Financials)     16,498,796  
  66,000     Osaka Gas Co. Ltd. (Utilities)     1,421,242  
  108,000     Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     5,646,530  
  285,600     Persol Holdings Co. Ltd. (Commercial & Professional Services)     6,788,762  
  14,400     Pola Orbis Holdings, Inc. (Household & Personal Products)     628,266  
  45,800     Pressance Corp. (Consumer Durables & Apparel)     699,750  
  1,505,900     Rakuten, Inc. (Retailing)     10,701,795  
  146,800     Recruit Holdings Co. Ltd. (Commercial & Professional Services)     3,384,762  
  61,800     Relo Group, Inc. (Real Estate)     1,388,334  
  2,609,200     Resona Holdings, Inc. (Banks)     14,825,690  
  11,100     Ryohin Keikaku Co. Ltd. (Retailing)     3,796,906  
  174,300     SAMTY Co. Ltd. (Real Estate)     3,221,228  
  69,900     Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     1,173,923  
  102,500     Sega Sammy Holdings, Inc. (Consumer Durables & Apparel)     1,683,737  
  23,100     Seiko Holdings Corp. (Consumer Durables & Apparel)     601,399  
  122,100     Seino Holdings Co. Ltd. (Transportation)     2,287,026  
  400,000     Seven & i Holdings Co. Ltd. (Food & Staples Retailing)     17,624,327  
  190,300     Shikoku Electric Power Co., Inc. (Utilities)     2,426,348  
  297,800     Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     15,304,447  
  241,100     Shiseido Co. Ltd. (Household & Personal Products)     15,642,819  
  13,300     Showa Denko KK (Materials)     442,501  
  235,400     Sodick Co. Ltd. (Capital Goods)     2,897,281  
  59,100     SoftBank Group Corp. (Telecommunication Services)     4,515,755  
  35,700     Sony Financial Holdings, Inc. (Insurance)     651,306  
  105,200     Square Enix Holdings Co. Ltd. (Software & Services)     4,360,305  
  7,900     St Marc Holdings Co. Ltd. (Consumer Services)     223,674  
  19,400     Sugi Holdings Co. Ltd. (Food & Staples Retailing)     1,129,450  
  276,200     Sumitomo Dainippon Pharma Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     5,023,199  

 

 

 

 

32   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Japan – (continued)  
  257,300     Sumitomo Heavy Industries Ltd. (Capital Goods)   $ 9,831,509  
  519,500     Sumitomo Mitsui Financial Group, Inc. (Banks)     21,651,859  
  113,100     Sumitomo Mitsui Trust Holdings, Inc. (Banks)     4,796,240  
  97,700     Suruga Bank Ltd. (Banks)     1,323,488  
  12,000     Systena Corp. (Software & Services)     455,229  
  41,800     Taiyo Yuden Co. Ltd. (Technology Hardware & Equipment)     741,301  
  166,700     Takara Holdings, Inc. (Food, Beverage & Tobacco)     2,010,926  
  21,500     TIS, Inc. (Software & Services)     852,889  
  432,600     Tokyo Gas Co. Ltd. (Utilities)     11,608,963  
  198,900     Tosoh Corp. (Materials)     3,518,210  
  62,800     Toyota Motor Corp. (Automobiles & Components)     4,117,947  
  6,000     Trend Micro, Inc. (Software & Services)     358,733  
  9,400     Tsumura & Co. (Pharmaceuticals, Biotechnology & Life Sciences)     340,978  
  12,500     Ube Industries Ltd. (Materials)     380,802  
  133,000     Uniden Holdings Corp. (Technology Hardware & Equipment)     331,591  
  16,700     Unizo Holdings Co. Ltd. (Real Estate)     397,657  
  53,200     Will Group, Inc. (Commercial & Professional Services)     645,661  
  372,200     Yamaha Motor Co. Ltd. (Automobiles & Components)     11,900,887  
  27,400     Zenkoku Hosho Co. Ltd. (Diversified Financials)     1,130,730  
   

 

 

 
      510,286,172  

 

 

 
Luxembourg – 0.2%  
  8,743     Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences)     4,715,951  

 

 

 
Netherlands – 6.3%  
  94,805     ASML Holding NV (Semiconductors & Semiconductor Equipment)     18,049,337  
  18,934     Euronext NV (Diversified Financials)(b)     1,357,269  
  16,023     Heineken NV (Food, Beverage & Tobacco)     1,686,828  
  485,452     ING Groep NV (Banks)     8,180,120  
  157,188     Koninklijke DSM NV (Materials)     16,245,821  
  111,726     Koninklijke Philips NV (Health Care Equipment & Services)     4,728,940  
  275,696     NN Group NV (Insurance)     13,212,660  
  49,009     NXP Semiconductors NV (Semiconductors & Semiconductor Equipment)*     5,141,044  
  208,660     Randstad NV (Commercial & Professional Services)     13,430,058  

 

 

 
Common Stocks – (continued)  
Netherlands – (continued)  
  768,344     Royal Dutch Shell plc Class A (Energy)   26,887,250  
  656,524     Royal Dutch Shell plc Class B (Energy)     23,437,160  
  86,381     Wolters Kluwer NV (Commercial & Professional Services)     4,674,059  
   

 

 

 
      137,030,546  

 

 

 
New Zealand – 0.3%  
  723,528     a2 Milk Co. Ltd. (Food, Beverage & Tobacco)*     6,148,965  
  38,758     Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services)     346,638  
   

 

 

 
      6,495,603  

 

 

 
Norway – 1.9%  
  227,714     Aker BP ASA (Energy)     7,468,920  
  482,858     DNB ASA (Banks)     9,030,097  
  236,031     DNO ASA (Energy)*     437,079  
  30,854     Kongsberg Gruppen ASA (Capital Goods)*     755,360  
  187,639     Marine Harvest ASA (Food, Beverage & Tobacco)     4,084,502  
  183,295     Orkla ASA (Food, Beverage & Tobacco)     1,696,430  
  35,380     Salmar ASA (Food, Beverage & Tobacco)     1,648,756  
  718,953     Telenor ASA (Telecommunication Services)     15,913,235  
   

 

 

 
      41,034,379  

 

 

 
Portugal – 0.4%  
  495,344     Galp Energia SGPS SA (Energy)     9,507,164  

 

 

 
Singapore – 2.3%  
  3,429,000     Genting Singapore plc (Consumer Services)     3,004,202  
  779,800     Keppel Corp. Ltd. (Capital Goods)     4,782,640  
  2,379,500     Oversea-Chinese Banking Corp. Ltd. (Banks)     24,576,878  
  865,500     Singapore Airlines Ltd. (Transportation)     7,061,933  
  248,600     Singapore Exchange Ltd. (Diversified Financials)     1,441,637  
  236,200     United Overseas Bank Ltd. (Banks)     5,348,567  
  173,900     Venture Corp. Ltd. (Technology Hardware & Equipment)     2,719,981  
   

 

 

 
      48,935,838  

 

 

 
South Africa – 0.6%  
  498,649     Mondi plc (Materials)     13,880,936  

 

 

 
Spain – 4.3%  
  158,209     ACS Actividades de Construccion y Servicios SA (Capital Goods)     6,667,683  
  34,720     Aena SME SA (Transportation)(b)     7,156,787  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   33


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
Spain – (continued)  
  215,531     Amadeus IT Group SA (Software & Services)   $ 15,725,105  
  1,067,603     Banco Bilbao Vizcaya Argentaria SA (Banks)     8,639,106  
  2,618,829     Banco Santander SA (Banks)(a)     16,920,060  
  2,367,720     CaixaBank SA (Banks)     11,513,923  
  98,001     Enagas SA (Energy)     2,848,496  
  72,619     Ence Energia y Celulosa SA (Materials)     560,250  
  351,427     Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences)     9,853,227  
  62,612     Industria de Diseno Textil SA (Retailing)     1,940,859  
  24,692     Melia Hotels International SA (Consumer Services)     367,129  
  128,879     Merlin Properties Socimi SA (REIT)     1,988,580  
  463,423     Repsol SA (Energy)     8,843,417  
   

 

 

 
      93,024,622  

 

 

 
Sweden – 2.5%  
  119,957     Atlas Copco AB Class B (Capital Goods)     4,251,696  
  13,135     Axfood AB (Food & Staples Retailing)     244,028  
  42,145     Biotage AB (Pharmaceuticals, Biotechnology & Life Sciences)     430,990  
  251,554     Boliden AB (Materials)(a)     8,716,253  
  304,307     Electrolux ABSeries B (Consumer Durables & Apparel)     8,008,350  
  299,369     Elekta AB Class B (Health Care Equipment & Services)     3,394,195  
  72,602     Holmen AB Class B (Materials)     1,790,164  
  43,097     NCC AB Class B (Capital Goods)     793,841  
  34,806     Nobina AB (Transportation)(b)     228,417  
  1,249,955     SSAB AB Class B (Materials)     5,655,134  
  126,278     Svenska Cellulosa AB SCA Class B (Household & Personal Products)     1,398,487  
  162,722     Swedbank AB Class A (Banks)     3,534,855  
  14,721     Swedish Orphan Biovitrum AB (Pharmaceuticals, Biotechnology & Life Sciences)*     316,237  
  262,603     Tele2 AB Class B (Telecommunication Services)     3,403,838  
  714,800     Volvo AB Class B (Capital Goods)     12,113,271  
   

 

 

 
      54,279,756  

 

 

 
Switzerland – 7.0%  
  135,100     Adecco Group AG (Registered) (Commercial & Professional Services)     8,947,024  
  4,140     Bachem Holding AG (Registered) Class B (Pharmaceuticals, Biotechnology & Life Sciences)     532,226  
  173,794     Cie Financiere Richemont SA (Registered) (Consumer Durables & Apparel)     16,520,639  
  4,587     Georg Fischer AG (Registered) (Capital Goods)     5,701,903  
  2,750,796     Glencore plc (Materials)*     13,250,578  

 

 

 
Common Stocks – (continued)  
Switzerland – (continued)  
  26,698     Logitech International SA (Registered) (Technology Hardware & Equipment)   986,309  
  54,473     Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)*     13,309,496  
  175,174     Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     13,483,899  
  199,273     OC Oerlikon Corp. AG (Registered) (Capital Goods)*     3,217,112  
  7,973     Partners Group Holding AG (Diversified Financials)     5,815,272  
  84,181     Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences)     18,703,963  
  54,168     Sonova Holding AG (Registered) (Health Care Equipment & Services)     8,926,548  
  561,470     STMicroelectronics NV (Semiconductors & Semiconductor Equipment)     12,256,619  
  27,216     Swatch Group AG (The) (Consumer Durables & Apparel)     13,068,512  
  1,225     Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     269,348  
  48,813     Temenos Group AG (Registered) (Software & Services)*     6,142,041  
  36,089     Zurich Insurance Group AG (Insurance)*     11,528,109  
   

 

 

 
      152,659,598  

 

 

 
United Kingdom – 11.4%  
  614,245     3i Group plc (Diversified Financials)     7,928,776  
  63,452     Abcam plc (Pharmaceuticals, Biotechnology & Life Sciences)     1,063,740  
  103,482     AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)     3,676,715  
  183,370     Barratt Developments plc (Consumer Durables & Apparel)     1,406,093  
  102,269     Bellway plc (Consumer Durables & Apparel)     4,660,027  
  635,648     boohoo.com plc (Retailing)*     1,602,302  
  39,933     Bovis Homes Group plc (Consumer Durables & Apparel)     679,443  
  708,493     BP plc ADR (Energy)(d)     31,591,703  
  162,508     Burberry Group plc (Consumer Durables & Apparel)     4,081,030  
  24,907     Clinigen Group plc (Pharmaceuticals, Biotechnology & Life Sciences)     300,171  
  373,995     Compass Group plc (Consumer Services)     8,023,234  
  36     CYBG plc CDI (Banks)     149  
  6,873     Derwent London plc (REIT)     301,447  
  484,829     Diageo plc (Food, Beverage & Tobacco)     17,296,125  

 

 

 

 

34   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

    
Shares
    Description   Value  
Common Stocks – (continued)  
United Kingdom – (continued)  
  1,759,181     Direct Line Insurance Group plc (Insurance)   $ 9,039,178  
  45,254     DS Smith plc (Materials)     324,178  
  22,751     Experian plc (Commercial & Professional Services)     521,275  
  408,631     Fiat Chrysler Automobiles NV (Automobiles & Components)*     9,079,286  
  176,351     Genel Energy plc (Energy)*     514,699  
  96,798     Halma plc (Technology Hardware & Equipment)     1,624,175  
  921,560     HSBC Holdings plc (Banks)     9,175,036  
  2,263,248     International Consolidated Airlines Group SA (Transportation)     19,547,617  
  77,732     Intertek Group plc (Commercial & Professional Services)     5,226,957  
  2,850,710     Legal & General Group plc (Insurance)     10,558,293  
  1,597,952     Lloyds Banking Group plc (Banks)     1,417,299  
  407,990     Man Group plc (Diversified Financials)     1,013,305  
  67,384     National Grid plc (Utilities)     779,630  
  83,249     Next plc (Retailing)     6,013,598  
  77,710     Pearson plc (Media)     890,917  
  229,407     Persimmon plc (Consumer Durables & Apparel)     8,569,599  
  145,113     Prudential plc (Insurance)     3,731,444  
  464,889     RELX NV (Commercial & Professional Services)     9,891,511  
  170,608     Rio Tinto Ltd. (Materials)     10,153,594  
  292,007     Rio Tinto plc ADR (Materials)     16,045,785  
  63,309     RPC Group plc (Materials)     686,958  
  36,470     Smith & Nephew plc (Health Care Equipment & Services)     698,439  
  108,080     Smiths Group plc (Capital Goods)     2,368,170  
  155,229     SSP Group plc (Consumer Services)     1,389,077  
  155,379     Tate & Lyle plc (Food, Beverage & Tobacco)     1,227,152  
  397,692     Taylor Wimpey plc (Consumer Durables & Apparel)     1,047,337  
  169,535     Unilever plc ADR (Household & Personal Products)     9,488,874  
  832,417     Vodafone Group plc ADR (Telecommunication Services)(d)     24,481,384  
   

 

 

 
      248,115,722  

 

 

 
United States – 0.7%  
  178,128     Carnival plc ADR (Consumer Services)(a)(d)     11,515,975  
  401,700     Samsonite International SA (Consumer Durables & Apparel)     1,811,946  
  80,426     Sims Metal Management Ltd. (Materials)     972,005  
   

 

 

 
      14,299,926  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $1,977,044,697)   $ 2,101,590,450  

 

 

 

 

Shares  

Distribution

Rate

  Value  
Investment Company(e) – 1.1%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

22,919,669   1.623%   $ 22,919,669  
(Cost $22,919,669)  

 

 
TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
 
(Cost $1,999,964,366)   $ 2,124,510,119  

 

 

 

Securities Lending Reinvestment Vehicle(e) – 2.9%  
 

Goldman Sachs Financial Square Government Fund –
Institutional Shares

 
 
  63,201,545     1.623%   $ 63,201,545  
  (Cost $63,201,545)  

 

 

 
  TOTAL INVESTMENTS – 100.6%  
  (Cost $2,063,165,911)   $ 2,187,711,664  

 

 

 
 
LIABILITIES IN EXCESS OF
    OTHER ASSETS – (0.6)%
    (12,419,111

 

 

 
  NET ASSETS – 100.0%   $ 2,175,292,553  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  All or a portion of security is on loan.

