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)

Copies to:

Robert Griffith, Esq. Goldman Sachs & Co. LLC 200 West Street New York, NY 10282 Stephen H. Bier, Esq. Dechert LLP 1095 Avenue of the Americas New York, NY 10036

(Name and address of agents for service)

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

Date of fiscal year end: August 31

Date of reporting period: August 31, 2024

ITEM 1. REPORTS TO STOCKHOLDERS.

The Annual Report to Shareholders for the Goldman Sachs Global Managed Beta Fund, Goldman Sachs Strategic Factor Allocation Fund, Goldman Sachs Strategic Volatility Premium Fund, and Goldman Sachs Tactical Tilt Overlay Fund is filed herewith.

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Global Managed Beta Fund

GGMBX: Institutional Class

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Global Managed Beta Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Institutional	$30	0.27%

How did the Fund perform and what affected its performance?

Global equities were volatile, but performed strongly. U.S. large-cap stocks performed best, outpacing non-U.S. developed markets, emerging markets and small-cap stocks. Enthusiasm about artificial intelligence drove large gains in the U.S. technology sector, while China’s economic slowdown weighed on emerging markets.

Top Contributors

Top Contributors to Performance:

• The Fund benefited from its active beta strategy through which it invests in a diversified portfolio of underlying asset classes based on its cycle-aware long-term strategic asset allocation model. Specifically, the Fund’s dynamic overweight in developed markets equities added to its performance versus the MSCI All Country World Index Investable Market Index.

• At the asset class level, the Fund was helped by the rebalance of its long-term strategic asset allocation at the end of 2023 wherein its exposures to emerging markets equities and small-cap stocks were decreased and its exposure to U.S. large-cap stocks was increased.

Top Detractors from Performance:

• The Fund was hurt by its strategic allocation to alternative risk premia within a volatility selling strategy, as it sought to benefit from changes in the level of market implied volatility.

• The currency options within the Fund’s currency tail risk hedging strategy, which seeks to limit the chance of a loss occurring due to a rare event, detracted from relative performance, as most of the options expired out of the money.

• A strategic allocation to the macro hedging strategy, which is used in an attempt to diversify the Fund’s overall exposure to global equity asset classes, detracted slightly from relative performance. This allocation significantly underperformed between the beginning of the reporting period and June 2024, then sharply rebounded starting in July, resulting in only a modest loss overall.

• 

  Active Beta 

Top Detractors

• 

  Volatility Selling

• 

  Tail Risk Hedging

The above represents strategies.

Goldman Sachs Global Managed Beta Fund

Institutional Class 

Performance Overview

The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Institutional Shares	MSCI ACWI IMI (Net, USD, 50% Non-US Developed Hedged to USD)	MSCI ACWI IMI Index
08/15	$933,000	$921,900	$918,200
08/16	$1,004,001	$989,475	$985,871
08/17	$1,171,870	$1,158,082	$1,154,258
08/18	$1,302,885	$1,303,884	$1,290,461
08/19	$1,313,048	$1,296,583	$1,272,007
08/20	$1,525,368	$1,488,218	$1,468,405
08/21	$2,011,502	$1,940,784	$1,910,542
08/22	$1,693,484	$1,662,864	$1,600,270
08/23	$1,900,766	$1,887,185	$1,813,586
08/24	$2,319,885	$2,316,896	$2,223,819

Average Annual Total Returns (%)

	1 Year	5 Years	Since Inception 4/30/15
Institutional Shares	22.05%	12.04%	9.42%
MSCI ACWI IMI (Net, USD, 50% Non-US Developed Hedged to USD)	22.77%	12.30%	9.40%
MSCI ACWI IMI Index	22.62%	11.81%	8.93%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the MSCI ACWI IMI Index.

Goldman Sachs Global Managed Beta Fund

Institutional Class 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$4,279,340,979
# of Portfolio Holdings	1,210
Portfolio Turnover Rate	56%
Total Net Advisory Fees Paid	$7,616,756

Material Fund Changes 

This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.

The Fund’s net expense ratio decreased from the prior period as a result of an increase in average net assets.

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.

Asset Allocation (%)

Exchange Traded Funds	80.5%
Common Stocks	10.0%
Investment Companies	5.0%

Goldman Sachs Global Managed Beta Fund

Institutional Class 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

The blended returns are calculated by Goldman Sachs using end of day index level values licensed from MSCI (“MSCI Data”). For the avoidance of doubt, MSCI is not the benchmark “administrator” for, or a “contributor”, “submitter” or “supervised contributor” to, the blended returns, and the MSCI Data is not considered a “contribution” or “submission” in relation to the blended returns, as those terms may be defined in any rules, laws, regulations, legislation or international standards. MSCI Data is provided “AS IS” without warranty or liability and no copying or distribution is permitted. MSCI does not make any representation regarding the advisability of any investment or strategy and does not sponsor, promote, issue, sell or otherwise recommend or endorse any investment or strategy, including any financial products or strategies based on, tracking or otherwise utilizing any MSCI Data, models, analytics or other materials or information.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Global Managed Beta Fund

38147X762-AR-0824 

Institutional Class 

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Strategic Factor Allocation Fund

GSQPX: Class P

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Strategic Factor Allocation Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
P	$76	0.70%

How did the Fund perform and what affected its performance?

U.S. equities were volatile but performed strongly amid soft landing optimism supported by gradual cooling in economic growth. U.S. fixed income also performed well, as inflationary pressures receded. Bond yields fluctuated, though generally drifted down, amid shifting expectations about Federal Reserve rate cuts.

Top Contributors

Top Contributors to Performance:

• The Fund’s implementation of the Strategic Factor Allocation process, which is derived from the Goldman Sachs Investment Strategy Group’s (ISG) market views on a variety of asset classes and instruments, added to the Fund’s performance overall.

• In absolute terms, the Fund benefited from all four of the Strategic Factor Allocation’s factors, which are academically derived drivers of investment returns that the ISG believes offer the potential for greater and consistent returns in various market environments.

• Relative to the Fund’s blended benchmark, the Strategic Factor Allocation Composite Index^{Footnote Reference1}, the Volatility factor added most to performance. The Flow factor also contributed positively to relative returns.

Top Detractors from Performance:

• The Equity factor detracted most from the Fund's relative performance, followed by the Term factor.

• 

  Volatility

• 

  Flow

Top Detractors

• 

  Equity

• 

  Term

The above represents factors.

Footnote	Description
Footnote1	The Strategic Factor Allocation Composite Index is comprised of 50% of the S&P 500® Index and 50% of the Bloomberg U.S. Aggregate Bond Index.

Goldman Sachs Strategic Factor Allocation Fund

Class P 

Performance Overview

The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Class P	Strategic Factor Allocation Composite Index	Bloomberg U.S. Aggregate Bond Index	S&P 500 Index
08/18	$10,397	$10,427	$10,061	$10,801
08/19	$10,830	$11,153	$11,084	$11,116
08/20	$12,027	$12,788	$11,801	$13,555
08/21	$13,842	$14,676	$11,792	$17,781
08/22	$12,947	$13,050	$10,433	$15,784
08/23	$13,849	$14,006	$10,309	$18,300
08/24	$16,217	$16,378	$11,062	$23,266

Average Annual Total Returns (%)

	1 Year	5 Years	Since Inception 4/17/18
Class P	17.10%	8.40%	7.87%
Strategic Factor Allocation Composite Index	16.94%	7.98%	8.04%
Bloomberg U.S. Aggregate Bond Index	7.30%	-0.04%	1.59%
S&P 500 Index	27.14%	15.90%	14.15%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Goldman Sachs Strategic Factor Allocation Fund

Class P 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$2,399,259,628
# of Portfolio Holdings	6
Portfolio Turnover Rate	0%
Total Net Advisory Fees Paid	$14,467,400

Material Fund Changes 

This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.

Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.

Asset Class Exposure (%)*

	Gross	Long	Short	Net
Cash	7.7	7.7	-	7.7
Developed Markets Currency	13.1	1.5	11.6	-10.1
Developed Markets Equity Call Options	5.1	5.1	-	5.1
Developed Markets Equity Put Options	331.6	131.6	199.9	-68.3
Fixed Income	61.8	61.8	-	61.8
Fixed Income Call Options	16.6	-	16.6	-16.6
Fixed Income Put Options	16.1	-	16.1	-16.1
Interest Rate Call Options	4.9	4.9	-	4.9
Interest Rate Put Options	4.9	4.9	-	4.9
Short-term investments	91.6	91.6	-	91.6
US Equity	62.5	62.5	-	62.5

* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits. 

Goldman Sachs Strategic Factor Allocation Fund

Class P 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

Bloomberg Index Services Limited. BLOOMBERG^® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P^® is a registered trademark of S&P Global and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Strategic Factor Allocation Fund

38150B293-AR-0824 

Class P 

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Strategic Factor Allocation Fund

SFAFX: Institutional Class

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Strategic Factor Allocation Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Institutional	$77	0.71%

How did the Fund perform and what affected its performance?

U.S. equities were volatile but performed strongly amid soft landing optimism supported by gradual cooling in economic growth. U.S. fixed income also performed well, as inflationary pressures receded. Bond yields fluctuated, though generally drifted down, amid shifting expectations about Federal Reserve rate cuts.

Top Contributors

Top Contributors to Performance:

• The Fund’s implementation of the Strategic Factor Allocation process, which is derived from the Goldman Sachs Investment Strategy Group’s (ISG) market views on a variety of asset classes and instruments, added to the Fund’s performance overall.

• In absolute terms, the Fund benefited from all four of the Strategic Factor Allocation’s factors, which are academically derived drivers of investment returns that the ISG believes offer the potential for greater and consistent returns in various market environments.

• Relative to the Fund’s blended benchmark, the Strategic Factor Allocation Composite Index^{Footnote Reference1}, the Volatility factor added most to performance. The Flow factor also contributed positively to relative returns.

Top Detractors from Performance:

• The Equity factor detracted most from the Fund's relative performance, followed by the Term factor.

• 

  Volatility

• 

  Flow

Top Detractors

• 

  Equity

• 

  Term

The above represents factors.

Footnote	Description
Footnote1	The Strategic Factor Allocation Composite Index is comprised of 50% of the S&P 500® Index and 50% of the Bloomberg U.S. Aggregate Bond Index.

Goldman Sachs Strategic Factor Allocation Fund

Institutional Class 

Performance Overview

The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Institutional Shares	Bloomberg U.S. Aggregate Bond Index	Strategic Factor Allocation Composite Index	S&P 500 Index
08/16	$1,034,000	$1,023,200	$1,032,200	$1,041,000
08/17	$1,105,139	$1,028,214	$1,116,428	$1,209,954
08/18	$1,162,385	$1,017,417	$1,216,459	$1,447,831
08/19	$1,210,624	$1,120,889	$1,301,125	$1,490,108
08/20	$1,345,488	$1,193,410	$1,491,870	$1,817,038
08/21	$1,547,446	$1,192,456	$1,712,219	$2,383,408
08/22	$1,447,326	$1,055,085	$1,522,505	$2,115,752
08/23	$1,546,902	$1,042,529	$1,633,953	$2,453,002
08/24	$1,812,350	$1,118,634	$1,910,744	$3,118,747

Average Annual Total Returns (%)

	1 Year	5 Years	Since Inception 5/31/16
Institutional Shares	17.16%	8.39%	7.46%
Strategic Factor Allocation Composite Index	16.94%	7.98%	8.15%
Bloomberg U.S. Aggregate Bond Index	7.30%	-0.04%	1.37%
S&P 500 Index	27.14%	15.90%	14.76%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Goldman Sachs Strategic Factor Allocation Fund

Institutional Class 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$2,399,259,628
# of Portfolio Holdings	6
Portfolio Turnover Rate	0%
Total Net Advisory Fees Paid	$14,467,400

Material Fund Changes 

This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.

Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.

Asset Class Exposure (%)*

	Gross	Long	Short	Net
Cash	7.7	7.7	-	7.7
Developed Markets Currency	13.1	1.5	11.6	-10.1
Developed Markets Equity Call Options	5.1	5.1	-	5.1
Developed Markets Equity Put Options	331.6	131.6	199.9	-68.3
Fixed Income	61.8	61.8	-	61.8
Fixed Income Call Options	16.6	-	16.6	-16.6
Fixed Income Put Options	16.1	-	16.1	-16.1
Interest Rate Call Options	4.9	4.9	-	4.9
Interest Rate Put Options	4.9	4.9	-	4.9
Short-term investments	91.6	91.6	-	91.6
US Equity	62.5	62.5	-	62.5

* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits. 

Goldman Sachs Strategic Factor Allocation Fund

Institutional Class 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

Bloomberg Index Services Limited. BLOOMBERG^® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P^® is a registered trademark of S&P Global and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Strategic Factor Allocation Fund

38148U338-AR-0824 

Institutional Class 

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Strategic Volatility Premium Fund

SVPBX: Class P

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Strategic Volatility Premium Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
P	$43	0.41%

How did the Fund perform and what affected its performance?

U.S fixed income was broadly influenced by Federal Reserve (Fed) monetary policy, interest rate volatility and inflation. Bond yields fluctuated, though generally drifted down, amid shifting sentiment about potential Fed easing. U.S. equities were generally volatile but performed strongly amid soft landing optimism.

Top Contributors

Top Contributors to Performance:

• The Strategic Volatility Premium, which is an implementation of the Goldman Sachs Investment Strategy Group’s market views on a variety of asset classes and instruments, produced positive absolute returns and added to the Fund’s performance versus the Bloomberg 1-5 Year U.S. Treasury Index (Index).

• Relative to the Index, the Fund benefited from its options-based overlay strategy through which the Strategic Volatility Premium is implemented.

• The Fund’s fixed income allocation to U.S. Treasury securities also added to relative returns, though to a lesser extent.

Top Detractors from Performance:

• There were no detractors from the Fund’s relative performance. 

• 

  Strategic Volatility Premium 

Top Detractors

• 

   Fixed Income Allocation

The above represents investment strategies.

Goldman Sachs Strategic Volatility Premium Fund

Class P 

Performance Overview

The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Class P	Bloomberg 1-5 Year U.S. Treasury Index	Bloomberg U.S. Aggregate Bond Index
03/21	$10,000	$10,000	$10,000
03/21	$10,000	$10,000	$10,000
08/21	$10,100	$10,035	$10,284
08/22	$9,687	$9,460	$9,099
08/23	$9,822	$9,530	$8,991
08/24	$10,573	$10,117	$9,647

Average Annual Total Returns (%)

	1 Year	Since Inception 3/29/21
Class P	7.65%	1.64%
Bloomberg 1-5 Year U.S. Treasury Index	6.16%	0.34%
Bloomberg U.S. Aggregate Bond Index	7.30%	-1.04%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the Bloomberg U.S. Aggregate Bond Index.

Goldman Sachs Strategic Volatility Premium Fund

Class P 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$444,612,507
# of Portfolio Holdings	11
Portfolio Turnover Rate	0%
Total Net Advisory Fees Paid	$1,173,140

Material Fund Changes 

This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.

Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.

Asset Class Exposure (%)*

	Gross	Long	Short	Net
Cash	5.2	5.2	-	5.2
Developed Markets Equity Put Options	313.9	124.7	189.2	-64.5
Fixed Income	52.8	52.8	-	52.8
Fixed Income Call Options	16.6	-	16.6	-16.6
Fixed Income Put Options	16.1	-	16.1	-16.1
Interest Rate Call Options	0.8	0.8	-	0.8
Interest Rate Put Options	0.8	0.8	-	0.8
Short-term investments	94.7	94.7	-	94.7
US Equity	0.5	0.5	-	0.5

* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits. 

Goldman Sachs Strategic Volatility Premium Fund

Class P 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

Bloomberg Index Services Limited. BLOOMBERG^® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Strategic Volatility Premium Fund

38150C515-AR-0824 

Class P 

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Strategic Volatility Premium Fund

SVPFX: Institutional Class

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Strategic Volatility Premium Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Institutional	$44	0.42%

How did the Fund perform and what affected its performance?

U.S fixed income was broadly influenced by Federal Reserve (Fed) monetary policy, interest rate volatility and inflation. Bond yields fluctuated, though generally drifted down, amid shifting sentiment about potential Fed easing. U.S. equities were generally volatile but performed strongly amid soft landing optimism.

Top Contributors

Top Contributors to Performance:

• The Strategic Volatility Premium, which is an implementation of the Goldman Sachs Investment Strategy Group’s market views on a variety of asset classes and instruments, produced positive absolute returns and added to the Fund’s performance versus the Bloomberg 1-5 Year U.S. Treasury Index (Index).

• Relative to the Index, the Fund benefited from its options-based overlay strategy through which the Strategic Volatility Premium is implemented.

• The Fund’s fixed income allocation to U.S. Treasury securities also added to relative returns, though to a lesser extent.

Top Detractors from Performance:

• There were no detractors from the Fund’s relative performance. 

• 

  Strategic Volatility Premium 

Top Detractors

• 

   Fixed Income Allocation

The above represents investment strategies.

Goldman Sachs Strategic Volatility Premium Fund

Institutional Class 

Performance Overview

The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Institutional Shares	Bloomberg 1-5 Year U.S. Treasury Index	Bloomberg U.S. Aggregate Bond Index
03/21	$1,000,000	$1,000,000	$1,000,000
03/21	$1,000,000	$1,000,000	$1,000,000
08/21	$1,010,000	$1,003,500	$1,028,400
08/22	$968,691	$945,999	$909,928
08/23	$982,059	$953,000	$899,100
08/24	$1,056,008	$1,011,705	$964,734

Average Annual Total Returns (%)

	1 Year	Since Inception 3/29/21
Institutional Shares	7.53%	1.60%
Bloomberg 1-5 Year U.S. Treasury Index	6.16%	0.34%
Bloomberg U.S. Aggregate Bond Index	7.30%	-1.04%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the Bloomberg U.S. Aggregate Bond Index.

Goldman Sachs Strategic Volatility Premium Fund

Institutional Class 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$444,612,507
# of Portfolio Holdings	11
Portfolio Turnover Rate	0%
Total Net Advisory Fees Paid	$1,173,140

Material Fund Changes 

This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.

Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.

Asset Class Exposure (%)*

	Gross	Long	Short	Net
Cash	5.2	5.2	-	5.2
Developed Markets Equity Put Options	313.9	124.7	189.2	-64.5
Fixed Income	52.8	52.8	-	52.8
Fixed Income Call Options	16.6	-	16.6	-16.6
Fixed Income Put Options	16.1	-	16.1	-16.1
Interest Rate Call Options	0.8	0.8	-	0.8
Interest Rate Put Options	0.8	0.8	-	0.8
Short-term investments	94.7	94.7	-	94.7
US Equity	0.5	0.5	-	0.5

* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits. 

Goldman Sachs Strategic Volatility Premium Fund

Institutional Class 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

Bloomberg Index Services Limited. BLOOMBERG^® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Strategic Volatility Premium Fund

38150C523-AR-0824 

Institutional Class 

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Tactical Tilt Overlay Fund

GSLPX: Class P

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Tactical Tilt Overlay Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
P	$74	0.72%

How did the Fund perform and what affected its performance?

Risk assets were volatile, driven by prolonged higher interest rates, persistent inflation and a variety of geopolitical concerns but performed strongly overall as waning inflation levels globally suggested the peaking of central bank tightening cycles and potential interest rate cuts in several developed markets.

Top Contributors

Top Contributors to Performance:

• The Fund benefited relative to the ICE BofA 3-Month U.S. Treasury Bill Index from investments in U.S. Treasury futures and 10-year U.S. government bonds, as Treasury yields fell during the reporting period.

• Among commodity-related exposures, the Fund’s long exposure to uranium, accomplished via an investment in a closed end trust, added modestly to relative performance, as uranium prices hit a 16-year high in the fourth quarter of 2023.

• Both long and short S&P 500^® Index put options held by the Fund at different times during the reporting period added to relative performance.

• Investments in energy master limited partnerships contributed positively to returns.

• The Fund’s active cash management strategy bolstered results.

Top Detractors from Performance:

• The Fund was hurt by a tactical short position in the Swiss franc versus a tactical long position in the Japanese yen, as the yen did not appreciate as market expected. This positioning was eliminated in July 2024.

• Within equity-related exposures, the Fund was hampered by a long position in Mexican stocks, which sold off in June following the country’s general elections.

• A long position in Brazilian equity call options detracted. Although Brazilian stocks rallied early in the reporting period, they gave back most of their gains at the start of 2024. This position was exited in February.

• A short position versus a long position in Dutch natural gas future contracts, which stood to benefit from downward pressure on near-term natural gas prices versus winter prices, detracted slightly, as European inventories reached near-record seasonal levels well before winter. These positions were exited in August.

• 

  Fixed Income-Related

• 

  Commodity-Related

• 

  Equity-Related

Top Detractors

• 

  Currency-Related

The above represents exposures.

Goldman Sachs Tactical Tilt Overlay Fund

Class P 

Performance Overview

The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Class P	ICE BofA 3-Month U.S. Treasury Bill Index	S&P 500 Index
08/18	$10,113	$10,071	$10,801
08/19	$10,173	$10,309	$11,116
08/20	$10,559	$10,439	$13,555
08/21	$11,559	$10,447	$17,781
08/22	$11,616	$10,486	$15,784
08/23	$12,051	$10,931	$18,300
08/24	$12,878	$11,530	$23,266

Average Annual Total Returns (%)

	1 Year	5 Years	Since Inception 4/17/18
Class P	6.86%	4.82%	4.04%
ICE BofA 3-Month U.S. Treasury Bill Index	5.48%	2.26%	2.26%
S&P 500 Index	27.14%	15.90%	14.15%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the S&P 500 Index.

Goldman Sachs Tactical Tilt Overlay Fund

Class P 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$4,701,415,728
# of Portfolio Holdings	227
Portfolio Turnover Rate	41%
Total Net Advisory Fees Paid	$31,599,045

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.

Asset Class Exposure (%)*

	Gross	Long	Short	Net
EU Aerospace and Defense Sector Options	0.7	0.7	-	0.7
GBP 10yr Interest Rate Swaps	1.9	1.9	-	1.9
GBP 10yr Receiver Swaptions	2.0	-	2.0	-2.0
Investment Grade Fixed Income	66.0	66.0	-	66.0
Long European Utilities	1.3	1.3	-	1.3
Long Mexico Equities	1.2	1.2	-	1.2
Long Spot Uranium	1.3	1.3	-	1.3
Mexico Equity Options	0.3	0.3	-	0.3
MLPs	0.9	0.9	-	0.9
S&P 500 Lookback Options	1.1	-	1.1	-1.1
S&P 500 Options	1.0	1.0	-	1.0
TOPIX Options	0.7	0.7	-	0.7
Trend-Based Rotation Tilt	2.0	2.0	-	2.0
US 10yr Treasury Bonds	1.7	1.7	-	1.7
US 2yr Receiver Swaptions	6.5	6.5	-	6.5
US Staples Sector	1.3	1.3	-	1.3
USDCHF Options	0.8	0.8	-	0.8

* Tilts exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a tilt exposure), divided by the Fund's total net assets. "Net Exposure" represents the net exposure within the Fund to a given tilt position, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. 

Goldman Sachs Tactical Tilt Overlay Fund

Class P 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

ICE Data Indices, LLC (“ICE DATA”) is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES, REPRESENTATIONS, EXPRESS AND/OR IMPLIED INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND GOLDMAN SACHS, OR ANY OF ITS PRODUCTS OR SERVICES.

The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P^® is a registered trademark of S&P Global and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Tactical Tilt Overlay Fund

38150B244-AR-0824 

Class P 

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Tactical Tilt Overlay Fund

TTRFX: Class R6

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Tactical Tilt Overlay Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
R6	$74	0.72%

How did the Fund perform and what affected its performance?

Risk assets were volatile, driven by prolonged higher interest rates, persistent inflation and a variety of geopolitical concerns but performed strongly overall as waning inflation levels globally suggested the peaking of central bank tightening cycles and potential interest rate cuts in several developed markets.

Top Contributors

Top Contributors to Performance:

• The Fund benefited relative to the ICE BofA 3-Month U.S. Treasury Bill Index from investments in U.S. Treasury futures and 10-year U.S. government bonds, as Treasury yields fell during the reporting period.

• Among commodity-related exposures, the Fund’s long exposure to uranium, accomplished via an investment in a closed end trust, added modestly to relative performance, as uranium prices hit a 16-year high in the fourth quarter of 2023.

• Both long and short S&P 500^® Index put options held by the Fund at different times during the reporting period added to relative performance.

• Investments in energy master limited partnerships contributed positively to returns.

• The Fund’s active cash management strategy bolstered results.

Top Detractors from Performance:

• The Fund was hurt by a tactical short position in the Swiss franc versus a tactical long position in the Japanese yen, as the yen did not appreciate as market expected. This positioning was eliminated in July 2024.

• Within equity-related exposures, the Fund was hampered by a long position in Mexican stocks, which sold off in June following the country’s general elections.

• A long position in Brazilian equity call options detracted. Although Brazilian stocks rallied early in the reporting period, they gave back most of their gains at the start of 2024. This position was exited in February.

• A short position versus a long position in Dutch natural gas future contracts, which stood to benefit from downward pressure on near-term natural gas prices versus winter prices, detracted slightly, as European inventories reached near-record seasonal levels well before winter. These positions were exited in August.

• 

  Fixed Income-Related

• 

  Commodity-Related

• 

  Equity-Related

Top Detractors

• 

  Currency-Related

The above represents exposures.

Goldman Sachs Tactical Tilt Overlay Fund

Class R6 

Performance Overview

The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Class R6	ICE BofA 3-Month U.S. Treasury Bill Index	S&P 500 Index
08/18	$10,061	$10,115	$10,994
08/19	$10,119	$10,354	$11,315
08/20	$10,505	$10,484	$13,798
08/21	$11,501	$10,493	$18,098
08/22	$11,557	$10,531	$16,066
08/23	$11,989	$10,979	$18,627
08/24	$12,812	$11,581	$23,682

Average Annual Total Returns (%)

	1 Year	5 Years	Since Inception 12/29/17
Class R6	6.86%	4.83%	3.78%
ICE BofA 3-Month U.S. Treasury Bill Index	5.48%	2.26%	2.22%
S&P 500 Index	27.14%	15.90%	13.78%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the S&P 500 Index.

Goldman Sachs Tactical Tilt Overlay Fund

Class R6 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$4,701,415,728
# of Portfolio Holdings	227
Portfolio Turnover Rate	41%
Total Net Advisory Fees Paid	$31,599,045

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.

Asset Class Exposure (%)*

	Gross	Long	Short	Net
EU Aerospace and Defense Sector Options	0.7	0.7	-	0.7
GBP 10yr Interest Rate Swaps	1.9	1.9	-	1.9
GBP 10yr Receiver Swaptions	2.0	-	2.0	-2.0
Investment Grade Fixed Income	66.0	66.0	-	66.0
Long European Utilities	1.3	1.3	-	1.3
Long Mexico Equities	1.2	1.2	-	1.2
Long Spot Uranium	1.3	1.3	-	1.3
Mexico Equity Options	0.3	0.3	-	0.3
MLPs	0.9	0.9	-	0.9
S&P 500 Lookback Options	1.1	-	1.1	-1.1
S&P 500 Options	1.0	1.0	-	1.0
TOPIX Options	0.7	0.7	-	0.7
Trend-Based Rotation Tilt	2.0	2.0	-	2.0
US 10yr Treasury Bonds	1.7	1.7	-	1.7
US 2yr Receiver Swaptions	6.5	6.5	-	6.5
US Staples Sector	1.3	1.3	-	1.3
USDCHF Options	0.8	0.8	-	0.8

* Tilts exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a tilt exposure), divided by the Fund's total net assets. "Net Exposure" represents the net exposure within the Fund to a given tilt position, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. 