(b)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $24,979,968, which represents approximately 1.1% of net assets as of April 30, 2018. The liquidity determination is unaudited.

(c)

  Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares.

(d)

  All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(e)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

REIT

 

—Real Estate Investment Trust

 

 

The accompanying notes are an integral part of these financial statements.   35


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

ADDITIONAL INVESTMENT INFORMATION

 

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

Description    Number of
Contracts
       Expiration
Date
    

Notional

Amount

      

Unrealized

Appreciation/

(Depreciation)

 

Long position contracts:

 

    

EURO STOXX 50 Index

     460        06/15/2018      $ 19,297,931        $ 1,212,234  

FTSE 100 Index

     89        06/15/2018        9,140,462          663,231  

Hang Seng Index

     5        05/30/2018        976,760          8,171  

MSCI Singapore Index

     19        05/30/2018        589,415          11,054  

SPI 200 Index

     31        06/21/2018        3,480,915          149,306  

TOPIX Index

     51        06/07/2018        8,301,729          426,356  
TOTAL FUTURES CONTRACTS        $ 2,470,352  

 

36   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Schedule of Investments

April 30, 2018 (Unaudited)

 

Shares

    Description   Value  
Common Stocks – 95.9%  
Australia – 7.2%  
  319,397     ALS Ltd. (Commercial & Professional Services)   $ 1,863,990  
  989,615     Altium Ltd. (Software & Services)     15,028,618  
  980,528     Ansell Ltd. (Health Care Equipment & Services)     19,157,517  
  1,911,401     Australian Pharmaceutical Industries Ltd. (Health Care Equipment & Services)     1,940,932  
  12,654,260     Beach Energy Ltd. (Energy)     14,924,459  
  637,300     carsales.com Ltd. (Software & Services)     6,840,370  
  480,899     Charter Hall Group (REIT)     2,128,362  
  3,185,435     CSR Ltd. (Materials)     13,440,587  
  174,669     Estia Health Ltd. (Health Care Equipment & Services)     465,506  
  22,926     IDP Education Ltd. (Consumer Services)     132,556  
  2,497,527     Iluka Resources Ltd. (Materials)     21,925,472  
  95,370     Inghams Group Ltd. (Food, Beverage & Tobacco)(a)     269,090  
  4,475,717     Investa Office Fund (REIT)     14,742,753  
  149,876     IOOF Holdings Ltd. (Diversified Financials)     1,006,525  
  309,401     JB Hi-Fi Ltd. (Retailing)     5,965,118  
  437,231     McMillan Shakespeare Ltd. (Commercial & Professional Services)     5,524,634  
  7,493,555     Metcash Ltd. (Food & Staples Retailing)     20,225,931  
  604,742     Mineral Resources Ltd. (Materials)     8,098,072  
  2,858,789     Nine Entertainment Co. Holdings Ltd. (Media)     5,062,433  
  873,965     OZ Minerals Ltd. (Materials)     6,031,208  
  2,635,667     Primary Health Care Ltd. (Health Care Equipment & Services)     7,514,108  
  853,624     Regis Resources Ltd. (Materials)     3,012,309  
  2,880,111     Sandfire Resources NL (Materials)     17,045,542  
  174,145     Saracen Mineral Holdings Ltd. (Materials)*     244,800  
  1,425,414     Sigma Healthcare Ltd. (Health Care Equipment & Services)     828,274  
  1,091,780     SmartGroup Corp. Ltd. (Commercial & Professional Services)     8,894,932  
  74,254     St Barbara Ltd. (Materials)     236,891  
  4,048,091     Star Entertainment Group Ltd. (The) (Consumer Services)     16,019,432  
  84,663     Virtus Health Ltd. (Health Care Equipment & Services)     359,068  
  6,966,233     Whitehaven Coal Ltd. (Energy)     24,021,382  
   

 

 

 
      242,950,871  

 

 

 
Austria – 0.3%  
  37,937     FACC AG (Capital Goods)*     931,185  
  34,245     Oesterreichische Post AG (Transportation)     1,644,565  
  137,410     S IMMO AG (Real Estate)     2,721,356  

 

 

 
Common Stocks – (continued)  
Austria – (continued)  
  408,904     UNIQA Insurance Group AG (Insurance)   $ 4,896,373  
   

 

 

 
      10,193,479  

 

 

 
Belgium – 1.3%  
  31,590     Barco NV (Technology Hardware & Equipment)     4,080,825  
  77,172     Bekaert SA (Materials)     3,241,582  
  172,023     bpost SA (Transportation)     3,774,545  
  41,328     Cie d’Entreprises CFE (Capital Goods)     5,210,363  
  121,921     D’ieteren SA/NV (Retailing)     5,191,393  
  35,271     Gimv NV (Diversified Financials)     2,113,443  
  142,933     KBC Ancora (Diversified Financials)     8,634,333  
  105,590     Melexis NV (Semiconductors & Semiconductor Equipment)     10,047,815  
  4,675     Tessenderlo Group SA (Materials)*     195,991  
  11,789     Warehouses De Pauw CVA (REIT)     1,450,019  
   

 

 

 
      43,940,309  

 

 

 
China – 0.0%  
  1,549,000     CITIC Telecom International Holdings Ltd. (Telecommunication Services)     456,260  
  492,000     Goodbaby International Holdings Ltd. (Consumer Durables & Apparel)     312,288  
   

 

 

 
      768,548  

 

 

 
Denmark – 3.0%  
  32,136     Alm Brand A/S (Insurance)*     339,624  
  12,613     Dfds A/S (Transportation)     785,272  
  999,125     GN Store Nord A/S (Health Care Equipment & Services)     35,103,240  
  490,718     Jyske Bank A/S (Registered) (Banks)     29,384,007  
  30,637     Per Aarsleff Holding A/S (Capital Goods)     1,149,564  
  174,199     Royal Unibrew A/S (Food, Beverage & Tobacco)     11,533,740  
  280,596     Spar Nord Bank A/S (Banks)     3,204,628  
  566,337     Sydbank A/S (Banks)     20,936,458  
   

 

 

 
      102,436,533  

 

 

 
Faroe Islands – 0.5%  
  277,283     Bakkafrost P/F (Food, Beverage & Tobacco)     15,909,726  

 

 

 
Finland – 1.6%  
  294,382     Amer Sports OYJ (Consumer Durables & Apparel)*     9,004,913  
  255,837     Cramo OYJ (Capital Goods)     6,005,968  
  723,818     Finnair OYJ (Transportation)     9,866,130  
  857,349     Metsa Board OYJ (Materials)     9,606,013  
  528,110     Ramirent OYJ (Capital Goods)     4,590,321  
  20,177     Tieto OYJ (Software & Services)     722,728  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   37


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Shares

    Description   Value  
Common Stocks – (continued)  
Finland – (continued)  
  825,688     Valmet OYJ (Capital Goods)   $ 15,651,876  
   

 

 

 
      55,447,949  

 

 

 
France – 1.5%  
  74,145     Alten SA (Software & Services)     7,364,699  
  178,364     Beneteau SA (Consumer Durables & Apparel)     4,030,345  
  139,498     IPSOS (Media)     5,310,831  
  61,399     Kaufman & Broad SA (Consumer Durables & Apparel)     3,234,619  
  167,171     Metropole Television SA (Media)     4,115,890  
  252,476     Neopost SA (Technology Hardware & Equipment)     6,812,631  
  271,228     Nexity SA (Real Estate)     16,959,959  
  9,215     Rubis SCA (Utilities)     716,985  
  11,664     Sopra Steria Group (Software & Services)     2,489,772  
  1,598     Trigano SA (Consumer Durables & Apparel)     301,137  
   

 

 

 
      51,336,868  

 

 

 
Germany – 8.0%  
  20,736     Amadeus Fire AG (Commercial & Professional Services)     2,272,514  
  356,794     Aurubis AG (Materials)     31,884,668  
  143,260     CANCOM SE (Software & Services)     16,790,206  
  113,735     CTS Eventim AG & Co. KGaA (Media)     5,318,964  
  45,097     Deutsche Beteiligungs AG (Diversified Financials)     2,003,331  
  1,024,678     Deutsche Pfandbriefbank AG (Banks)(b)     16,575,386  
  1,265,898     Deutz AG (Capital Goods)     12,229,931  
  81,527     DIC Asset AG (Real Estate)     1,003,084  
  69,240     Draegerwerk AG & Co. KGaA (Preference) (Health Care Equipment & Services)(c)     5,094,020  
  362,213     Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences)     29,464,290  
  32,141     Isra Vision AG (Technology Hardware & Equipment)     7,077,797  
  329,813     Jenoptik AG (Technology Hardware & Equipment)     11,965,086  
  558,034     Kloeckner & Co. SE (Capital Goods)     6,801,977  
  245,297     Leoni AG (Automobiles & Components)     15,362,298  
  54,831     MorphoSys AG (Pharmaceuticals, Biotechnology & Life Sciences)*     5,663,108  
  102,139     Nemetschek SE (Software & Services)     12,240,026  
  23,432     Pfeiffer Vacuum Technology AG (Capital Goods)     3,466,744  
  270,124     Rheinmetall AG (Capital Goods)     35,300,173  

 

 

 
Common Stocks – (continued)  
Germany – (continued)  
  41,898     Siltronic AG (Semiconductors & Semiconductor Equipment)   6,708,993  
  336,112     Software AG (Software & Services)     16,522,756  
  773,972     TAG Immobilien AG (Real Estate)     16,355,540  
  129,644     Takkt AG (Retailing)     2,677,950  
  146,366     Wacker Neuson SE (Capital Goods)     4,708,703  
  15,660     XING SE (Software & Services)     4,854,129  
   

 

 

 
      272,341,674  

 

 

 
Hong Kong – 1.6%  
  2,041,000     Champion REIT (REIT)     1,441,900  
  2,838,000     Giordano International Ltd. (Retailing)     1,734,230  
  162,000     Great Eagle Holdings Ltd. (Real Estate)     818,310  
  21,002,000     Haitong International Securities Group Ltd. (Diversified Financials)     12,242,863  
  341,500     Johnson Electric Holdings Ltd. (Capital Goods)     1,188,943  
  967,000     Luk Fook Holdings International Ltd. (Retailing)     4,041,807  
  7,684,000     Melco International Development Ltd. (Consumer Services)     28,448,777  
  4,304,000     Shun Tak Holdings Ltd. (Capital Goods)     1,771,391  
  387,000     Sun Hung Kai & Co. Ltd. (Diversified Financials)     238,755  
  607,000     Sunlight REIT (REIT)     410,780  
  384,000     United Laboratories International Holdings Ltd. (The) (Pharmaceuticals, Biotechnology & Life Sciences)*(a)     416,584  
  378,000     Xinyi Glass Holdings Ltd. (Automobiles & Components)*     543,413  
   

 

 

 
      53,297,753  

 

 

 
Israel – 0.5%  
  101,233     Alony Hetz Properties & Investments Ltd. (Real Estate)     897,996  
  4,246,235     El Al Israel Airlines (Transportation)(a)     1,218,235  
  166,016     First International Bank of Israel Ltd. (Banks)     3,422,326  
  36,388     Harel Insurance Investments & Financial Services Ltd. (Insurance)     264,138  
  2,548,970     Israel Discount Bank Ltd. Class A (Banks)*     7,057,877  
  2,895,524     Oil Refineries Ltd. (Energy)     1,252,906  
  5,514     Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. (Food & Staples Retailing)     251,647  
  554,388     Shufersal Ltd. (Food & Staples Retailing)     3,173,650  
   

 

 

 
      17,538,775  

 

 

 

 

38   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

 

 

Shares

    Description   Value  
Common Stocks – (continued)  
Italy – 4.6%  
  174,100     ASTM SpA (Transportation)   $ 4,787,340  
  450,254     Banca Popolare di Sondrio SCPA (Banks)     2,127,209  
  1,384,074     Beni Stabili SpA SIIQ (REIT)     1,310,653  
  139,329     Biesse SpA (Capital Goods)     7,338,850  
  315,374     DiaSorin SpA (Health Care Equipment & Services)     29,716,354  
  2,460,925     Enav SpA (Transportation)(b)     13,413,950  
  35,044     ERG SpA (Utilities)     839,584  
  158,725     Geox SpA (Consumer Durables & Apparel)     533,866  
  23,195     Interpump Group SpA (Capital Goods)     736,833  
  45,555     Italgas SpA (Utilities)     294,792  
  24,403     Italmobiliare SpA (Capital Goods)     661,580  
  1,029,241     Maire Tecnimont SpA (Capital Goods)(a)     5,231,126  
  983,511     Moncler SpA (Consumer Durables & Apparel)     44,328,714  
  1,461,154     OVS SpA (Consumer Durables & Apparel)(b)     6,206,043  
  64,550     Reply SpA (Software & Services)     4,079,661  
  8,441,087     Saras SpA (Energy)     20,145,359  
  1,095,593     Societa Cattolica di Assicurazioni SC (Insurance)     11,664,678  
  58,155     Technogym SpA (Consumer Durables & Apparel)(b)     705,494  
  3,846     Tod’s SpA (Consumer Durables & Apparel)(a)     296,972  
   

 

 

 
      154,419,058  

 

 

 
Japan – 29.8%  
  206,700     Adastria Co. Ltd. (Retailing)     3,585,877  
  496,300     ADEKA Corp. (Materials)     8,813,046  
  5,300     Aeon Fantasy Co. Ltd. (Consumer Services)     278,720  
  98,900     Alpen Co. Ltd. (Retailing)     2,171,282  
  276,200     AOKI Holdings, Inc. (Retailing)     4,237,759  
  397,000     Aoyama Trading Co. Ltd. (Retailing)     15,290,144  
  185,300     Arcland Sakamoto Co. Ltd. (Retailing)     2,923,522  
  47,700     Arcs Co. Ltd. (Food & Staples Retailing)     1,306,686  
  383,400     Asahi Diamond Industrial Co. Ltd. (Capital Goods)     3,672,524  
  203,900     ASKA Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     3,105,577  
  183,800     Ateam, Inc. (Software & Services)     3,820,526  
  188,400     Autobacs Seven Co. Ltd. (Retailing)     3,556,489  
  46,000     Canon Electronics, Inc. (Technology Hardware & Equipment)     1,069,954  
  102,000     Cawachi Ltd. (Food & Staples Retailing)     2,371,580  

 

 