Goldman Sachs Tactical Tilt Overlay Fund

Class R6 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

ICE Data Indices, LLC (“ICE DATA”) is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES, REPRESENTATIONS, EXPRESS AND/OR IMPLIED INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND GOLDMAN SACHS, OR ANY OF ITS PRODUCTS OR SERVICES.

The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P^® is a registered trademark of S&P Global and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Tactical Tilt Overlay Fund

38148U155-AR-0824 

Class R6 

Annual Shareholder Report

August 31, 2024 

Goldman Sachs Tactical Tilt Overlay Fund

TTIFX: Institutional Class

Fund Overview 

This annual shareholder report contains important information about Goldman Sachs Tactical Tilt Overlay Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.

What were the Fund costs for the period?

Based on a hypothetical $10,000 investment.

Class	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Institutional	$75	0.73%

How did the Fund perform and what affected its performance?

Risk assets were volatile, driven by prolonged higher interest rates, persistent inflation and a variety of geopolitical concerns but performed strongly overall as waning inflation levels globally suggested the peaking of central bank tightening cycles and potential interest rate cuts in several developed markets.

Top Contributors

Top Contributors to Performance:

• The Fund benefited relative to the ICE BofA 3-Month U.S. Treasury Bill Index from investments in U.S. Treasury futures and 10-year U.S. government bonds, as Treasury yields fell during the reporting period.

• Among commodity-related exposures, the Fund’s long exposure to uranium, accomplished via an investment in a closed end trust, added modestly to relative performance, as uranium prices hit a 16-year high in the fourth quarter of 2023.

• Both long and short S&P 500^® Index put options held by the Fund at different times during the reporting period added to relative performance.

• Investments in energy master limited partnerships contributed positively to returns.

• The Fund’s active cash management strategy bolstered results.

Top Detractors from Performance:

• The Fund was hurt by a tactical short position in the Swiss franc versus a tactical long position in the Japanese yen, as the yen did not appreciate as market expected. This positioning was eliminated in July 2024.

• Within equity-related exposures, the Fund was hampered by a long position in Mexican stocks, which sold off in June following the country’s general elections.

• A long position in Brazilian equity call options detracted. Although Brazilian stocks rallied early in the reporting period, they gave back most of their gains at the start of 2024. This position was exited in February.

• A short position versus a long position in Dutch natural gas future contracts, which stood to benefit from downward pressure on near-term natural gas prices versus winter prices, detracted slightly, as European inventories reached near-record seasonal levels well before winter. These positions were exited in August.

• 

  Fixed Income-Related

• 

  Commodity-Related

• 

  Equity-Related

Top Detractors

• 

  Currency-Related

The above represents exposures.

Goldman Sachs Tactical Tilt Overlay Fund

Institutional Class 

Performance Overview

The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.

Fund Performance

	Institutional Shares	ICE BofA 3-Month U.S. Treasury Bill Index	S&P 500 Index
08/14	$1,000,000	$1,000,000	$1,000,000
08/15	$1,042,800	$1,000,300	$1,004,800
08/16	$1,029,035	$1,002,601	$1,130,902
08/17	$1,051,365	$1,008,817	$1,314,448
08/18	$1,076,493	$1,024,151	$1,572,868
08/19	$1,084,136	$1,048,321	$1,618,796
08/20	$1,124,574	$1,061,530	$1,973,960
08/21	$1,230,621	$1,062,379	$2,589,243
08/22	$1,236,651	$1,066,310	$2,298,471
08/23	$1,283,892	$1,111,628	$2,664,848
08/24	$1,371,325	$1,172,545	$3,388,087

Average Annual Total Returns (%)

	1 Year	5 Years	10 Years
Institutional Shares	6.81%	4.80%	3.20%
ICE BofA 3-Month U.S. Treasury Bill Index	5.48%	2.26%	1.60%
S&P 500 Index	27.14%	15.90%	12.97%

Performance data quoted above represents past performance. Past performance does not guarantee future results.

The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the S&P 500 Index.

Goldman Sachs Tactical Tilt Overlay Fund

Institutional Class 

Key Fund Statistics (as of August 31, 2024)

Total Net Assets	$4,701,415,728
# of Portfolio Holdings	227
Portfolio Turnover Rate	41%
Total Net Advisory Fees Paid	$31,599,045

What did the Fund invest in? 

The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.

Asset Class Exposure (%)*

	Gross	Long	Short	Net
EU Aerospace and Defense Sector Options	0.7	0.7	-	0.7
GBP 10yr Interest Rate Swaps	1.9	1.9	-	1.9
GBP 10yr Receiver Swaptions	2.0	-	2.0	-2.0
Investment Grade Fixed Income	66.0	66.0	-	66.0
Long European Utilities	1.3	1.3	-	1.3
Long Mexico Equities	1.2	1.2	-	1.2
Long Spot Uranium	1.3	1.3	-	1.3
Mexico Equity Options	0.3	0.3	-	0.3
MLPs	0.9	0.9	-	0.9
S&P 500 Lookback Options	1.1	-	1.1	-1.1
S&P 500 Options	1.0	1.0	-	1.0
TOPIX Options	0.7	0.7	-	0.7
Trend-Based Rotation Tilt	2.0	2.0	-	2.0
US 10yr Treasury Bonds	1.7	1.7	-	1.7
US 2yr Receiver Swaptions	6.5	6.5	-	6.5
US Staples Sector	1.3	1.3	-	1.3
USDCHF Options	0.8	0.8	-	0.8

* Tilts exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a tilt exposure), divided by the Fund's total net assets. "Net Exposure" represents the net exposure within the Fund to a given tilt position, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. 

Goldman Sachs Tactical Tilt Overlay Fund

Institutional Class 

Additional Information 

If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.

• prospectus

• financial information

• fund holdings

• proxy voting information

Disclosure

Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.

ICE Data Indices, LLC (“ICE DATA”) is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES, REPRESENTATIONS, EXPRESS AND/OR IMPLIED INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND GOLDMAN SACHS, OR ANY OF ITS PRODUCTS OR SERVICES.

The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P^® is a registered trademark of S&P Global and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

© 2024 Goldman Sachs. All rights reserved.

No Bank Guarantee

May Lose Value

Not FDIC Insured

Goldman Sachs Tactical Tilt Overlay Fund

38147X838-AR-0824 

Institutional Class 

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) Not applicable.

(c) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.

(d) 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.

(e) Not applicable.

(f) A copy of the Code of Ethics is available as provided in Item 19(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. Kathryn A. Cassidy and Michael Latham are each an “audit committee financial expert” and “independent” (as each term is defined in Item 3 of Form N-CSR).

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.

	2024			2023			Description of Services Rendered
Audit Fees:
• PricewaterhouseCoopers LLP (“PwC”)		$	4,088,928		$	3,823,618	Financial Statement audits.
Audit-Related Fees:
• PwC		$	466,200		$	516,600	Other attest services.
Tax Fees:
• PwC		$	0		$	0

Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates* that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

	2024			2023			Description of Services Rendered
Audit-Related Fees:
• PwC		$	2,122,312		$	2,075,449	Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and semi-annual updates related to withholding tax accrual for non-US jurisdictions. These fees are borne by the Funds’ Adviser.

* These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”).

Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures

Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.

De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.

Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.

Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01 (c)(7)(i)(C) of Regulation S-X.

Item 4(f) – Not applicable.

Item 4(g) Aggregate Non-Audit Fees Disclosure

The aggregate non-audit fees billed to GST by PwC for the twelve months ended August 31, 2024 and August 31, 2023 were approximately $466,200 and $516,600, respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2023 and December 31, 2022 were approximately $18.0 million and $17.1 million, respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2023 and 2022 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.

Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.

Item 4(i) – Not applicable.

Item 4(j) – Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. INVESTMENTS.

Schedule of Investments is included in Item 7 of this report.

ITEM 7. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Goldman Sachs Funds Annual Financial Statements August 31, 2024 Allocation Funds Goldman Sachs Global Managed Beta Fund Goldman Sachs Strategic Factor Allocation Fund Goldman Sachs Strategic Volatility Premium Fund Goldman Sachs Tactical Tilt Overlay Fund

 

 

Goldman Sachs Allocation Funds

TABLE OF CONTENTS
Schedules of Investments	1
Goldman Sachs Global Managed Beta Fund	1
Goldman Sachs Strategic Factor Allocation Fund	24
Goldman Sachs Strategic Volatility Premium Fund	29
Goldman Sachs Tactical Tilt Overlay Fund	32
Financial Statements	40
Statements of Assets and Liabilities	40
Statements of Operations	42
Statements of Changes in Net Assets	44
Financial Highlights	46
Goldman Sachs Global Managed Beta Fund	46
Goldman Sachs Strategic Factor Allocation Fund	47
Goldman Sachs Strategic Volatility Premium Fund	49
Goldman Sachs Tactical Tilt Overlay Fund	51
Notes to Financial Statements	54
Report of Independent Registered Public Accounting Firm	78
Statement Regarding Basis for Approval of Investment Advisory Contract	79

  

   

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – 10.0%
Aerospace & Defense – 0.2%
1,536	Airbus SE	$	235,952
283	Axon Enterprise, Inc.*		103,287
18,616	BAE Systems PLC		334,711
482	Dassault Aviation SA		103,848
213	Elbit Systems Ltd.		43,863
1,236	General Dynamics Corp.		370,009
3,802	General Electric Co.		663,905
311	HEICO Corp.		79,790
529	HEICO Corp. Class A		105,848
2,698	Howmet Aerospace, Inc.		260,789
1,329	Huntington Ingalls Industries, Inc.		375,801
1,621	Kongsberg Gruppen ASA		171,305
1,201	L3Harris Technologies, Inc.		284,241
5,720	Leonardo SpA		145,919
616	Lockheed Martin Corp.		349,950
13,098	Melrose Industries PLC		83,202
220	Northrop Grumman Corp.		115,106
287	Rheinmetall AG		172,415
34,744	Rolls-Royce Holdings PLC*		227,795
4,385	RTX Corp.		540,846
5,164	Saab AB Class B		122,194
1,299	Safran SA		284,657
28,966	Singapore Technologies Engineering Ltd.		98,767
4,803	Textron, Inc.		438,034
732	Thales SA		122,984
257	TransDigm Group, Inc.		352,915
			6,188,133
Air Freight & Logistics – 0.1%
4,819	CH Robinson Worldwide, Inc.		498,815
14,957	Deutsche Post AG		649,217
654	DSV AS		116,874
1,139	Expeditors International of Washington, Inc.		140,564
1,160	FedEx Corp.		346,573
12,983	InPost SA*		239,874
6,363	NIPPON EXPRESS HOLDINGS, Inc.		325,021
500	United Parcel Service, Inc. Class B		64,275
7,450	Yamato Holdings Co. Ltd.		86,524
			2,467,737
Automobile Components – 0.0%
5,355	Aisin Corp.		188,182
1,680	Aptiv PLC*		120,170
3,126	Bridgestone Corp.		122,197
5,835	Cie Generale des Etablissements Michelin SCA		229,108
2,530	Continental AG		171,070
2,964	Denso Corp.		46,013
2,478	Koito Manufacturing Co. Ltd.		36,650
11,113	Sumitomo Electric Industries Ltd.		185,251
			1,098,641

Shares	Description	Value
Common Stocks – (continued)
Automobiles – 0.1%
407	Bayerische Motoren Werke AG	$	37,771
560	Ferrari NV		278,268
3,410	Ford Motor Co.		38,158
30,966	Honda Motor Co. Ltd.		341,718
9,868	Isuzu Motors Ltd.		149,821
17,219	Mazda Motor Corp.		145,435
4,853	Mercedes-Benz Group AG		334,493
11,177	Nissan Motor Co. Ltd.		33,043
19,634	Stellantis NV		330,409
8,877	Subaru Corp.		170,266
3,431	Suzuki Motor Corp.		40,340
6,445	Tesla, Inc.*		1,379,939
22,720	Toyota Motor Corp.		433,791
89,080	Volvo Car AB Class B*		255,123
4,563	Yamaha Motor Co. Ltd.		39,985
			4,008,560
Banks – 0.5%
7,686	ABN AMRO Bank NV(a)		132,100
13,897	AIB Group PLC		83,686
22,203	ANZ Group Holdings Ltd.		455,724
29,264	Banco Bilbao Vizcaya Argentaria SA		310,883
21,777	Banco BPM SpA		148,472
78,567	Banco Santander SA		390,676
5,538	Bank Hapoalim BM		55,209
14,802	Bank Leumi Le-Israel BM		143,128
27,707	Bank of America Corp.		1,129,060
3,424	Bank of Ireland Group PLC		39,333
1,831	Bank of Montreal		153,135
6,229	Bank of Nova Scotia		310,930
1,357	Banque Cantonale Vaudoise		145,350
44,042	Barclays PLC		133,164
3,274	BNP Paribas SA		226,455
88,986	BOC Hong Kong Holdings Ltd.		279,320
23,129	CaixaBank SA		139,309
5,717	Canadian Imperial Bank of Commerce		334,116
5,690	Chiba Bank Ltd.		48,197
10,843	Citigroup, Inc.		679,206
8,329	Citizens Financial Group, Inc.		358,563
4,901	Commerzbank AG		72,666
5,421	Commonwealth Bank of Australia		510,562
10,021	Concordia Financial Group Ltd.		56,866
11,764	Credit Agricole SA		184,282
4,322	Danske Bank AS		134,899
11,020	DBS Group Holdings Ltd.		307,726
5,052	DNB Bank ASA		106,720
3,892	Erste Group Bank AG		213,028
5,312	Fifth Third Bancorp		226,769
3,628	FinecoBank Banca Fineco SpA		62,244
290	First Citizens BancShares, Inc. Class A		588,903
5,973	Hang Seng Bank Ltd.		71,923
67,585	HSBC Holdings PLC		594,114

  

The accompanying notes are an integral part of these financial statements. 1

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – (continued)
Banks – (continued)
16,027	Huntington Bancshares, Inc.	$	239,924
21,963	ING Groep NV		399,334
73,328	Intesa Sanpaolo SpA		306,465
10,673	Israel Discount Bank Ltd. Class A		59,228
11,206	Japan Post Bank Co. Ltd.		105,319
14,657	JPMorgan Chase & Co.		3,294,894
1,086	KBC Group NV		84,564
10,096	KeyCorp		172,238
215,136	Lloyds Banking Group PLC		166,199
1,837	M&T Bank Corp.		316,166
14,386	Mediobanca Banca di Credito Finanziario SpA		243,671
36,683	Mitsubishi UFJ Financial Group, Inc.		387,014
2,319	Mizrahi Tefahot Bank Ltd.		88,811
11,845	Mizuho Financial Group, Inc.		245,973
13,915	National Australia Bank Ltd.		358,619
2,335	National Bank of Canada		213,964
19,597	NatWest Group PLC		89,278
8,481	Nordea Bank Abp		100,207
37,414	Oversea-Chinese Banking Corp. Ltd.		417,034
1,628	PNC Financial Services Group, Inc.		301,327
12,551	Regions Financial Corp.		293,944
13,591	Resona Holdings, Inc.		96,653
4,607	Royal Bank of Canada		557,154
5,373	Shizuoka Financial Group, Inc.		47,964
12,393	Skandinaviska Enskilda Banken AB Class A		190,850
3,420	Societe Generale SA		82,671
12,806	Standard Chartered PLC		131,766
6,587	Sumitomo Mitsui Financial Group, Inc.		434,697
3,698	Sumitomo Mitsui Trust Holdings, Inc.		92,154
17,014	Svenska Handelsbanken AB Class A		175,517
5,691	Swedbank AB Class A		121,736
6,417	Toronto-Dominion Bank		384,501
6,846	U.S. Bancorp		323,337
7,682	UniCredit SpA		319,303
13,453	United Overseas Bank Ltd.		323,397
15,836	Wells Fargo & Co.		925,931
22,079	Westpac Banking Corp.		465,495
			21,384,017
Beverages – 0.1%
2,009	Anheuser-Busch InBev SA		123,296
5,961	Asahi Group Holdings Ltd.		222,498
1,373	Brown-Forman Corp. Class B		62,595
596	Carlsberg AS Class B		70,016
1,552	Celsius Holdings, Inc.*		59,023
10,990	Coca-Cola Co.		796,445

Shares	Description	Value
Common Stocks – (continued)
Beverages – (continued)
2,126	Coca-Cola Europacific Partners PLC	$	171,122
3,373	Coca-Cola HBC AG		125,241
808	Constellation Brands, Inc. Class A		194,494
2,645	Diageo PLC		86,344
1,572	Heineken Holding NV		118,552
598	Heineken NV		53,954
3,319	Keurig Dr. Pepper, Inc.		121,509
6,089	Kirin Holdings Co. Ltd.		91,922
7,494	Molson Coors Beverage Co. Class B		404,451
4,774	Monster Beverage Corp.*		224,999
6,445	PepsiCo, Inc.		1,114,212
2,191	Suntory Beverage & Food Ltd.		80,570
			4,121,243
Biotechnology – 0.2%
7,681	AbbVie, Inc.		1,507,857
474	Alnylam Pharmaceuticals, Inc.*		124,515
1,703	Amgen, Inc.		568,513
2,025	Biogen, Inc.*		414,639
1,148	CSL Ltd.		238,410
423	Genmab AS*		117,642
8,478	Gilead Sciences, Inc.		669,762
11,198	Incyte Corp.*		735,261
1,240	Neurocrine Biosciences, Inc.*		157,554
541	Regeneron Pharmaceuticals, Inc.*		640,917
7,474	Swedish Orphan Biovitrum AB*		232,921
1,607	United Therapeutics Corp.*		584,225
1,224	Vertex Pharmaceuticals, Inc.*		606,969
			6,599,185
Broadline Retail – 0.3%
53,093	Amazon.com, Inc.*		9,477,100
2,721	Canadian Tire Corp. Ltd. Class A		310,210
3,999	Dollarama, Inc.		405,048
5,390	eBay, Inc.		318,549
9,219	Etsy, Inc.*		507,875
148	MercadoLibre, Inc.*		305,126
4,391	Next PLC		588,821
2,352	Pan Pacific International Holdings Corp.		60,208
13,597	Rakuten Group, Inc.*		96,641
11,877	Wesfarmers Ltd.		582,645
			12,652,223
Building Products – 0.1%
3,999	A.O. Smith Corp.		334,796
2,990	AGC, Inc.		94,336
514	Allegion PLC		71,364
5,179	Assa Abloy AB Class B		167,324
4,969	Builders FirstSource, Inc.*		864,606
543	Carlisle Cos., Inc.		230,123
2,904	Carrier Global Corp.		211,353
4,718	Cie de Saint-Gobain SA		412,286

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Building Products – (continued)
191	Daikin Industries Ltd.	$	24,402
4,161	Fortune Brands Innovations, Inc.		330,425
467	Geberit AG		298,727
912	Johnson Controls International PLC		66,439
365	Kingspan Group PLC		31,781
989	Lennox International, Inc.		583,698
7,051	Masco Corp.		560,978
2,939	Owens Corning		495,898
1,148	Rockwool AS Class B		498,115
1,159	TOTO Ltd.		40,226
864	Trane Technologies PLC		312,474
			5,629,351
Capital Markets – 0.3%
8,970	3i Group PLC		376,781
1,678	Ameriprise Financial, Inc.		754,160
518	Amundi SA(a)		38,900
1,222	ARES Management Corp. Class A		178,901
1,493	ASX Ltd.		61,811
9,939	Bank of New York Mellon Corp.		678,039
207	BlackRock, Inc.		186,675
3,149	Blackstone, Inc.		448,292
813	Brookfield Asset Management Ltd. Class A		33,144
1,648	Carlyle Group, Inc.		66,134
1,509	Cboe Global Markets, Inc.		309,949
2,130	Charles Schwab Corp.		138,663
1,872	CME Group, Inc.		403,865
720	Coinbase Global, Inc. Class A*		132,019
12,889	Daiwa Securities Group, Inc.		95,839
24,203	Deutsche Bank AG		395,990
1,014	Deutsche Boerse AG		227,969
1,149	Euronext NV(a)		122,707
638	FactSet Research Systems, Inc.		269,772
12,671	Franklin Resources, Inc.		256,461
36,659	Hargreaves Lansdown PLC		536,932
2,318	Hong Kong Exchanges & Clearing Ltd.		70,730
4,394	IGM Financial, Inc.		129,376
2,714	Intercontinental Exchange, Inc.		438,447
2,716	Japan Exchange Group, Inc.		63,025
1,956	KKR & Co., Inc.		242,094
2,181	London Stock Exchange Group PLC		294,397
1,958	LPL Financial Holdings, Inc.		439,258
362	Macquarie Group Ltd.		52,690
186	MarketAxess Holdings, Inc.		45,084
1,831	Moody’s Corp.		893,052
4,469	Morgan Stanley		463,033
1,040	Nasdaq, Inc.		74,963
15,674	Nomura Holdings, Inc.		92,029
2,384	Northern Trust Corp.		217,445
1,599	Onex Corp.		112,979
231	Partners Group Holding AG		334,195

Shares	Description	Value
Common Stocks – (continued)
Capital Markets – (continued)
2,062	Raymond James Financial, Inc.	$	246,553
5,138	Robinhood Markets, Inc. Class A*		103,376
650	S&P Global, Inc.		333,606
2,908	SBI Holdings, Inc.		71,566
9,190	Schroders PLC		41,599
2,386	SEI Investments Co.		161,365
40,508	Singapore Exchange Ltd.		336,053
5,406	State Street Corp.		470,863
917	T. Rowe Price Group, Inc.		97,239
4,701	TMX Group Ltd.		149,962
1,382	Tradeweb Markets, Inc. Class A		163,408
19,806	UBS Group AG		610,333
			12,461,723
Chemicals – 0.2%
1,812	Air Liquide SA		338,206
1,170	Akzo Nobel NV		74,849
1,335	Arkema SA		123,858
13,158	Asahi Kasei Corp.		93,186
1,282	Celanese Corp.		167,429
1,472	CF Industries Holdings, Inc.		122,308
2,453	Clariant AG		38,584
754	Covestro AG*(a)		46,221
2,239	Dow, Inc.		119,966
741	Eastman Chemical Co.		75,856
1,288	Ecolab, Inc.		326,096
184	EMS-Chemie Holding AG		154,426
6,409	Evonik Industries AG		142,213
36	Givaudan SA		184,909
23,543	ICL Group Ltd.		107,748
1,608	Linde PLC		769,026
3,403	LyondellBasell Industries NV Class A		335,876
33,126	Mitsubishi Chemical Group Corp.		193,595
10,942	Mosaic Co.		312,613
2,221	Nippon Sanso Holdings Corp.		76,532
605	Nitto Denko Corp.		50,734
357	Novonesis (Novozymes) B Class B		24,786
4,464	Nutrien Ltd.		216,202
13,018	Orica Ltd.		156,152
971	PPG Industries, Inc.		125,968
2,974	RPM International, Inc.		345,728
1,722	Sherwin-Williams Co.		636,055
3,810	Shin-Etsu Chemical Co. Ltd.		168,662
2,549	Syensqo SA		209,893
309	Symrise AG		40,775
26,229	Toray Industries, Inc.		135,573
1,540	Westlake Corp.		223,978
1,133	Yara International ASA		32,930
			6,170,933
Commerical Services & Supplies – 0.1%
10,790	Brambles Ltd.		133,011
1,041	Cintas Corp.		838,130
4,726	Copart, Inc.*		250,289

  

The accompanying notes are an integral part of these financial statements. 3

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – (continued)
Commerical Services & Supplies – (continued)
1,352	Element Fleet Management Corp.	$	28,040
893	RB Global, Inc.		76,932
2,144	Republic Services, Inc.		446,402
11,517	Rollins, Inc.		577,923
1,407	Secom Co. Ltd.		102,665
20,398	Securitas AB Class B		238,482
2,998	TOPPAN Holdings, Inc.		90,518
4,144	Veralto Corp.		465,910
1,807	Waste Connections, Inc.		337,006
2,254	Waste Management, Inc.		477,938
			4,063,246
Communications Equipment – 0.1%
1,021	Arista Networks, Inc.*		360,801
19,441	Cisco Systems, Inc.		982,548
1,981	F5, Inc.*		402,440
8,082	Juniper Networks, Inc.		314,228
1,243	Motorola Solutions, Inc.		549,456
83,989	Nokia OYJ		370,249
23,035	Telefonaktiebolaget LM Ericsson Class B		171,846
			3,151,568
Construction & Engineering – 0.1%
8,980	ACS Actividades de Construccion y Servicios SA		407,785
4,517	AECOM		452,332
9,758	Bouygues SA		348,903
3,270	Eiffage SA		343,236
644	EMCOR Group, Inc.		253,131
2,377	Ferrovial SE		99,390
2,889	Kajima Corp.		52,901
12,099	Obayashi Corp.		155,596
827	Quanta Services, Inc.		227,532
2,251	Skanska AB Class B		45,432
1,813	Stantec, Inc.		148,481
2,742	Taisei Corp.		124,589
2,995	Vinci SA		357,947
3,483	WSP Global, Inc.		580,634
			3,597,889
Construction Materials – 0.0%
501	CRH PLC		45,476
3,026	Heidelberg Materials AG		321,412
4,860	Holcim AG		470,803
4,499	James Hardie Industries PLC*		167,826
398	Martin Marietta Materials, Inc.		212,596
945	Vulcan Materials Co.		231,723
			1,449,836
Consumer Finance – 0.1%
11,456	Ally Financial, Inc.		494,785
2,882	American Express Co.		745,429
4,020	Capital One Financial Corp.		590,659
4,234	Discover Financial Services		587,298

Shares	Description	Value
Common Stocks – (continued)
Consumer Finance – (continued)
0	Isracard Ltd.	$	3
11,997	Synchrony Financial		602,969
			3,021,143
Consumer Staples Distribution & Retail – 0.3%
5,521	Aeon Co. Ltd.		138,301
34,531	Albertsons Cos., Inc. Class A		677,498
3,664	Alimentation Couche-Tard, Inc.		209,158
18,509	Carrefour SA		298,185
37,421	Coles Group Ltd.		475,096
2,086	Costco Wholesale Corp.		1,861,505
1,125	Dollar General Corp.		93,341
2,168	Dollar Tree, Inc.*		183,174
18,826	Empire Co. Ltd. Class A		524,974
9,350	Endeavour Group Ltd.		33,713
1,837	George Weston Ltd.		298,781
94,961	J Sainsbury PLC		366,148
12,449	Jeronimo Martins SGPS SA		230,361
22,137	Koninklijke Ahold Delhaize NV		760,046
18,677	Kroger Co.		993,803
4,369	Loblaw Cos. Ltd.		570,192
18,004	MatsukiyoCocokara & Co.		291,387
1,273	Metro, Inc.		79,970
14,157	Seven & i Holdings Co. Ltd.		203,915
9,472	Sysco Corp.		738,532
3,235	Target Corp.		496,961
115,276	Tesco PLC		537,456
4,090	Walgreens Boots Alliance, Inc.		37,832
31,098	Walmart, Inc.		2,401,699
18,996	Woolworths Group Ltd.		458,242
			12,960,270
Containers & Packaging – 0.0%
12,116	Amcor PLC		138,607
816	Avery Dennison Corp.		181,030
1,269	Crown Holdings, Inc.		114,730
686	International Paper Co.		33,216
1,134	Packaging Corp. of America		237,619
7,629	Smurfit WestRock PLC		361,767
			1,066,969
Distributors – 0.0%
93	D’ieteren Group		22,577
2,228	Genuine Parts Co.		319,183
12,908	LKQ Corp.		536,844
644	Pool Corp.		226,443
			1,105,047
Diversified Consumer Services – 0.0%
10,078	Pearson PLC		140,448
Diversified REITs – 0.0%
123	Nomura Real Estate Master Fund, Inc.		124,576

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Diversified REITs – (continued)
3,688	WP Carey, Inc.	$	221,354
			345,930
Diversified Telecommunication Services – 0.1%
37,285	AT&T, Inc.		741,971
1,995	BCE, Inc.		69,888
19,607	Deutsche Telekom AG		557,878
2,199	Elisa OYJ		110,118
95,978	HKT Trust & HKT Ltd.		121,864
10,865	Infrastrutture Wireless Italiane SpA(a)		130,144
51,059	Koninklijke KPN NV		208,534
344,021	Nippon Telegraph & Telephone Corp.		367,688
20,485	Orange SA		233,650
4,410	Quebecor, Inc. Class B		109,526
20,647	Singapore Telecommunications Ltd.		49,516
57,719	Spark New Zealand Ltd.		129,219
209	Swisscom AG		132,124
82,587	Telefonica SA		373,630
6,273	Telenor ASA		77,779
32,052	Telia Co. AB		99,388
38,670	Telstra Group Ltd.		102,712
3,460	TELUS Corp.		55,893
16,803	Verizon Communications, Inc.		702,029
			4,373,551
Electric Utilities – 0.1%
2,226	Alliant Energy Corp.		129,709
982	American Electric Power Co., Inc.		98,475
193	BKW AG		36,279
4,333	Chubu Electric Power Co., Inc.		54,136
3,877	CK Infrastructure Holdings Ltd.		28,682
8,127	CLP Holdings Ltd.		72,512
1,201	Constellation Energy Corp.		236,237
1,892	Duke Energy Corp.		215,593
964	Edison International		83,897
688	Emera, Inc.		25,909
3,536	Endesa SA		74,659
19,476	Enel SpA		148,031
986	Entergy Corp.		119,000
1,818	Evergy, Inc.		107,517
1,954	Exelon Corp.		74,428
3,164	FirstEnergy Corp.		138,963
1,663	Fortis, Inc.		73,176
4,022	Fortum OYJ		64,131
2,391	Hydro One Ltd.(a)		81,276
17,325	Iberdrola SA		245,818
11,575	Kansai Electric Power Co., Inc.		205,734
5,902	NRG Energy, Inc.		501,729
16,929	Origin Energy Ltd.		114,138
4,325	PG&E Corp.		85,203
11,380	Power Assets Holdings Ltd.		79,204
4,556	PPL Corp.		145,382

Shares	Description	Value
Common Stocks – (continued)
Electric Utilities – (continued)
5,073	Redeia Corp. SA	$	96,354
2,195	Southern Co.		189,648
2,360	SSE PLC		58,699
8,117	Terna - Rete Elettrica Nazionale		70,674
6,309	Tokyo Electric Power Co. Holdings, Inc.*		30,092
1,217	Xcel Energy, Inc.		74,517
			3,759,802
Electrical Equipment – 0.1%
5,713	ABB Ltd.		328,536
1,722	AMETEK, Inc.		294,548
1,170	Eaton Corp. PLC		359,108
2,109	Emerson Electric Co.		222,268
617	Fuji Electric Co. Ltd.		37,243
950	GE Vernova, Inc.*		190,950
381	Hubbell, Inc.		152,370
1,012	Legrand SA		113,348
7,512	Mitsubishi Electric Corp.		126,547
2,300	Prysmian SpA		161,997
1,246	Schneider Electric SE		317,854
6,548	Siemens Energy AG*		189,113
2,036	Vertiv Holdings Co. Class A		169,049
			2,662,931
Electronic Equipment, Instruments & Components – 0.1%
7,470	Amphenol Corp. Class A		503,852
1,588	CDW Corp.		358,316
6,332	Corning, Inc.		264,994
5,538	Halma PLC		190,443
4,819	Hamamatsu Photonics KK		128,593
3,330	Hexagon AB Class B		34,088
1,801	Ibiden Co. Ltd.		62,785
2,925	Jabil, Inc.		319,644
113	Keyence Corp.		54,287
1,440	Keysight Technologies, Inc.*		221,933
12,016	Kyocera Corp.		148,849
1,578	Murata Manufacturing Co. Ltd.		33,076
6,553	Shimadzu Corp.		218,939
2,348	TDK Corp.		160,044
1,529	TE Connectivity Ltd.		234,854
686	Teledyne Technologies, Inc.*		296,901
1,277	Trimble, Inc.*		72,393
2,382	Yokogawa Electric Corp.		67,186
			3,371,177
Energy Equipment & Services – 0.0%
5,609	Baker Hughes Co.		197,269
3,247	Halliburton Co.		100,949
3,228	Schlumberger NV		142,000
15,081	Tenaris SA		221,943
			662,161
Entertainment – 0.1%
27,581	Bollore SE		181,735

  

The accompanying notes are an integral part of these financial statements. 5

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – (continued)
Entertainment – (continued)
11,980	Capcom Co. Ltd.	$	261,899
2,734	Electronic Arts, Inc.		415,076
382	Live Nation Entertainment, Inc.*		37,310
1,247	Netflix, Inc.*		874,583
2,411	Nintendo Co. Ltd.		131,120
1,223	ROBLOX Corp. Class A*		53,800
268	Take-Two Interactive Software, Inc.*		43,338
1,703	Toho Co. Ltd.		65,466
4,040	Universal Music Group NV		105,701
5,289	Walt Disney Co.		478,020
65,272	Warner Bros Discovery, Inc.*		511,732
			3,159,780
Financial Services – 0.3%
5,367	Apollo Global Management, Inc.		621,123
7,701	Berkshire Hathaway, Inc. Class B*		3,665,060
15,352	Corebridge Financial, Inc.		453,805
919	Corpay, Inc.*		289,991
19,627	Equitable Holdings, Inc.		834,540
3,157	Eurazeo SE		248,693
4,685	EXOR NV		522,762
2,593	Fiserv, Inc.*		452,738
4,310	Groupe Bruxelles Lambert NV		332,796
5,206	Industrivarden AB Class A		187,115
5,406	Industrivarden AB Class C		194,175
12,103	Investor AB Class B		360,372
713	Jack Henry & Associates, Inc.		123,370
1,724	L E Lundbergforetagen AB Class B		94,532
64,535	M&G PLC		182,379
4,460	Mastercard, Inc. Class A		2,155,696
22,699	Mitsubishi HC Capital, Inc.		163,956
4,094	ORIX Corp.		102,927
894	PayPal Holdings, Inc.*		64,753
7,992	Visa, Inc. Class A		2,208,749
3,813	Washington H Soul Pattinson & Co. Ltd.		88,915
19,605	Wise PLC Class A*		182,142
			13,530,589
Food Products – 0.1%
3,853	Ajinomoto Co., Inc.		148,312
5,981	Archer-Daniels-Midland Co.		364,781
7,581	Associated British Foods PLC		248,692
4,115	Bunge Global SA		417,179
1,261	Campbell Soup Co.		62,697
4	Chocoladefabriken Lindt & Spruengli AG		52,860
8,839	Conagra Brands, Inc.		275,777
2,130	Danone SA		148,007
1,891	General Mills, Inc.		136,700
1,246	Hershey Co.		240,553
711	J.M. Smucker Co.		81,538
3,735	JDE Peet’s NV		85,449

Shares	Description	Value
Common Stocks – (continued)
Food Products – (continued)
1,373	Kellanova	$	110,678
253	Kerry Group PLC Class A		25,407
2,655	Kikkoman Corp.		30,048
6,058	Kraft Heinz Co.		214,635
277	McCormick & Co., Inc.		22,168
1,940	MEIJI Holdings Co. Ltd.		48,176
2,966	Mondelez International, Inc. Class A		212,988
5,662	Nestle SA		607,193
2,685	Nissin Foods Holdings Co. Ltd.		70,166
5,489	Orkla ASA		48,798
1,206	Salmar ASA		62,618
2,991	Saputo, Inc.		66,516
2,366	Tyson Foods, Inc. Class A		152,157
453,398	WH Group Ltd.(a)		328,836
119,480	Wilmar International Ltd.		287,374
1,972	Yakult Honsha Co. Ltd.		41,663
			4,591,966
Gas Utilities – 0.0%
3,380	AltaGas Ltd.		86,579
5,034	APA Group		25,797
1,324	Atmos Energy Corp.		173,100
5,415	Osaka Gas Co. Ltd.		133,749
13,345	Snam SpA		66,289
8,789	Tokyo Gas Co. Ltd.		219,863
			705,377
Ground Transportation – 0.1%
51,204	Aurizon Holdings Ltd.		116,897
964	Canadian National Railway Co.		113,586
1,077	Canadian Pacific Kansas City Ltd.		89,403
6,227	Central Japan Railway Co.		144,147
8,472	CSX Corp.		290,335
3,666	East Japan Railway Co.		70,284
3,843	Hankyu Hanshin Holdings, Inc.		118,090
9,605	Kintetsu Group Holdings Co. Ltd.		223,952
254	Norfolk Southern Corp.		65,065
894	Old Dominion Freight Line, Inc.		172,363
535	TFI International, Inc.		79,179
5,595	Tokyu Corp.		68,441
4,656	Uber Technologies, Inc.*		340,493
1,501	Union Pacific Corp.		384,391
4,266	West Japan Railway Co.		81,352
			2,357,978
Health Care Equipment & Supplies – 0.2%
4,911	Abbott Laboratories		556,269
946	Alcon, Inc.		92,176
697	Align Technology, Inc.*		165,342
607	Baxter International, Inc.		23,030
801	Becton Dickinson & Co.		194,170
1,057	BioMerieux		122,322
6,102	Boston Scientific Corp.*		499,083
405	Carl Zeiss Meditec AG		29,732

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Health Care Equipment & Supplies – (continued)
2,258	Cochlear Ltd.	$	458,427
624	Coloplast AS Class B		84,961
1,279	Cooper Cos., Inc.*		135,229
4,327	Demant AS*		182,956
719	Dexcom, Inc.*		49,855
3,673	Edwards Lifesciences Corp.*		256,963
880	EssilorLuxottica SA		208,678
16,006	Fisher & Paykel Healthcare Corp. Ltd.		357,267
2,666	Hologic, Inc.*		216,586
3,305	Hoya Corp.		469,068
1,124	IDEXX Laboratories, Inc.*		541,015
1,251	Insulet Corp.*		253,665
845	Intuitive Surgical, Inc.*		416,272
13,211	Koninklijke Philips NV*		397,925
3,189	Medtronic PLC		282,482
13,938	Olympus Corp.		254,893
461	Siemens Healthineers AG(a)		26,867
16,455	Smith & Nephew PLC		253,395
535	Sonova Holding AG		187,057
700	STERIS PLC		168,770
1,633	Straumann Holding AG		241,958
1,072	Stryker Corp.		386,370
11,943	Sysmex Corp.		231,605
157	Teleflex, Inc.		38,492
1,410	Terumo Corp.		26,218
1,309	Zimmer Biomet Holdings, Inc.		151,137
			7,960,235
Health Care Providers & Services – 0.2%
4,691	Cardinal Health, Inc.		528,770
2,398	Cencora, Inc.		574,489
7,105	Centene Corp.*		560,087
2,121	Cigna Group		767,399
10,106	CVS Health Corp.		578,468
1,814	DaVita, Inc.*		273,769
1,012	Elevance Health, Inc.		563,573
7,740	Fresenius Medical Care AG		298,790
10,756	Fresenius SE & Co. KGaA*		397,186
817	HCA Healthcare, Inc.		323,197
4,292	Henry Schein, Inc.*		302,801
645	Humana, Inc.		228,633
1,128	Labcorp Holdings, Inc.		259,316
1,166	McKesson Corp.		654,219
846	Molina Healthcare, Inc.*		295,922
1,822	Quest Diagnostics, Inc.		285,999
4,558	Sonic Healthcare Ltd.		85,289
3,601	UnitedHealth Group, Inc.		2,125,310
2,271	Universal Health Services, Inc. Class B		540,430
			9,643,647
Health Care REITs – 0.0%
705	Alexandria Real Estate Equities, Inc.		84,297

Shares	Description	Value
Common Stocks – (continued)
Health Care REITs – (continued)
1,263	Welltower, Inc.	$	152,419
			236,716
Health Care Technology – 0.0%
580	ABIOMED, Inc.*(b)		591
1,967	Pro Medicus Ltd.		201,282
			201,873
Hotel & Resort REITs – 0.0%
15,902	Host Hotels & Resorts, Inc.		281,465
Hotels, Restaurants & Leisure – 0.2%
1,922	Accor SA		81,041
764	Airbnb, Inc. Class A*		89,625
1,241	Amadeus IT Group SA		83,738
3,089	Aristocrat Leisure Ltd.		114,019
280	Booking Holdings, Inc.		1,094,584
6,456	Caesars Entertainment, Inc.*		243,004
9,953	Carnival Corp.*		164,224
5,450	Chipotle Mexican Grill, Inc.*		305,636
10,511	Compass Group PLC		332,203
1,302	Darden Restaurants, Inc.		205,911
678	Domino’s Pizza, Inc.		280,834
1,125	DoorDash, Inc. Class A*		144,799
3,786	DraftKings, Inc. Class A*		130,617
3,490	Entain PLC		29,731
493	Evolution AB(a)		51,248
2,849	Expedia Group, Inc.*		396,267
1,616	Hilton Worldwide Holdings, Inc.		354,938
471	Hyatt Hotels Corp. Class A		71,554
2,167	InterContinental Hotels Group PLC		216,882
7,807	La Francaise des Jeux SAEM(a)		318,273
156,831	Lottery Corp. Ltd.		528,170
1,120	Marriott International, Inc. Class A		262,853
1,960	McDonald’s Corp.		565,774
3,676	McDonald’s Holdings Co. Japan Ltd.		161,463
6,047	MGM Resorts International*		227,307
957	Restaurant Brands International, Inc.		66,489
1,422	Royal Caribbean Cruises Ltd.*		234,090
1,520	Sodexo SA		135,257
2,809	Starbucks Corp.		265,647
2,936	Whitbread PLC		111,626
1,102	Wynn Resorts Ltd.		84,722
4,820	Yum! Brands, Inc.		650,314
9,465	Zensho Holdings Co. Ltd.		494,251
			8,497,091
Household Durables – 0.1%
5,421	Barratt Developments PLC		36,274
2,865	Berkeley Group Holdings PLC		188,360
2,646	DR Horton, Inc.		499,459
1,657	Garmin Ltd.		303,711
3,537	Lennar Corp. Class A		643,946

  

The accompanying notes are an integral part of these financial statements. 7

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – (continued)
Household Durables – (continued)
38	NVR, Inc.*	$	348,553
19,755	Panasonic Holdings Corp.		165,980
4,138	PulteGroup, Inc.		544,768
1,672	SEB SA		174,105
10,313	Sekisui Chemical Co. Ltd.		157,379
5,968	Sekisui House Ltd.		154,254
1,454	Sony Group Corp.		141,611
14,283	Taylor Wimpey PLC		30,346
			3,388,746
Household Products – 0.1%
2,228	Church & Dwight Co., Inc.		226,989
2,813	Clorox Co.		445,326
10,096	Colgate-Palmolive Co.		1,075,224
4,218	Essity AB Class B		128,093
2,469	Henkel AG & Co. KGaA		205,309
2,770	Kimberly-Clark Corp.		400,708
9,040	Procter & Gamble Co.		1,550,721
1,266	Reckitt Benckiser Group PLC		72,835
1,146	Unicharm Corp.		39,761
			4,144,966
Independent Power and Renewable Electricity Producers – 0.0%
892	RWE AG		32,177
9,756	Vistra Corp.		833,455
			865,632
Industrial Conglomerates – 0.1%
990	3M Co.		133,343
79,393	CK Hutchison Holdings Ltd.		435,213
3,762	DCC PLC		265,801
390	Hikari Tsushin, Inc.		82,368
15,580	Hitachi Ltd.		384,359
1,437	Honeywell International, Inc.		298,767
11,204	Jardine Matheson Holdings Ltd.		403,792
14,893	Keppel Ltd.		70,416
1,938	Siemens AG		364,548
5,247	Smiths Group PLC		124,827
5,242	Swire Pacific Ltd. Class A		44,495
			2,607,929
Industrial REITs – 0.0%
7,979	Goodman Group		180,005
29	Nippon Prologis REIT, Inc.		51,087
415	Prologis, Inc.		53,045
			284,137
Insurance – 0.4%
7,632	Admiral Group PLC		293,120
24,150	Aegon Ltd.		147,905
4,913	Aflac, Inc.		542,199
4,900	Ageas SA		251,874
1,925	Allianz SE		598,013
1,197	Allstate Corp.		226,161
1,532	American Financial Group, Inc.		204,706

Shares	Description	Value
Common Stocks – (continued)
Insurance – (continued)
7,253	American International Group, Inc.	$	558,844
619	Aon PLC Class A		212,763
4,134	Arch Capital Group Ltd.*		467,514
1,356	Arthur J Gallagher & Co.		396,725
3,655	ASR Nederland NV		179,124
1,611	Assurant, Inc.		316,320
26,038	Aviva PLC		173,172
9,995	AXA SA		380,401
634	Baloise Holding AG		122,631
3,029	Brown & Brown, Inc.		318,439
2,072	Chubb Ltd.		588,821
2,966	Cincinnati Financial Corp.		406,431
3,758	Dai-ichi Life Holdings, Inc.		108,519
630	Erie Indemnity Co. Class A		320,185
1,008	Everest Group Ltd.		395,378
320	Fairfax Financial Holdings Ltd.		386,322
3,596	Fidelity National Financial, Inc.		212,020
19,457	Generali		537,002
4,181	Gjensidige Forsikring ASA		74,043
4,402	Great-West Lifeco, Inc.		144,703
706	Hannover Rueck SE		200,302
4,770	Hartford Financial Services Group, Inc.		553,797
1,032	Helvetia Holding AG		163,656
2,804	iA Financial Corp., Inc.		215,515
30,938	Insurance Australia Group Ltd.		158,104
574	Intact Financial Corp.		108,028
16,408	Japan Post Holdings Co. Ltd.		160,325
7,878	Japan Post Insurance Co. Ltd.		149,261
16,049	Legal & General Group PLC		47,399
6,962	Loews Corp.		570,466
11,871	Manulife Financial Corp.		327,770
272	Markel Group, Inc.*		435,385
3,816	Marsh & McLennan Cos., Inc.		868,178
38,138	Medibank Pvt Ltd.		99,566
1,888	MetLife, Inc.		146,282
6,429	MS&AD Insurance Group Holdings, Inc.		148,192
839	Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen		453,935
5,526	NN Group NV		271,030
5,366	Phoenix Group Holdings PLC		39,988
25,471	Poste Italiane SpA(a)		354,652
8,066	Power Corp. of Canada		247,609
4,489	Principal Financial Group, Inc.		365,494
1,954	Progressive Corp.		492,799
3,006	Prudential Financial, Inc.		364,207
2,441	Prudential PLC		21,014
20,082	QBE Insurance Group Ltd.		214,154
2,479	Sampo OYJ Class A		110,517
7,908	Sompo Holdings, Inc.		186,725
2,152	Sun Life Financial, Inc.		117,305
19,612	Suncorp Group Ltd.		234,218
264	Swiss Life Holding AG		214,015
2,917	Swiss Re AG		398,535

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Insurance – (continued)
3,106	T&D Holdings, Inc.	$	52,625
3,338	Talanx AG		287,593
4,749	Tokio Marine Holdings, Inc.		180,721
1,635	Travelers Cos., Inc.		372,894
5,405	Tryg AS		120,551
5,583	W.R. Berkley Corp.		333,305
505	Willis Towers Watson PLC		147,516
608	Zurich Insurance Group AG		352,929
			18,849,892
Interactive Media & Services – 0.4%
26,214	Alphabet, Inc. Class C		4,328,193
30,273	Alphabet, Inc. Class A		4,946,003
60,619	Auto Trader Group PLC(a)		680,867
5,480	CAR Group Ltd.		140,644
10,691	Match Group, Inc.*		397,812
12,015	Meta Platforms, Inc. Class A		6,263,540
14,343	Pinterest, Inc. Class A*		459,550
1,605	REA Group Ltd.		237,733
1,348	Scout24 SE(a)		102,832
5,944	Snap, Inc. Class A*		55,517
			17,612,691
IT Services – 0.2%
3,278	Accenture PLC Class A		1,120,912
5,335	Akamai Technologies, Inc.*		543,316
4,985	Bechtle AG		214,809
933	Capgemini SE		193,284
2,427	CGI, Inc.*		273,432
879	Cloudflare, Inc. Class A*		72,201
10,239	Cognizant Technology Solutions Corp. Class A		796,287
1,838	EPAM Systems, Inc.*		368,997
6,820	Fujitsu Ltd.		126,067
1,231	Gartner, Inc.*		605,603
4,399	GoDaddy, Inc. Class A*		736,437
6,091	International Business Machines Corp.		1,231,174
293	MongoDB, Inc.*		85,201
2,626	NEC Corp.		232,731
1,099	Obic Co. Ltd.		190,208
2,039	Okta, Inc.*		160,530
7,600	Otsuka Corp.		180,806
10,270	SCSK Corp.		206,526
1,360	Shopify, Inc. Class A*		100,725
4,278	TIS, Inc.		107,211
10,279	Twilio, Inc. Class A*		645,110
4,303	VeriSign, Inc.*		791,322
2,263	Wix.com Ltd.*		377,061
			9,359,950
Leisure Products – 0.0%
3,303	Bandai Namco Holdings, Inc.		70,960
2,920	BRP, Inc.		211,777

Shares	Description	Value
Common Stocks – (continued)
Leisure Products – (continued)
170	Shimano, Inc.	$	32,118
			314,855
Life Sciences Tools & Services – 0.1%
1,029	Agilent Technologies, Inc.		147,065
12,301	Avantor, Inc.*		317,858
918	Bio-Rad Laboratories, Inc. Class A*		309,660
380	Bio-Techne Corp.		28,116
849	Charles River Laboratories International, Inc.*		167,890
1,747	Danaher Corp.		470,485
692	Eurofins Scientific SE		39,500
719	IQVIA Holdings, Inc.*		180,864
399	Mettler-Toledo International, Inc.*		574,193
3,317	Qiagen NV*		152,575
920	Thermo Fisher Scientific, Inc.		565,864
761	Waters Corp.*		263,572
349	West Pharmaceutical Services, Inc.		109,457
			3,327,099
Machinery – 0.2%
1,239	Alfa Laval AB		55,590
8,068	Atlas Copco AB Class A		146,782
5,508	Atlas Copco AB Class B		87,835
1,787	Caterpillar, Inc.		636,351
1,302	Cummins, Inc.		407,331
2,667	Daimler Truck Holding AG		102,526
669	Deere & Co.		258,060
659	Dover Corp.		122,594
1,651	Epiroc AB Class A		31,841
1,494	Epiroc AB Class B		26,525
3,802	Fortive Corp.		282,869
1,741	GEA Group AG		81,907
1,740	Graco, Inc.		145,029
740	Hoshizaki Corp.		23,936
4,180	Husqvarna AB Class B		28,258
668	IDEX Corp.		137,929
1,789	Illinois Tool Works, Inc.		452,939
2,410	Ingersoll Rand, Inc.		220,394
2,698	Knorr-Bremse AG		221,857
3,086	Komatsu Ltd.		86,354
12,160	Mitsubishi Heavy Industries Ltd.		163,945
606	Nordson Corp.		155,475
3,723	Otis Worldwide Corp.		352,531
3,196	PACCAR, Inc.		307,391
584	Parker-Hannifin Corp.		350,517
1,571	Pentair PLC		139,332
531	Rational AG		535,988
2,893	Sandvik AB		61,631
239	Schindler Holding AG		65,298
9,295	SKF AB Class B		176,128
1,438	Snap-on, Inc.		408,018
1,680	Stanley Black & Decker, Inc.		171,965
14,880	Techtronic Industries Co. Ltd.		199,374

  

The accompanying notes are an integral part of these financial statements. 9

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – (continued)
Machinery – (continued)
2,687	Toro Co.	$	248,816
851	Toyota Industries Corp.		67,429
1,026	Trelleborg AB Class B		40,069
343	VAT Group AG(a)		177,950
9,404	Volvo AB Class B		250,057
5,098	Volvo AB Class A		137,231
2,006	Wartsila OYJ Abp		44,243
2,660	Westinghouse Air Brake Technologies Corp.		451,056
1,018	Xylem, Inc.		140,005
676	Yaskawa Electric Corp.		22,524
			8,223,880
Marine Transportation – 0.0%
9,339	Kawasaki Kisen Kaisha Ltd.		137,955
1,387	Kuehne & Nagel International AG		430,398
3,287	Mitsui OSK Lines Ltd.		118,580
5,376	Nippon Yusen KK		195,035
			881,968
Media – 0.1%
950	Charter Communications, Inc. Class A*		330,163
18,672	Comcast Corp. Class A		738,851
2,322	Dentsu Group, Inc.		71,410
12,017	Fox Corp. Class A		497,143
12,970	Fox Corp. Class B		498,437
12,824	Informa PLC		141,190
11,049	News Corp. Class A		313,018
2,289	Omnicom Group, Inc.		229,884
12,516	Paramount Global Class B		131,043
1,842	Publicis Groupe SA		203,160
814	Trade Desk, Inc. Class A*		85,087
17,940	Vivendi SE		201,249
13,713	WPP PLC		131,356
			3,571,991
Metals & Mining – 0.1%
661	Agnico Eagle Mines Ltd./Mines Agnico Eagle Ltd.		53,855
12,151	ArcelorMittal SA		284,669
9,041	BHP Group Ltd.		248,931
24,055	BlueScope Steel Ltd.		335,133
21,863	Cleveland-Cliffs, Inc.*		285,531
11,709	Fortescue Ltd.		144,249
41,127	Glencore PLC		216,988
2,990	Ivanhoe Mines Ltd. Class A*		39,870
14,609	JFE Holdings, Inc.		202,526
8,691	Nippon Steel Corp.		198,335
6,003	Northern Star Resources Ltd.		61,295
1,944	Nucor Corp.		295,313
76,206	Pilbara Minerals Ltd.		152,570
839	Reliance, Inc.		240,499
1,184	Rio Tinto Ltd.		88,642
2,057	Steel Dynamics, Inc.		245,832

Shares	Description	Value
Common Stocks – (continued)
Metals & Mining – (continued)
11,694	voestalpine AG	$	285,336
			3,379,574
Mortgage Real Estate Investment Trusts (REITs) – 0.0%
2,641	Annaly Capital Management, Inc.		53,243
Multi-Utilities – 0.1%
1,143	Ameren Corp.		94,309
1,051	Canadian Utilities Ltd. Class A		26,516
4,529	CenterPoint Energy, Inc.		123,642
154,614	Centrica PLC		262,531
1,778	CMS Energy Corp.		120,655
1,452	Consolidated Edison, Inc.		147,465
883	DTE Energy Co.		110,393
15,485	E.ON SE		219,518
10,385	Engie SA		182,903
7,712	National Grid PLC		101,584
4,214	NiSource, Inc.		139,315
1,971	Public Service Enterprise Group, Inc.		159,158
30,974	Sembcorp Industries Ltd.		117,144
1,666	Sempra		136,912
2,117	Veolia Environnement SA		70,132
1,182	WEC Energy Group, Inc.		109,961
			2,122,138
Office REITs – 0.0%
3,737	BXP, Inc.		281,097
30	Japan Real Estate Investment Corp.		120,531
25	Nippon Building Fund, Inc.		112,185
			513,813
Oil, Gas & Consumable Fuels – 0.3%
1,678	Aker BP ASA		40,198
9,512	Ampol Ltd.		186,107
2,465	APA Corp.		70,228
8,934	ARC Resources Ltd.		165,335
74,673	BP PLC		422,744
1,981	Cameco Corp.		80,833
4,978	Canadian Natural Resources Ltd.		180,185
20,765	Cenovus Energy, Inc.		385,053
1,541	Cheniere Energy, Inc.		285,486
526	Chesapeake Energy Corp.		39,182
6,694	Chevron Corp.		990,377
3,363	ConocoPhillips		382,676
2,636	Coterra Energy, Inc.		64,134
1,718	Devon Energy Corp.		76,932
822	Diamondback Energy, Inc.		160,380
4,566	Enbridge, Inc.		183,704
38,472	ENEOS Holdings, Inc.		209,279
25,257	Eni SpA		411,013
2,700	EOG Resources, Inc.		347,814
6,187	Equinor ASA		166,013
15,739	Exxon Mobil Corp.		1,856,258
6,773	Galp Energia SGPS SA		140,702