 
Common Stocks – (continued)  
Japan – (continued)  
  41,500     Chiyoda Integre Co. Ltd. (Capital Goods)   953,218  
  313,900     Citizen Watch Co. Ltd. (Technology Hardware & Equipment)     2,338,811  
  113,800     cocokara fine, Inc. (Food & Staples Retailing)     8,230,604  
  112,200     COOKPAD, Inc. (Software & Services)     652,470  
  87,000     Daiho Corp. (Capital Goods)     529,367  
  34,200     Daiichi Jitsugyo Co. Ltd. (Capital Goods)     1,045,169  
  240,000     Daiichikosho Co. Ltd. (Media)     12,592,078  
  32,600     Dainichiseika Color & Chemicals Manufacturing Co. Ltd. (Materials)     1,335,217  
  47,400     Daishi Bank Ltd. (The) (Banks)     2,125,491  
  115,600     DCM Holdings Co. Ltd. (Retailing)     1,150,240  
  368,500     Doutor Nichires Holdings Co. Ltd. (Consumer Services)     7,704,242  
  22,700     DTS Corp. (Software & Services)     822,695  
  44,700     Duskin Co. Ltd. (Commercial & Professional Services)     1,126,882  
  680,700     Ebara Corp. (Capital Goods)     25,999,676  
  904,200     EDION Corp. (Retailing)     10,598,503  
  109,200     Eiken Chemical Co. Ltd. (Health Care Equipment & Services)     2,577,511  
  143,100     en-japan, Inc. (Commercial & Professional Services)     6,689,649  
  253,200     EPS Holdings, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)     5,158,568  
  422,100     Fancl Corp. (Household & Personal Products)     16,564,332  
  192,200     Fields Corp. (Consumer Durables & Apparel)(a)     2,091,195  
  1,298,400     Financial Products Group Co. Ltd. (Diversified Financials)     16,532,166  
  260,300     Foster Electric Co. Ltd. (Consumer Durables & Apparel)     6,097,874  
  442,200     Fuji Corp. (Capital Goods)     7,936,327  
  331,300     Fuji Oil Holdings, Inc. (Food, Beverage & Tobacco)     10,620,447  
  174,100     Fuji Soft, Inc. (Software & Services)     6,743,139  
  119,400     Fujibo Holdings, Inc. (Consumer Durables & Apparel)     4,608,848  
  45,100     Geo Holdings Corp. (Retailing)     736,994  
  317     GLP J-Reit (REIT)     340,764  
  224,800     Goldcrest Co. Ltd. (Real Estate)     4,775,070  
  2,557,800     Gree, Inc. (Software & Services)     14,132,653  
  229,400     Gunma Bank Ltd. (The) (Banks)     1,338,820  
  69,100     H2O Retailing Corp. (Retailing)     1,300,305  
  4,041     Heiwa Real Estate REIT, Inc. (REIT)     3,866,334  
  55,200     Hitachi Capital Corp. (Diversified Financials)     1,475,028  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   39


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Shares

    Description   Value  
Common Stocks – (continued)  
Japan – (continued)  
  125,000     Hogy Medical Co. Ltd. (Health Care Equipment & Services)   $ 5,212,042  
  1,612,000     Hokuetsu Kishu Paper Co. Ltd. (Materials)     10,043,588  
  30,000     Hokuhoku Financial Group, Inc. (Banks)     443,806  
  85,900     Horiba Ltd. (Technology Hardware & Equipment)     6,240,817  
  762     Ichigo Office REIT Investment (REIT)     565,248  
  462,200     Ichiyoshi Securities Co. Ltd. (Diversified Financials)     5,656,092  
  220,100     Ines Corp. (Software & Services)     2,361,510  
  25,991     Invesco Office J-Reit, Inc. (REIT)(a)     3,284,188  
  59,100     Itochu Enex Co. Ltd. (Energy)     579,671  
  355,800     Jafco Co. Ltd. (Diversified Financials)     15,604,695  
  847,000     Japan Aviation Electronics Industry Ltd. (Technology Hardware & Equipment)     14,427,616  
  7,715     Japan Rental Housing Investments, Inc. (REIT)     6,001,073  
  2,575,200     JVC Kenwood Corp. (Consumer Durables & Apparel)     8,971,392  
  242,700     kabu.com Securities Co. Ltd. (Diversified Financials)     881,824  
  12,500     Kaken Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     739,193  
  25,200     Kanematsu Electronics Ltd. (Software & Services)     798,987  
  88,300     Kato Works Co. Ltd. (Capital Goods)     2,067,290  
  222,100     Keihin Corp. (Automobiles & Components)     4,387,378  
  2,987     Kenedix Office Investment Corp. (REIT)     18,323,265  
  175,000     Kewpie Corp. (Food, Beverage & Tobacco)     4,077,760  
  1,005,600     Kitz Corp. (Capital Goods)     8,407,423  
  329,300     KLab, Inc. (Software & Services)(a)     5,598,020  
  140,300     Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products)     11,838,501  
  300,300     Kohnan Shoji Co. Ltd. (Retailing)     7,842,386  
  245,200     Kokuyo Co. Ltd. (Commercial & Professional Services)     4,428,646  
  1,697,000     K’s Holdings Corp. (Retailing)     24,475,943  
  213,300     KYB Corp. (Automobiles & Components)     10,276,075  
  132,600     Kyokuto Kaihatsu Kogyo Co. Ltd. (Capital Goods)     2,096,665  
  46,300     Kyokuto Securities Co. Ltd. (Diversified Financials)     663,930  
  4,685     LaSalle Logiport REIT (REIT)     4,810,723  
  48,900     Leopalace21 Corp. (Real Estate)     424,106  

 

 

 
Common Stocks – (continued)  
Japan – (continued)  
  60,600     Link And Motivation, Inc. (Commercial & Professional Services)(a)   614,344  
  1,902,000     Makino Milling Machine Co. Ltd. (Capital Goods)     17,949,827  
  303,500     Mandom Corp. (Household & Personal Products)     10,941,254  
  596,900     Marusan Securities Co. Ltd. (Diversified Financials)     5,683,644  
  17,400     Maruwa Co. Ltd. (Technology Hardware & Equipment)     1,434,123  
  115,300     Marvelous, Inc. (Software & Services)(a)     986,385  
  709,600     Maxell Holdings Ltd. (Technology Hardware & Equipment)     13,992,676  
  1,487     MCUBS MidCity Investment Corp. (REIT)     1,121,886  
  209,800     Megmilk Snow Brand Co. Ltd. (Food, Beverage & Tobacco)     6,316,114  
  227,100     Meiko Network Japan Co. Ltd. (Consumer Services)     2,574,329  
  133,100     Meitec Corp. (Commercial & Professional Services)     7,298,205  
  137,800     Milbon Co. Ltd. (Household & Personal Products)     5,986,971  
  13,800     Ministop Co. Ltd. (Food & Staples Retailing)     286,307  
  65,000     Miraca Holdings, Inc. (Health Care Equipment & Services)     2,530,445  
  187,900     Mitsui Sugar Co. Ltd. (Food, Beverage & Tobacco)     7,506,018  
  52,100     Mizuno Corp. (Consumer Durables & Apparel)     1,684,545  
  11,556     Mori Trust Sogo Reit, Inc. (REIT)     17,239,358  
  110,500     Morinaga Milk Industry Co. Ltd. (Food, Beverage & Tobacco)     4,853,464  
  209,300     Nagase & Co. Ltd. (Capital Goods)     3,574,247  
  241,600     NEC Networks & System Integration Corp. (Software & Services)     6,321,322  
  117,400     NET One Systems Co. Ltd. (Software & Services)     1,889,510  
  643,000     Nichias Corp. (Capital Goods)     8,144,521  
  87,900     Nihon Chouzai Co. Ltd. (Food & Staples Retailing)     2,738,399  
  316,600     Nihon M&A Center, Inc. (Commercial & Professional Services)     9,240,482  
  613,700     Nikkiso Co. Ltd. (Health Care Equipment & Services)     6,987,683  
  230,300     Nikkon Holdings Co. Ltd. (Transportation)     6,127,819  
  89,900     Nippon Kayaku Co. Ltd. (Materials)     1,124,897  
  8,117,900     Nippon Light Metal Holdings Co. Ltd. (Materials)     21,699,337  

 

 

 

 

40   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Shares

    Description   Value  
Common Stocks – (continued)  
Japan – (continued)  
  239,300     Nippon Paper Industries Co. Ltd. (Materials)   $ 4,583,120  
  61,600     Nippon Shokubai Co. Ltd. (Materials)     4,185,725  
  304,000     Nippon Thompson Co. Ltd. (Capital Goods)     2,238,383  
  122,800     Nipro Corp. (Health Care Equipment & Services)     1,767,452  
  192,000     Nishimatsu Construction Co. Ltd. (Capital Goods)     5,277,889  
  40,800     Nishimatsuya Chain Co. Ltd. (Retailing)     501,533  
  27,600     Nishi-Nippon Financial Holdings, Inc. (Banks)     331,420  
  229,500     Nisshin Oillio Group Ltd. (The) (Food, Beverage & Tobacco)     6,598,468  
  362,300     Nisshin Steel Co. Ltd. (Materials)     4,794,511  
  354,500     Nissin Kogyo Co. Ltd. (Automobiles & Components)     6,220,301  
  12,500     Nitto Boseki Co. Ltd. (Capital Goods)     269,981  
  14,400     Noevir Holdings Co. Ltd. (Household & Personal Products)     1,035,531  
  318,600     NSD Co. Ltd. (Software & Services)     6,642,542  
  5,514,300     NTN Corp. (Capital Goods)     24,254,449  
  7,000     NuFlare Technology, Inc. (Semiconductors & Semiconductor Equipment)     462,250  
  80,100     Oiles Corp. (Capital Goods)     1,731,028  
  74,500     Okinawa Electric Power Co., Inc. (The) (Utilities)     2,271,806  
  537,900     Onward Holdings Co. Ltd. (Consumer Durables & Apparel)     4,432,770  
  29,600     Open House Co. Ltd. (Real Estate)     1,647,882  
  200,200     Paramount Bed Holdings Co. Ltd. (Health Care Equipment & Services)     9,960,974  
  1,600     Pasona Group, Inc. (Commercial & Professional Services)     26,564  
  190,000     PC Depot Corp. (Retailing)     1,243,880  
  4,201     Premier Investment Corp. (REIT)     4,112,824  
  119,400     Qol Co. Ltd. (Food & Staples Retailing)     2,447,422  
  78,100     Raito Kogyo Co. Ltd. (Capital Goods)     848,658  
  318,300     Relo Group, Inc. (Real Estate)     7,150,595  
  39,600     Riken Vitamin Co. Ltd. (Food, Beverage & Tobacco)     1,490,400  
  564,700     Rohto Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     16,436,965  
  970,300     Round One Corp. (Consumer Services)     14,034,145  
  82,200     Saizeriya Co. Ltd. (Consumer Services)     1,898,855  

 

 

 
Common Stocks – (continued)  
Japan – (continued)  
  199,200     Sakai Moving Service Co. Ltd. (Transportation)   10,764,861  
  64,200     Sanki Engineering Co. Ltd. (Capital Goods)     714,675  
  150,400     Sankyu, Inc. (Transportation)     7,309,664  
  150,400     Sawai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     6,499,632  
  441,400     Seiko Holdings Corp. (Consumer Durables & Apparel)     11,491,673  
  737,100     Seino Holdings Co. Ltd. (Transportation)     13,806,443  
  673,200     Senko Group Holdings Co. Ltd. (Transportation)     5,173,405  
  1,454,500     Senshu Ikeda Holdings, Inc. (Banks)     5,735,931  
  435,000     Shikoku Electric Power Co., Inc. (Utilities)     5,546,304  
  74,500     Shimachu Co. Ltd. (Retailing)     2,405,041  
  55,500     Shindengen Electric Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment)     3,481,917  
  1,218,900     Shinmaywa Industries Ltd. (Capital Goods)     13,660,813  
  247,000     Ship Healthcare Holdings, Inc. (Health Care Equipment & Services)     8,576,603  
  149,000     Sintokogio Ltd. (Capital Goods)     1,587,474  
  237,800     Sodick Co. Ltd. (Capital Goods)     2,926,820  
  620,900     Square Enix Holdings Co. Ltd. (Software & Services)     25,734,919  
  23,000     St Marc Holdings Co. Ltd. (Consumer Services)     651,203  
  31,600     Studio Alice Co. Ltd. (Consumer Services)     709,058  
  7,200     Sugi Holdings Co. Ltd. (Food & Staples Retailing)     419,177  
  42,100     Sumitomo Seika Chemicals Co. Ltd. (Materials)     2,015,359  
  19,600     Taikisha Ltd. (Capital Goods)     683,511  
  731,500     Takara Holdings, Inc. (Food, Beverage & Tobacco)     8,824,190  
  2,482,000     Takara Leben Co. Ltd. (Real Estate)     10,515,584  
  145,035     Tatsuta Electric Wire and Cable Co. Ltd. (Capital Goods)     895,454  
  138,100     TechnoPro Holdings, Inc. (Commercial & Professional Services)     8,034,968  
  426,200     TIS, Inc. (Software & Services)     16,907,044  
  26,600     Toagosei Co. Ltd. (Materials)     313,913  
  2,400     Toei Co. Ltd. (Media)     269,588  
  8,400     Tokyo Dome Corp. (Consumer Services)     81,671  
  346,000     Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment)     13,141,569  
  553     Tokyu REIT, Inc. (REIT)     744,913  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   41


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Shares

    Description   Value  
Common Stocks – (continued)  
Japan – (continued)  
  42,000     Topy Industries Ltd. (Materials)   $ 1,243,977  
  662,200     Tosei Corp. (Real Estate)     8,117,262  
  462,000     Toshiba Machine Co. Ltd. (Capital Goods)     3,060,284  
  22,300     Towa Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     1,418,937  
  242,100     Toyo Tanso Co. Ltd. (Capital Goods)     7,119,465  
  172,800     Tsumura & Co. (Pharmaceuticals, Biotechnology & Life Sciences)     6,268,190  
  326,800     Unizo Holdings Co. Ltd. (Real Estate)     7,781,688  
  171,900     Wakita & Co. Ltd. (Capital Goods)     1,816,292  
  6,900     Wowow, Inc. (Media)     216,758  
  208,700     Yodogawa Steel Works Ltd. (Materials)     5,955,315  
  324,800     Yumeshin Holdings Co. Ltd. (Commercial & Professional Services)     3,501,502  
  204,100     Zenkoku Hosho Co. Ltd. (Diversified Financials)     8,422,700  
  583,600     Zeon Corp. (Materials)     7,536,784  
  34,600     ZERIA Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     709,706  
   

 

 

 
      1,007,062,898  

 

 

 
Kazakhstan – 0.0%  
  53,771     KAZ Minerals plc (Materials)*     679,396  

 

 

 
Netherlands – 2.2%  
  216,238     Aalberts Industries NV (Capital Goods)     10,646,897  
  107,747     ASM International NV (Semiconductors & Semiconductor Equipment)(a)     6,469,081  
  567,843     ASR Nederland NV (Insurance)     26,781,635  
  228,104     BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment)(a)     15,764,996  
  201,675     Euronext NV (Diversified Financials)(b)     14,456,910  
  27,162     Koninklijke Volkerwessels NV (Capital Goods)     771,352  
  16,737     SBM Offshore NV (Energy)     280,834  
  349,050     SRH NV (Diversified Financials)*(a)(d)      
   

 

 

 
      75,171,705  

 

 

 
New Zealand – 0.5%  
  1,262,014     a2 Milk Co. Ltd. (Food, Beverage & Tobacco)*     10,725,335  
  2,764,375     Air New Zealand Ltd. (Transportation)     6,343,028  
   

 

 