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Oil, Gas & Consumable Fuels – (continued)
7,532	HF Sinclair Corp.	$	370,122
20,609	Idemitsu Kosan Co. Ltd.		150,629
3,057	Imperial Oil Ltd.		230,242
15,883	Inpex Corp.		234,135
3,672	Keyera Corp.		109,998
11,843	Kinder Morgan, Inc.		255,454
9,397	Marathon Oil Corp.		269,224
3,111	Marathon Petroleum Corp.		551,020
10,336	MEG Energy Corp.*		205,853
3,575	Occidental Petroleum Corp.		203,703
1,196	OMV AG		52,165
3,075	ONEOK, Inc.		284,007
4,513	Ovintiv, Inc.		193,292
9,898	Parkland Corp.		267,859
3,969	Pembina Pipeline Corp.		159,891
3,469	Phillips 66		486,735
20,348	Repsol SA		279,418
26,297	Santos Ltd.		128,208
22,726	Shell PLC		805,262
8,755	Suncor Energy, Inc.		355,098
1,686	Targa Resources Corp.		247,673
2,158	TC Energy Corp.		99,954
10,018	TotalEnergies SE		689,156
3,263	Valero Energy Corp.		478,780
8,726	Williams Cos., Inc.		399,389
1,131	Woodside Energy Group Ltd.		20,719
			14,372,619
Paper & Forest Products – 0.0%
1,699	Holmen AB Class B		69,503
5,440	Mondi PLC		105,537
			175,040
Passenger Airlines – 0.0%
10,622	Air Canada*		121,696
12,626	ANA Holdings, Inc.		255,221
1,911	Delta Air Lines, Inc.		81,199
43,662	Deutsche Lufthansa AG		283,634
16,075	Japan Airlines Co. Ltd.		269,900
65,033	Singapore Airlines Ltd.		313,011
			1,324,661
Personal Products – 0.1%
1,503	Beiersdorf AG		217,334
2,065	Estee Lauder Cos., Inc. Class A		189,278
27,566	Haleon PLC		138,843
1,419	Kao Corp.		63,588
13,298	Kenvue, Inc.		291,891
1,365	L’Oreal SA		598,900
13,489	Shiseido Co. Ltd.		300,607
5,125	Unilever PLC		332,234
			2,132,675
Pharmaceuticals – 0.4%
10,554	Astellas Pharma, Inc.		131,154

Shares	Description	Value
Common Stocks – (continued)
Pharmaceuticals – (continued)
4,594	AstraZeneca PLC	$	805,169
2,853	Bayer AG		88,091
17,381	Bristol-Myers Squibb Co.		868,181
2,849	Chugai Pharmaceutical Co. Ltd.		143,825
2,565	Daiichi Sankyo Co. Ltd.		107,673
6,045	Eisai Co. Ltd.		253,726
3,418	Eli Lilly & Co.		3,281,348
28,700	GSK PLC		625,073
14,329	Hikma Pharmaceuticals PLC		374,536
4,866	Ipsen SA		590,075
9,498	Johnson & Johnson		1,575,338
11,753	Merck & Co., Inc.		1,392,143
7,943	Novartis AG		959,659
13,543	Novo Nordisk AS Class B		1,881,260
10,971	Ono Pharmaceutical Co. Ltd.		162,188
6,750	Orion OYJ Class B		357,926
4,870	Otsuka Holdings Co. Ltd.		287,109
6,341	Pfizer, Inc.		183,952
2,146	Recordati Industria Chimica e Farmaceutica SpA		126,000
3,285	Roche Holding AG		1,126,343
17,816	Royalty Pharma PLC Class A		517,199
4,691	Sanofi SA		526,509
3,148	Shionogi & Co. Ltd.		146,640
8,514	Takeda Pharmaceutical Co. Ltd.		253,479
38,675	Teva Pharmaceutical Industries Ltd.*		729,797
1,061	UCB SA		192,161
74,964	Viatris, Inc.		905,565
1,985	Zoetis, Inc.		364,228
			18,956,347
Professional Services – 0.1%
892	Adecco Group AG		30,412
1,603	Automatic Data Processing, Inc.		442,284
1,337	Booz Allen Hamilton Holding Corp.		212,289
1,277	Broadridge Financial Solutions, Inc.		271,822
1,794	Bureau Veritas SA		59,060
6,818	Computershare Ltd.		131,078
2,019	Experian PLC		98,099
2,048	Intertek Group PLC		133,817
1,338	Jacobs Solutions, Inc.		201,877
2,349	Leidos Holdings, Inc.		372,340
1,498	Paychex, Inc.		196,538
146	Paycom Software, Inc.		23,766
8,487	Randstad NV		409,411
14,085	Recruit Holdings Co. Ltd.		878,368
12,346	RELX PLC		576,313
4,372	SGS SA		488,282
3,721	SS&C Technologies Holdings, Inc.		279,410
1,622	Teleperformance SE		176,739
629	Thomson Reuters Corp.		107,733
1,342	Verisk Analytics, Inc.		366,124

  

The accompanying notes are an integral part of these financial statements. 11

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – (continued)
Professional Services – (continued)
3,045	Wolters Kluwer NV	$	520,717
			5,976,479
Real Estate Management & Development – 0.0%
763	Azrieli Group Ltd.		52,011
972	Daito Trust Construction Co. Ltd.		119,966
3,501	Daiwa House Industry Co. Ltd.		107,826
398	FirstService Corp.		71,744
15,209	Hongkong Land Holdings Ltd.		57,067
11,490	Hulic Co. Ltd.		119,044
4,378	Mitsubishi Estate Co. Ltd.		75,323
7,257	Mitsui Fudosan Co. Ltd.		78,608
799	Nomura Real Estate Holdings, Inc.		23,016
20,568	Sino Land Co. Ltd.		21,996
950	Swiss Prime Site AG		106,968
1,753	Vonovia SE		60,593
			894,162
Residential REITs – 0.0%
3,543	American Homes 4 Rent Class A		140,905
637	AvalonBay Communities, Inc.		143,790
1,446	Camden Property Trust		181,039
2,009	Equity LifeStyle Properties, Inc.		146,075
1,736	Equity Residential		129,992
304	Essex Property Trust, Inc.		91,744
3,571	Invitation Homes, Inc.		131,556
628	Mid-America Apartment Communities, Inc.		101,968
929	Sun Communities, Inc.		125,638
2,196	UDR, Inc.		97,744
			1,290,451
Retail REITs – 0.0%
16,556	CapitaLand Integrated Commercial Trust		26,900
1,951	Kimco Realty Corp.		45,380
2,526	Klepierre SA		75,405
2,647	Realty Income Corp.		164,405
2,049	Regency Centers Corp.		148,942
16,689	Scentre Group		38,670
1,388	Simon Property Group, Inc.		232,282
574	Unibail-Rodamco-Westfield*		45,899
			777,883
Semiconductors & Semiconductor Equipment – 0.8%
4,336	Advanced Micro Devices, Inc.*		644,156
8,856	Advantest Corp.		407,726
1,744	Analog Devices, Inc.		409,561
5,725	Applied Materials, Inc.		1,129,314
149	ASM International NV		101,451
1,234	ASML Holding NV		1,112,863
999	BE Semiconductor Industries NV		131,743
16,240	Broadcom, Inc.		2,644,197
404	Disco Corp.		117,125
1,287	Enphase Energy, Inc.*		155,779

Shares	Description	Value
Common Stocks – (continued)
Semiconductors & Semiconductor Equipment – (continued)
9,431	Intel Corp.	$	207,859
823	KLA Corp.		674,391
799	Lam Research Corp.		655,987
179	Lasertec Corp.		34,908
5,831	Lattice Semiconductor Corp.*		276,156
285	Marvell Technology, Inc.		21,728
4,515	Microchip Technology, Inc.		370,952
3,131	Micron Technology, Inc.		301,327
404	Monolithic Power Systems, Inc.		377,611
146,150	NVIDIA Corp.		17,445,926
1,326	NXP Semiconductors NV		339,933
3,104	ON Semiconductor Corp.*		241,709
6,751	Qorvo, Inc.*		782,373
6,497	QUALCOMM, Inc.		1,138,924
7,939	Renesas Electronics Corp.		138,214
377	SCREEN Holdings Co. Ltd.		28,587
8,173	Skyworks Solutions, Inc.		895,679
3,195	STMicroelectronics NV		103,026
4,611	SUMCO Corp.		53,267
2,353	Teradyne, Inc.		321,726
3,229	Texas Instruments, Inc.		692,104
1,460	Tokyo Electron Ltd.		262,771
			32,219,073
Software – 0.9%
2,485	Adobe, Inc.*		1,427,409
78	ANSYS, Inc.*		25,071
4,518	AppLovin Corp. Class A*		419,587
1,114	Aspen Technology, Inc.*		260,832
2,935	Atlassian Corp. Class A*		486,036
1,887	Autodesk, Inc.*		487,601
574	Bentley Systems, Inc. Class B		29,544
2,856	Cadence Design Systems, Inc.*		768,064
1,320	Check Point Software Technologies Ltd.*		254,100
2,243	Confluent, Inc. Class A*		47,596
291	Constellation Software, Inc.		950,247
708	Crowdstrike Holdings, Inc. Class A*		196,314
421	CyberArk Software Ltd.*		120,718
1,730	Dassault Systemes SE		67,608
1,799	Datadog, Inc. Class A*		209,152
1,453	Descartes Systems Group, Inc.*		146,513
14,081	DocuSign, Inc.*		833,736
1,986	Dynatrace, Inc.*		100,531
538	Fair Isaac Corp.*		930,885
7,926	Fortinet, Inc.*		608,004
15,936	Gen Digital, Inc.		421,667
821	HubSpot, Inc.*		409,737
1,236	Intuit, Inc.		779,001
3,121	Manhattan Associates, Inc.*		825,286
40,435	Microsoft Corp.		16,867,056
560	MicroStrategy, Inc. Class A*		74,155
978	Monday.com Ltd.*		260,040
4,572	Nemetschek SE		478,748

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

Shares	Description	Value
Common Stocks – (continued)
Software – (continued)
289	Nice Ltd.*	$	50,364
2,445	Open Text Corp.		77,796
4,597	Oracle Corp.		649,510
587	Oracle Corp. Japan		53,159
9,079	Palantir Technologies, Inc. Class A*		285,807
1,143	Palo Alto Networks, Inc.*		414,589
1,815	PTC, Inc.*		325,048
864	Roper Technologies, Inc.		479,010
31,964	Sage Group PLC		425,610
4,074	Salesforce, Inc.		1,030,315
3,600	SAP SE		789,996
902	ServiceNow, Inc.*		771,210
943	Synopsys, Inc.*		489,964
3,204	Trend Micro, Inc.		192,634
291	Tyler Technologies, Inc.*		171,070
1,472	UiPath, Inc. Class A*		18,959
1,428	Unity Software, Inc.*		23,376
1,656	WiseTech Global Ltd.		133,439
520	Workday, Inc. Class A*		136,859
3,803	Xero Ltd.*		368,847
9,038	Zoom Video Communications, Inc. Class A*		624,345
500	Zscaler, Inc.*		99,990
			36,097,135
Specialized REITs – 0.0%
889	Digital Realty Trust, Inc.		134,781
3,525	Gaming & Leisure Properties, Inc.		183,371
2,073	Iron Mountain, Inc.		234,788
209	Public Storage		71,837
4,966	VICI Properties, Inc.		166,262
3,266	Weyerhaeuser Co.		99,580
			890,619
Specialty Retail – 0.3%
291	AutoZone, Inc.*		925,811
5,393	Avolta AG		209,562
12,523	Bath & Body Works, Inc.		385,207
8,630	Best Buy Co., Inc.		866,452
1,696	Burlington Stores, Inc.*		454,935
3,723	Dick’s Sporting Goods, Inc.		882,202
685	Fast Retailing Co. Ltd.		220,444
21,312	H & M Hennes & Mauritz AB Class B		337,081
5,435	Home Depot, Inc.		2,002,797
9,605	Industria de Diseno Textil SA		520,356
332,012	JD Sports Fashion PLC		605,173
113,677	Kingfisher PLC		427,166
4,162	Lowe’s Cos., Inc.		1,034,257
613	Nitori Holdings Co. Ltd.		89,823
759	O’Reilly Automotive, Inc.*		857,647
2,704	Ross Stores, Inc.		407,249
9,974	TJX Cos., Inc.		1,169,651
1,832	Tractor Supply Co.		490,152

Shares	Description	Value
Common Stocks – (continued)
Specialty Retail – (continued)
1,871	Ulta Beauty, Inc.*	$	660,164
4,306	Williams-Sonoma, Inc.		578,425
11,957	Zalando SE*(a)		310,012
23,704	ZOZO, Inc.		754,730
			14,189,296
Technology Hardware, Storage & Peripherals – 0.5%
82,587	Apple, Inc.		18,912,423
12,980	Brother Industries Ltd.		242,677
5,694	Canon, Inc.		195,557
3,848	Dell Technologies, Inc. Class C		444,598
5,250	FUJIFILM Holdings Corp.		141,590
27,060	Hewlett Packard Enterprise Co.		524,152
11,908	HP, Inc.		430,831
3,335	Logitech International SA		302,923
2,911	NetApp, Inc.		351,416
2,514	Pure Storage, Inc. Class A*		128,943
40,760	Ricoh Co. Ltd.		428,683
1,016	Seagate Technology Holdings PLC		101,143
12,602	Seiko Epson Corp.		235,626
274	Super Micro Computer, Inc.*		119,930
1,667	Western Digital Corp.*		109,338
			22,669,830
Textiles, Apparel & Luxury Goods – 0.1%
2,024	adidas AG		519,284
11,432	Asics Corp.		226,831
28,417	Burberry Group PLC		249,657
845	Cie Financiere Richemont SA Class A		133,428
886	Deckers Outdoor Corp.*		849,931
212	Hermes International SCA		507,414
231	Kering SA		66,240
1,744	Lululemon Athletica, Inc.*		452,516
741	LVMH Moet Hennessy Louis Vuitton SE		551,539
4,096	Moncler SpA		251,289
6,694	NIKE, Inc. Class B		557,744
3,342	Pandora AS		585,362
7,838	Puma SE		338,273
2,227	Swatch Group AG		149,049
			5,438,557
Tobacco – 0.0%
5,737	Altria Group, Inc.		308,478
10,771	British American Tobacco PLC		403,175
9,372	Imperial Brands PLC		269,001
7,232	Japan Tobacco, Inc.		208,790
4,889	Philip Morris International, Inc.		602,765
			1,792,209
Trading Companies & Distributors – 0.2%
1,283	AerCap Holdings NV		124,990
554	Ashtead Group PLC		39,447
3,160	Brenntag SE		234,988

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

Shares	Description	Value
Common Stocks – (continued)
Trading Companies & Distributors – (continued)
4,683	Bunzl PLC	$	218,630
11,927	Fastenal Co.		814,376
3,250	Ferguson Enterprises, Inc.		668,557
252	IMCD NV		41,267
5,486	ITOCHU Corp.		292,097
23,125	Marubeni Corp.		398,896
13,542	Mitsubishi Corp.		281,922
14,740	Mitsui & Co. Ltd.		318,594
31,199	MonotaRO Co. Ltd.		493,480
4,061	Reece Ltd.		74,966
5,821	Rexel SA		146,877
4,679	Seven Group Holdings Ltd.		129,980
11,090	Sumitomo Corp.		263,702
542	Toromont Industries Ltd.		48,531
12,729	Toyota Tsusho Corp.		245,978
285	United Rentals, Inc.		211,259
609	Watsco, Inc.		289,531
894	WW Grainger, Inc.		880,518
			6,218,586
Transportation Infrastructure – 0.0%
589	Aena SME SA(a)		118,534
5,223	Getlink SE		94,194
7,996	Transurban Group		73,078
			285,806
Water Utilities – 0.0%
521	American Water Works Co., Inc.		74,565
1,536	Essential Utilities, Inc.		59,889
1,516	Severn Trent PLC		51,327
3,834	United Utilities Group PLC		51,523
			237,304
Wireless Telecommunication Services – 0.0%
6,282	KDDI Corp.		211,937
799	Rogers Communications, Inc. Class B		32,389
20,131	SoftBank Corp.		281,665
1,250	SoftBank Group Corp.		72,572
3,653	Tele2 AB Class B		41,446
2,261	T-Mobile U.S., Inc.		449,306
364,213	Vodafone Group PLC		357,003
			1,446,318
TOTAL COMMON STOCKS (Cost $285,976,246)		$	426,567,985
Shares	Dividend Rate	Value
Preferred Stocks – 0.0%
Auto Manufacturers – 0.0%
Bayerische Motoren Werke AG
353	7.625%	$	30,551

Shares	Dividend Rate	Value
Preferred Stocks – (continued)
Auto Manufacturers – (continued)
Porsche Automobil Holding SE
1,680	6.301%	$	75,598
			106,149
Household Products – 0.0%
Henkel AG & Co. KGaA
2,622	2.235		240,176
TOTAL PREFERRED STOCKS (Cost $329,188)		$	346,325
Units	Expiration Date	Value
Warrants*(b) –0.0%
Constellation Software, Inc.
264	03/31/40	$	—
(Cost $—)
Shares	Description	Value
Exchange Traded Funds – 80.5%
1,433,474	Goldman Sachs ActiveBeta Emerging Markets Equity ETF(c)	$	47,673,045
9,542,312	Goldman Sachs MarketBeta International Equity ETF(c)		565,976,472
5,333,639	Goldman Sachs MarketBeta Russell 1000 Growth Equity ETF(c)		266,945,431
10,198,774	Goldman Sachs MarketBeta Russell 1000 Value Equity ETF(c)		493,658,397
12,431,424	Goldman Sachs MarketBeta U.S. Equity ETF(c)		962,813,789
3,326,687	iShares Core MSCI EAFE ETF		256,786,970
8,223,579	iShares Core MSCI Emerging Markets ETF		447,856,112
1,716	iShares MSCI Canada ETF		69,481
8,880	iShares MSCI EAFE ETF		736,862
2,676,705	iShares MSCI EAFE Small-Cap ETF		176,662,530
81,240	iShares U.S. Technology ETF		12,004,022
2,614,608	SPDR Portfolio S&P 500 Growth ETF		211,129,597
2,275	Vanguard S&P 500 ETF		1,178,541
TOTAL EXCHANGE TRADED FUNDS (Cost $2,888,682,090)		$	3,443,491,249

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

 

Shares	Dividend Rate	Value
Investment Company(c) –5.0%
Goldman Sachs Financial Square Government Fund — Institutional Shares
215,810,091	5.183%	$	215,810,091
(Cost $ 215,810,091)
TOTAL INVESTMENTS – 95.5% (Cost $ 3,390,797,615)		$	4,086,215,650
OTHER ASSETS IN EXCESS OF LIABILITIES – 4.5%			193,125,329
NET ASSETS – 100.0%		$	4,279,340,979

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
*	Non-income producing security.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933.
(b)	Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3.
(c)	Represents an affiliated fund.

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At August 31, 2024, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Gain
MS & Co. Int. PLC	AUD	4,040,000	USD	2,735,694		09/18/24	$	46
	CAD	59,260,000	USD	43,180,334		09/18/24		818,038
	CHF	2,970,000	USD	3,500,187		09/18/24		1,137
	DKK	7,850,000	USD	1,164,332		09/18/24		155
	EUR	12,700,000	USD	13,980,567		09/18/24		69,600
	GBP	4,960,000	USD	6,442,439		09/18/24		72,707
	HKD	6,470,000	USD	830,380		09/19/24		42
	JPY	2,051,000,000	USD	13,662,804		09/18/24		403,641
	NOK	2,600,000	USD	245,251		09/18/24		1
	NZD	50,000	USD	30,456		09/18/24		803
	SEK	8,025,000	USD	782,205		09/18/24		83
	SGD	570,000	USD	437,234		09/18/24		48
	USD	5,850,077	EUR	5,260,000		09/18/24		30,875
	USD	13,079,395	HKD	101,890,000		09/19/24		1,861
TOTAL							$	1,399,037

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Settlement Date	Unrealized Loss
MS & Co. Int. PLC	DKK	17,060,000	USD	2,553,134	09/18/24	$	(22,416	)
	EUR	6,800,000	USD	7,592,786	09/18/24		(69,862	)
	GBP	8,285,000	USD	10,904,045	09/18/24		(21,386	)
	HKD	150,000	USD	19,273	09/19/24		(20	)
	ILS	600,000	USD	165,110	09/18/24		(4	)
	JPY	2,670,000,000	USD	18,487,014	09/18/24		(175,260	)
	NOK	250,000	USD	23,816	09/18/24		(234	)
	NZD	140,000	USD	87,530	09/18/24		(3	)
	SEK	6,675,000	USD	656,117	09/18/24		(5,428	)
	SGD	230,000	USD	176,484	09/18/24		(37	)
	USD	54,796,619	AUD	82,910,000	09/18/24		(1,347,006	)
	USD	72,417,908	CHF	64,190,000	09/18/24		(3,255,507	)
	USD	29,712,425	DKK	204,110,000	09/18/24		(565,711	)
	USD	258,651,317	EUR	238,280,000	09/18/24		(4,960,782	)

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Loss
MS & Co. Int. PLC (continued)	USD	121,633,801	GBP	95,545,000		09/18/24	$	(3,868,138	)
	USD	2,681,404	ILS	10,000,000		09/18/24		(70,348	)
	USD	184,114,013	JPY	28,447,000,000		09/18/24		(10,985,045	)
	USD	4,349,642	NOK	46,450,000		09/18/24		(31,866	)
	USD	1,363,077	NZD	2,230,000		09/18/24		(31,098	)
	USD	23,927,023	SEK	251,025,000		09/18/24		(543,254	)
	USD	8,625,547	SGD	11,590,000		09/18/24		(265,837	)
TOTAL							$	(26,219,242	)

FUTURES CONTRACTS — At August 31, 2024, 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		2,601		09/20/24	$	289,114,155	$	22,229,174
S&P 500 E-Mini Index		1,288		09/20/24		364,568,400		8,470,689
S&P Toronto Stock Exchange 60 Index		480		09/19/24		99,864,505		7,394,053
TOPIX Index		187		09/12/24		34,735,515		476,768
TOTAL FUTURES CONTRACTS							$	38,570,684

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Call CHF/Put NOK	MS & Co. Int. PLC	$	13.974		09/18/2024		2,258,000	$	2,258,000	$	3	$	40,093	$	(40,090	)
Call CHF/Put NOK	MS & Co. Int. PLC		13.680		09/18/2024		4,899,000		4,899,000		75		82,950		(82,875	)
Call CHF/Put NOK	MS & Co. Int. PLC		14.338		12/18/2024		2,005,000		2,005,000		3,691		39,730		(36,039	)
Call CHF/Put NOK	MS & Co. Int. PLC		14.027		12/18/2024		4,295,000		4,295,000		13,187		81,551		(68,364	)
Call CHF/Put NOK	MS & Co. Int. PLC		14.351		03/19/2025		3,894,000		3,894,000		23,349		80,630		(57,281	)
Call CHF/Put NOK	MS & Co. Int. PLC		13.550		03/19/2025		3,683,000		3,683,000		53,327		53,327		—
Call CHF/Put NOK	MS & Co. Int. PLC		13.806		06/18/2025		8,830,000		8,830,000		161,039		153,878		7,161
Call CHF/Put NOK	MS & Co. Int. PLC		14.124		09/17/2025		1,980,000		1,980,000		40,087		38,668		1,419
Call CHF/Put SEK	MS & Co. Int. PLC		13.629		09/18/2024		2,656,000		2,656,000		3		42,495		(42,492	)
Call CHF/Put SEK	MS & Co. Int. PLC		13.099		09/18/2024		5,736,000		5,736,000		41		77,418		(77,377	)

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)

Description	Counterparty	Exercise Price		Expiration Date	Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Call CHF/Put SEK	MS & Co. Int. PLC	$	13.914	12/18/2024		2,364,000	$	2,364,000	$	1,596	$	41,465	$	(39,869	)
Call CHF/Put SEK	MS & Co. Int. PLC		13.373	12/18/2024		5,027,000		5,027,000		11,142		77,506		(66,364	)
Call CHF/Put SEK	MS & Co. Int. PLC		13.620	03/19/2025		4,557,000		4,557,000		20,430		75,969		(55,539	)
Call CHF/Put SEK	MS & Co. Int. PLC		12.986	03/19/2025		4,271,000		4,271,000		46,265		51,606		(5,341	)
Call CHF/Put SEK	MS & Co. Int. PLC		13.306	06/18/2025		9,371,000		9,371,000		112,556		149,220		(36,664	)
Call CHF/Put SEK	MS & Co. Int. PLC		13.540	09/17/2025		2,123,000		2,123,000		29,261		37,062		(7,801	)
Call JPY/Put KRW	MS & Co. Int. PLC		10.458	09/13/2024		192,722,000		192,722,000		1		17,526		(17,525	)
Call JPY/Put KRW	MS & Co. Int. PLC		9.915	09/13/2024		421,929,000		421,929,000		124		34,290		(34,166	)
Call JPY/Put KRW	MS & Co. Int. PLC		10.746	12/18/2024		169,714,000		169,714,000		1,643		17,554		(15,911	)
Call JPY/Put KRW	MS & Co. Int. PLC		10.187	12/18/2024		366,013,000		366,013,000		9,554		33,815		(24,261	)
Call JPY/Put KRW	MS & Co. Int. PLC		10.443	03/19/2025		329,211,000		329,211,000		13,829		33,144		(19,315	)
Call JPY/Put KRW	MS & Co. Int. PLC		10.094	03/19/2025		401,662,000		401,662,000		26,964		29,406		(2,442	)
Call JPY/Put KRW	MS & Co. Int. PLC		10.052	06/18/2025		1,053,137,000		1,053,137,000		115,471		88,531		26,940
Call JPY/Put KRW	MS & Co. Int. PLC		10.269	09/17/2025		236,302,000		236,302,000		28,174		22,350		5,824
Call USD/Put CAD	MS & Co. Int. PLC		1.446	09/18/2024		4,662,000		4,662,000		5		37,609		(37,604	)
Call USD/Put CAD	MS & Co. Int. PLC		1.441	09/18/2024		11,028,000		11,028,000		11		76,600		(76,589	)
Call USD/Put CAD	MS & Co. Int. PLC		1.462	12/18/2024		4,098,000		4,098,000		975		36,455		(35,480	)
Call USD/Put CAD	MS & Co. Int. PLC		1.455	12/18/2024		9,427,000		9,427,000		2,828		75,812		(72,984	)
Call USD/Put CAD	MS & Co. Int. PLC		1.465	03/19/2025		8,630,000		8,630,000		8,414		76,703		(68,289	)
Call USD/Put CAD	MS & Co. Int. PLC		1.426	03/19/2025		10,203,000		10,203,000		22,855		70,962		(48,107	)
Call USD/Put CAD	MS & Co. Int. PLC		1.440	06/18/2025		25,620,000		25,620,000		79,704		193,329		(113,625	)
Call USD/Put CAD	MS & Co. Int. PLC		1.449	09/17/2025		5,775,000		5,775,000		23,504		50,485		(26,981	)
Call USD/Put CLP	MS & Co. Int. PLC		1,127.970	09/17/2024		977,000		977,000		1		19,672		(19,671	)
Call USD/Put CLP	MS & Co. Int. PLC		1,035.290	09/17/2024		2,030,000		2,030,000		12		36,787		(36,775	)
Call USD/Put CLP	MS & Co. Int. PLC		1,154.490	12/18/2024		896,000		896,000		321		20,257		(19,936	)
Call USD/Put CLP	MS & Co. Int. PLC		1,062.540	12/18/2024		1,833,000		1,833,000		3,798		38,174		(34,376	)

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)

Description	Counterparty	Exercise Price		Expiration Date	Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Call USD/Put CLP	MS & Co. Int. PLC	$	1,089.090	03/19/2025		1,681,000	$	1,681,000	$	7,408	$	36,950	$	(29,542	)
Call USD/Put CLP	MS & Co. Int. PLC		1,123.250	03/19/2025		2,937,000		2,937,000		8,550		56,024		(47,474	)
Call USD/Put CLP	MS & Co. Int. PLC		1,084.510	06/18/2025		10,646,000		10,646,000		91,439		193,247		(101,808	)
Call USD/Put CLP	MS & Co. Int. PLC		1,108.720	09/17/2025		2,420,000		2,420,000		25,393		48,603		(23,210	)
Call USD/Put KRW	MS & Co. Int. PLC		1,456.720	09/13/2024		1,565,000		1,565,000		2		17,325		(17,323	)
Call USD/Put KRW	MS & Co. Int. PLC		1,377.220	09/13/2024		3,386,000		3,386,000		1,520		35,299		(33,779	)
Call USD/Put KRW	MS & Co. Int. PLC		1,474.710	12/18/2024		1,379,000		1,379,000		1,609		16,823		(15,214	)
Call USD/Put KRW	MS & Co. Int. PLC		1,394.460	12/18/2024		2,952,000		2,952,000		16,466		34,996		(18,530	)
Call USD/Put KRW	MS & Co. Int. PLC		1,408.090	03/19/2025		2,688,000		2,688,000		21,431		35,374		(13,943	)
Call USD/Put KRW	MS & Co. Int. PLC		1,425.130	03/19/2025		3,291,000		3,291,000		20,783		32,022		(11,239	)
Call USD/Put KRW	MS & Co. Int. PLC		1,481.080	06/18/2025		8,094,000		8,094,000		43,861		89,357		(45,496	)
Call USD/Put KRW	MS & Co. Int. PLC		1,494.880	09/17/2025		1,822,000		1,822,000		12,849		22,393		(9,544	)
Call USD/Put MXN	MS & Co. Int. PLC		22.007	09/18/2024		2,109,000		2,109,000		2,044		36,452		(34,408	)
Call USD/Put MXN	MS & Co. Int. PLC		20.472	09/18/2024		4,681,000		4,681,000		32,762		73,356		(40,594	)
Call USD/Put MXN	MS & Co. Int. PLC		22.858	12/18/2024		1,899,000		1,899,000		15,074		36,293		(21,219	)
Call USD/Put MXN	MS & Co. Int. PLC		21.290	12/18/2024		4,099,000		4,099,000		75,278		75,868		(590	)
Call USD/Put MXN	MS & Co. Int. PLC		21.999	03/19/2025		3,763,000		3,763,000		82,556		75,914		6,642
Call USD/Put MXN	MS & Co. Int. PLC		20.014	03/19/2025		3,648,000		3,648,000		186,351		48,701		137,650
Call USD/Put MXN	MS & Co. Int. PLC		22.815	06/18/2025		5,089,000		5,089,000		119,780		93,058		26,722
Call USD/Put MXN	MS & Co. Int. PLC		23.619	09/17/2025		1,169,000		1,169,000		29,264		23,435		5,829
Call USD/Put NOK	MS & Co. Int. PLC		12.353	09/18/2024		1,219,000		1,219,000		1		19,695		(19,694	)
Call USD/Put NOK	MS & Co. Int. PLC		12.604	12/18/2024		1,085,000		1,085,000		779		19,249		(18,470	)
Call USD/Put NOK	MS & Co. Int. PLC		11.804	03/19/2025		1,333,000		1,333,000		10,213		16,929		(6,716	)
Call USD/Put NOK	MS & Co. Int. PLC		12.030	06/18/2025		3,174,000		3,174,000		32,724		47,039		(14,315	)
Call USD/Put NOK	MS & Co. Int. PLC		12.224	09/17/2025		720,000		720,000		8,981		11,866		(2,885	)
Call USD/Put SEK	MS & Co. Int. PLC		11.398	09/18/2024		2,958,000		2,958,000		3		34,863		(34,860	)

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Call USD/Put SEK	MS & Co. Int. PLC	$	11.584		12/18/2024		2,582,000	$	2,582,000	$	3,290	$	33,832	$	(30,542	)
Call USD/Put SEK	MS & Co. Int. PLC		11.726		03/19/2025		2,358,000		2,358,000		7,576		33,337		(25,761	)
Call USD/Put SEK	MS & Co. Int. PLC		11.327		03/19/2025		4,247,000		4,247,000		24,157		51,028		(26,871	)
Call USD/Put SEK	MS & Co. Int. PLC		11.617		06/18/2025		9,405,000		9,405,000		65,054		139,194		(74,140	)
Call USD/Put SEK	MS & Co. Int. PLC		11.758		09/17/2025		2,149,000		2,149,000		18,720		35,244		(16,524	)
							3,424,366,000	$	3,424,366,000	$	1,820,158	$	3,656,795	$	(1,836,637	)
Puts
Put AUD/Call JPY	MS & Co. Int. PLC		81.621		09/18/2024		3,462,000		3,462,000		2		35,540		(35,538	)
Put AUD/Call JPY	MS & Co. Int. PLC		85.094		09/18/2024		8,023,000		8,023,000		27		73,749		(73,722	)
Put AUD/Call JPY	MS & Co. Int. PLC		79.618		12/18/2024		3,068,000		3,068,000		2,297		35,558		(33,261	)
Put AUD/Call JPY	MS & Co. Int. PLC		82.850		12/18/2024		6,870,000		6,870,000		8,700		71,979		(63,279	)
Put AUD/Call JPY	MS & Co. Int. PLC		80.965		03/19/2025		6,230,000		6,230,000		15,931		72,667		(56,736	)
Put AUD/Call JPY	MS & Co. Int. PLC		86.410		03/19/2025		9,762,000		9,762,000		49,060		89,070		(40,010	)
Put AUD/Call JPY	MS & Co. Int. PLC		90.170		06/18/2025		22,780,000		22,780,000		297,703		234,428		63,275
Put AUD/Call JPY	MS & Co. Int. PLC		88.320		09/17/2025		5,138,000		5,138,000		73,159		60,330		12,829
Put AUD/Call USD	MS & Co. Int. PLC		0.585		09/18/2024		3,048,000		3,048,000		2		27,779		(27,777	)
Put AUD/Call USD	MS & Co. Int. PLC		0.609		09/18/2024		6,886,000		6,886,000		5		54,268		(54,263	)
Put AUD/Call USD	MS & Co. Int. PLC		0.578		12/18/2024		2,669,000		2,669,000		741		27,502		(26,761	)
Put AUD/Call USD	MS & Co. Int. PLC		0.601		12/18/2024		5,905,000		5,905,000		4,424		53,525		(49,101	)
Put AUD/Call USD	MS & Co. Int. PLC		0.595		03/19/2025		5,355,000		5,355,000		10,272		54,157		(43,885	)
Put AUD/Call USD	MS & Co. Int. PLC		0.609		03/19/2025		4,492,000		4,492,000		12,286		35,750		(23,464	)
Put AUD/Call USD	MS & Co. Int. PLC		0.611		06/18/2025		10,680,000		10,680,000		53,746		90,428		(36,682	)
Put AUD/Call USD	MS & Co. Int. PLC		0.605		09/17/2025		2,404,000		2,404,000		15,381		23,059		(7,678	)
Put CAD/Call JPY	MS & Co. Int. PLC		95.027		09/18/2024		2,633,000		2,633,000		8		28,398		(28,390	)
Put CAD/Call JPY	MS & Co. Int. PLC		95.434		09/18/2024		6,197,000		6,197,000		28		55,141		(55,113	)
Put CAD/Call JPY	MS & Co. Int. PLC		92.677		12/18/2024		2,337,000		2,337,000		2,747		27,914		(25,167	)

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Put CAD/Call JPY	MS & Co. Int. PLC	$	93.100		12/18/2024		5,316,000	$	5,316,000	$	6,726	$	53,320	$	(46,594	)
Put CAD/Call JPY	MS & Co. Int. PLC		91.166		03/19/2025		4,835,000		4,835,000		12,083		54,282		(42,199	)
Put CAD/Call JPY	MS & Co. Int. PLC		97.830		03/19/2025		5,785,000		5,785,000		36,505		50,534		(14,029	)
Put CAD/Call JPY	MS & Co. Int. PLC		100.970		06/18/2025		14,322,000		14,322,000		210,061		148,268		61,793
Put CAD/Call JPY	MS & Co. Int. PLC		99.060		09/17/2025		3,193,000		3,193,000		49,064		36,997		12,067
Put NZD/Call JPY	MS & Co. Int. PLC		75.167		09/18/2024		2,700,000		2,700,000		2		24,554		(24,552	)
Put NZD/Call JPY	MS & Co. Int. PLC		77.954		09/18/2024		6,347,000		6,347,000		8		54,306		(54,298	)
Put NZD/Call JPY	MS & Co. Int. PLC		73.135		12/18/2024		2,416,000		2,416,000		1,590		24,849		(23,259	)
Put NZD/Call JPY	MS & Co. Int. PLC		75.859		12/18/2024		5,477,000		5,477,000		5,975		52,894		(46,919	)
Put NZD/Call JPY	MS & Co. Int. PLC		74.113		03/19/2025		4,993,000		4,993,000		11,309		53,658		(42,349	)
Put NZD/Call JPY	MS & Co. Int. PLC		79.190		03/19/2025		8,108,000		8,108,000		36,475		66,145		(29,670	)
Put NZD/Call JPY	MS & Co. Int. PLC		82.880		06/18/2025		19,116,000		19,116,000		228,443		179,755		48,688
Put NZD/Call JPY	MS & Co. Int. PLC		81.100		09/17/2025		4,312,000		4,312,000		55,201		46,324		8,877
Put NZD/Call USD	MS & Co. Int. PLC		0.537		09/18/2024		3,288,000		3,288,000		2		26,953		(26,951	)
Put NZD/Call USD	MS & Co. Int. PLC		0.556		09/18/2024		7,512,000		7,512,000		5		55,342		(55,337	)
Put NZD/Call USD	MS & Co. Int. PLC		0.530		12/18/2024		2,888,000		2,888,000		713		26,638		(25,925	)
Put NZD/Call USD	MS & Co. Int. PLC		0.549		12/18/2024		6,445,000		6,445,000		3,993		54,793		(50,800	)
Put NZD/Call USD	MS & Co. Int. PLC		0.544		03/19/2025		5,856,000		5,856,000		9,474		55,260		(45,786	)
Put NZD/Call USD	MS & Co. Int. PLC		0.558		03/19/2025		4,857,000		4,857,000		12,073		35,044		(22,971	)
Put NZD/Call USD	MS & Co. Int. PLC		0.562		06/18/2025		11,567,000		11,567,000		55,014		90,427		(35,413	)
Put NZD/Call USD	MS & Co. Int. PLC		0.556		09/17/2025		2,611,000		2,611,000		15,508		23,156		(7,648	)
							249,883,000	$	249,883,000	$	1,296,743	$	2,364,741	$	(1,067,998	)
Total purchased option contracts							3,674,249,000	$	3,674,249,000	$	3,116,901	$	6,021,536	$	(2,904,635	)

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Written option contracts
Calls
Euro Stoxx 50 Index	$	4,875.000		09/06/2024		(72	)	$	(35,100,000	)	$	(74,336	)		$   (8,807	)		$ (65,529)
Euro Stoxx 50 Index		5,000.000		09/13/2024		(70	)		(35,000,000	)		(22,285	)		(14,463	)		(7,822)
Euro Stoxx 50 Index		5,100.000		09/20/2024		(68	)		(34,680,000	)		(8,870	)		(6,578	)		(2,292)
FTSE 100 Index		8,550.000		09/20/2024		(9	)		(7,695,000	)		(2,246	)		(2,421	)		175
FTSE 100 Index		8,575.000		09/20/2024		(4	)		(3,430,000	)		(788	)		(1,879	)		1,091
FTSE 100 Index		8,600.000		09/20/2024		(14	)		(12,040,000	)		(2,114	)		(2,197	)		83
FTSE 100 Index		8,625.000		09/20/2024		(11	)		(9,487,500	)		(1,300	)		(1,557	)		257
FTSE 100 Index		8,700.000		09/20/2024		(19	)		(16,530,000	)		(1,123	)		(2,883	)		1,760
FTSE 100 Index		8,800.000		10/18/2024		(4	)		(3,520,000	)		(604	)		(778	)		174
Nikkei 225 Index		38,375.000		09/13/2024		(8	)		(30,700,000	)		(43,505	)		(9,243	)		(34,262)
Nikkei 225 Index		38,750.000		09/13/2024		(9	)		(34,875,000	)		(35,399	)		(25,758	)		(9,641)
Nikkei 225 Index		40,375.000		09/13/2024		(7	)		(28,262,500	)		(4,166	)		(8,940	)		4,774
Nikkei 225 Index		41,875.000		09/13/2024		(6	)		(25,125,000	)		(616	)		(1,605	)		989
Nikkei 225 Index		42,000.000		09/13/2024		(4	)		(16,800,000	)		(328	)		(1,887	)		1,559
Nikkei 225 Index		39,375.000		10/11/2024		(1	)		(3,937,500	)		(3,967	)		(2,998	)		(969)
Nikkei 225 Index		41,125.000		10/11/2024		(3	)		(12,337,500	)		(3,899	)		(5,802	)		1,903
S&P 500 Index		5,530.000		09/04/2024		(31	)		(17,143,000	)		(361,615	)		(50,208	)		(311,407)
S&P 500 Index		5,735.000		09/04/2024		(38	)		(21,793,000	)		(380	)		(12,248	)		11,868
S&P 500 Index		5,715.000		09/06/2024		(37	)		(21,145,500	)		(18,494	)		(18,494	)		—
S&P 500 Index		5,720.000		09/09/2024		(37	)		(21,164,000	)		(21,797	)		(21,798	)		1
S&P 500 Index		5,700.000		09/11/2024		(30	)		(17,100,000	)		(65,100	)		(17,767	)		(47,333)
S&P 500 Index		5,850.000		09/18/2024		(29	)		(16,965,000	)		(9,715	)		(30,291	)		20,576
S&P 500 Index		5,850.000		09/25/2024		(29	)		(16,965,000	)		(18,125	)		(21,675	)		3,550
						(540	)	$	(441,795,500	)	$	(700,772	)		$ (270,277	)		$(430,495)
Puts
Euro Stoxx 50 Index		4,400.000		09/06/2024		(144	)		(63,360,000	)		(1,114	)		(14,241	)		13,127
Euro Stoxx 50 Index		4,650.000		09/13/2024		(140	)		(65,100,000	)		(5,881	)		(19,733	)		13,852
Euro Stoxx 50 Index		4,725.000		09/20/2024		(136	)		(64,260,000	)		(15,635	)		(29,239	)		13,604
FTSE 100 Index		7,700.000		09/20/2024		(19	)		(14,630,000	)		(1,497	)		(7,912	)		6,415
FTSE 100 Index		7,800.000		09/20/2024		(8	)		(6,240,000	)		(683	)		(2,724	)		2,041
FTSE 100 Index		7,925.000		09/20/2024		(13	)		(10,302,500	)		(1,451	)		(11,514	)		10,063
FTSE 100 Index		8,075.000		09/20/2024		(28	)		(22,610,000	)		(4,780	)		(8,780	)		4,000
FTSE 100 Index		8,100.000		09/20/2024		(25	)		(20,250,000	)		(4,761	)		(11,579	)		6,818
FTSE 100 Index		8,200.000		09/20/2024		(20	)		(16,400,000	)		(6,173	)		(4,548	)		(1,625)
FTSE 100 Index		8,100.000		10/18/2024		(8	)		(6,480,000	)		(4,045	)		(3,493	)		(552)
Nikkei 225 Index		31,125.000		09/13/2024		(17	)		(52,912,500	)		(1,512	)		(45,806	)		44,294
Nikkei 225 Index		33,125.000		09/13/2024		(18	)		(59,625,000	)		(2,832	)		(19,600	)		16,768
Nikkei 225 Index		35,250.000		09/13/2024		(13	)		(45,825,000	)		(4,535	)		(14,874	)		10,339
Nikkei 225 Index		36,625.000		09/13/2024		(20	)		(73,250,000	)		(15,733	)		(55,757	)		40,024
Nikkei 225 Index		38,500.000		09/13/2024		(4	)		(15,400,000	)		(13,681	)		(14,506	)		825
Nikkei 225 Index		32,000.000		10/11/2024		(1	)		(3,200,000	)		(581	)		(1,532	)		951
Nikkei 225 Index		34,000.000		10/11/2024		(5	)		(17,000,000	)		(5,301	)		(9,671	)		4,370
S&P 500 Index		4,900.000		09/04/2024		(61	)		(29,890,000	)		(610	)		(225,791	)		225,181
S&P 500 Index		5,540.000		09/04/2024		(77	)		(42,658,000	)		(10,780	)		(95,357	)		84,577
S&P 500 Index		5,495.000		09/06/2024		(75	)		(41,212,500	)		(53,789	)		(53,789	)		—
S&P 500 Index		5,485.000		09/09/2024		(75	)		(41,137,500	)		(61,951	)		(61,951	)		—
S&P 500 Index		5,180.000		09/11/2024		(59	)		(30,562,000	)		(7,523	)		(119,155	)		111,632
S&P 500 Index		5,400.000		09/18/2024		(57	)		(30,780,000	)		(66,120	)		(133,973	)		67,853

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (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	$	5,430.000	09/25/2024		(57	)	$	(30,951,000)	$	(113,430)	$	(156,714)	$	43,284
					(1,080	)	$	(804,036,000)	$	(404,398)	$	(1,122,239)	$	717,841
Total written option contracts					(1,620	)	$	(1,245,831,500)	$	(1,105,170)	$	(1,392,516)	$	287,346

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
3 Month SOFR	$	95.250		09/13/2024		385	$	962,500	$	14,438	$	1,547,892	$	(1,533,454	)
3 Month SOFR		96.000		09/13/2024		907		2,267,500		5,669		1,617,407		(1,611,738	)
3 Month SOFR		97.250		09/13/2024		1,214		3,035,000		7,588		1,623,613		(1,616,025	)
3 Month SOFR		98.000		09/13/2024		2,599		6,497,500		16,244		363,392		(347,148	)
3 Month SOFR		96.250		12/13/2024		915		2,287,500		183,000		1,714,070		(1,531,070	)
3 Month SOFR		97.250		12/13/2024		2,052		5,130,000		128,250		3,290,395		(3,162,145	)
3 Month SOFR		98.000		12/13/2024		3,960		9,900,000		99,000		888,337		(789,337	)
3 Month SOFR		96.500		03/14/2025		966		2,415,000		555,450		1,863,201		(1,307,751	)
3 Month SOFR		97.000		03/14/2025		2,074		5,185,000		648,125		2,263,037		(1,614,912	)
3 Month SOFR		97.250		03/14/2025		1,843		4,607,500		437,713		3,360,173		(2,922,460	)
3 Month SOFR		98.000		03/14/2025		2,796		6,990,000		297,075		923,062		(625,987	)
3 Month SOFR		95.625		06/13/2025		1,373		3,432,500		3,398,175		1,551,223		1,846,952
3 Month SOFR		96.250		06/13/2025		794		1,985,000		1,116,562		1,182,380		(65,818	)
3 Month SOFR		96.625		06/13/2025		983		2,457,500		952,281		1,903,452		(951,171	)
3 Month SOFR		96.750		06/13/2025		1,226		3,065,000		1,049,763		1,290,144		(240,381	)
3 Month SOFR		97.250		06/13/2025		2,670		6,675,000		1,385,062		2,854,785		(1,469,723	)
3 Month SOFR		95.875		09/12/2025		2,359		5,897,500		5,750,062		2,783,135		2,966,927
3 Month SOFR		96.000		09/12/2025		482		1,205,000		1,066,425		471,068		595,357
3 Month SOFR		96.500		09/12/2025		1,136		2,840,000		1,647,200		1,589,660		57,540
3 Month SOFR		96.625		09/12/2025		921		2,302,500		1,197,300		1,888,444		(691,144	)
3 Month SOFR		97.000		09/12/2025		1,234		3,085,000		1,141,450		1,267,713		(126,263	)
3 Month SOFR		97.500		09/12/2025		3,092		7,730,000		1,777,900		3,074,948		(1,297,048	)
3 Month SOFR		95.875		12/12/2025		1,950		4,875,000		5,338,125		2,763,799		2,574,326
3 Month SOFR		96.125		12/12/2025		772		1,930,000		1,765,950		870,291		895,659
3 Month SOFR		96.500		12/12/2025		1,019		2,547,500		1,751,406		1,614,489		136,917
3 Month SOFR		97.250		12/12/2025		1,442		3,605,000		1,306,812		1,373,245		(66,433	)
3 Month SOFR		97.500		12/12/2025		2,880		7,200,000		2,052,000		3,083,882		(1,031,882	)
3 Month SOFR		96.000		03/13/2026		1,922		4,805,000		5,225,437		2,752,934		2,472,503
3 Month SOFR		96.250		03/13/2026		727		1,817,500		1,658,469		910,437		748,032
3 Month SOFR		96.625		03/13/2026		615		1,537,500		1,064,719		916,239		148,480
3 Month SOFR		96.750		03/13/2026		480		1,200,000		753,000		781,114		(28,114	)
3 Month SOFR		97.250		03/13/2026		1,368		3,420,000		1,410,750		1,371,174		39,576
3 Month SOFR		96.000		06/12/2026		1,712		4,280,000		4,868,500		2,734,522		2,133,978
3 Month SOFR		96.250		06/12/2026		658		1,645,000		1,587,425		935,558		651,867
3 Month SOFR		96.625		06/12/2026		580		1,450,000		1,069,375		914,846		154,529
3 Month SOFR		96.750		06/12/2026		494		1,235,000		830,538		766,846		63,692
3 Month SOFR		96.000		09/11/2026		1,600		4,000,000		4,640,000		2,747,337		1,892,663
3 Month SOFR		96.375		09/11/2026		658		1,645,000		1,501,062		947,402		553,660
3 Month SOFR		96.625		09/11/2026		559		1,397,500		1,072,581		930,634		141,947

  

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

GOLDMAN SACHS GLOBAL MANAGED BETA FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON FUTURES (continued)

Description	Exercise Price		Expiration Date	Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
3 Month SOFR	$	96.375	12/11/2026		620	$	1,550,000	$	1,426,000	$	962,438	$	463,562
TOTAL					56,037	$	140,092,500	$	62,196,881	$	66,688,718	$	(4,491,837	)

Currency Abbreviations:
AUD	—Australian Dollar
CAD	—Canadian Dollar
CHF	—Swiss Franc
DKK	—Denmark Krone
EUR	—Euro
GBP	—British Pound
HKD	—Hong Kong Dollar
ILS	—Israeli Shekel
JPY	—Japanese Yen
NOK	—Norwegian Krone
NZD	—New Zealand Dollar
SEK	—Swedish Krona
SGD	—Singapore Dollar
USD	—U.S. Dollar

Investment Abbreviations:
ETF	—Exchange Traded Fund
MSCI	—Morgan Stanley Capital International
PLC	—Public Limited Company
REIT	—Real Estate Investment Trust
SPDR	—Standard and Poor’s Depository Receipt

Abbreviations:
MS & Co. Int. PLC	—Morgan Stanley & Co. International PLC
SOFR	—Secured Overnight Financing Rate

  

  

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

GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND

 

Consolidated Schedule of Investments

August 31, 2024

 

 

	Principal Amount		Interest Rate			Maturity Date	Value
U.S. Treasury Obligations(a) – 33.2%
	U.S. Treasury Bills
	$	40,000,000		0.000	%	09/05/24	$	39,988,401
		125,000,000		0.000		09/12/24		124,836,923
		250,000,000		0.000		10/29/24		248,015,330
		200,000,000		0.000		11/07/24		198,187,720
		187,500,000		0.000		11/26/24		185,326,462
	TOTAL U.S. TREASURY OBLIGATIONS (Cost $796,004,314)						$	796,354,836

	Shares	Dividend Rate	Value
Investment Company(b) – 58.7%
	Goldman Sachs Financial Square Government Fund — Institutional Shares
	1,408,271,148	5.183%	$	1,408,271,148
	(Cost $1,408,271,148)
	TOTAL INVESTMENTS – 91.9% (Cost $2,204,275,462)		$	2,204,625,984
	OTHER ASSETS IN EXCESS OF  LIABILITIES – 8.1%			194,633,644
	NET ASSETS – 100.0%		$	2,399,259,628

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)	Represents an affiliated fund.