 
      17,068,363  

 

 

 
Common Stocks – (continued)  
Norway – 3.4%  
  660,849     Aker BP ASA (Energy)   21,675,560  
  66,522     Atea ASA (Software & Services)     987,401  
  20,452     Austevoll Seafood ASA (Food, Beverage & Tobacco)     246,145  
  407,394     BW Offshore Ltd. (Energy)*     2,219,207  
  18,957,355     DNO ASA (Energy)*     35,104,946  
  301,877     Entra ASA (Real Estate)(b)     4,140,070  
  208,570     Europris ASA (Retailing)(b)     725,934  
  1,198,150     Leroy Seafood Group ASA (Food, Beverage & Tobacco)     8,788,809  
  98,287     Ocean Yield ASA (Energy)     845,258  
  163,435     Odfjell Drilling Ltd. (Energy)*     726,031  
  524,584     Salmar ASA (Food, Beverage & Tobacco)     24,446,331  
  351,218     SpareBank 1 Nord Norge (Banks)     2,590,183  
  273,662     SpareBank 1 SMN (Banks)     2,739,341  
  300,308     TGS NOPEC Geophysical Co. ASA (Energy)     9,469,893  
   

 

 

 
      114,705,109  

 

 

 
Portugal – 0.7%  
  1,184,988     Altri SGPS SA (Materials)     8,567,260  
  2,342,043     CTT-Correios de Portugal SA (Transportation)(a)     8,636,546  
  712,571     Navigator Co. SA (The) (Materials)*     4,157,686  
  72,652     Semapa-Sociedade de Investimento e Gestao (Materials)     1,624,581  
   

 

 

 
      22,986,073  

 

 

 
Singapore – 1.3%  
  934,200     China Aviation Oil Singapore Corp. Ltd. (Energy)*(a)     1,137,517  
  599,500     OUE Ltd. (Real Estate)     815,696  
  1,836,500     United Engineers Ltd. (Capital Goods)     3,765,042  
  1,846,700     Venture Corp. Ltd. (Technology Hardware & Equipment)     28,884,355  
  142,100     Wing Tai Holdings Ltd. (Real Estate)     217,721  
  6,028,610     Yanlord Land Group Ltd. (Real Estate)     7,687,501  
   

 

 

 
      42,507,832  

 

 

 
Spain – 2.2%  
  192,979     CIE Automotive SA (Automobiles & Components)     7,213,921  
  61,268     Construcciones y Auxiliar de Ferrocarriles SA (Capital Goods)     2,938,193  
  2,198,717     Ence Energia y Celulosa SA (Materials)     16,962,930  
  20,395     Global Dominion Access SA (Software & Services)*(b)     118,760  
  96,571     Hispania Activos Inmobiliarios SOCIMI SA (REIT)     2,047,438  

 

 

 

 

42   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Shares

    Description   Value  
Common Stocks – (continued)  
Spain – (continued)  
  165,624     Lar Espana Real Estate Socimi SA (REIT)   $ 1,878,004  
  30,191     Let’s GOWEX SA (Telecommunication Services)*(d)      
  2,111,571     Merlin Properties Socimi SA (REIT)     32,581,164  
  8,645     Miquel y Costas & Miquel SA (Materials)     348,256  
  151,835     NH Hotel Group SA (Consumer Services)     1,170,702  
  332,509     Papeles y Cartones de Europa SA (Materials)     6,434,062  
  192,969     Telepizza Group SA (Consumer Services)*(b)     1,293,313  
   

 

 

 
      72,986,743  

 

 

 
Sweden – 5.1%  
  84,913     Axfood AB (Food & Staples Retailing)     1,577,553  
  489,104     Betsson AB (Consumer Services)*     3,484,164  
  216,984     Biotage AB (Pharmaceuticals, Biotechnology & Life Sciences)     2,218,955  
  37,897     Dustin Group AB (Retailing)(b)     317,090  
  1,618,374     Elekta AB Class B (Health Care Equipment & Services)     18,348,851  
  461,089     Fastighets AB Balder Class B (Real Estate)*     11,878,578  
  518,709     Hemfosa Fastigheter AB (Real Estate)     6,425,321  
  453,348     Holmen AB Class B (Materials)     11,178,308  
  802,030     JM AB (Consumer Durables & Apparel)     15,867,643  
  76,478     NCC AB Class B (Capital Goods)     1,408,715  
  2,028,216     NetEnt AB (Software & Services)*(a)     11,569,369  
  410,094     Nobina AB (Transportation)(b)     2,691,271  
  107,238     Peab AB (Capital Goods)     949,417  
  337,016     Scandic Hotels Group AB (Consumer Services)(b)     3,317,240  
  4,570,741     SSAB AB Class B (Materials)     20,679,265  
  2,589,433     Svenska Cellulosa AB SCA Class B (Household & Personal Products)     28,677,121  
  1,356,493     Swedish Orphan Biovitrum AB (Pharmaceuticals, Biotechnology & Life Sciences)*     29,140,234  
  46,035     Vitrolife AB (Pharmaceuticals, Biotechnology & Life Sciences)     3,369,998  
   

 

 

 
      173,099,093  

 

 

 
Switzerland – 5.3%  
  14,447     Bachem Holding AG (Registered) Class B (Pharmaceuticals, Biotechnology & Life Sciences)     1,857,263  
  41,897     Bobst Group SA (Registered) (Capital Goods)     4,469,921  

 

 

 
Common Stocks – (continued)  
Switzerland – (continued)  
  19,499     Bossard Holding AG (Registered) Class A (Capital Goods)   3,995,880  
  55,615     Cembra Money Bank AG (Diversified Financials)     4,714,111  
  2,040     Conzzeta AG (Registered) (Capital Goods)     2,600,582  
  5,727,933     Ferrexpo plc (Materials)     18,545,271  
  4,440     Flughafen Zurich AG (Registered) (Transportation)     927,207  
  940,447     GAM Holding AG (Diversified Financials)*     15,011,626  
  8,475     Georg Fischer AG (Registered) (Capital Goods)     10,534,909  
  785     Gurit Holding AG (Materials)*     666,530  
  16,626     Inficon Holding AG (Registered) (Technology Hardware & Equipment)*     9,954,623  
  20,836     Kardex AG (Registered) (Capital Goods)*     2,927,481  
  146     LEM Holding SA (Registered) (Technology Hardware & Equipment)     230,550  
  2,023,480     OC Oerlikon Corp. AG (Registered) (Capital Goods)*     32,667,551  
  130,832     Oriflame Holding AG (Household & Personal Products)     6,199,760  
  2,395     Schweiter Technologies AG (Capital Goods)     2,723,474  
  24,816     Siegfried Holding AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)*     8,623,085  
  60,162     Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     13,228,176  
  322,013     Temenos Group AG (Registered) (Software & Services)*     40,518,241  
   

 

 

 
      180,396,241  

 

 

 
United Kingdom – 14.7%  
  1,081,501     Abcam plc (Pharmaceuticals, Biotechnology & Life Sciences)     18,130,799  
  2,258,104     Ashmore Group plc (Diversified Financials)     12,756,989  
  57,285     AVEVA Group plc (Software & Services)     1,691,163  
  1,653,433     BBA Aviation plc (Transportation)     7,246,817  
  786,079     Bellway plc (Consumer Durables & Apparel)     35,818,762  
  283,752     Big Yellow Group plc (REIT)     3,590,177  
  327,245     Bodycote plc (Capital Goods)     4,029,005  
  1,536,543     boohoo.com plc (Retailing)*     3,873,222  
  559,762     Bovis Homes Group plc (Consumer Durables & Apparel)     9,524,119  
  117,980     Brewin Dolphin Holdings plc (Diversified Financials)     586,094  
  134,280     Cineworld Group plc (Media)     479,381  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   43


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Schedule of Investments (continued)

April 30, 2018 (Unaudited)

 

Shares

    Description   Value  
Common Stocks – (continued)  
United Kingdom – (continued)  
  54,397     Clinigen Group plc (Pharmaceuticals, Biotechnology & Life Sciences)   $ 655,574  
  40,772     Costain Group plc (Capital Goods)     258,202  
  150,657     Dart Group plc (Transportation)     1,775,173  
  19,321     Dechra Pharmaceuticals plc (Pharmaceuticals, Biotechnology & Life Sciences)     725,706  
  214,028     Derwent London plc (REIT)     9,387,186  
  321,830     Drax Group plc (Utilities)     1,393,581  
  325,085     DS Smith plc (Materials)     2,328,752  
  1,565,216     Electrocomponents plc (Technology Hardware & Equipment)     13,085,104  
  31,139     Elementis plc (Materials)     121,289  
  71,564     EMIS Group plc (Health Care Equipment & Services)     839,409  
  487,579     esure Group plc (Insurance)     1,509,639  
  313,325     Fevertree Drinks plc (Food, Beverage & Tobacco)     12,178,357  
  319,275     Galliford Try plc (Capital Goods)     4,022,371  
  994,683     Grainger plc (Real Estate)     4,283,766  
  84,520     Great Portland Estates plc (REIT)     814,428  
  582,662     Halma plc (Technology Hardware & Equipment)     9,776,494  
  6,520,630     Hansteen Holdings plc (REIT)     11,901,992  
  9,086,263     Hays plc (Commercial & Professional Services)     22,391,464  
  709,288     Ibstock plc (Materials)(b)     2,899,827  
  2,671,498     Inchcape plc (Retailing)     26,689,236  
  1,129,910     Intermediate Capital Group plc (Diversified Financials)     16,835,611  
  2,795,706     JD Sports Fashion plc (Retailing)     14,997,073  
  112,885     Keller Group plc (Capital Goods)     1,613,678  
  4,378,999     Man Group plc (Diversified Financials)     10,875,910  
  186,647     Morgan Advanced Materials plc (Capital Goods)     881,362  
  251,000     On the Beach Group plc (Retailing)(b)     2,114,776  
  1,155,963     OneSavings Bank plc (Banks)     6,282,611  
  2,716,010     Pagegroup plc (Commercial & Professional Services)     20,045,814  
  1,795,690     Paragon Banking Group plc (Banks)     12,873,784  
  209,022     Petrofac Ltd. (Energy)     1,734,603  
  3,620,243     QinetiQ Group plc (Capital Goods)     11,444,474  
  2,185,676     Redrow plc (Consumer Durables & Apparel)     18,834,203  
  51,752     Renishaw plc (Technology Hardware & Equipment)     3,350,253  
  2,370,791     Rentokil Initial plc (Commercial & Professional Services)     10,002,185  
  129,724     RPC Group plc (Materials)     1,407,619  
  755,160     Safestore Holdings plc (REIT)     5,679,949  
  2,435,247     Saga plc (Insurance)     4,540,620  

 

 

 
Common Stocks – (continued)  
United Kingdom – (continued)  
  561,874     Savills plc (Real Estate)   7,569,816  
  2,897,156     Senior plc (Capital Goods)     11,756,079  
  67,410     Spectris plc (Technology Hardware & Equipment)     2,487,232  
  253,568     Spirax-Sarco Engineering plc (Capital Goods)     20,100,295  
  1,819,507     SSP Group plc (Consumer Services)     16,281,982  
  145,389     St Modwen Properties plc (Real Estate)     820,826  
  1,126,793     Subsea 7 SA (Energy)     15,743,239  
  1,681,932     Synthomer plc (Materials)     11,416,868  
  52,696     Tate & Lyle plc (Food, Beverage & Tobacco)     416,182  
  2,782,162     Thomas Cook Group plc (Consumer Services)     4,725,171  
  580,351     UNITE Group plc (The) (REIT)     6,662,703  
  1,049,808     Vesuvius plc (Capital Goods)     8,478,086  
  158,989     Victrex plc (Materials)     5,724,490  
  141,100     WH Smith plc (Retailing)     3,781,932  
  3,438,804     William Hill plc (Consumer Services)     13,831,452  
  24,053     Workspace Group plc (REIT)     367,368  
   

 

 

 
      498,442,324  

 

 

 
United States – 0.6%  
  1,617,348     Sims Metal Management Ltd. (Materials)     19,546,791  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $2,894,052,535)   $ 3,245,234,111  

 

 

 

 

Shares  

Distribution

Rate

    Value  
Investment Company(e) – 1.2%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

40,927,260     1.623%     $ 40,927,260  
(Cost $40,927,260)    

 

 
TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE
 
(Cost $2,934,979,795)       $ 3,286,161,371  

 

 
     
Securities Lending Reinvestment Vehicle(e) – 1.4%  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

45,906,557     1.623%     $ 45,906,557  
(Cost $45,906,557)    

 

 
TOTAL INVESTMENTS – 98.5%  
(Cost $2,980,886,352)     $ 3,332,067,928  

 

 
OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.5%       50,664,786  

 

 
NET ASSETS – 100.0%     $ 3,382,732,714  

 

 

 

44   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*

  Non-income producing security.

(a)

  All or a portion of security is on loan.

(b)

  Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $68,976,064, which represents approximately 2.0% of net assets as of April 30, 2018. The liquidity determination is unaudited.

(c)

  Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares.

(d)

  Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3.

(e)

  Represents an Affiliated Issuer.

 

 

Investment Abbreviations:

CVA

 

—Dutch Certification

REIT

 

—Real Estate Investment Trust

 

 

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At April 30, 2018, the Fund had the following futures contracts:

 

Description    Number of
Contracts
       Expiration
Date
    

Notional

Amount

      

Unrealized
Appreciation/

(Depreciation)

 

Long position contracts:

 

    

EURO STOXX 50 Index

     696        06/15/2018      $ 29,198,609        $ 1,216,144  

FTSE 100 Index

     148        06/15/2018        15,199,869          754,379  

Hang Seng Index

     9        05/30/2018        1,758,168          14,746  

MSCI Singapore Index

     56        05/30/2018        1,737,225          32,574  

SPI 200 Index

     60        06/21/2018        6,737,254          162,645  

TOPIX Index

     114        06/07/2018        18,556,806          600,653  
TOTAL FUTURES CONTRACTS                                 $ 2,781,141  

 

The accompanying notes are an integral part of these financial statements.   45


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

Statements of Assets and Liabilities

April 30, 2018 (Unaudited)

 

        Emerging Markets
Equity Insights
Fund
     International
Equity Insights
Fund
     International
Small Cap Insights
Fund
 
  Assets:  
 

Investments in unaffiliated issuers, at value (cost $1,822,687,063, $1,977,044,697 and $2,894,052,535)(a)

  $ 2,072,227,660      $ 2,101,590,450      $ 3,245,234,111  
 

Investments in affiliated issuers, at value (cost $97, $22,919,669 and $40,927,260)

    97        22,919,669        40,927,260  
 

Investments in affiliated securities lending reinvestment vehicle, at value (cost $52,683,114, $63,201,545 and $45,906,557)

    52,683,114        63,201,545        45,906,557  
 

Cash

    16,835,360        32,627,219        51,395,699  
 

Foreign currencies, at value (cost $47,018,078, $12,781,896 and $26,184,634)

    46,339,249        12,550,246        25,886,695  
 

Receivables:

       
 

Investments sold

    44,213,463        30,113,464        59,400,610  
 

Fund shares sold

    2,551,317        6,719,135        16,655,952  
 

Collateral on certain derivative contracts(b)

    1,430,000               3,740,507  
 

Dividends

    1,081,931        6,565,082        15,173,344  
 

Securities lending income

    45,191        181,010        150,998  
 

Reimbursement from investment adviser

    24,016        52,490        53,852  
 

Foreign tax reclaims

    887        1,883,760        3,961,475  
 

Variation margin on futures

           142,704        231,091  
 

Other assets

    73,084        98,265        109,492  
  Total assets     2,237,505,369        2,278,645,039        3,508,827,643  
         
  Liabilities:        
 

Variation margin on futures

    261,250                
 

Payables:

       
 

Payable upon return of securities loaned

    52,683,114        63,201,545        45,906,557  
 

Investments purchased

    50,818,201        37,453,968        75,242,085  
 

Foreign capital gains taxes

    4,323,935                
 

Fund shares redeemed

    2,374,286        1,185,622        2,298,464  
 

Management fees

    1,728,977        1,316,832        2,230,646  
 

Distribution and Service fees and Transfer Agency fees

    136,126        174,643        326,874  
 

Accrued expenses

    30,419        19,876        90,303  
  Total liabilities     112,356,308        103,352,486        126,094,929  
         
  Net Assets:        
 

Paid-in capital

    1,809,954,527        2,003,609,623        2,928,888,100  
 

Undistributed net investment income

    1,215,624        3,993,009        13,585,676  
 

Accumulated net realized gain

    69,434,404        40,964,287        86,707,432  
 

Net unrealized gain

    244,544,506        126,725,634        353,551,506  
    NET ASSETS   $ 2,125,149,061      $ 2,175,292,553      $ 3,382,732,714  
   

Net Assets:

         
   

Class A

  $ 119,963,800      $ 178,647,784      $ 251,728,751  
   

Class C

    10,979,082        33,627,220        83,298,776  
   

Institutional

    1,234,497,403        1,295,552,244        1,996,847,782  
   

Service

           5,353,701         
   

Investor

    102,436,097        312,522,832        574,033,775  
   

Class P

    9,936        9,956        9,904  
   

Class R

    22,843,237        8,646,012         
   

Class R6

    634,419,506        340,932,804        476,813,726  
   

Total Net Assets

  $ 2,125,149,061      $ 2,175,292,553      $ 3,382,732,714  
   

Shares outstanding $0.001 par value (unlimited shares authorized):

         
   

Class A

    11,116,994        13,361,756        19,485,174  
   

Class C

    1,030,183        2,574,407        6,678,974  
   

Institutional

    114,490,937        94,313,741        154,442,707  
   

Service

           396,737         
   

Investor

    9,511,931        23,820,504        44,625,351  
   

Class P

    923        725        765  
   

Class R

    2,142,547        664,629         
   

Class R6

    58,882,073        24,833,634        36,804,945  
   

Net asset value, offering and redemption price per share:(c)

         
   

Class A

  $ 10.79      $ 13.37      $ 12.92  
   

Class C

    10.66        13.06        12.47  
   

Institutional

    10.78        13.74        12.93  
   

Service

           13.49         
   

Investor

    10.77        13.12        12.86  
   

Class P

    10.77        13.73        12.95  
   

Class R

    10.66        13.01         
   

Class R6

    10.77        13.73        12.96  

 

  (a)   Includes loaned securities having a market value of $50,698,177, $60,031,302 and $41,922,338 for the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds, respectively.
  (b)   Includes amount segregated for initial margin and/or collateral on futures transactions of $1,430,000 and $3,740,507 for the Emerging Markets Equity Insights and International Small Cap Insights Funds, respectively.
  (c)   Maximum public offering price per share for Class A Shares of the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds is $11.42, $14.15 and $13.67, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares.

 

46   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

Statements of Operations

For the Six Months Ended April 30, 2018 (Unaudited)

 

        Emerging Markets
Equity Insights
Fund
     International
Equity Insights
Fund
     International
Small Cap Insights
Fund
 
  Investment income:  
 

Dividends — unaffiliated issuers (net of foreign taxes withheld of $1,709,312, $1,994,868 and $3,601,125)

  $ 16,528,905      $ 21,429,571      $ 36,762,716  
 

Securities lending income — affiliated issuer

    215,397        553,072        390,911  
 

Dividends — affiliated issuers

    41,364        207,204        130,715  
  Total investment income     16,785,666        22,189,847        37,284,342  
         
  Expenses:  
 

Management fees

    9,702,851        6,840,251        12,145,021  
 

Custody, accounting and administrative services

    652,161        248,153        440,256  
 

Transfer Agency fees(a)

    535,283        638,814        1,110,676  
 

Distribution and Service fees(a)

    239,732        346,064        665,518  
 

Printing and mailing costs

    66,077        54,792        136,332  
 

Professional fees

    62,401        72,944        84,228  
 

Trustee fees

    10,427        10,122        11,374  
 

Registration fees

    168        33,235        12,204  
 

Service share fees — Service and Shareholder Administration Plan

           11,946         
 

Other

    40,053        16,932        43,823  
  Total expenses     11,309,153        8,273,253        14,649,432  
 

Less — expense reductions

    (141,145      (537,731      (548,116
  Net expenses     11,168,008        7,735,522        14,101,316  
  NET INVESTMENT INCOME     5,617,658        14,454,325        23,183,026  
         
  Realized and unrealized gain (loss):  
 

Net realized gain (loss) from:

                   
 

Investments — unaffiliated issuers

    73,305,311        46,765,798        95,182,236  
 

Futures contracts

    2,176,638        (674,458      1,991,736  
 

Foreign currency transactions

    (1,555,037      (1,198,582      2,162,105  
 

Net change in unrealized gain (loss) on:

       
 

Investments — unaffiliated issuers (including the effects of the net change in the foreign capital gains tax liability of $1,212,549, $0 and $0)

    (25,057,980      (22,500,068      (11,256,886
 

Futures contracts

    (397,901      1,648,000        34,795  
 

Foreign currency translation

    (1,690,213      599,886        (279,508
  Net realized and unrealized gain     46,780,818        24,640,576        87,834,478  
  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS   $ 52,398,476      $ 39,094,901      $ 111,017,504  

 

  (a)   Class specific Distribution and Service, and Transfer Agency fees were as follows:

 

    Distribution and Service Fees     Transfer Agency Fees  

Fund

 

Class A

   

Class C

   

Class R

   

Class A

   

Class C

   

Institutional

   

Service

   

Investor

   

Class P(b)

   

Class R

   

Class R6

 

Emerging Markets Equity Insights

  $ 137,492     $ 48,935     $ 53,305     $ 98,995     $ 8,808     $ 284,553     $     $ 79,710     $     $ 19,190     $ 44,027  

International Equity Insights

    205,300       120,771       19,993       147,816       21,739       230,081       955       202,586             7,198       28,439  

International Small Cap Insights

    287,182       378,336             206,771       68,100       379,727             413,297                   42,781  

 

  (b)   Commenced operations on April 16, 2018.

 

The accompanying notes are an integral part of these financial statements.   47


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

Statements of Changes in Net Assets

 

        Emerging Markets Equity Insights Fund  
        For the
Six Months Ended
April 30, 2018
(Unaudited)
     For the Fiscal
Year Ended
October 31, 2017
 
  From operations:  
 

Net investment income

  $ 5,617,658      $ 20,859,788  
 

Net realized gain

    73,926,912        150,073,478  
 

Net change in unrealized gain (loss)

    (27,146,094      175,492,404  
  Net increase in net assets resulting from operations     52,398,476        346,425,670  
      
  Distributions to shareholders:     
 

From net investment income

    
 

Class A Shares

    (1,142,328      (563,308
 

Class C Shares

    (79,466      (3,903
 

Institutional Shares

    (22,873,338      (10,525,952
 

Service Shares

            
 

Investor Shares(a)

    (1,129,246      (37,444
 

Class P(b)

            
 

Class R Shares

    (195,882      (77,116
 

Class R6 Shares

    (238,484      (25,576
 

From net realized gains

    
 

Class A Shares

    (3,742,143       
 

Class C Shares

    (339,203       
 

Institutional Shares

    (59,163,628       
 

Investor Shares(a)

    (2,968,106       
 

Class P(b)

            
 

Class R Shares

    (771,406       
 

Class R6 Shares

    (596,017       
  Total distributions to shareholders     (93,239,247      (11,233,299
      
  From share transactions:     
 

Proceeds from sales of shares

    1,171,549,613        879,615,002  
 

Reinvestment of distributions

    88,340,977        10,619,478  
 

Cost of shares redeemed

    (785,115,073      (452,051,734
  Net increase in net assets resulting from share transactions     474,775,517        438,182,746  
  TOTAL INCREASE     433,934,746        773,375,117  
      
  Net assets:     
 

Beginning of period

    1,691,214,315        917,839,198  
 

End of period

  $ 2,125,149,061      $ 1,691,214,315  
  Undistributed net investment income   $ 1,215,624      $ 21,256,710  

 

  (a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (b)   Commenced operations April 16, 2018.

 

48   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

    International Equity Insights Fund         International Small Cap Insights Fund  
    For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
        For the
Six Months Ended
April 30, 2018
(Unaudited)
        For the Fiscal
Year Ended
October 31, 2017
 
             
  $ 14,454,325       $ 17,010,786       $ 23,183,026       $ 31,971,054  
    44,892,758         95,498,554         99,336,077         187,640,845  
    (20,252,182         118,613,146           (11,501,599         265,727,729  
    39,094,901           231,122,486           111,017,504           485,339,628  
             
             
             
    (1,955,352       (2,359,365       (3,024,234       (5,349,774
    (228,068       (101,029       (695,962       (696,479
    (18,269,075       (13,578,332       (33,208,843       (30,758,805
    (60,270       (36,582                
    (3,049,706       (217,635       (6,747,038       (2,675,862
                             
    (101,979       (56,053                
    (1,354,479       (1,154,213       (2,317,919       (528,821
             
                    (13,218,460        
                    (4,445,190        
                    (114,532,219        
                    (22,984,119        
                             
                             
                        (7,327,516          
    (25,018,929         (17,503,209         (208,501,500         (40,009,741
             
             
    1,150,274,648         1,060,333,723         1,409,012,204         1,156,078,166  
    20,407,591         17,031,041         188,605,240         34,757,537  
    (413,644,384         (556,032,186         (652,237,044         (624,763,483
    757,037,855           521,332,578           945,380,400           566,072,220  
    771,113,827           734,951,855           847,896,404           1,011,402,107  
             
             
    1,404,178,726           669,226,871           2,534,836,310           1,523,434,203  
  $ 2,175,292,553         $ 1,404,178,726         $ 3,382,732,714         $ 2,534,836,310  
  $ 3,993,009         $ 14,557,613         $ 13,585,676         $ 36,396,646  

 

The accompanying notes are an integral part of these financial statements.   49


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

              Income (loss) from
investment operations
    Distributions
to shareholders
 
    Year - Share Class       
Net asset
value,
beginning
of period
    Net
investment
income (loss)(a)
   

Net realized

and unrealized
gain (loss)

    Total from
investment
operations
    From net
investment
income
    From net
realized
gains
    Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 11.00     $  0.01 (d)    $ 0.32     $ 0.33     $ (0.12   $ (0.42   $ (0.54
 

2018 - C

    10.88       (0.03 )(d)      0.32       0.29       (0.09     (0.42     (0.51
 

2018 - Institutional

    11.01       0.03 (d)      0.31       0.34       (0.15     (0.42     (0.57
 

2018 - Investor(f)

    10.99       0.03 (d)      0.32       0.35       (0.15     (0.42     (0.57
 

2018 - P (Commenced April 16, 2018)

    10.84       (d)(g)      (0.07     (0.07                  
 

2018 - R

    10.87       (d)(g)      0.31       0.31       (0.10     (0.42     (0.52
 

2018 - R6

    11.00       0.06 (d)      0.29       0.35       (0.16     (0.42     (0.58
               
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    8.54       0.13       2.41       2.54       (0.08           (0.08
 

2017 - C

    8.45       0.07       2.39       2.46       (0.03           (0.03
 

2017 - Institutional

    8.54       0.17       2.41       2.58       (0.11           (0.11
 

2017 - Investor(f)

    8.53       0.18       2.38       2.56       (0.10           (0.10
 

2017 - R

    8.44       0.10       2.40       2.50       (0.07           (0.07
 

2017 - R6

    8.53       0.19       2.39       2.58       (0.11           (0.11
 

2016 - A

    7.92       0.10       0.59       0.69       (0.07           (0.07
 

2016 - C

    7.84       0.04       0.58       0.62       (0.01           (0.01
 

2016 - Institutional

    7.91       0.13       0.60       0.73       (0.10           (0.10
 

2016 - Investor(f)

    7.91       0.12       0.59       0.71       (0.09           (0.09
 

2016 - R

    7.84       0.08       0.59       0.67       (0.07           (0.07
 

2016 - R6

    7.91       0.10       0.62       0.72       (0.10           (0.10
 

2015 - A

    8.99       0.11       (0.98     (0.87     (0.13     (0.07     (0.20
 

2015 - C

    8.88       0.05       (0.98     (0.93     (0.04     (0.07     (0.11
 

2015 - Institutional

    8.98       0.14       (0.98     (0.84     (0.16     (0.07     (0.23
 

2015 - Investor(f)

    8.97       0.14       (0.99     (0.85     (0.14     (0.07     (0.21
 

2015 - R

    8.94       0.09       (0.98     (0.89     (0.14     (0.07     (0.21
 

2015 - R6 (Commenced July 31, 2015)

    8.40       0.01       (0.50     (0.49                  
 

2014 - A

    8.95       0.14       (0.02     0.12       (0.08           (0.08
 

2014 - C

    8.90       0.07       (0.01     0.06       (0.08           (0.08
 

2014 - Institutional

    8.95       0.17       (0.02     0.15       (0.12           (0.12
 

2014 - Investor(f)

    8.94       0.13       0.02       0.15       (0.12           (0.12
 

2014 - R (Commenced February 28, 2014)

    8.26       0.02       0.66       0.68                    
 

2013 - A

    8.40       0.07       0.60       0.67       (0.12           (0.12
 

2013 - C

    8.36       0.04       0.55       0.59       (0.05           (0.05
 

2013 - Institutional

    8.40       0.16       0.53       0.69       (0.14           (0.14
 

2013 - Investor(f)

    8.39       0.14       0.54       0.68       (0.13           (0.13

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Reflects income recognized from special dividends which amounted to $0.01 per share and 0.10% of average net assets.
  (e)   Annualized.
  (f)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (g)   Amount is less than $0.005 per share.