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At August 31, 2024, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Gain
MS & Co. Int. PLC	AUD	30,240,000	USD	20,188,360		09/18/24	$	289,064
	CAD	167,277,500	USD	121,566,720		09/18/24		2,630,679
	CHF	12,090,000	USD	13,682,584		09/18/24		570,283
	EUR	141,420,002	USD	153,587,893		09/18/24		2,866,795
	JPY	13,094,890,000	USD	87,609,337		09/18/24		2,199,806
	NZD	233,500,000	USD	142,306,510		09/18/24		3,675,435
	USD	99,843,416	AUD	147,100,000		09/18/24		232,667
	USD	13,839,471	CHF	11,720,001		09/18/24		22,796
	USD	7,652,045	JPY	1,111,130,000		09/18/24		31,543
	USD	70,554,521	NZD	112,780,000		09/18/24		45,554
TOTAL							$	12,564,622

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Settlement Date	Unrealized Loss
MS & Co. Int. PLC	CAD	37,732,500	USD	28,024,994	09/18/24	$	(10,000	)
	EUR	19,190,000	USD	21,259,503	09/18/24		(29,369	)
	GBP	77,860,002	USD	102,364,192	09/18/24		(92,166	)

  

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

GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Loss
MS & Co. Int. PLC (continued)	USD	16,956,490	AUD	25,930,000		09/18/24	$	(602,359	)
	USD	150,026,572	CAD	205,010,000		09/18/24		(2,185,819	)
	USD	2,997,794	CHF	2,620,000		09/18/24		(90,917	)
	USD	139,695,141	EUR	129,940,000		09/18/24		(4,059,080	)
	USD	98,131,152	GBP	76,430,000		09/18/24		(2,262,516	)
	USD	106,359,975	JPY	16,900,200,000		09/18/24		(9,547,258	)
	USD	214,332,769	NZD	351,210,000		09/18/24		(5,240,330	)
TOTAL							$	(24,119,814	)

FUTURES CONTRACTS — At August 31, 2024, the Fund had the following futures contracts:

Description	Number of Contracts		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Long position contracts:
10 Year U.S. Treasury Notes		13,062		12/19/24	$	1,483,353,375	$	(7,234,545	)
S&P 500 E-Mini Index		5,304		09/20/24		1,501,297,200		67,762,843
TOTAL FUTURES CONTRACTS							$	60,528,298

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
S&P 500 Index	$	5,520.000		09/06/2024		29	$	16,008,000	$	383,525	$	60,718	$	322,807
S&P 500 Index		5,700.000		09/06/2024		3		1,710,000		3,735		3,383		352
S&P 500 Index		5,730.000		09/06/2024		3		1,719,000		1,575		6,063		(4,488	)
S&P 500 Index		5,600.000		09/13/2024		35		19,600,000		292,600		94,845		197,755
S&P 500 Index		5,710.000		09/13/2024		8		4,568,000		9,528		9,528		—
S&P 500 Index		5,725.000		09/13/2024		7		4,007,500		12,005		9,317		2,688
S&P 500 Index		5,760.000		09/13/2024		4		2,304,000		3,660		8,404		(4,744	)
S&P 500 Index		5,735.000		09/20/2024		20		11,470,000		30,020		30,020		—
S&P 500 Index		5,750.000		09/20/2024		11		6,325,000		22,715		16,951		5,764
S&P 500 Index		5,775.000		09/20/2024		1		577,500		1,455		1,701		(246	)
S&P 500 Index		5,780.000		09/20/2024		37		21,386,000		49,395		75,887		(26,492	)
S&P 500 Index		5,785.000		09/20/2024		1		578,500		1,240		2,251		(1,011	)
S&P 500 Index		5,750.000		09/27/2024		15		8,625,000		26,975		26,975		—
S&P 500 Index		5,770.000		09/27/2024		8		4,616,000		18,000		13,608		4,392
S&P 500 Index		5,790.000		09/27/2024		34		19,686,000		58,820		74,514		(15,694	)
						216	$	123,180,500	$	915,248	$	434,165	$	481,083
Puts
S&P 500 Index		3,400.000		09/03/2024		465		158,100,000		1,163		166,235		(165,072)
S&P 500 Index		5,050.000		09/03/2024		344		173,720,000		3,440		9,994		(6,554)
S&P 500 Index		5,565.000		09/03/2024		5		2,782,500		488		6,155		(5,667)

  

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

GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND

 

Consolidated Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (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	$	3,600.000		09/04/2024		448	$	161,280,000		$	2,240		$	140,730		$	(138,490	)
S&P 500 Index		5,525.000		09/04/2024		5		2,762,500			475			12,855			(12,380	)
S&P 500 Index		3,600.000		09/05/2024		437		157,320,000			1,091			218,324			(217,233	)
S&P 500 Index		5,585.000		09/05/2024		5		2,792,500			3,850			7,255			(3,405	)
S&P 500 Index		3,600.000		09/06/2024		429		154,440,000			1,073			150,749			(149,676	)
S&P 500 Index		5,540.000		09/06/2024		5		2,770,000			7,855			7,855			—
S&P 500 Index		3,600.000		09/09/2024		413		148,680,000			4,130			82,959			(78,829	)
S&P 500 Index		3,600.000		09/10/2024		404		145,440,000			4,040			59,845			(55,805	)
S&P 500 Index		3,600.000		09/11/2024		392		141,120,000			3,920			42,712			(38,792	)
S&P 500 Index		3,900.000		09/12/2024		380		148,200,000			8,550			46,645			(38,095	)
S&P 500 Index		4,000.000		09/13/2024		373		149,200,000			13,055			43,278			(30,223	)
S&P 500 Index		4,100.000		09/17/2024		367		150,470,000			21,103			46,767			(25,664	)
S&P 500 Index		4,300.000		09/17/2024		367		157,810,000			30,277			50,812			(20,535	)
S&P 500 Index		4,100.000		09/18/2024		367		150,470,000			28,442			50,362			(21,920	)
S&P 500 Index		3,825.000		09/20/2024		364		139,230,000			21,840			54,349			(32,509	)
S&P 500 Index		3,850.000		09/20/2024		365		140,525,000			22,813			45,005			(22,192	)
S&P 500 Index		3,800.000		09/23/2024		364		138,320,000			24,570			45,149			(20,579	)
S&P 500 Index		4,000.000		09/25/2024		368		147,200,000			37,720			43,613			(5,893	)
S&P 500 Index		3,850.000		09/30/2024		367		141,295,000			34,865			49,522			(14,657	)
S&P 500 Index		3,925.000		09/30/2024		370		145,225,000			40,700			61,810			(21,110	)
S&P 500 Index		4,025.000		09/30/2024		376		151,340,000			51,136			51,136			—
S&P 500 Index		4,050.000		09/30/2024		370		149,850,000			48,100			48,470			(370	)
						8,150	$	3,160,342,500		$	416,936		$	1,542,586		$	(1,125,650	)
Total purchased option contracts						8,366	$	3,283,523,000		$	1,332,184		$	1,976,751		$	(644,567	)
Written option contracts
Puts
S&P 500 Index		5,365.000		09/03/2024		(1,684)		(903,466,000	)		(21,050	)		(233,386	)		212,336
S&P 500 Index		5,400.000		09/04/2024		(1,687)		(910,980,000	)		(33,740	)		(249,254	)		215,514
S&P 500 Index		5,320.000		09/05/2024		(1,688)		(898,016,000	)		(42,200	)		(536,362	)		494,162
S&P 500 Index		5,020.000		09/06/2024		(45)		(22,590,000	)		(1,575	)		(248,266	)		246,691
S&P 500 Index		5,030.000		09/06/2024		(3)		(1,509,000	)		(105	)		(12,507	)		12,402
S&P 500 Index		5,065.000		09/06/2024		(3)		(1,519,500	)		(105	)		(9,867	)		9,762
S&P 500 Index		5,145.000		09/06/2024		(13)		(6,688,500	)		(455	)		(47,863	)		47,408
S&P 500 Index		5,200.000		09/06/2024		(15)		(7,800,000	)		(600	)		(44,985	)		44,385
S&P 500 Index		5,295.000		09/06/2024		(20)		(10,590,000	)		(1,000	)		(58,760	)		57,760
S&P 500 Index		5,355.000		09/06/2024		(1,714)		(917,847,000	)		(111,410	)		(277,516	)		166,106
S&P 500 Index		5,385.000		09/06/2024		(15)		(8,077,500	)		(1,275	)		(35,475	)		34,200
S&P 500 Index		5,410.000		09/06/2024		(6)		(3,246,000	)		(630	)		(13,194	)		12,564
S&P 500 Index		5,445.000		09/06/2024		(5)		(2,722,500	)		(800	)		(9,645	)		8,845
S&P 500 Index		5,455.000		09/06/2024		(2)		(1,091,000	)		(360	)		(5,478	)		5,118
S&P 500 Index		5,475.000		09/06/2024		(4)		(2,190,000	)		(970	)		(6,556	)		5,586
S&P 500 Index		5,495.000		09/06/2024		(5)		(2,747,500	)		(1,675	)		(8,145	)		6,470
S&P 500 Index		5,520.000		09/06/2024		(5)		(2,760,000	)		(2,600	)		(7,295	)		4,695
S&P 500 Index		5,550.000		09/06/2024		(8)		(4,440,000	)		(6,960	)		(11,432	)		4,472
S&P 500 Index		5,355.000		09/09/2024		(1,711)		(916,240,500	)		(321,240	)		(321,240	)		—
S&P 500 Index		5,175.000		09/13/2024		(55)		(28,462,500	)		(11,137	)		(187,785	)		176,648
S&P 500 Index		5,270.000		09/13/2024		(19)		(10,013,000	)		(5,367	)		(63,921	)		58,554
S&P 500 Index		5,360.000		09/13/2024		(23)		(12,328,000	)		(10,350	)		(63,117	)		52,767
S&P 500 Index		5,385.000		09/13/2024		(8)		(4,308,000	)		(4,320	)		(21,032	)		16,712
S&P 500 Index		5,420.000		09/13/2024		(9)		(4,878,000	)		(6,255	)		(21,141	)		14,886

  

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

GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (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	$	5,425.000	09/13/2024		(1	)	$	(542,500	)	$	(715	)	$	(3,249	)	$	2,534
S&P 500 Index		5,440.000	09/13/2024		(4	)		(2,176,000	)		(3,220	)		(10,076	)		6,856
S&P 500 Index		5,445.000	09/13/2024		(5	)		(2,722,500	)		(4,225	)		(10,995	)		6,770
S&P 500 Index		5,460.000	09/13/2024		(5	)		(2,730,000	)		(4,775	)		(10,795	)		6,020
S&P 500 Index		5,485.000	09/13/2024		(9	)		(4,936,500	)		(10,530	)		(17,361	)		6,831
S&P 500 Index		5,515.000	09/13/2024		(22	)		(12,133,000	)		(33,000	)		(44,418	)		11,418
S&P 500 Index		5,415.000	09/20/2024		(2	)		(1,083,000	)		(2,860	)		(5,298	)		2,438
S&P 500 Index		5,420.000	09/20/2024		(53	)		(28,726,000	)		(77,380	)		(155,767	)		78,387
S&P 500 Index		5,430.000	09/20/2024		(2	)		(1,086,000	)		(3,100	)		(5,258	)		2,158
S&P 500 Index		5,455.000	09/20/2024		(6	)		(3,273,000	)		(10,560	)		(14,394	)		3,834
S&P 500 Index		5,485.000	09/20/2024		(27	)		(14,809,500	)		(56,025	)		(68,293	)		12,268
S&P 500 Index		5,435.000	09/27/2024		(53	)		(28,805,500	)		(118,190	)		(148,587	)		30,397
S&P 500 Index		5,465.000	09/27/2024		(22	)		(12,023,000	)		(55,880	)		(64,798	)		8,918
Total written option contracts					(8,958	)	$	(4,799,557,000	)	$	(966,639	)	$	(3,053,511	)	$	2,086,872
TOTAL					(592	)	$	(1,516,034,000	)	$	365,545		$	(1,076,760	)	$	1,442,305

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
3 Month SOFR	$	95.688		03/14/2025		1,633	$	4,082,500	$	2,571,975	$	1,677,613	$	894,362
3 Month SOFR		95.750		03/14/2025		1,599		3,997,500		2,348,531		2,042,435		306,096
3 Month SOFR		96.500		03/14/2025		1,544		3,860,000		887,800		2,071,470		(1,183,670	)
3 Month SOFR		95.375		06/13/2025		1,583		3,957,500		4,758,894		1,843,910		2,914,984
3 Month SOFR		95.500		06/13/2025		1,600		4,000,000		4,370,000		1,663,712		2,706,288
3 Month SOFR		95.688		06/13/2025		1,642		4,105,000		3,858,700		1,666,334		2,192,366
3 Month SOFR		96.063		06/13/2025		78		195,000		131,137		76,231		54,906
3 Month SOFR		96.563		06/13/2025		68		170,000		70,683		70,683		—
3 Month SOFR		96.625		06/12/2026		813		2,032,500		1,498,970		1,137,815		361,155
3 Month SOFR		97.000		06/12/2026		822		2,055,000		1,155,898		1,155,898		—
						11,382	$	28,455,000	$	21,652,588	$	13,406,101	$	8,246,487
Puts
3 Month SOFR		95.688		03/14/2025		1,633		4,082,500		336,806		1,616,376		(1,279,570	)
3 Month SOFR		95.750		03/14/2025		1,599		3,997,500		399,750		1,902,522		(1,502,772	)
3 Month SOFR		96.500		03/14/2025		1,544		3,860,000		1,852,801		2,082,507		(229,706	)
3 Month SOFR		95.375		06/13/2025		1,583		3,957,500		187,981		2,120,935		(1,932,954	)
3 Month SOFR		95.500		06/13/2025		1,600		4,000,000		250,000		1,863,712		(1,613,712	)
3 Month SOFR		95.688		06/13/2025		1,642		4,105,000		389,975		1,686,860		(1,296,885	)
3 Month SOFR		96.063		06/13/2025		78		195,000		38,025		74,281		(36,256	)
3 Month SOFR		96.563		06/13/2025		68		170,000		72,383		72,383		—
3 Month SOFR		96.625		06/12/2026		813		2,032,500		955,275		1,302,686		(347,411	)

  

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

GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND

 

Consolidated Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON FUTURES (continued)

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
3 Month SOFR	$	97.000		06/12/2026		822		$	2,055,000		$	1,316,811		$	1,316,811		$	—
						11,382		$	28,455,000		$	5,799,807		$	14,039,073		$	(8,239,266	)
Total purchased option contracts						22,764		$	56,910,000		$	27,452,395		$	27,445,174		$	7,221
Written option contracts
Puts
10 Year U.S. Treasury Notes		112.500		09/04/2024		(342	)		(342,000	)		(5,344	)		(4,677	)		(667	)
10 Year U.S. Treasury Notes		112.750		09/04/2024		(342	)		(342,000	)		(5,344	)		(4,677	)		(667	)
10 Year U.S. Treasury Notes		113.000		09/04/2024		(683	)		(683,000	)		(42,687	)		(20,012	)		(22,675	)
10 Year U.S. Treasury Notes		111.500		09/06/2024		(343	)		(343,000	)		(2,401	)		(4,691	)		2,290
10 Year U.S. Treasury Notes		111.750		09/06/2024		(341	)		(341,000	)		(5,328	)		(4,663	)		(665	)
10 Year U.S. Treasury Notes		112.000		09/06/2024		(699	)		(699,000	)		(21,844	)		(16,012	)		(5,832	)
10 Year U.S. Treasury Notes		112.250		09/06/2024		(700	)		(700,000	)		(43,750	)		(26,119	)		(17,631	)
						(3,450	)	$	(3,450,000	)	$	(126,698	)	$	(80,851	)	$	(45,847	)
Calls
10 Year U.S. Treasury Notes		115.250		09/04/2024		(342	)		(342,000	)		(342	)		(15,364	)		15,022
10 Year U.S. Treasury Notes		115.500		09/04/2024		(342	)		(342,000	)		(342	)		(10,021	)		9,679
10 Year U.S. Treasury Notes		115.750		09/04/2024		(342	)		(342,000	)		(342	)		(10,021	)		9,679
10 Year U.S. Treasury Notes		116.250		09/04/2024		(342	)		(342,000	)		(342	)		(4,677	)		4,335
10 Year U.S. Treasury Notes		115.500		09/06/2024		(350	)		(350,000	)		(4,786	)		(4,786	)		—
10 Year U.S. Treasury Notes		115.750		09/06/2024		(350	)		(350,000	)		(4,786	)		(4,786	)		—
10 Year U.S. Treasury Notes		116.000		09/06/2024		(341	)		(341,000	)		(5,329	)		(9,992	)		4,663
10 Year U.S. Treasury Notes		116.500		09/06/2024		(681	)		(681,000	)		(10,641	)		(14,672	)		4,031
10 Year U.S. Treasury Notes		117.250		09/06/2024		(343	)		(343,000	)		(343	)		(1,732	)		1,389
						(3,433	)	$	(3,433,000	)	$	(27,253	)	$	(76,051	)	$	48,798
Total written option contracts						(6,883	)	$	(6,883,000	)	$	(153,951	)	$	(156,902	)	$	2,951
TOTAL						15,881		$	50,027,000		$	27,298,444		$	27,288,272		$	10,172

Currency Abbreviations:
AUD	—Australian Dollar
CAD	—Canadian Dollar
CHF	—Swiss Franc
EUR	—Euro
GBP	—British Pound
JPY	—Japanese Yen
NZD	—New Zealand Dollar
USD	—U.S. Dollar

Abbreviations:
MS & Co. Int. PLC	—Morgan Stanley & Co. International PLC
SOFR	—Secured Overnight Financing Rate

 

  

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

GOLDMAN SACHS STRATEGIC VOLATILITY PREMIUM FUND

 

Consolidated Schedule of Investments

August 31, 2024

 

 

Principal Amount		Interest Rate			Maturity Date	Value
U.S. Treasury Obligations(a) – 64.9%
U.S. Treasury Bills
$	25,000,000		0.000	%	10/17/24	$	24,844,086
	50,000,000		0.000		10/29/24		49,603,066
	25,000,000		0.000		11/05/24		24,779,961
	75,000,000		0.000		11/07/24		74,320,395
	25,000,000		0.000		11/12/24		24,757,027
	30,353,400		0.000		12/03/24		29,976,010
	16,375,500		0.000		12/17/24		16,140,853
	20,000,000		0.000		01/09/25		19,661,866
	25,000,000		0.000		01/16/25		24,554,444
TOTAL U.S. TREASURY OBLIGATIONS (Cost $288,466,089)						$	288,637,708

	Shares		Dividend Rate	Value
	Investment Companies(b) – 31.0%
Goldman Sachs Financial Square Government Fund — Institutional Shares
		5,101,449	5.183%	$	5,101,449

Shares	Dividend Rate	Value
Investment Companies(b) – (continued)
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares
132,716,299	5.116%	$	132,716,299
TOTAL INVESTMENT COMPANIES (Cost $ 137,817,748)		$	137,817,748
TOTAL INVESTMENTS – 95.9% (Cost $ 426,283,837)		$	426,455,456
OTHER ASSETS IN EXCESS OF LIABILITIES – 4.1%			18,157,051
NET ASSETS – 100.0%		$	444,612,507

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)	Represents an affiliated fund.

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At August 31, 2024, the Fund had the following futures contracts:

Description	Number of Contracts		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Long position contracts:
2 Year U.S. Treasury Notes		1,323		12/31/24	$	274,584,517		$(224,502)
5 Year U.S. Treasury Notes		1,929		12/31/24		211,029,587		(620,711)
S&P 500 E-Mini Index		8		09/20/24		2,264,400		38,343
TOTAL FUTURES CONTRACTS								$(806,870)

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS

Description	Exercise Price	Expiration Date	Number of Contracts		Notional Amount		Market Value		Premiums Paid (Received) by Fund		Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Puts
S&P 500 Index	$3,400.000	09/03/2024		87	$	29,580,000	$	218		$ 26,112		$ (25,894	)
S&P 500 Index	5,565.000	09/03/2024		1		556,500		97		1,261		(1,164	)
S&P 500 Index	3,600.000	09/04/2024		83		29,880,000		415		26,073		(25,658	)
S&P 500 Index	5,525.000	09/04/2024		1		552,500		95		2,571		(2,476	)
S&P 500 Index	3,600.000	09/05/2024		81		29,160,000		202		40,466		(40,264	)
S&P 500 Index	5,585.000	09/05/2024		1		558,500		770		1,451		(681	)
S&P 500 Index	3,600.000	09/06/2024		80		28,800,000		200		28,112		(27,912	)
S&P 500 Index	5,540.000	09/06/2024		1		554,000		1,571		1,571		—
S&P 500 Index	3,600.000	09/09/2024		77		27,720,000		770		15,467		(14,697	)
S&P 500 Index	3,600.000	09/10/2024		75		27,000,000		750		11,110		(10,360	)

  

The accompanying notes are an integral part of these financial statements. 29

GOLDMAN SACHS STRATEGIC VOLATILITY PREMIUM FUND

 

Consolidated Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (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	$	3,600.000		09/11/2024		73		$	26,280,000		$	730			$  7,868			$  (7,138	)
S&P 500 Index		3,900.000		09/12/2024		70			27,300,000			1,575			8,470			(6,895	)
S&P 500 Index		4,000.000		09/13/2024		70			28,000,000			2,450			7,985			(5,535	)
S&P 500 Index		4,100.000		09/17/2024		68			27,880,000			3,910			8,448			(4,538	)
S&P 500 Index		4,300.000		09/17/2024		68			29,240,000			5,610			9,498			(3,888	)
S&P 500 Index		4,100.000		09/18/2024		68			27,880,000			5,270			9,033			(3,763	)
S&P 500 Index		3,825.000		09/20/2024		67			25,627,500			4,020			10,047			(6,027	)
S&P 500 Index		3,850.000		09/20/2024		68			26,180,000			4,250			8,228			(3,978	)
S&P 500 Index		3,800.000		09/23/2024		68			25,840,000			4,590			8,668			(4,078	)
S&P 500 Index		4,000.000		09/25/2024		68			27,200,000			6,970			7,778			(808	)
S&P 500 Index		3,850.000		09/30/2024		68			26,180,000			6,460			8,908			(2,448	)
S&P 500 Index		3,925.000		09/30/2024		68			26,690,000			7,480			11,758			(4,278	)
S&P 500 Index		4,025.000		09/30/2024		70			28,175,000			9,520			9,520			—
S&P 500 Index		4,050.000		09/30/2024		69			27,945,000			8,970			9,039			(69	)
Total purchased option contracts						1,450		$	554,779,000		$	76,893			$ 279,442			$(202,549	)
Written option contracts
Puts
S&P 500 Index		5,365.000		09/03/2024		(312	)		(167,388,000	)		(3,900	)		(43,240	)		39,340
S&P 500 Index		5,400.000		09/04/2024		(313	)		(169,020,000	)		(6,260	)		(46,246	)		39,986
S&P 500 Index		5,320.000		09/05/2024		(313	)		(166,516,000	)		(7,825	)		(99,456	)		91,631
S&P 500 Index		5,355.000		09/06/2024		(315	)		(168,682,500	)		(20,475	)		(51,266	)		30,791
S&P 500 Index		5,355.000		09/09/2024		(318	)		(170,289,000	)		(59,705	)		(59,705	)		—
Total written option contracts						(1,571	)	$	(841,895,500	)	$	(98,165	)		$(299,913	)		$ 201,748
TOTAL						(121	)	$	(287,116,500	)	$	(21,272	)		$ (20,471	)		$    (801	)

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
3 Month SOFR	$	96.188		09/13/2024		31	$	77,500	$	193		$ 19,834		$ (19,641	)
3 Month SOFR		96.250		09/13/2024		31		77,500		194		18,672		(18,478	)
3 Month SOFR		96.375		09/13/2024		31		77,500		194		16,733		(16,539	)
3 Month SOFR		97.125		12/13/2024		30		75,000		2,250		15,445		(13,195	)
3 Month SOFR		97.313		12/13/2024		30		75,000		1,875		10,570		(8,695	)
3 Month SOFR		96.563		03/14/2025		30		75,000		15,938		12,820		3,118
3 Month SOFR		96.750		03/14/2025		30		75,000		12,750		15,820		(3,070	)
3 Month SOFR		96.063		06/13/2025		15		37,500		25,219		14,660		10,559
3 Month SOFR		96.250		06/13/2025		29		72,500		40,781		14,205		26,576
3 Month SOFR		96.375		06/13/2025		29		72,500		36,068		12,392		23,676
3 Month SOFR		96.563		06/13/2025		13		32,500		13,513		13,513		—
3 Month SOFR		96.750		09/12/2025		29		72,500		33,713		15,655		18,058
						328	$	820,000	$	182,688		$180,319		$   2,369

  

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

GOLDMAN SACHS STRATEGIC VOLATILITY PREMIUM FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

EXCHANGE TRADED OPTIONS ON FUTURES (continued)

Description	Exercise Price		Expiration Date		Number of  Contracts			Notional   Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Puts
3 Month SOFR		$ 94.375		09/13/2024		62		$	155,000		$	388			$  2,469			$ (2,081	)
3 Month SOFR		94.813		09/13/2024		31			77,500			194			2,397			(2,203	)
3 Month SOFR		95.438		12/13/2024		30			75,000			3,937			12,820			(8,883	)
3 Month SOFR		95.500		12/13/2024		30			75,000			5,250			11,695			(6,445	)
3 Month SOFR		95.000		03/14/2025		60			150,000			1,875			25,264			(23,389	)
3 Month SOFR		94.500		06/13/2025		29			72,500			725			15,292			(14,567	)
3 Month SOFR		94.750		06/13/2025		29			72,500			1,087			11,667			(10,580	)
3 Month SOFR		96.063		06/13/2025		15			37,500			7,313			14,285			(6,972	)
3 Month SOFR		96.563		06/13/2025		13			32,500			13,838			13,838			—
3 Month SOFR		95.000		09/12/2025		29			72,500			2,356			12,030			(9,674	)
						328		$	820,000		$	36,963			$121,757			$(84,794	)
Total purchased option contracts						656		$	1,640,000		$	219,651			$302,076			$(82,425	)
Written option contracts
Puts
10 Year U.S. Treasury Notes		112.500		09/04/2024		(63	)		(63,000	)		(984	)		(861	)		(123	)
10 Year U.S. Treasury Notes		112.750		09/04/2024		(63	)		(63,000	)		(984	)		(860	)		(124	)
10 Year U.S. Treasury Notes		113.000		09/04/2024		(126	)		(126,000	)		(7,875	)		(3,692	)		(4,183	)
10 Year U.S. Treasury Notes		111.500		09/06/2024		(63	)		(63,000	)		(441	)		(862	)		421
10 Year U.S. Treasury Notes		111.750		09/06/2024		(64	)		(64,000	)		(1,000	)		(875	)		(125	)
10 Year U.S. Treasury Notes		112.000		09/06/2024		(130	)		(130,000	)		(4,063	)		(2,966	)		(1,097	)
10 Year U.S. Treasury Notes		112.250		09/06/2024		(130	)		(130,000	)		(8,125	)		(4,840	)		(3,285	)
						(639	)	$	(639,000	)	$	(23,472	)		$ (14,956	)		$ (8,516	)
Calls
10 Year U.S. Treasury Notes		115.250		09/04/2024		(63	)		(63,000	)		(63	)		(2,830	)		2,767
10 Year U.S. Treasury Notes		115.500		09/04/2024		(63	)		(63,000	)		(63	)		(1,846	)		1,783
10 Year U.S. Treasury Notes		115.750		09/04/2024		(63	)		(63,000	)		(63	)		(1,846	)		1,783
10 Year U.S. Treasury Notes		116.250		09/04/2024		(63	)		(63,000	)		(63	)		(862	)		799
10 Year U.S. Treasury Notes		115.500		09/06/2024		(65	)		(65,000	)		(889	)		(889	)		—
10 Year U.S. Treasury Notes		115.750		09/06/2024		(65	)		(65,000	)		(889	)		(889	)		—
10 Year U.S. Treasury Notes		116.000		09/06/2024		(64	)		(64,000	)		(1,000	)		(1,875	)		875
10 Year U.S. Treasury Notes		116.500		09/06/2024		(127	)		(127,000	)		(1,984	)		(2,721	)		737
10 Year U.S. Treasury Notes		117.250		09/06/2024		(63	)		(63,000	)		(63	)		(318	)		255
						(636	)	$	(636,000	)	$	(5,077	)		$ (14,076	)		$   8,999
Total written option contracts						(1,275	)	$	(1,275,000	)	$	(28,549	)		$ (29,032	)		$     483
TOTAL						(619	)	$	365,000		$	191,102			$273,044			$(81,942	)

Abbreviation:

SOFR —Secured Overnight Financing Rate

 

  

The accompanying notes are an integral part of these financial statements. 31

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments

August 31, 2024

 

 

Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations(a) – 0.4%
Banks(a) – 0.4%
Barclays Bank PLC (Secured Overnight Financing Rate + 0.380%)
$	15,742,000		5.710	%	05/08/25	$	15,754,897
TOTAL CORPORATE OBLIGATIONS (Cost $14,171,959)						$	15,754,897
Agency Debentures – 0.1%
Sovereign – 0.1%
Federal Farm Credit Banks Funding Corp.(a) (Federal Reserve Bank Prime Loan Rate + -3.010%)
$	166,000		5.490	%	08/07/25	$	166,121
(Secured Overnight Financing Rate + 0.200%)
	140,000		5.530		12/05/24		140,091
Federal Home Loan Banks
	4,160,000		5.500		10/11/24		4,159,293
(Secured Overnight Financing Rate + 0.120%)
	555,000		5.450	(a)	01/03/25		555,261
TOTAL AGENCY DEBENTURES (Cost $5,022,816)						$	5,020,766
U.S. Treasury Obligations – 13.0%
U.S. Treasury Bills(b)
$	53,656,500		0.000	%	11/21/24	$	53,068,422
	38,546,400		0.000		11/26/24		38,099,562
	2,290,900		0.000		11/29/24		2,263,362
	62,942,200		0.000		12/03/24		62,159,626
	11,475,000		0.000		12/17/24		11,310,573
	32,723,100		0.000		12/26/24		32,220,411
	12,399,400		0.000		01/30/25		12,156,650
	69,592,400		0.000		02/13/25		68,108,526
	3,260,100		0.000		02/20/25		3,187,775
U.S. Treasury Floating Rate Notes(a)
(3 mo. Treasury money market yield + 0.169%)
	1,000,400		5.213	(c)	04/30/25		999,948
(3 mo. Treasury money market yield + 0.125%)
	33,979,800		5.169		07/31/25		33,945,186
(3 mo. Treasury money market yield + 0.170%)
	30,353,500		5.214		10/31/25		30,329,060
(3 mo. Treasury money market yield + 0.245%)
	33,403,700		5.289	(c)	01/31/26		33,408,634
(3 mo. Treasury money market yield + 0.150%)
	62,833,300		5.194		04/30/26		62,746,701
U.S. Treasury Notes
	58,878,200		1.500	(c)	11/30/24		58,390,615
	28,634,700		0.250		05/31/25		27,736,510
	3,659,000		3.500		09/15/25		3,626,555
	79,020,000		3.875		08/15/33		78,859,491
TOTAL U. S. TREASURY OBLIGATIONS (Cost $607,034,708)						$	612,617,607

Shares	Description	Value
Exchange Traded Funds – 5.1%
256,040	Alerian MLP ETF(d)	$	12,118,373
715,723	Consumer Staples Select Sector SPDR Fund		59,054,305
32,679	iShares 20+ Year Treasury Bond ETF		3,153,197
217,972	iShares 7-10 Year Treasury Bond ETF		21,158,542
11,217	iShares Core MSCI Emerging Markets ETF		610,878
18,449	iShares Core S&P 500 ETF		10,455,971
233,273	iShares Gold Trust		11,029,147
9,453	iShares iBoxx $High Yield Corporate Bond ETF		750,001
23,956	iShares iBoxx $Investment Grade Corporate Bond ETF		2,664,147
864,052	iShares MSCI Mexico ETF(d)		45,829,318
3,406,799	Sprott Physical Uranium Trust		62,339,378
117,899	Vanguard Real Estate ETF		11,215,732
TOTAL EXCHANGE TRADED FUNDS (Cost $226,142,020)		$	240,378,989
Shares	Dividend Rate	Value
Investment Companies(e) – 34.0%
Goldman Sachs Energy Infrastructure Fund — Class R6
1,836,689	3.697%	$	24,942,235
Goldman Sachs Financial Square Government Fund — Institutional Shares
1,567,406,812	5.183		1,567,406,812
Goldman Sachs MLP Energy Infrastructure Fund — Class R6
117,107	6.484		4,337,646
TOTAL INVESTMENT COMPANIES (Cost $1,581,308,394)		$	1,596,686,693
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS – 52.6% (Cost $2,433,679,897)		$	2,470,458,952

Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – 45.1%
Certificates of Deposit – 13.1%
Banco Santander SA
$	10,904,000		5.750	%	11/27/24	$	10,915,676
	16,273,000		5.260		03/03/25		16,296,315
	8,000,000		5.370		03/07/25		8,012,286
Bank of America NA
	6,525,000		5.310		10/10/24		6,524,626
	1,548,000		5.730	(a)	07/03/25		1,548,205
Barclays Bank PLC(a)
(Secured Overnight Financing Rate + 0.380%)
	14,721,000		5.710		02/07/25		14,729,970

  

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

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

 

 

 

 

 

Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Certificates of Deposit – (continued)
$	4,659,000		5.710	%	02/21/25	$	4,662,420
Bay Square Funding LLC(a)(f)
(Secured Overnight Financing Rate + 0.240%)
	3,503,000		5.570		10/01/24		3,503,060
	27,321,000		5.570		12/02/24		27,325,877
(Secured Overnight Financing Rate + 0.270%)
	12,502,000		5.610		10/15/24		12,504,171
(Secured Overnight Financing Rate + 0.300%)
	2,750,000		5.640		02/14/25		2,750,242
Bayerische Landesbank
	8,400,000		6.000		09/25/24		8,402,171
	4,600,000		5.100		01/10/25		4,597,838
	4,300,000		5.210	(a)	01/10/25		4,299,594
(Secured Overnight Financing Rate + 0.450%)
	23,436,000		5.800	(a)	04/14/25		23,458,963
BNP Paribas SA(a) (Secured Overnight Financing Rate + 0.310%)
	5,748,000		5.640		03/07/25		5,750,795
Canadian Imperial Bank of Commerce
	8,219,000		5.950		09/19/24		8,220,475
Citibank NA(a) (Secured Overnight Financing Rate + 0.600%)
	15,634,000		5.930		10/28/24		15,646,601
City of San Antonio
	9,330,000		5.460		09/19/24		9,330,754
Collateralized Commercial Paper FLEX Co. LLC(a)(f)
	7,663,000		5.640		03/07/25		7,663,850
(Secured Overnight Financing Rate + 0.400%)
	20,789,000		5.740	(g)	05/20/25		20,797,416
Cooperatieve Rabobank UA
	9,931,000		5.800		11/12/24		9,943,316
	4,476,000		5.500		12/16/24		4,481,176
Deutsche Bank AG
	16,085,000		5.800		12/12/24		16,100,414
HSBC Bank PLC(a)(f) (Secured Overnight Financing Rate + 0.330%)
	4,780,000		5.670		02/07/25		4,782,819
HSBC Bank USA NA
	12,180,000		5.980		09/25/24		12,182,956
Kookmin Bank
(Secured Overnight Financing Rate + 0.600%)
	18,548,000		5.950	(a)	01/08/25		18,568,897
	23,801,000		5.950	(a)	03/20/25		23,822,138
(Secured Overnight Financing Rate + 0.650%)
	15,509,000		6.000	(a)	01/29/25		15,530,738
Landesbank Baden-Wuerttemberg
	7,600,000		5.990		09/25/24		7,601,854
Landesbank Hessen-Thueringen Girozentrale(a) (Secured Overnight Financing Rate + 0.350%)
	26,545,000		5.680		05/06/25		26,562,077
Lloyds Bank Corporate Markets PLC
	4,921,000		6.050		10/07/24		4,923,226
	7,561,000		5.510		05/22/25		7,600,641
Macquarie Bank Ltd.(a)(f) (Secured Overnight Financing Rate + 0.600%)
	17,391,000		5.940		11/07/24		17,406,818
Mitsubishi UFJ Trust & Banking Corp.(a)
(Secured Overnight Financing Rate + 0.400%)
	12,227,000		5.750		05/01/25		12,237,738
	5,136,000		5.750		08/14/25		5,137,736

Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Certificates of Deposit – (continued)
Mizuho Bank Ltd.(a) (Secured Overnight Financing Rate + 0.350%)
$	2,000,000		5.700	%	01/31/25	$	2,000,927
MUFG Bank Ltd.(a) (Secured Overnight Financing Rate + 0.240%)
	1,000,000		5.590		10/25/24		1,000,178
Natixis SA
	13,800,000		5.990		09/17/24		13,802,573
	13,500,000		5.400		03/17/25		13,527,982
Norinchukin Bank(a) (Secured Overnight Financing Rate + 0.220%)
	12,613,000		5.550		10/25/24		12,615,038
Northern Trust Co.
	1,640,000		5.400		09/20/24		1,640,011
Old Line Funding LLC(a)(f)(g) (Secured Overnight Financing Rate +0.250%)
	22,653,000		5.600		10/15/24		22,657,323
Salisbury Receivables Co. LLC(a)(f)
	5,772,000		5.530		12/12/24		5,772,159
Standard Chartered Bank(a)
	8,787,000		6.050		09/05/24		8,787,609
(Secured Overnight Financing Rate + 0.350%)
	11,000,000		5.680		05/21/25		11,005,820
Starbird Funding Corp.(a)(f)
	5,154,000		5.560		10/02/24		5,154,603
(Secured Overnight Financing Rate + 0.240%)
	15,557,000		5.580		10/01/24		15,558,922
Sumitomo Mitsui Banking Corp.(a)
(Secured Overnight Financing Rate + 0.200%)
	3,000,000		5.550		09/06/24		3,000,042
(Secured Overnight Financing Rate + 0.240%)
	20,099,000		5.590		02/14/25		20,100,730
Sumitomo Mitsui Trust Bank Ltd.(a) (Secured Overnight Financing Rate + 0.290%)
	11,885,000		5.640		04/14/25		11,887,152
Svenska Handelsbanken AB(a) (Secured Overnight Financing Rate + 0.550%)
	4,096,000		5.880		11/05/24		4,099,400
Toronto-Dominion Bank
	25,194,000		5.400		01/03/25		25,213,772
Versailles Commercial Paper LLC(a)(f)(g) (Secured Overnight Financing Rate + 0.230%)
	7,000,000		5.570		01/02/25		7,000,349
Wells Fargo Bank NA
	7,082,000		5.230		12/13/24		7,081,268
Westpac Banking Corp.(a)(f) (Secured Overnight Financing Rate + 0.330%)
	20,000,000		5.670		05/01/25		20,016,435
							615,746,142
Commercial Paper(b) – 32.0%
Air Liquide U.S. LLC(f)
	13,300,000		0.000		12/20/24		13,093,856
American Honda Finance Corp.
	16,041,000		0.000		09/09/24		16,016,887
	5,616,000		0.000		09/16/24		5,601,633
AstraZeneca PLC(f)
	9,436,000		0.000		10/04/24		9,386,354

  

The accompanying notes are an integral part of these financial statements. 33

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

August 31, 2024

 

 

Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper(b) – (continued)
AT&T, Inc.(f)
$	13,644,000		0.000	%	09/30/24	$	13,580,599
Atlantic Asset Securitization LLC(f)
	3,156,000		0.000		11/06/24		3,124,862
	1,212,000		0.000		01/15/25		1,189,058
Australia & New Zealand Banking Group Ltd.(f)
	10,098,000		0.000		01/14/25		9,911,077
Barclays Bank PLC(f)
	8,500,000		0.000		10/09/24		8,450,146
	5,443,000		0.000		01/31/25		5,329,974
BASF SE(f)
	15,081,000		0.000		09/27/24		15,018,598
	5,243,000		0.000		09/30/24		5,218,993
Bay Square Funding LLC(f)
	2,584,000		0.000		09/19/24		2,576,366
Bayer Corp.(f)
	3,000,000		0.000		09/16/24		2,992,240
BofA Securities, Inc.
	8,080,000		0.000		03/11/25		7,871,917
Brighthouse Financial Short Term Funding LLC(f)
	1,834,000		0.000		09/05/24		1,832,368
Cabot Trail Funding LLC(f)
	5,037,000		0.000		11/05/24		4,988,306
	30,000,000		0.000		01/10/25		29,448,419
Caisse d’Amortissement de la Dette Sociale(f)
	9,337,000		0.000		03/03/25		9,106,903
Cancara Asset Securitisation LLC
	33,526,000		0.000		09/13/24		33,456,277
	5,960,000		0.000		02/07/25		5,830,317
CDP Financial, Inc.(f)
	7,771,000		0.000		02/04/25		7,606,723
Cigna Group(f)
	29,000,000		0.000		09/19/24		28,912,157
Cisco Systems, Inc.(f)
	13,810,000		0.000		01/31/25		13,525,135
	2,818,000		0.000		02/03/25		2,758,813
Citigroup Global Markets, Inc.(f)
	8,503,000		0.000		09/16/24		8,481,708
Collateralized Commercial Paper Co. LLC
	8,311,761		0.000		09/05/24		8,304,674
Dexia SA(f)
	22,707,000		0.000		02/03/25		22,228,102
DNB Bank ASA(f)
	4,889,000		0.000		01/15/25		4,798,454
Duke Energy Corp.(f)
	20,000,000		0.000		09/19/24		19,939,419
eBay, Inc.(f)
	21,348,000		0.000		01/17/25		20,932,623
	4,912,000		0.000		01/21/25		4,814,271
Enel Finance America LLC(f)
	5,966,000		0.000		09/27/24		5,940,634
	12,878,000		0.000		10/30/24		12,761,105
	8,121,000		0.000		11/18/24		8,025,353
Entergy Corp.(f)
	10,268,000		0.000		10/23/24		10,185,907
European Investment Bank
	8,000,000		0.000		04/17/25		7,764,327

Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper(b) – (continued)
General Motors Financial Co., Inc.(f)
$	15,116,000		0.000	%	10/01/24	$	15,042,001
	4,118,000		0.000		10/02/24		4,097,216
	1,687,000		0.000		10/09/24		1,676,697
	9,993,000		0.000		10/22/24		9,912,624
	19,929,000		0.000		10/23/24		19,765,781
	1,685,000		0.000		10/28/24		1,669,968
	9,736,000		0.000		11/18/24		9,619,745
	5,914,000		0.000		01/21/25		5,789,711
	3,841,000		0.000		02/03/25		3,753,705
Glencore Funding LLC(f)
	12,866,000		0.000		10/31/24		12,747,528
	9,433,000		0.000		01/10/25		9,254,291
Gotham Funding Corp.(f)
	15,000,000		0.000		10/09/24		14,912,111
	13,450,000		0.000		11/04/24		13,322,171
GTA Funding LLC(f)
	2,867,000		0.000		12/11/24		2,825,346
	13,904,000		0.000		01/07/25		13,653,960
HSBC USA, Inc.(f)
	15,000,000		0.000		07/03/25		14,388,307
	8,350,000		0.000		07/23/25		7,992,516
	12,858,000		0.000		08/19/25		12,267,962
	10,537,000		0.000		08/27/25		10,043,826
Intesa Sanpaolo Funding LLC
	3,278,000		0.000		01/09/25		3,214,117
	13,908,000		0.000		04/04/25		13,481,876
Keurig Dr. Pepper, Inc.(f)
	13,419,000		0.000		09/19/24		13,378,353
Kreditanstalt fuer Wiederaufbau(f)
	12,779,000		0.000		02/10/25		12,500,536
La Fayette Asset Securitization LLC(f)
	11,944,000		0.000		01/13/25		11,721,279
Liberty Street Funding LLC(f)
	5,307,000		0.000		09/04/24		5,303,066
Lime Funding LLC(f)
	11,722,000		0.000		01/09/25		11,509,160
LMA-Americas LLC(f)
	3,563,000		0.000		10/09/24		3,542,071
	1,850,000		0.000		10/10/24		1,838,868
	5,672,000		0.000		10/17/24		5,632,251
	30,000,000		0.000		10/22/24		29,768,891
	6,705,000		0.000		02/27/25		6,543,079
L’Oreal SA(f)
	22,693,000		0.000		10/15/24		22,542,469
LVMH Moet Hennessy Louis Vuitton SE(f)
	26,000,000		0.000		11/15/24		25,715,568
	18,935,000		0.000		03/14/25		18,449,622
	1,560,000		0.000		03/17/25		1,519,483
	17,848,000		0.000		04/07/25		17,342,528
Macquarie Bank Ltd.(f)
	6,760,000		0.000		02/13/25		6,607,397
Mercedes-Benz Finance North America LLC(f)
	4,456,000		0.000		09/20/24		4,442,213
Mont Blanc Capital Corp.(f)
	7,832,000		0.000		01/21/25		7,678,367
MUFG Bank Ltd.
	20,209,000		0.000		02/04/25		19,778,817

  

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

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

 

 

 

 

 

Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper(b) – (continued)
National Bank of Canada(f)
$	14,470,000		0.000	%	01/17/25	$	14,193,610
Nieuw Amsterdam Receivables Corp. BV(f)
	23,273,000		0.000		01/17/25		22,829,671
Northwestern Mutual Short Term Funding LLC(f)
	6,568,000		0.000		10/29/24		6,511,953
	14,785,000		0.000		11/04/24		14,646,652
Nutrien Ltd.(f)
	8,432,000		0.000		09/04/24		8,425,597
	15,000,000		0.000		09/11/24		14,972,606
Old Line Funding LLC(f)
	5,610,000		0.000		09/24/24		5,589,356
	29,180,000		0.000		10/04/24		29,030,115
	23,474,000		0.000		11/20/24		23,199,207
Pacific Life Short Term Funding LLC(f)
	9,995,000		0.000		01/16/25		9,805,746
	10,000,000		0.000		01/30/25		9,793,493
Paradelle Funding LLC
	2,693,000		0.000		03/17/25		2,621,878
Penske Truck Leasing Co. LP
	1,026,000		0.000		10/30/24		1,016,513
	3,049,000		0.000		02/03/25		2,981,034
PepsiCo, Inc.(f)
	9,700,000		0.000		11/15/24		9,594,805
Pfizer, Inc.(f)
	8,200,000		0.000		02/06/25		8,025,310
Procter & Gamble Co.(f)
	12,029,000		0.000		04/11/25		11,688,980
PSP Capital, Inc.(f)
	21,250,000		0.000		12/16/24		20,932,946
Pure Grove Funding(f)
	19,795,000		0.000		11/21/24		19,559,779
	13,582,000		0.000		01/16/25		13,322,729
Repurchase Agreement
	8,000,000		0.000		12/09/24		7,887,419
Ridgefield Funding Co. LLC(f)
	23,611,000		0.000		09/16/24		23,551,654
	7,606,000		0.000		02/03/25		7,444,818
Salisbury Receivables Co. LLC(f)
	6,867,000		0.000		10/31/24		6,805,920
	18,073,000		0.000		11/05/24		17,899,731
	14,459,000		0.000		12/20/24		14,234,145
	13,565,000		0.000		01/31/25		13,284,531
Sanofi SA(f)
	25,000,000		0.000		10/17/24		24,826,733
	3,250,000		0.000		12/13/24		3,202,604
Sheffield Receivables Co. LLC(f)
	2,050,000		0.000		09/17/24		2,044,536
Societe Generale SA(f)
	6,330,000		0.000		12/09/24		6,241,446
Starbird Funding Corp.(f)
	9,290,000		0.000		10/16/24		9,226,406
TELUS Corp.(f)
	13,141,000		0.000		09/10/24		13,119,169
	1,500,000		0.000		09/13/24		1,496,825
	23,269,000		0.000		09/25/24		23,177,194
	16,489,000		0.000		12/05/24		16,255,258

Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper(b) – (continued)
TotalEnergies Capital SA(f)
$	15,315,000		0.000	%	09/13/24	$	15,283,328
	13,001,000		0.000		12/20/24		12,797,632
Toyota Industries Commercial Finance, Inc.(f)
	5,000,000		0.000		10/04/24		4,974,422
UBS AG(f)
	16,193,000		0.000		12/04/24		15,972,119
	8,932,000		0.000		05/12/25		8,641,377
UnitedHealth Group, Inc.(f)
	2,970,000		0.000		09/04/24		2,967,807
	16,059,000		0.000		09/30/24		15,985,898
Versailles Commercial Paper LLC
	37,138,000		0.000		10/02/24		36,957,912
Victory Receivables Corp.(f)
	22,556,000		0.000		10/09/24		22,423,671
	15,000,000		0.000		10/18/24		14,892,935
Volkswagen Group of America Finance LLC(f)
	15,000,000		0.000		09/09/24		14,976,647
	13,701,000		0.000		01/02/25		13,449,141
Walt Disney Co.(f)
	7,506,000		0.000		10/18/24		7,451,713
	10,420,000		0.000		11/06/24		10,315,960
	2,383,000		0.000		11/08/24		2,358,535
	15,287,000		0.000		11/14/24		15,117,182
	5,682,000		0.000		01/03/25		5,581,451
	31,136,000		0.000		01/14/25		30,542,129
							1,506,380,260
TOTAL SHORT- TERM INVESTMENTS (Cost $2,121,452,699)						$	2,122,126,402
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT – 97.7% (Cost $4,555,132,596)						$	4,592,585,354

Shares	Dividend Rate	Value
Securities Lending Reinvestment Vehicle(e) – 0.7%
Goldman Sachs Financial Square Government Fund — Institutional Shares
32,982,945	5.183%	$	32,982,945
(Cost $32,982,945)
TOTAL INVESTMENTS – 98.4% (Cost $4,588,115,541)		$	4,625,568,299
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6%			75,847,429
NET ASSETS – 100.0%		$	4,701,415,728

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

  

The accompanying notes are an integral part of these financial statements. 35

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

August 31, 2024

 

(a)	Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on August 31, 2024.
(b)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(c)	All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.

(d)	All or a portion of security is on loan.
(e)	Represents an affiliated fund.
(f)	Exempt from registration under Rule 144A of the Securities Act of 1933.
(g)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At August 31, 2024, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Gain
MS & Co. Int. PLC	CHF	130,730,000	USD	148,210,696		09/18/24		$ 5,906,541
	JPY	21,859,000,000	USD	141,688,984		09/18/24		8,227,362
TOTAL								$14,133,903

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Settlement Date		Unrealized Loss
MS & Co. Int. PLC	MXN	195,500,000	USD	9,917,266		09/18/24	$	(18,508	)
	USD	147,516,159	CHF	130,730,000		09/18/24		(6,601,078	)
	USD	140,415,826	JPY	21,859,000,000		09/18/24		(9,500,520	)
TOTAL							$	(16,120,106	)

FUTURES CONTRACTS — At August 31, 2024, the Fund had the following futures contracts:

Description	Number of Contracts		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Long position contracts:
10 Year U.S. Treasury Notes		8,887		12/19/24	$	1,009,229,938		$(5,419,292	)
2 Year U.S. Treasury Notes		6,420		12/31/24		1,332,450,944		(1,270,815	)
5 Year U.S. Treasury Notes		5,335		12/31/24		583,640,667		(1,711,726	)
E-Mini Russell 2000 Index		97		09/20/24		10,782,035		(245,766	)
MEX Bolsa Index		381		09/20/24		10,093,451		(316,096	)
Nasdaq 100 E-Mini Index		21		09/20/24		8,241,660		(224,317	)
STOXX Europe 600		2,668		09/20/24		58,836,677		4,677,769
Stoxx Europe 600 Index		201		09/20/24		5,842,364		12,547
TOPIX Index		44		09/12/24		8,173,062		(225,830	)
TOTAL FUTURES CONTRACTS								$(4,723,526	)

  

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

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At August 31, 2024, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

Payments Made by the Fund(a)	Payments Received by Fund			Termination Date		Notional Amount (000s)		Unrealized Appreciation/ (Depreciation)*
6M GBP		4.325	%		09/19/33		GBP 69,400	$	3,695,905

(a) Payments made annually.

* There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:

OVER-THE-COUNTER INTEREST RATE SWAPTIONS

Description	Counterparty	Exercise Rate		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
6M IRS	BofA Securities LLC		3.120%		09/13/2024		297,300,000		$	297,300,000		$	44,625		$	463,945		$	(419,320	)
6M IRS	BofA Securities LLC		4.170		09/13/2024		297,300,000			297,300,000			2,795,096			2,106,752			688,344
6M IRS	BofA Securities LLC		3.200		09/13/2024		294,300,000			294,300,000			66,100			275,542			(209,442	)
6M IRS	BofA Securities LLC		4.500		09/13/2024		294,300,000			294,300,000			4,600,468			2,124,543			2,475,925
1M IRS	JPMorgan Securities, Inc.		3.620		09/13/2024		297,300,000			297,300,000			482,875			297,300			185,575
6M IRS	JPMorgan Securities, Inc.		3.500		10/16/2024		116,100,000			116,100,000			647,237			2,704,999			(2,057,762	)
1Y IRS	MS & Co. Int. PLC		3.440		01/24/2025		70,080,000			70,080,000			1,043,854			2,511,030			(1,467,176	)
3M IRS	MS & Co. Int. PLC		3.700		10/31/2024		68,200,000			68,200,000			1,123,932			1,270,390			(146,458	)
Total purchased option contracts							1,734,880,000		$	1,734,880,000		$	10,804,187		$	11,754,501		$	(950,314	)
Written option contracts
Calls
6M IRS	BofA Securities LLC		3.620		09/13/2024		(594,600,000	)		(594,600,000	)		(965,748	)		(1,889,881	)		924,133
6M IRS	BofA Securities LLC		3.950		09/13/2024		(588,600,000	)		(588,600,000	)		(3,256,371	)		(1,789,413	)		(1,466,958	)
1M IRS	JPMorgan Securities, Inc.		4.170		09/13/2024		(297,300,000	)		(297,300,000	)		(2,795,096	)		(1,709,475	)		(1,085,621	)
6M IRS	JPMorgan Securities, Inc.		3.100		10/16/2024		(116,100,000	)		(116,100,000	)		(87,886	)		(1,233,161	)		1,145,275
1Y IRS	MS & Co. Int. PLC		2.916		01/24/2025		(140,160,000	)		(140,160,000	)		(529,336	)		(2,511,030	)		1,981,694
3M IRS	MS & Co. Int. PLC		3.350		10/31/2024		(68,200,000	)		(68,200,000	)		(271,585	)		(448,579	)		176,994
							(1,804,960,000	)	$	(1,804,960,000	)	$	(7,906,022	)	$	(9,581,539	)	$	1,675,517
Puts
6M IRS	JPMorgan Securities, Inc.		4.325		10/16/2024		(116,100,000	)		(116,100,000	)		(89,761	)		(1,471,838	)		1,382,077
3M IRS	MS & Co. Int. PLC		4.200		10/31/2024		(68,200,000	)		(68,200,000	)		(137,969	)		(421,419	)		283,450
							(184,300,000	)	$	(184,300,000	)	$	(227,730	)	$	(1,893,257	)	$	1,665,527
Total written option contracts							(1,989,260,000	)	$	(1,989,260,000	)	$	(8,133,752	)	$	(11,474,796	)	$	3,341,044
TOTAL							(254,380,000	)	$	(254,380,000	)	$	2,670,435		$	279,705		$	2,390,730

  

The accompanying notes are an integral part of these financial statements. 37

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

Consolidated Schedule of Investments (continued)

August 31, 2024

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER-THE-COUNTER OPTIONS ON EQUITIES

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
SXPA Index	MS & Co. Int. PLC		$1,713.820		03/21/2025		33,470		$	5,736,155,540		$	1,211,463			$    3,482,835			$(2,271,372	)
EWW Index	MS & Co. Int. PLC		66.204		09/03/2024		487,000			3,224,134,800			—			389,600			(389,600	)
TOPX Index	BNP Paribas SA		2,511.620		02/21/2025		1,759,500			441,919,539,000			2,989,052			1,642,711			1,346,341
Puts
SPX Index	BofA Securities LLC		—		11/15/2024		52,002			—			5,896,554			7,335,002			(1,438,448	)
Total purchased option contracts							2,331,972		$	450,879,829,340		$	10,097,069			$  12,850,148			$(2,753,079	)
Written option contracts
Calls
SXPA Index	MS & Co. Int. PLC		1,973.340		03/21/2025		(33,470	)		(6,604,768,980	)		(56,280	)		(870,710	)		814,430
Puts
TOPX Index	BNP Paribas SA		2,333.530		02/21/2025		(3,519,000	)		(821,169,207,000	)		(883,190	)		(3,285,422	)		2,402,232
SPX Index	JPMorgan Securities, Inc.		5,500.000		11/15/2024		(30,791	)		(16,935,050,000	)		(2,376,576	)		(8,118,475	)		5,741,899
EWW Index	MS & Co. Int. PLC		53.428		09/03/2024		(487,000	)		(2,601,943,600	)		(354,337	)		(389,600	)		35,263
SXPA Index	MS & Co. Int. PLC		1,449.400		03/21/2025		(33,470	)		(4,851,141,800	)		(791,455	)		(1,741,419	)		949,964
							(4,070,261	)	$	(845,557,342,400	)	$	(4,405,558	)		$(13,534,916	)		$ 9,129,358
Total written option contracts							(4,103,731	)	$	(852,162,111,380	)	$	(4,461,838	)		$(14,405,626	)		$ 9,943,788
TOTAL							(1,771,759	)	$	(401,282,282,040	)	$	5,635,231			$  (1,555,478	)		$ 7,190,709

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Paid (Received) by Fund			Unrealized Appreciation/ (Depreciation)
Purchased option contract
Calls
Call USD/Put CHF  Barclays Bank PLC			$0.873		10/15/2024		146,470,000		$	146,470,000		$	296,895		$	1,189,336		$	(892,441	)
Written option contract
Puts
Put USD/Call CHF  Barclays Bank PLC			0.820		10/15/2024		(146,470,000	)		(146,470,000	)		(485,988	)		(433,258	)		(52,730	)
TOTAL							—		$	—		$	(189,093	)	$	756,078		$	(945,171	)

Currency Abbreviations:
CHF	—Swiss Franc
GBP	—British Pound
JPY	—Japanese Yen
MXN	—Mexican Peso
USD	—U.S. Dollar

  

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

GOLDMAN SACHS TACTICAL TILT OVERLAY FUND

 

 

 

 

 

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

Investment Abbreviations:
ETF	—Exchange Traded Fund
LLC	—Limited Liability Company
LP	—Limited Partnership
MLP	—Master Limited Partnership
MSCI	—Morgan Stanley Capital International
PLC	—Public Limited Company
SPDR	—Standard and Poor’s Depository Receipt

Abbreviations:
1M IRS	—1 Month Interest Rate Swaptions
1Y IRS	—1 Year Interest Rate Swaptions
3M IRS	—3 Months Interest Rate Swaptions
6M IRS	—6 Month Interest Rate Swaptions
BofA Securities LLC	—Bank of America Securities LLC
EWW	—iShares MSCI Mexico ETF
MS & Co. Int. PLC	—Morgan Stanley & Co. International PLC
SPX	—S&P 500 Index
SXPA	—Stoxx Europe Total Market Aerospace and Defense  Index.
TOPX	—Tokyo Stock Price Index

  

The accompanying notes are an integral part of these financial statements. 39

GOLDMAN SACHS ALLOCATION FUNDS

 

Statements of Assets and Liabilities

August 31, 2024

 

		Global Managed Beta Fund		Strategic Factor Allocation Fund(a)
	Assets:
	Investments in affiliated issuers, at value (cost $2,109,082,250 and $1,408,271,148, respectively)		$2,552,877,225		$1,408,271,148
	Investments in unaffiliated issuers, at value (cost $1,281,715,365 and $796,004,314, respectively)		1,533,338,425		796,354,836
	Purchased options, at value (premium paid $72,710,254 and $29,421,925, respectively)		65,313,782		28,784,579
	Cash		61,090,145		70,856,505
	Foreign currencies, at value (cost $4,001,576 and $1,132, respectively)		4,068,896		1,151
	Unrealized gain on forward foreign currency exchange contracts		1,399,037		12,564,622
	Variation margin on futures contracts		3,350,937		—
	Receivables:
	Collateral on certain derivative contracts(b)		92,710,697		114,431,143
	Fund shares sold		44,898,000		811,945
	Dividends		1,346,579		6,149,738
	Foreign tax reclaims		296,094		—
	Investments sold		166,407		2,794
	Reimbursement from investment adviser		100,457		16,898
	Securities lending income		410		—
	Due from broker		—		786,463
	Other assets		30,357		43,173
	Total assets		4,360,987,448		2,439,074,995
	Liabilities:
	Unrealized loss on forward foreign currency exchange contracts		26,219,242		24,119,814
	Written option contracts, at value (premium received $1,392,516 and $3,210,413, respectively)		1,105,170		1,120,590
	Variation margin on futures contracts		—		3,164,545
	Payables:
	Investments purchased		48,618,757		8,891,028
	Due to broker		3,573,657		—
	Fund shares redeemed		926,304		880,000
	Management fees		874,074		1,293,915
	Transfer Agency fees		68,993		60,382
	Accrued expenses		260,272		285,093
	Total liabilities		81,646,469		39,815,367
	Net Assets:
	Paid-in capital		3,268,876,050		2,186,012,767
	Total distributable earnings		1,010,464,929		213,246,861
	NET ASSETS		$4,279,340,979		$2,399,259,628
	Net Assets:
	Institutional		$4,279,340,979		$   14,386,908
	Class P		—		2,384,872,720
	Total Net Assets		$4,279,340,979		$2,399,259,628
	Shares Outstanding $0.001 par value (unlimited number of shares authorized):
	Institutional		261,942,186		1,154,475
	Class P		—		193,864,050
	Net asset value, offering and redemption price per share:
	Institutional		$16.34		$12.46
	Class P		—		12.30

(a) Statement of Assets and Liabilities for the Strategic Factor Allocation Fund are consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity—SFA, LLC. Accordingly, all interfund balances and transactions have been eliminated.