 

50   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income (loss)
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 10.79         3.20     $ 119,964         1.48 %(e)        1.51 %(e)        0.25 %(d)(e)        69
    10.66         2.85         10,979         2.23 (e)        2.26 (e)        (0.49 )(d)(e)        69  
    10.78         3.32         1,234,497         1.11 (e)        1.12 (e)        0.52 (d)(e)        69  
    10.77         3.38         102,436         1.23 (e)        1.26 (e)        0.52 (d)(e)        69  
    10.77         (0.65       10         1.09 (e)        1.12 (e)        1.10 (d)(e)        69  
    10.66         3.06         22,843         1.73 (e)        1.76 (e)        (0.02 )(d)(e)        69  
    10.77         3.44         634,420         1.09 (e)        1.11 (e)        1.06 (d)(e)        69  
                         
                         
    11.00         30.15         95,930         1.52         1.55         1.36         172  
    10.88         29.20         7,563         2.26         2.29         0.72         172  
    11.01         30.67         1,488,246         1.15         1.15         1.74         172  
    10.99         30.47         67,068         1.26         1.29         1.81         172  
    10.87         29.86         19,243         1.77         1.79         1.06         172  
    11.00           30.74           13,164           1.13           1.13           1.87           172  
    8.54         8.79         50,289         1.56         1.63         1.24         216  
    8.45         7.97         1,132         2.31         2.39         0.47         216  
    8.54         9.35         852,853         1.16         1.22         1.70         216  
    8.53         9.13         2,565         1.31         1.37         1.53         216  
    8.44         8.57         9,363         1.81         1.88         1.01         216  
    8.53           9.27           1,637           1.13           1.16           1.26           216  
    7.92         (9.84       37,307         1.58         1.67         1.30         199  
    7.84         (10.50       1,053         2.33         2.42         0.60         199  
    7.91         (9.52       508,685         1.18         1.27         1.69         199  
    7.91         (9.63       798         1.33         1.42         1.63         199  
    7.84         (10.06       4,547         1.83         1.93         1.10         199  
    7.91           (5.83         9           1.17 (e)          1.28 (e)          0.59 (e)          199  
    8.99         1.38         37,905         1.58         1.66         1.59         180  
    8.88         0.66         944         2.33         2.41         0.80         180  
    8.98         1.65         660,922         1.18         1.26         1.95         180  
    8.97         1.70         875         1.34         1.39         1.47         180  
    8.94           8.23           998           1.82 (e)          2.07 (e)          0.31 (e)          180  
    8.95         8.00         24,758         1.52         1.65         0.82         249  
    8.90         7.02         989         2.31         2.48         0.51         249  
    8.95         8.41         556,434         1.14         1.27         1.87         249  
    8.94           8.16           1,649           1.32           1.50           1.59           249  

 

The accompanying notes are an integral part of these financial statements.   51


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               Income (loss) from
investment operations
       
    Year - Share Class   Net asset
value,
beginning
of period
     Net
investment
income(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
    Distributions
to shareholders
from net
investment
income
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 13.19      $ 0.09      $ 0.27      $ 0.36     $ (0.18
 

2018 - C

    12.91        0.05        0.25        0.30       (0.15
 

2018 - Institutional

    13.57        0.11        0.28        0.39       (0.22
 

2018 - Service

    13.32        0.07        0.27        0.34       (0.17
 

2018 - Investor(e)

    12.97        0.11        0.26        0.37       (0.22
 

2018 - P (Commenced April 16, 2018)

    13.79        0.02        (0.08      (0.06      
 

2018 - R

    12.85        0.06        0.27        0.33       (0.17
 

2018 - R6

    13.56        0.17        0.22        0.39       (0.22
              
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    10.53        0.18        2.71        2.89       (0.23
 

2017 - C

    10.32        0.09        2.66        2.75       (0.16
 

2017 - Institutional

    10.82        0.23        2.79        3.02       (0.27
 

2017 - Service

    10.63        0.18        2.73        2.91       (0.22
 

2017 - Investor(e)

    10.36        0.23        2.64        2.87       (0.26
 

2017 - R

    10.29        0.16        2.64        2.80       (0.24
 

2017 - R6

    10.82        0.23        2.78        3.01       (0.27
 

2016 - A

    10.54        0.18        (0.08      0.10       (0.11
 

2016 - C

    10.36        0.10        (0.08      0.02       (0.06
 

2016 - Institutional

    10.83        0.24        (0.10      0.14       (0.15
 

2016 - Service

    10.64        0.17        (0.08      0.09       (0.10
 

2016 - Investor(e)

    10.38        0.17        (0.05      0.12       (0.14
 

2016 - R

    10.34        0.13        (0.06      0.07       (0.12
 

2016 - R6

    10.83        0.14        0.01        0.15       (0.16
 

2015 - A

    10.69        0.18        0.08        0.26       (0.41
 

2015 - C

    10.51        0.10        0.08        0.18       (0.33
 

2015 - Institutional

    10.97        0.22        0.09        0.31       (0.45
 

2015 - Service

    10.76        0.16        0.09        0.25       (0.37
 

2015 - Investor(e)

    10.53        0.16        0.12        0.28       (0.43
 

2015 - R

    10.52        0.14        0.09        0.23       (0.41
 

2015 - R6 (Commenced July 31, 2015)

    11.23        0.04        (0.44      (0.40      
 

2014 - A

    10.99        0.37 (f)       (0.39      (0.02     (0.28
 

2014 - C

    10.83        0.28 (f)       (0.37      (0.09     (0.23
 

2014 - Institutional

    11.29        0.42 (f)       (0.40      0.02       (0.34
 

2014 - Service

    11.06        0.35 (f)       (0.37      (0.02     (0.28
 

2014 - Investor(e)

    10.86        0.38 (f)       (0.38      (g)      (0.33
 

2014 - R

    10.85        0.34 (f)       (0.38      (0.04     (0.29
 

2013 - A

    9.00        0.19        2.11        2.30       (0.31
 

2013 - C

    8.87        0.16        2.04        2.20       (0.24
 

2013 - Institutional

    9.25        0.30        2.09        2.39       (0.35
 

2013 - Service

    9.06        0.22        2.08        2.30       (0.30
 

2013 - Investor(e)

    8.91        0.22        2.08        2.30       (0.35
 

2013 - R

    8.88        0.21        2.04        2.25       (0.28

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
  (f)   Reflects income recognized from a corporate action which amounted to $0.13 per share and 1.18% of average net assets.
  (g)   Amount is less than $0.005 per share.

 

52   The accompanying notes are an integral part of these financial statements.


Table of Contents

GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND

 

                                                                   
    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 13.37         2.74     $ 178,648         1.16 %(d)        1.25 %(d)        1.33 %(d)        62
    13.06         2.30         33,627         1.90 (d)        2.00 (d)        0.72 (d)        62  
    13.74         2.90         1,295,552         0.82 (d)        0.86 (d)        1.55 (d)        62  
    13.49         2.56         5,354         1.32 (d)        1.36 (d)        1.10 (d)        62  
    13.12         2.85         312,523         0.90 (d)        1.00 (d)        1.72 (d)        62  
    13.73         (0.44       10         0.81 (d)        0.84 (d)        3.33 (d)        62  
    13.01         2.58         8,646         1.41 (d)        1.50 (d)        0.99 (d)        62  
    13.73         2.91         340,933         0.80 (d)        0.85 (d)        2.48 (d)        62  
                         
                         
    13.19         28.07         138,267         1.21         1.35         1.54         161  
    12.91         27.11         14,886         1.95         2.09         0.79         161  
    13.57         28.57         1,012,010         0.85         0.94         1.92         161  
    13.32         27.89         4,073         1.35         1.45         1.51         161  
    12.97         28.44         147,186         0.94         1.07         1.87         161  
    12.85         27.81         7,071         1.45         1.59         1.39         161  
    13.56           28.51           80,686           0.83           0.93           1.96           161  
    10.53         0.97         104,736         1.25         1.39         1.77         176  
    10.32         0.22         6,164         2.00         2.14         1.02         176  
    10.82         1.34         500,930         0.85         0.99         2.25         176  
    10.63         0.87         1,898         1.35         1.49         1.60         176  
    10.36         1.22         6,639         1.00         1.14         1.65         176  
    10.29         0.67         2,152         1.50         1.64         1.28         176  
    10.82           1.37           46,707           0.83           0.96           1.32           176  
    10.54         2.58         78,527         1.27         1.37         1.70         154  
    10.36         1.82         4,409         2.01         2.12         0.93         154  
    10.83         3.05         642,473         0.87         0.97         2.08         154  
    10.64         2.48         1,641         1.37         1.47         1.51         154  
    10.38         2.85         1,666         1.01         1.13         1.54         154  
    10.34         2.32         186         1.52         1.62         1.33         154  
    10.83           (3.56         10           0.84 (d)          0.93 (d)          1.56 (d)          154  
    10.69         (0.14       79,214         1.29         1.36         3.31 (f)        142  
    10.51         (0.85       3,054         2.04         2.11         2.61 (f)        142  
    10.97         0.22         742,016         0.89         0.96         3.74 (f)        142  
    10.76         (0.17       2,779         1.39         1.45         3.17 (f)        142  
    10.53         0.12         278         1.04         1.10         3.52 (f)        142  
    10.52           (0.33         161           1.54           1.61           3.09 (f)          142  
    10.99         26.31         92,919         1.29         1.37         1.98         189  
    10.83         25.33         3,166         2.04         2.11         1.61         189  
    11.29         26.71         945,546         0.89         0.96         2.99         189  
    11.06         26.13         6,237         1.39         1.46         2.25         189  
    10.86         26.55         468         1.04         1.11         2.22         189  
    10.85           25.99           95           1.54           1.61           2.14           189  

 

The accompanying notes are an integral part of these financial statements.   53


Table of Contents

GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

               Income (loss) from
investment operations
     Distributions
to shareholders
 
    Year - Share Class       
Net asset
value,
beginning
of period
     Net
investment
income(a)
     Net realized
and unrealized
gain (loss)
     Total from
investment
operations
     From net
investment
income
     From net
realized
gains
     Total
distributions
 
  FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED)  
 

2018 - A

  $ 13.39      $ 0.08      $ 0.46      $ 0.54      $ (0.18    $ (0.83    $ (1.01
 

2018 - C

    12.95        0.03        0.44        0.47        (0.12      (0.83      (0.95
 

2018 - Institutional

    13.42        0.10        0.47        0.57        (0.23      (0.83      (1.06
 

2018 - Investor(e)

    13.36        0.11        0.44        0.55        (0.22      (0.83      (1.05
 

2018 - P (Commenced April 16, 2018)

    13.08        0.02        (0.15      (0.13                     
 

2018 - R6

    13.45        0.16        0.41        0.57        (0.23      (0.83      (1.06
                     
  FOR THE FISCAL YEARS ENDED OCTOBER 31,  
 

2017 - A

    10.71        0.14        2.79        2.93        (0.25             (0.25
 

2017 - C

    10.35        0.07        2.70        2.77        (0.17             (0.17
 

2017 - Institutional

    10.73        0.21        2.77        2.98        (0.29             (0.29
 

2017 - Investor(e)

    10.68        0.21        2.75        2.96        (0.28             (0.28
 

2017 - R6

    10.75        0.20        2.79        2.99        (0.29             (0.29
 

2016 - A

    10.42        0.16        0.27        0.43        (0.14             (0.14
 

2016 - C

    10.11        0.08        0.25        0.33        (0.09             (0.09
 

2016 - Institutional

    10.44        0.21        0.26        0.47        (0.18             (0.18
 

2016 - Investor(e)

    10.40        0.19        0.26        0.45        (0.17             (0.17
 

2016 - R6

    10.44        0.26        0.23        0.49        (0.18             (0.18
 

2015 - A

    10.03        0.16        0.49        0.65        (0.16      (0.10      (0.26
 

2015 - C

    9.76        0.08        0.49        0.57        (0.12      (0.10      (0.22
 

2015 - Institutional

    10.05        0.20        0.49        0.69        (0.20      (0.10      (0.30
 

2015 - Investor(e)

    10.01        0.19        0.49        0.68        (0.19      (0.10      (0.29
 

2015 - R6 (Commenced July 31, 2015)

    10.75        0.05        (0.36      (0.31                     
 

2014 - A

    10.62        0.14        (0.34      (0.20      (0.32      (0.07      (0.39
 

2014 - C

    10.40        0.06        (0.33      (0.27      (0.30      (0.07      (0.37
 

2014 - Institutional

    10.62        0.17        (0.33      (0.16      (0.34      (0.07      (0.41
 

2014 - Investor(e)

    10.59        0.18        (0.35      (0.17      (0.34      (0.07      (0.41
 

2013 - A

    8.29        0.23        2.49        2.72        (0.39             (0.39
 

2013 - C

    8.13        0.14        2.47        2.61        (0.34             (0.34
 

2013 - Institutional

    8.30        0.26        2.50        2.76        (0.44             (0.44
 

2013 - Investor(e)

    8.28        0.22        2.52        2.74        (0.43             (0.43

 

  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  (d)   Annualized.
  (e)   Effective August 15, 2017, Class IR changed its name to Investor Shares.

 

54   The accompanying notes are an integral part of these financial statements.


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    Net asset
value, end
of period
        Total
return(b)
        Net assets,
end of
period
(in 000s)
        Ratio of
net expenses
to average
net assets
        Ratio of
total expenses
to average
net assets
        Ratio of
net investment
income
to average
net assets
        Portfolio
turnover
rate(c)
 
                         
  $ 12.92         4.33     $ 251,729         1.27 %(d)        1.30 %(d)        1.19 %(d)        55
    12.47         3.91         83,299         2.02 (d)        2.05 (d)        0.46 (d)        55  
    12.93         4.54         1,996,848         0.88 (d)        0.91 (d)        1.51 (d)        55  
    12.86         4.40         574,034         1.02 (d)        1.05 (d)        1.64 (d)        55  
    12.95         (0.99       10         0.88 (d)        0.91 (d)        4.96 (d)        55  
    12.96         4.47         476,814         0.86 (d)        0.90 (d)        2.49 (d)        55  
                         
                         
    13.39         28.01         211,268         1.29         1.34         1.18         129  
    12.95         27.20         65,194         2.04         2.09         0.60         129  
    13.42         28.59         1,796,887         0.90         0.94         1.77         129  
    13.36         28.48         344,700         1.04         1.09         1.76         129  
    13.45           28.67           116,788           0.88           0.92           1.58           129  
    10.71         4.17         242,383         1.30         1.39         1.55         140  
    10.35         3.27         44,643         2.05         2.14         0.83         140  
    10.73         4.50         1,118,478         0.90         0.98         1.98         140  
    10.68         4.33         99,365         1.05         1.13         1.83         140  
    10.75           4.72           18,566           0.88           0.97           2.39           140  
    10.42         6.70         204,067         1.30         1.39         1.58         131  
    10.11         5.96         38,777         2.05         2.14         0.82         131  
    10.44         7.11         888,071         0.90         0.99         1.97         131  
    10.40         7.00         40,890         1.05         1.14         1.83         131  
    10.44           (2.88         10           0.90 (d)          0.96 (d)          1.94 (d)          131  
    10.03         (1.94       144,558         1.30         1.39         1.33         129  
    9.76         (2.71       19,158         2.05         2.15         0.57         129  
    10.05         (1.54       668,746         0.90         0.99         1.65         129  
    10.01           (1.68         19,134           1.05           1.14           1.66           129  
    10.62         34.41         53,564         1.30         1.48         2.52         166  
    10.40         33.40         3,514         2.05         2.24         1.53         166  
    10.62         34.96         441,964         0.90         1.07         2.85         166  
    10.59           34.77           3,605           1.05           1.26           2.28           166  

 

The accompanying notes are an integral part of these financial statements.   55


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Notes to Financial Statements

April 30, 2018 (Unaudited)

 

1. ORGANIZATION

 

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:

 

Fund      Share Classes Offered   

Diversified/

Non-diversified

Emerging Markets Equity Insights

    

A, C, Institutional, Investor, P(a), R and R6

   Diversified

International Equity Insights

    

A, C, Institutional, Service, Investor,  P(a), R and R6

   Diversified

International Small Cap Insights

    

A, C, Institutional, Investor, P(a) and R6

   Diversified

 

(a)   Commenced operations on April 16, 2018.

Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class P, Class R and Class R6 Shares are not subject to a sales charge.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.

D.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.

 

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2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

E.  Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS   

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the 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 levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

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

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

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 are valued at the last bid price for long positions and at the last ask price for short positions. 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.

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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A 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.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and 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.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. 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. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments.

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. Significant events which could affect a large number of securities in a

 

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies. 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. GSAM did not develop the unobservable inputs for the valuation of Level 3 Assets and Liabilities.

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of April 30, 2018:

 

EMERGING MARKETS EQUITY INSIGHTS  
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Africa

   $        $ 133,559,735        $  

Asia

     249,575,709          1,410,638,128           

Europe

     12,273,899          37,339,738           

North America

     72,564,358                    

South America

     130,225,106          26,050,987           

Investment Company

     97                    

Securities Lending Reinvestment Vehicle

     52,683,114                    
Total    $ 517,322,283        $ 1,607,588,588        $  
Derivative Type                            
Liabilities(b)             

Futures Contracts

   $ (291,718      $        $  
INTERNATIONAL EQUITY INSIGHTS             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Africa

   $        $ 13,880,936        $  

Asia

              694,767,068           

Australia and Oceania

              188,326,873           

Europe

     90,425,505          1,099,890,142           

North America

     11,515,975          2,783,951           

Investment Company

     22,919,669                    

Securities Lending Reinvestment Vehicle

     63,201,545                    
Total    $ 188,062,694        $ 1,999,648,970        $  
Derivative Type                            
Assets(b)             

Futures Contracts

   $ 2,470,352        $        $  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

INTERNATIONAL SMALL CAP INSIGHTS             
Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Asia

   $        $ 1,121,855,202        $  

Australia and Oceania

              260,019,234           

Europe

              1,843,812,884           

North America

              19,546,791           

Investment Company

     40,927,260                    

Securities Lending Reinvestment Vehicle

     45,906,557                    
Total    $ 86,833,817        $ 3,245,234,111        $  
Derivative Type                            
Assets(b)             

Futures Contracts

   $ 2,781,141        $        $  

 

(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 noted in the table. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification.
(b)   Amount shown represents unrealized gain (loss) at period end.

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

 

4. INVESTMENTS IN DERIVATIVES

The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of April 30, 2018. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure:

 

Fund   Risk   Statements of Assets and Liabilities   Assets(a)      Statements of Assets and Liabilities   Liabilities(a)  

Emerging Markets Equity Insights

  Equity     $      Variation margin on futures contracts   $ (291,718)  

International Equity Insights

  Equity   Variation margin on futures contracts     2,470,352           

International Small Cap Insights

  Equity   Variation margin on futures contracts     2,781,141           

 

(a)   Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of April 30, 2018 is reported within the Statements of Assets and Liabilities.

 

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4. INVESTMENTS IN DERIVATIVES (continued)

 

The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 2018. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

 

Fund    Risk    Statements of Operations   Net Realized
Gain (Loss)
    Net Change in
Unrealized
Gain (Loss)
    Average
Number of
Contracts(a)
 

Emerging Markets Equity Insights

   Equity    Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts   $ 2,176,638     $ (397,901     327  

International Equity Insights

   Equity    Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts     (674,458     1,648,000       495  

International Small Cap Insights

   Equity    Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts     1,991,736       34,795       956  

 

(a)   Average number of contracts is based on the average of month end balances for the six months ended April 30, 2018.

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

For the six months ended April 30, 2018, contractual and effective net management fees with GSAM were at the following rates:

 

        Contractual Management Rate     

Effective Net
Management

Rate^

 
Fund       

First

$1 billion

    

Next

$1 billion

    

Next

$3 billion

    

Next

$3 billion

    

Over

$8 billion

     Effective
Rate
    

Emerging Markets Equity Insights

        1.00      1.00      0.90      0.86      0.84      1.00      1.00

International Equity Insights

        0.81        0.73        0.69        0.68        0.67        0.77        0.77  

International Small Cap Insights

        0.85        0.85        0.77        0.73        0.72        0.82        0.82  

 

^   Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

The Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser of the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended April 30, 2018, GSAM waived $6,029, $24,980 and $15,134 of the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds’ management fees, respectively.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

B.  Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable, as set forth below.

The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.

The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.

 

     Distribution and/or Service Plan Rates  
      Class A*     Class C     Class R*     Service  

Distribution and/or Service Plan

     0.25     0.75     0.50     0.25

 

*   With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2018, Goldman Sachs advised that it retained the following amounts:

 

         Front End
Sales Charge
    

 

     Contingent
Deferred
Sales Charge
 
Fund         Class A              Class C  

Emerging Markets Equity Insights

       $ 12,372               $ 1  

International Equity Insights

         36,293                 24  

International Small Cap Insights

         44,767                  

D.  Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administration Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, respectively.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.05% as an annual percentage rate of the average daily net

 

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

assets attributable to Class A, Class C, Investor and Class R Shares of the International Equity Insights Fund through at least February, 28, 2019, and prior to such date, Goldman Sachs may not terminate the arrangements without the approval of the Board of Trustees. Prior to February 28, 2018, the transfer agency waiver was 0.03% for Class A, Class C, Investor and Class R Shares of the Emerging Markets Equity Insights Fund.

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds are 0.054%, 0.004% and 0.014%, respectively. Prior to February 28, 2018, the Other Expense limitation was 0.114% for the Emerging Markets Equity Insights Fund. These Other Expense limitations will remain in place through at least February 28, 2019 for Class A, Class C, Institutional, Service, Investor, Class R and Class R6 Shares, and through at least April 16, 2019 for Class P Shares, and prior to such dates GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

For the six months ended April 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

 

Fund      Management
Fee Waiver
       Custody Fee
Credits
       Transfer
Agency
Waiver/
Credits
      

Other

Expense
Reimbursement

       Total
Expense
Reductions
 

Emerging Markets Equity Insights

     $ 6,029        $ 7,475        $ 21,458        $ 106,183        $ 141,145  

International Equity Insights

       24,980          6,523          105,375          400,853          537,731  

International Small Cap Insights

       15,134          11,128                   521,854          548,116  

G.  Line of Credit Facility — As of April 30, 2018, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2018, the Funds did not have any borrowings under the facility. The facility was decreased to $770,000,000 effective May 1, 2018.

H.  Other Transactions with Affiliates — For the six months ended April 30, 2018, Goldman Sachs earned $1,836 and $879 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the International Equity Insights Fund and International Small Cap Insights Fund, respectively.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

 

The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2018:

 

Fund          Beginning
Value as of
October 31, 2017
   Purchases
at Cost
     Proceeds
from Sales
   

Ending

Value as of
April 30, 2018

     Shares as of
April 30, 2018
    

Dividend

Income From
Affiliated

Investment

Company

 

Emerging Markets Equity Insights

        $13,192,045    $ 188,127,693      $ (201,319,641   $ 97        97      $ 41,364  

International Equity Insights

        18,058,167      426,112,383        (421,250,881     22,919,669        22,919,669        207,204  

International Small Cap Insights

        19,637,019      357,212,106        (335,921,865     40,927,260        40,927,260        130,715  

As of April 30, 2018, the following Goldman Sachs Fund of Funds Portfolios and Goldman Sachs Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:

 

Fund        

Goldman Sachs

Growth

Strategy

Portfolio

     Goldman Sachs
Tax-Advantaged
Global Equity
Portfolio
 

Emerging Markets Equity Insights

         7      6

As of April 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% of the Class P Shares of the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds.

 

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2018, were as follows:

 

Fund         Purchases        Sales and Maturities  

Emerging Markets Equity Insights

       $ 1,692,810,490        $ 1,311,566,429  

International Equity Insights

         1,805,668,863          1,068,006,497  

International Small Cap Insights

         2,288,413,423          1,585,217,259  

 

7. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their 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 Funds’ securities lending procedures, the Funds receive 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 Funds, 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 Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from

 

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7. SECURITIES LENDING (continued)

 

securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. 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 Funds invest 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 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% (prior to February 21, 2018, GSAM may have received a management fee of up to 0.205%) on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.

Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2018, are reported under Investment Income on the Statements of Operations.

The table below details securities lending activity with affiliates of Goldman Sachs:

 

         For the six months ended April 30, 2018       

Amounts Payable to
Goldman Sachs

upon Return of
Securities Loaned as of
April 30, 2018

 
Fund         Earnings of GSAL
Relating to
Securites
Loaned
      

Amounts Received
by the Funds

from Lending to
Goldman Sachs

      

Emerging Markets Equity Insights

       $ 22,595        $ 46,970        $ 2,048,379  

International Equity Insights

         59,319          39,636          26,457,690  

International Small Cap Insights

         43,741          18,768          21,612,300  

The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended April 30, 2018:

 

Fund            Beginning Value
as of
October 31, 2017
       Purchases
at Cost
       Proceeds
from Sales
       Ending
Value as of
April 30, 2018
 

Emerging Markets Equity Insights

          $ 3,016,125        $ 241,713,153        $ (192,046,164      $ 52,683,114  

International Equity Insights

            20,554,070          322,503,172          (279,855,697        63,201,545  

International Small Cap Insights

            11,391,523          251,803,430          (217,288,396        45,906,557  

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

8. TAX INFORMATION

 

As of the Funds’ most recent fiscal year ended, October 31, 2017, the Funds’ capital loss carryforwards on a tax-basis were as follows:

 

      Emerging Markets
Equity Insights
       International
Equity Insights
       International
Small Cap Insights
 

Capital loss carryforwards:

            

Expiring 2019(1)

   $        $ (2,867,280      $  

Perpetual long-term

                       (3,305,161

Perpetual short-term

                       (4,502,555

Total capital loss carryforwards

   $        $ (2,867,280      $ (7,807,716

 

(1)   Expiration occurs on October 31 of the year indicated.

As of April 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

 

      Emerging Markets
Equity Insights
       International
Equity Insights
       International
Small Cap Insights
 

Tax cost

   $ 1,883,534,170        $ 2,070,796,722        $ 2,994,378,409  

Gross unrealized gain

     291,323,189          170,898,119          433,984,402  

Gross unrealized loss

     (49,946,489        (53,983,178        (96,294,883

Net unrealized gain

   $ 241,376,700        $ 116,914,941        $ 337,689,519  

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures, net mark to market gains (losses) on foreign currency contracts and differences in the tax treatment of passive foreign investment company investments.

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

 

9. OTHER RISKS

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), confiscations, 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.

 

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9. OTHER RISKS (continued)

 

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.

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

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 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 and is required to maintain 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 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.

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). 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.

 

10. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

 

11. SUBSEQUENT EVENTS

Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

12. SUMMARY OF SHARE TRANSACTIONS

 

Share activity is as follows:

 

    Emerging Markets Equity Insights Fund  
 

 

 

 
   

For the Six Months Ended

April 30, 2018

(Unaudited)

    

For the Fiscal Year Ended

October 31, 2017

 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    4,002,374     $ 44,400,844        6,421,661     $ 59,849,206  

Reinvestment of distributions

    460,132       4,851,613        70,269       561,447  

Shares redeemed

    (2,065,306     (22,848,055      (3,663,027     (35,697,037
      2,397,200       26,404,402        2,828,903       24,713,616  
Class C Shares         

Shares sold

    361,160       3,965,689        616,534       5,942,070  

Reinvestment of distributions

    39,630       412,747        434       3,449  

Shares redeemed

    (65,693     (713,650      (55,934     (554,634
      335,097       3,664,786        561,034       5,390,885  
Institutional Shares         

Shares sold

    39,018,280       431,381,393        77,768,288       728,999,323  

Reinvestment of distributions

    7,319,387       77,185,740        1,243,971       9,914,446  

Shares redeemed

    (67,061,238     (722,709,798      (43,719,591     (403,630,614
      (20,723,571     (214,142,665      35,292,668       335,283,155  
Investor Shares(a)         

Shares sold

    4,778,612       52,892,216        6,569,794       64,751,247  

Reinvestment of distributions

    388,023       4,089,088        4,704       37,444  

Shares redeemed

    (1,754,997     (19,283,120      (775,022     (7,861,487
      3,411,638       37,698,184        5,799,476       56,927,204  
Class P Shares(b)         

Shares sold

    923       10,005               

Shares redeemed

          (5             
      923       10,000               
Class R Shares         

Shares sold

    424,998       4,659,778        913,392       8,520,635  

Reinvestment of distributions

    92,882       967,288        9,749       77,116  

Shares redeemed

    (145,415     (1,562,952      (262,524     (2,451,266
      372,465       4,064,114        660,617       6,146,485  
Class R6 Shares         

Shares sold

    59,240,949       634,239,688        1,179,344       11,552,521  

Reinvestment of distributions

    79,132       834,501        3,213       25,576  

Shares redeemed

    (1,634,382     (17,997,493      (178,009     (1,856,696
      57,685,699       617,076,696        1,004,548       9,721,401  

NET INCREASE

    43,479,451     $ 474,775,517        46,147,246     $ 438,182,746  

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operations on April 16, 2018.

 

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GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

 

 

12. SUMMARY OF SHARE TRANSACTIONS (continued)

 

Share activity is as follows:

 

    International Equity Insights Fund  
 

 

 

 
   

For the Six Months Ended

April 30, 2018

(Unaudited)

    

For the Fiscal Year Ended

October 31, 2017

 
 

 

 

 
    Shares     Dollars      Shares     Dollars  
 

 

 

 
Class A Shares         

Shares sold

    5,644,773     $ 76,353,848        7,224,016     $ 85,161,927  

Reinvestment of distributions

    141,506       1,870,712        223,380       2,318,688  

Shares redeemed

    (2,903,737     (38,414,402      (6,911,967     (81,132,314
      2,882,542       39,810,158        535,429       6,348,301  
Class C Shares         

Shares sold

    1,551,409       20,293,806        857,369       10,210,331  

Reinvestment of distributions

    16,331       211,493        8,808       90,019  

Shares redeemed

    (146,451     (1,907,129      (310,429     (3,608,253
      1,421,289       18,598,170        555,748       6,692,097  
Institutional Shares         

Shares sold

    43,494,913       598,363,182        63,633,191       764,173,753  

Reinvestment of distributions

    1,043,352       14,147,857        1,240,673       13,200,757  

Shares redeemed

    (24,802,674     (333,777,209      (36,578,468     (425,088,815
      19,735,591       278,733,830        28,295,396       352,285,695  
Service Shares         

Shares sold

    166,284       2,259,022        246,020       2,883,383  

Reinvestment of distributions

    4,253       56,775        3,062       32,121  

Shares redeemed

    (79,646     (1,069,477      (121,863     (1,479,550
      90,891       1,246,320        127,219       1,435,954  
Investor Shares(a)         

Shares sold

    13,519,655       178,686,084        11,275,025       134,697,876  

Reinvestment of distributions

    235,317       3,049,705        21,379       217,635  

Shares redeemed

    (1,280,997     (16,759,075      (590,509     (7,067,412
      12,473,975       164,976,714        10,705,895       127,848,099  
Class P Shares(b)         

Shares sold

    725       10,005               

Shares redeemed

          (5             
      725       10,000               
Class R Shares         

Shares sold

    143,263       1,852,935        510,383       5,855,540  

Reinvestment of distributions

    5,144       66,202        1,738       17,607  

Shares redeemed

    (34,125     (443,374      (170,808     (2,001,051
      114,282       1,475,763        341,313       3,872,096  
Class R6 Shares         

Shares sold

    20,362,506       272,455,766        4,429,721       57,350,913  

Reinvestment of distributions

    74,104       1,004,847        108,479       1,154,214  

Shares redeemed

    (1,552,571     (21,273,713      (2,906,927     (35,654,791
      18,884,039       252,186,900        1,631,273       22,850,336  

NET INCREASE

    55,603,334     $ 757,037,855        42,192,273     $ 521,332,578  

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operations on April 16, 2018.

 

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Notes to Financial Statements (continued)

April 30, 2018 (Unaudited)

 

12. SUMMARY OF SHARE TRANSACTIONS (continued)

 

Share activity is as follows:

 

     International Small Cap Insights Fund  
  

 

 

 
    

For the Six Months Ended

April 30, 2018

(Unaudited)

   

For the Fiscal Year Ended

October 31, 2017

 
  

 

 

 
     Shares     Dollars     Shares     Dollars  
  

 

 

 
Class A Shares         

Shares sold

     6,194,068     $ 80,896,468       8,147,806     $ 95,157,056  

Reinvestment of distributions

     1,228,989       15,454,307       496,957       5,123,623  

Shares redeemed

     (3,713,590     (48,297,240     (15,510,895     (174,880,498
       3,709,467       48,053,535       (6,866,132     (74,599,819
Class C Shares         

Shares sold

     1,661,680       20,981,150       1,702,930       20,030,155  

Reinvestment of distributions

     405,443       4,916,449       64,299       645,559  

Shares redeemed

     (422,347     (5,274,513     (1,044,544     (11,569,553
       1,644,776       20,623,086       722,685       9,106,161  
Institutional Shares         

Shares sold

     51,242,663       671,231,525       59,209,609       701,106,521  

Reinvestment of distributions

     10,223,847       128,887,871       2,503,331       25,784,310  

Shares redeemed

     (40,881,971     (521,096,261     (32,079,647     (373,764,899
       20,584,539       279,023,135       29,633,293       353,125,932  
Investor Shares(a)         

Shares sold

     21,049,471       271,971,986       21,211,154       249,312,952  

Reinvestment of distributions

     2,370,410       29,722,703       260,743       2,675,224  

Shares redeemed

     (4,597,851     (59,514,743     (4,969,452     (57,556,066
       18,822,030       242,179,946       16,502,445       194,432,110  
Class P Shares(b)         

Shares sold

     765       10,005              

Shares redeemed

           (5            
       765       10,000              
Class R6 Shares         

Shares sold

     28,748,501       363,921,070       7,486,171       90,471,482  

Reinvestment of distributions

     761,556       9,623,910       51,242       528,821  

Shares redeemed

     (1,388,443     (18,054,282     (580,912     (6,992,467
       28,121,614       355,490,698       6,956,501       84,007,836  

NET INCREASE

     72,883,191     $ 945,380,400       46,948,792     $ 566,072,220  

 

(a)   Effective August 15, 2017, Class IR changed its name to Investor Shares.
(b)   Commenced operations on April 16, 2018.

 

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GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS

 

Fund Expenses — Six Month Period Ended April 30, 2018 (Unaudited)

As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P, Class R or Class R6 Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2017 through April 30, 2018, which represents a period of 181 days of a 365 day year. The Class P example is based on the period from April 17, 2018 through April 30, 2018, which represents a period of 14 out of 365 days. The Class P example for hypothetical expenses reflects projected activity for the period from November 1, 2017 through April 30, 2018 for purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     Emerging Markets Equity Insights Fund     International Equity Insights Fund     International Small Cap Insights Fund  
Share Class  

Beginning

Account
Value

11/01/17

   

Ending

Account
Value

04/30/18

   

Expenses

Paid for the

6 Months Ended

04/30/18*

   

Beginning

Account
Value

11/01/17

   

Ending

Account
Value

04/30/18

   

Expenses

Paid for the

6 Months Ended

04/30/18*

   

Beginning

Account
Value

11/01/17

   

Ending

Account
Value

04/30/18

   

Expenses

Paid for the

6 Months Ended

04/30/18*

 
Class A                                    

Actual

  $ 1,000     $ 1,032.00     $ 7.46     $ 1,000     $ 1,027.40     $ 5.83     $ 1,000     $ 1,043.30     $ 6.43  

Hypothetical 5% return

    1,000       1,017.46     7.40       1,000       1,019.04     5.81       1,000       1,018.50     6.36  
Class C                                    

Actual

    1,000       1,028.50       11.22       1,000       1,023.00       9.53       1,000       1,039.10       10.21  

Hypothetical 5% return

    1,000       1,013.74     11.13       1,000       1,015.37     9.49       1,000       1,014.78     10.09  
Institutional                                    

Actual

    1,000       1,033.20       5.60       1,000       1,029.00       4.13       1,000       1,045.40       4.46  

Hypothetical 5% return

    1,000       1,019.29     5.56       1,000       1,020.73     4.11       1,000       1,020.43     4.41  
Service                                    

Actual

    N/A       N/A       N/A       1,000       1,025.60       6.63       N/A       N/A       N/A  

Hypothetical 5% return

    N/A       N/A       N/A       1,000       1,018.25     6.61       N/A       N/A       N/A  
Investor                                    

Actual

    1,000       1,033.80       6.20       1,000       1,028.50       4.53       1,000       1,044.00       5.17  

Hypothetical 5% return

    1,000       1,018.70     6.16       1,000       1,020.33     4.51       1,000       1,019.74     5.11  
Class P(a)                                    

Actual

    1,000       993.50       0.42       1,000       995.60       0.31       1,000       990.10       0.34  

Hypothetical 5% return

    1,000       1,019.39     5.46       1,000       1,020.78     4.06       1,000       1,020.43     4.41  
Class R                                    

Actual

    1,000       1,030.60       8.71       1,000       1,025.80       7.08       N/A       N/A       N/A  

Hypothetical 5% return

    1,000       1,016.22     8.65       1,000       1,017.80     7.05       N/A       N/A       N/A  
Class R6                                    

Actual

    1,000       1,034.40       5.50       1,000       1,029.10       4.02       1,000       1,044.70       4.36  

Hypothetical 5% return

    1,000       1,019.39     5.46       1,000       1,020.83     4.01       1,000       1,020.53     4.31  

 

+   Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.
*   Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2018. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

 

Fund    Class A     Class C     Institutional     Service     Investor     Class P(a)     Class R     Class R6  

Emerging Markets Equity Insights

     1.48     2.23     1.11     N/A       1.23     1.09     1.73     1.09%

International Equity Insights

     1.16       1.90       0.82       1.32     0.90       0.81       1.41       0.80  

International Small Cap Insights

     1.27       2.02       0.88       N/A       1.02       0.88       N/A       0.86  

 

(a)   Commenced operations on April 16, 2018.

 

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FUNDS PROFILE

 

Goldman Sachs Funds

 

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.29 trillion in assets under supervision as of March 31, 2018, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.

 

Money Market

Financial Square FundsSM

  Financial Square Treasury Solutions Fund1
  Financial Square Government Fund1
  Financial Square Money Market Fund2
  Financial Square Prime Obligations Fund2
  Financial Square Treasury Instruments Fund1
  Financial Square Treasury Obligations Fund1
  Financial Square Federal Instruments Fund1
  Financial Square Tax-Exempt Money Market Fund2

Investor FundsSM

  Investor Money Market Fund3
  Investor Tax-Exempt Money Market Fund3

Fixed Income

Short Duration and Government

  Enhanced Income Fund
  High Quality Floating Rate Fund
  Short-Term Conservative Income Fund
  Short Duration Government Fund
  Short Duration Income Fund
  Government Income Fund
  Inflation Protected Securities Fund

Multi-Sector

  Bond Fund
  Core Fixed Income Fund
  Global Income Fund
  Strategic Income Fund

Municipal and Tax-Free

  High Yield Municipal Fund
  Dynamic Municipal Income Fund
  Short Duration Tax-Free Fund

Single Sector

  Investment Grade Credit Fund
  U.S. Mortgages Fund
  High Yield Fund
  High Yield Floating Rate Fund
  Emerging Markets Debt Fund
  Local Emerging Markets Debt Fund
  Total Emerging Markets Income Fund4

Fixed Income Alternatives

  Long Short Credit Strategies Fund

Fundamental Equity

  Equity Income Fund5
  Small Cap Value Fund
  Small/Mid Cap Value Fund
  Mid Cap Value Fund
  Large Cap Value Fund
  Focused Value Fund
  Capital Growth Fund
  Strategic Growth Fund
  Small/Mid Cap Growth Fund
  Flexible Cap Fund6
  Concentrated Growth Fund7
  Technology Opportunities Fund
  Growth Opportunities Fund
  Rising Dividend Growth Fund
  Blue Chip Fund8
  Income Builder Fund

Tax-Advantaged Equity

  U.S. Tax-Managed Equity Fund
  International Tax-Managed Equity Fund
  U.S. Equity Dividend and Premium Fund
  International Equity Dividend and Premium Fund

Equity Insights

  Small Cap Equity Insights Fund
  U.S. Equity Insights Fund
  Small Cap Growth Insights Fund
  Large Cap Growth Insights Fund
  Large Cap Value Insights Fund
  Small Cap Value Insights Fund
  International Small Cap Insights Fund
  International Equity Insights Fund
  Emerging Markets Equity Insights Fund

Fundamental Equity International

  International Equity Income Fund9
  International Equity ESG Fund10
  Asia Equity Fund
  Emerging Markets Equity Fund
  N-11 Equity Fund
  ESG Emerging Markets Equity Fund

Select Satellite

  Real Estate Securities Fund
  International Real Estate Securities Fund
  Commodity Strategy Fund
  Global Real Estate Securities Fund
  Alternative Premia Fund11
  Absolute Return Tracker Fund
  Managed Futures Strategy Fund
  MLP Energy Infrastructure Fund
  MLP & Energy Fund
  Multi-Manager Alternatives Fund
  Absolute Return Multi-Asset Fund
  Global Infrastructure Fund

Total Portfolio Solutions

  Global Managed Beta Fund
  Multi-Manager Non-Core Fixed Income Fund
  Multi-Manager U.S. Dynamic Equity Fund
  Multi-Manager Global Equity Fund
  Multi-Manager International Equity Fund
  Tactical Tilt Overlay Fund
  Balanced Strategy Portfolio
  Multi-Manager U.S. Small Cap Equity Fund
  Multi-Manager Real Assets Strategy Fund
  Growth and Income Strategy Portfolio
  Growth Strategy Portfolio
  Equity Growth Strategy Portfolio
  Satellite Strategies Portfolio
  Enhanced Dividend Global Equity Portfolio
  Tax-Advantaged Global Equity Portfolio
  Strategic Factor Allocation Fund
  Target Date 2020 Portfolio
  Target Date 2025 Portfolio
  Target Date 2030 Portfolio
  Target Date 2035 Portfolio
  Target Date 2040 Portfolio
  Target Date 2045 Portfolio
  Target Date 2050 Portfolio
  Target Date 2055 Portfolio
  Target Date 2060 Portfolio
  GQG Partners International Opportunities Fund
  Tactical Exposure Fund
1   You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
2    You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3    You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4    Effective after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund.
5    Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund.
6    Effective after the close of business on August 31, 2017, the Goldman Sachs Flexible Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Fund.
7    Effective on July 28, 2017, the Goldman Sachs Focused Growth Fund was reorganized with and into the Goldman Sachs Concentrated Growth Fund.
8    Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund.
9    Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund.
10Effective   after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund.
11Effective   after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund.
    Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
*This   list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.


Table of Contents

 

TRUSTEES

Jessica Palmer, Chair

Kathryn A. Cassidy

Diana M. Daniels

Herbert J. Markley

James A. McNamara

Roy W. Templin

Gregory G. Weaver

 

OFFICERS

James A. McNamara, President

Scott M. McHugh, Treasurer, Senior Vice President

and Principal Financial Officer

Joseph F. DiMaria, Assistant Treasurer

and Principal Accounting Officer

Caroline L. Kraus, Secretary

GOLDMAN SACHS & CO. LLC

Distributor and Transfer Agent

  GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser

Visit our Website at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission web site at http://www.sec.gov.

Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Fund holdings and allocations shown are unaudited, and may not be representative of current or future investments. Fund holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. Diversification does not protect an investor from market risk and does not ensure a profit.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY AND IS PROVIDED SOLELY ON THE BASIS THAT IT WILL NOT CONSTITUTE INVESTMENT OR OTHER ADVICE OR A RECOMMENDATION RELATING TO ANY PERSON’S OR PLAN’S INVESTMENT OR OTHER DECISIONS, AND GOLDMAN SACHS IS NOT A FIDUCIARY OR ADVISOR WITH RESPECT TO ANY PERSON OR PLAN BY REASON OF PROVIDING THE MATERIAL OR CONTENT HEREIN INCLUDING UNDER THE EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974 OR DEPARTMENT OF LABOR REGULATIONS. PLAN SPONSORS AND OTHER FIDUCIARIES SHOULD CONSIDER THEIR OWN CIRCUMSTANCES IN ASSESSING ANY POTENTIAL COURSE OF ACTION.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

© 2018 Goldman Sachs. All rights reserved. 132639-OTU-779303 INTINSSAR-18/95K


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ITEM 2. CODE OF ETHICS.

(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).

(b) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.

(c) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.

(d) A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).


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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The information required by this Item is only required in an annual report on this Form N-CSR.


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ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

 

     Not applicable.

 

ITEM 6. SCHEDULE OF INVESTMENTS.

 

     Schedule of Investments is included as part of the Report to Shareholders filed under Item 1.

 

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

     Not applicable.

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

     Not applicable.

 

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

     Not applicable.


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ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

 

     There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

 

ITEM 11. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 12. EXHIBITS.

 

(a)(1)      Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on July 8, 2015 for its International Equity Insights Funds.
(a)(2)    Exhibit 99.CERT    Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.
(b)    Exhibit 99.906CERT                        Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

    Goldman Sachs Trust
By:   /s/ James A. McNamara
 

 

 

 

James A. McNamara

  President/Chief Executive Officer
  Goldman Sachs Trust
Date:     June 29, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ James A. McNamara
 

 

 

 

James A. McNamara

  President/Chief Executive Officer
  Goldman Sachs Trust
Date:     June 29, 2018
By:   /s/ Scott McHugh
 

 

 

 

Scott McHugh

  Principal Financial Officer
  Goldman Sachs Trust
Date:     June 29, 2018