(b) Segregated for initial margin and/or collateral as follows:

Fund	Futures		Forwards		Options
Global Managed Beta Fund	$	17,880,723	$	28,250,000	$	46,579,974
Strategic Factor Allocation Fund		96,601,143		17,830,000		—

  

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Statements of Assets and Liabilities (continued)

August 31, 2024

 

	Strategic Volatility Premium Fund(a)			Tactical Tilt Overlay Fund(a)
Assets:
Investments in unaffiliated issuers, at value (cost $288,466,089 and $2,973,824,202, respectively)(b)		$288,637,708			$2,995,898,661
Investments in affiliated issuers, at value (cost $137,817,748 and $1,581,308,394, respectively)		137,817,748			1,596,686,693
Investments in affiliated securities lending reinvestment vehicle, at value which equals cost		—			32,982,945
Purchased options, at value (premium paid $581,518 and $25,793,985, respectively)		296,544			21,198,151
Cash		12,867,551			80,531,524
Foreign currencies, at value (cost $0 and $3,244,903, respectively)		—			3,127,436
Unrealized gain on forward foreign currency exchange contracts		—			14,133,903
Variation margin on swaps contracts		—			184,272
Receivables:
Collateral on certain derivative contracts(c)		5,537,178			12,313,569
Interest and dividends		621,960			17,369,734
Due from broker		100,481			—
Reimbursement from investment adviser		39,644			7,488
Investments sold		—			12,882,161
Fund shares sold		—			18,704,405
Securities lending income		—			34,536
Foreign tax reclaims		—			19,932
Other assets		27,397			67,479
Total assets		445,946,211			4,806,142,889
Liabilities:
Unrealized loss on forward foreign currency exchange contracts		—			16,120,106
Written option contracts, at value (premium received $328,945 and $26,313,680, respectively)		126,714			13,081,578
Variation margin on futures contracts		213,880			5,573,714
Payables:
Investments purchased		660,402			19,487,016
Management fees		130,413			2,659,424
Fund shares redeemed		50,000			700,971
Transfer Agency fees		11,264			119,338
Due to broker		—			13,875,244
Payable upon return of securities loaned		—			32,982,945
Accrued expenses		141,031			126,825
Total liabilities		1,333,704			104,727,161
Net Assets:
Paid-in capital		449,544,090			4,614,892,054
Total distributable earnings (loss)		(4,931,583	)		86,523,674
NET ASSETS		$444,612,507			$4,701,415,728
Net Assets:
Institutional		$     326,902			$   15,794,661
Class R6		—			620,690,438
Class P		444,285,605			4,064,930,629
Total Net Assets		$444,612,507			$4,701,415,728
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Institutional		32,637			1,441,538
Class R6		—			58,613,235
Class P		44,347,637			383,951,378
Net asset value, offering and redemption price per share:
Institutional		$10.02			$10.96
Class R6		—			10.59
Class P		10.02			10.59

(a) Statements of Assets and Liabilities for the Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund are consolidated and includes the balances of wholly owned subsidiaries, Cayman Commodity—SVP, LLC and Cayman Commodity—TTIF, LLC., respectively. Accordingly, all interfund balances and transactions have been eliminated.

(b) Includes loaned securities having a market value of $0 and $32,280,764, for the Strategic Volatility Premium and Tactical Tilt Overlay Funds respectively.

(c) Segregated for initial margin and/or collateral as follows:

Fund	Futures		Swaps		Forwards
Strategic Volatility Premium Fund	$	5,537,178	$	—	$	—
Tactical Tilt Overlay Fund		—		10,343,569		1,970,000

  

The accompanying notes are an integral part of these financial statements. 41

GOLDMAN SACHS ALLOCATION FUNDS

 

Statements of Operations

For the Fiscal Year Ended August 31, 2024

 

	Global Managed Beta Fund			Strategic Factor Allocation Fund(a)
Investment Income:
Dividends — affiliated issuers	$	35,125,165		$	72,759,179
Dividends — unaffiliated issuers (net of tax withholding of $340,527 and $0, respectively)		34,428,673			—
Interest		1,071,441			39,857,044
Securities lending income, net of rebates received or paid to borrowers — unaffiliated issuers		172,529			—
Total investment income		70,797,808			112,616,223
Expenses:
Management fees		10,124,297			16,794,980
Transfer Agency fees(b)		674,953			680,195
Custody, accounting and administrative services		405,568			257,438
Professional fees		117,202			256,372
Registration fees		35,496			66,138
Trustee fees		32,372			30,257
Printing and mailing costs		18,069			27,428
Prime broker fees		14,591			21,694
Other		56,775			67,783
Total expenses		11,479,323			18,202,285
Less — expense reductions		(2,507,541	)		(2,327,580	)
Net expenses		8,971,782			15,874,705
NET INVESTMENT INCOME		61,826,026			96,741,518
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments — unaffiliated issuers		229,117,234			(2,600	)
Investments — affiliated issuers		32,313,405			—
Purchased options		(17,339,901	)		(12,681,096	)
Futures contracts		68,807,698			175,435,041
Written options		(11,132,127	)		55,460,169
Forward foreign currency exchange contracts		23,304,087			121,824
Foreign currency transactions		(65,744	)		(45	)
Net change in unrealized gain (loss) on:
Investments — affiliated issuers		322,931,374			—
Investments — unaffiliated issuers		(23,978,011	)		2,297,116
Purchased options		16,502,565			(31,178	)
Futures contracts		32,577,237			48,837,642
Written options		(580,300	)		520,740
Forward foreign currency exchange contracts		(27,458,102	)		(9,782,691	)
Foreign currency translation		5,386			48
Net realized and unrealized gain		645,004,801			260,174,970
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	706,830,827		$	356,916,488

(a) Statement of Operations for the Strategic Factor Allocation Fund is consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity— SFA, LLC. Accordingly, all interfund balances and transactions have been eliminated.

(b) Class specific Transfer Agency fees were as follows:

Fund	Institutional		Class P
Global Managed Beta Fund		$674,953	$	—
Strategic Factor Allocation Fund		5,656		674,539

  

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Statements of Operations (continued)

For the Fiscal Year Ended August 31, 2024

 

	Strategic Volatility Premium Fund(a)			Tactical Tilt Overlay Fund(a)
Investment Income:
Dividends — affiliated issuers		$12,433,031			$ 69,124,706
Dividends — unaffiliated issuers		—			2,521,624
Interest		9,189,366			172,777,412
Securities lending income, net of rebates received or paid to borrowers — unaffiliated issuers		—			492,587
Total investment income		21,622,397			244,916,329
Expenses:
Management fees		2,177,336			35,623,803
Professional fees		242,511			168,048
Transfer Agency fees(b)		130,113			1,405,242
Custody, accounting and administrative services		110,620			419,278
Registration fees		38,891			92,759
Printing and mailing costs		26,879			31,547
Trustee fees		26,482			35,095
Prime broker fees		—			5,403
Other		16,606			71,729
Total expenses		2,769,438			37,852,904
Less — expense reductions		(1,004,196	)		(4,024,758	)
Net expenses		1,765,242			33,828,146
NET INVESTMENT INCOME		19,857,155			211,088,183
Realized and unrealized gain (loss):
Capital gain distributions from Affiliated Underlying Funds		—			1,525,821
Net realized gain (loss) from:
Investments — unaffiliated issuers		1,907			11,380,476
Investments — affiliated issuers		—			29,281,042
Purchased options		(2,654,133	)		19,559,179
Futures contracts		4,032,599			36,727,543
Written options		12,626,966			(4,727,858	)
Swap contracts		—			20,543,581
Forward foreign currency exchange contracts		5,714			(8,504,500	)
Foreign currency transactions		—			(273,740	)
Net change in unrealized gain (loss) on:
Investments — affiliated issuers		—			(23,803,473	)
Investments — unaffiliated issuers		690,711			17,265,956
Purchased options		(157,699	)		2,587,240
Futures contracts		(2,360,058	)		(19,020,419	)
Written options		60,198			13,232,102
Swap contracts		—			658,791
Forward foreign currency exchange contracts		—			(1,986,203	)
Foreign currency translation		—			18,172
Net realized and unrealized gain		12,246,205			94,463,710
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$32,103,360			$305,551,893

(a) Statements of Operations for the Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund are consolidated and includes the balances of wholly owned subsidiaries, Cayman Commodity—SVP, LLC and Cayman Commodity—TTIF, LLC., respectively. Accordingly, all interfund balances and transactions have been eliminated.

(b) Class specific Transfer Agency fees were as follows:

Fund	Institutional		Class R6		Class P
Strategic Volatility Premium Fund		$  119		$     —		$  129,994
Tactical Tilt Overlay Fund		8,522		177,900		1,218,820

  

The accompanying notes are an integral part of these financial statements. 43

GOLDMAN SACHS ALLOCATION FUNDS

 

Statements of Changes in Net Assets

 

 

		Global Managed Beta Fund						Strategic Factor Allocation Fund(a)
		For the Fiscal Year Ended August 31, 2024			For the Fiscal Year Ended August 31, 2023			For the Fiscal Year Ended August 31, 2024			For the Fiscal Year Ended August 31, 2023
	From operations:
	Net investment income		$   61,826,026			$   37,369,399			$   96,741,518			$  61,894,294
	Net realized gain		325,004,652			40,000,958			218,333,293			63,150,787
	Net change in unrealized gain		320,000,149			166,745,167			41,841,677			12,644,797
	Net increase in net assets resulting from operations		706,830,827			244,115,524			356,916,488			137,689,878
	Distributions to shareholders:
	From distributable earnings:
	Institutional Shares		(54,313,580	)		(99,998,153	)		(489,815	)		(275,278	)
	Class R6 Shares(b)		—			—			—			(249	)
	Class P Shares		—			—			(72,117,761	)		(39,916,205	)
	Total distributions to shareholders		(54,313,580	)		(99,998,153	)		(72,607,576	)		(40,191,732	)
	From share transactions:
	Proceeds from sales of shares		1,924,804,556			1,025,111,264			268,238,290			798,949,747
	Reinvestment of distributions		54,313,580			99,961,817			72,607,575			40,191,732
	Cost of shares redeemed		(890,367,936	)		(393,640,885	)		(470,425,368	)		(800,472,621	)
	Net increase (decrease) in net assets resulting from share transactions		1,088,750,200			731,432,196			(129,579,503	)		38,668,858
	TOTAL INCREASE		1,741,267,447			875,549,567			154,729,409			136,167,004
	Net assets:
	Beginning of year		2,538,073,532			1,662,523,965			2,244,530,219			2,108,363,215
	End of year		$4,279,340,979			$2,538,073,532			$2,399,259,628			$2,244,530,219

(a) Statements of Changes in Net Assets for the Strategic Factor Allocation Fund are consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity—SFA, LLC. Accordingly, all interfund balances and transactions have been eliminated.

(b) At the close of business on July 14, 2023, Class R6 Shares of the Strategic Factor Allocation Fund were liquidated.

  

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Statements of Changes in Net Assets (continued)

 

 

	Strategic Volatility Premium Fund(a)						Tactical Tilt Overlay Fund(a)
	For the Fiscal Year Ended August 31, 2024			For the Fiscal Year Ended August 31, 2023			For the Fiscal Year Ended August 31, 2024			For the Fiscal Year Ended August 31, 2023
From operations:
Net investment income		$ 19,857,155			$  15,402,232			$  211,088,183			$ 170,463,667
Net realized gain (loss)		14,013,053			(12,307,105	)		105,511,544			60,894,805
Net change in unrealized gain (loss)		(1,766,848	)		2,209,506			(11,047,834	)		(63,869,625	)
Net increase in net assets resulting from operations		32,103,360			5,304,633			305,551,893			167,488,847
Distributions to shareholders:
From distributable earnings:
Institutional Shares		(11,216	)		(2,343	)		(1,239,651	)		(188,140	)
Class R6 Shares		—			—			(30,435,080	)		(4,706,050	)
Class P Shares		(18,407,711	)		(3,702,660	)		(216,862,467	)		(35,188,129	)
Total distributions to shareholders		(18,418,927	)		(3,705,003	)		(248,537,198	)		(40,082,319	)
From share transactions:
Proceeds from sales of shares		68,268,293			193,782,450			711,849,057			783,089,810
Reinvestment of distributions		18,418,927			3,705,003			248,537,197			40,080,055
Cost of shares redeemed		(99,725,686	)		(267,189,113	)		(1,006,395,976	)		(807,449,960	)
Net increase (decrease) in net assets resulting from share transactions		(13,038,466	)		(69,701,660	)		(46,009,722	)		15,719,905
TOTAL INCREASE (DECREASE)		645,967			(68,102,030	)		11,004,973			143,126,433
Net assets:
Beginning of year		443,966,540			512,068,570			4,690,410,755			4,547,284,322
End of year		$444,612,507			$ 443,966,540			$ 4,701,415,728			$4,690,410,755

(a) Statements of Changes in Net Assets for the Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund are consolidated and includes the balances of wholly owned subsidiaries, Cayman Commodity—SVP, LLC and Cayman Commodity—TTIF, LLC., respectively. Accordingly, all interfund balances and transactions have been eliminated.

  

The accompanying notes are an integral part of these financial statements. 45

GOLDMAN SACHS ALLOCATION FUNDS

 

Financial Highlights

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Global Managed Beta Fund
		Institutional Shares
		Year Ended August 31,
		2024				2023				2022				2021				2020
	Per Share Data
	Net asset value, beginning of year		$	13.62			$	12.86			$	16.71			$	13.26			$	11.86
	Net investment income(a)			0.27				0.25				0.28				0.21				0.22
	Net realized and unrealized gain (loss)			2.70				1.23				(2.69	)			3.89				1.67
	Total from investment operations			2.97				1.48				(2.41	)			4.10				1.89
	Distributions to shareholders from net investment income			(0.25	)			(0.72	)			(0.33	)			(0.18	)			(0.38	)
	Distributions to shareholders from net realized gains			—				—				(1.11	)			(0.47	)			(0.11	)
	Total distributions			(0.25	)			(0.72	)			(1.44	)			(0.65	)			(0.49	)
	Net asset value, end of year		$	16.34			$	13.62			$	12.86			$	16.71			$	13.26
	Total return(b)			22.05	%			12.24	%			(15.81	)%			31.87	%			16.13	%
	Net assets, end of year (in 000s)		$	4,279,341			$	2,538,074			$	1,662,524			$	2,262,595			$	1,593,288
	Ratio of net expenses to average net assets(c)			0.27	%			0.30	%			0.30	%			0.20	%			0.05	%
	Ratio of total expenses to average net assets(c)			0.34	%			0.36	%			0.36	%			0.35	%			0.37	%
	Ratio of net investment income to average net assets			1.83	%			1.91	%			1.94	%			1.40	%			1.79	%
	Portfolio turnover rate(d)			56	%			23	%			26	%			29	%			45	%

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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.

(c) Expense ratios exclude the expenses of the Affiliated 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.

  

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

	Strategic Factor Allocation Fund
	Institutional Shares
	Year Ended August 31,
	2024				2023				2022				2021				2020
Per Share Data
Net asset value, beginning of year		$	11.00			$	10.50			$	12.76			$	11.98			$	11.06
Net investment income (loss)(a)			0.49				0.31				(0.01	)			(0.08	)			0.03
Net realized and unrealized gain (loss)			1.34				0.39				(0.67	)			1.77				1.18
Total from investment operations			1.83				0.70				(0.68	)			1.69				1.21
Distributions to shareholders from net investment income			(0.37	)			(0.18	)			—				—				(0.15	)
Distributions to shareholders from net realized gains			—				(0.02	)			(1.58	)			(0.91	)			(0.14	)
Total distributions			(0.37	)			(0.20	)			(1.58	)			(0.91	)			(0.29	)
Net asset value, end of year		$	12.46			$	11.00			$	10.50			$	12.76			$	11.98
Total return(b)			17.16	%			6.88	%			(6.47	)%			15.01	%			11.11	%
Net assets, end of year (in 000s)		$	14,387			$	14,710			$	12,455			$	3,960			$	3,013
Ratio of net expenses to average net assets			0.71	%			0.70	%			0.69	%			0.69	%			0.69	%
Ratio of total expenses to average net assets			0.81	%			0.81	%			0.81	%			0.82	%			0.82	%
Ratio of net investment income (loss) to average net assets			4.26	%			2.94	%			(0.10	)%			(0.67	)%			0.26	%
Portfolio turnover rate(c)			—	%(d)			—	%(d)			—	%(d)			—	%(d)			—	%(d)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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.

(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) There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022, August 31, 2021 and August 31, 2020, respectively.

  

The accompanying notes are an integral part of these financial statements. 47

GOLDMAN SACHS ALLOCATION FUNDS

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Strategic Factor Allocation Fund
		Class P Shares
		Year Ended August 31,
		2024				2023				2022				2021				2020
	Per Share Data
	Net asset value, beginning of year		$	10.86			$	10.38			$	12.62			$	11.86			$	10.96
	Net investment income (loss)(a)			0.49				0.31				(0.04	)			(0.08	)			0.02
	Net realized and unrealized gain (loss)			1.32				0.37				(0.62	)			1.75				1.18
	Total from investment operations			1.81				0.68				(0.66	)			1.67				1.20
	Distributions to shareholders from net investment income			(0.37	)			(0.18	)			—				—				(0.16	)
	Distributions to shareholders from net realized gains			—				(0.02	)			(1.58	)			(0.91	)			(0.14	)
	Total distributions			(0.37	)			(0.20	)			(1.58	)			(0.91	)			(0.30	)
	Net asset value, end of year		$	12.30			$	10.86			$	10.38			$	12.62			$	11.86
	Total return(b)			17.10	%			6.97	%			(6.47	)%			15.09	%			11.03	%
	Net assets, end of year (in 000s)		$	2,384,873			$	2,229,820			$	2,095,895			$	2,347,839			$	1,616,030
	Ratio of net expenses to average net assets			0.70	%			0.69	%			0.67	%			0.68	%			0.68	%
	Ratio of total expenses to average net assets			0.80	%			0.80	%			0.80	%			0.81	%			0.82	%
	Ratio of net investment income (loss) to average net assets			4.28	%			2.95	%			(0.31	)%			(0.66	)%			0.15	%
	Portfolio turnover rate(c)			—	%(d)			—	%(d)			—	%(d)			—	%(d)			—	%(d)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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.

(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) There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022, August 31, 2021 and August 31, 2020, respectively.

  

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Period

 

 

		Strategic Volatility Premium Fund
		Institutional Shares
		Year Ended August 31,												Period Ended August 31, 2021(a)
		2024				2023				2022
	Per Share Data
	Net asset value, beginning of period		$	9.70			$	9.66			$	10.10			$	10.00
	Net investment income (loss)(b)			0.44				0.31				—	(c)			(0.02	)
	Net realized and unrealized gain (loss)			0.29				(0.20	)			(0.40	)			0.12
	Total from investment operations			0.73				0.11				(0.40	)			0.10
	Distributions to shareholders from net investment income			(0.41	)			(0.07	)			—				—
	Distributions to shareholders from net realized gains			—				—				(0.04	)			—
	Total distributions			(0.41	)			(0.07	)			(0.04	)			—
	Net asset value, end of period		$	10.02			$	9.70			$	9.66			$	10.10
	Total return(d)			7.53	%			1.38	%			(4.09	)%			1.00	%
	Net assets, end of period (in 000s)		$	327			$	327			$	306			$	350
	Ratio of net expenses to average net assets			0.42	%			0.39	%			0.38	%			0.38	%(e)
	Ratio of total expenses to average net assets			0.65	%			0.60	%			0.62	%			0.91	%(e)
	Ratio of net investment income (loss) to average net assets			4.57	%			3.25	%			(0.02	)%			(0.36	)%(e)
	Portfolio turnover rate(f)			—	%(g)			—	%(g)			—	%(g)			—	%(g)

(a) Commenced operations on March 29, 2021.

(b) Calculated based on the average shares outstanding methodology.

(c) Amount is less than $0.005 per share.

(d) 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 (if any). 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.

(e) Annualized.

(f) 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.

(g) There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022 and period ended August 31, 2021.

  

The accompanying notes are an integral part of these financial statements. 49

GOLDMAN SACHS ALLOCATION FUNDS

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Period

 

 

		Strategic Volatility Premium Fund
		Class P Shares
		Year Ended August 31,												Period Ended August 31, 2021(a)
		2024				2023				2022
	Per Share Data
	Net asset value, beginning of period		$	9.71			$	9.66			$	10.10			$	10.00
	Net investment income (loss)(b)			0.45				0.31				—	(c)			(0.01	)
	Net realized and unrealized gain (loss)			0.27				(0.19	)			(0.40	)			0.11
	Total from investment operations			0.72				0.12				(0.40	)			0.10
	Distributions to shareholders from net investment income			(0.41	)			(0.07	)			—				—
	Distributions to shareholders from net realized gains			—				—				(0.04	)			—
	Total distributions			(0.41	)			(0.07	)			(0.04	)			—
	Net asset value, end of period		$	10.02			$	9.71			$	9.66			$	10.10
	Total return(d)			7.65	%			1.39	%			(4.09	)%			1.00	%
	Net assets, end of period (in 000s)		$	444,286			$	443,639			$	511,763			$	422,570
	Ratio of net expenses to average net assets			0.41	%			0.38	%			0.37	%			0.37	%(e)
	Ratio of total expenses to average net assets			0.64	%			0.59	%			0.60	%			0.79	%(e)
	Ratio of net investment income (loss) to average net assets			4.58	%			3.23	%			0.05	%			(0.35	)%(e)
	Portfolio turnover rate(f)			—	%(g)			—	%(g)			—	%(g)			—	%(g)

(a) Commenced operations on March 29, 2021.

(b) Calculated based on the average shares outstanding methodology.

(c) Amount is less than ($0.005) per share.

(d) 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 (if any). 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.

(e) Annualized.

(f) 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.

(g) There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022 and period ended August 31, 2021.

  

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Period

 

 

		Tactical Tilt Overlay Fund
		Institutional Shares
		Year Ended August 31,
		2024				2023				2022				2021				2020
	Per Share Data
	Net asset value, beginning of year		$	10.81			$	10.51			$	10.66			$	10.20			$	9.94
	Net investment income (loss)(a)			0.49				0.39				0.05				(0.02	)			0.11
	Net realized and unrealized gain			0.23				—	(b)			0.01				0.95				0.26
	Total from investment operations			0.72				0.39				0.06				0.93				0.37
	Distributions to shareholders from net investment income			(0.57	)			(0.09	)			(0.21	)			(0.47	)			(0.11	)
	Net asset value, end of year		$	10.96			$	10.81			$	10.51			$	10.66			$	10.20
	Total return(c)			6.81	%			3.82	%			0.49	%			9.43	%			3.72	%
	Net assets, end of year (in 000s)		$	15,795			$	26,750			$	21,588			$	6,105			$	1,681
	Ratio of net expenses to average net assets(d)			0.73	%			0.71	%			0.68	%			0.69	%			0.73	%
	Ratio of total expenses to average net assets(d)			0.77	%			0.77	%			0.77	%			0.78	%			0.78	%
	Ratio of net investment income (loss) to average net assets			4.52	%			3.69	%			0.47	%			(0.15	)%			1.08	%
	Portfolio turnover rate(e)			41	%			150	%			61	%			60	%			70	%

(a) Calculated based on the average shares outstanding methodology.

(b) Amount is less than $0.005 per share.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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.

(d) Expense ratios exclude the expenses of the Affiliated Underlying Funds in which the Fund invests.

(e) 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.

  

The accompanying notes are an integral part of these financial statements. 51

GOLDMAN SACHS ALLOCATION FUNDS

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Tactical Tilt Overlay Fund
		Class R6 Shares
		Year Ended August 31,
		2024				2023				2022				2021				2020
	Per Share Data
	Net asset value, beginning of year		$	10.46			$	10.17			$	10.33			$	9.91			$	9.67
	Net investment income (loss)(a)			0.47				0.38				0.02				(0.01	)			0.07
	Net realized and unrealized gain			0.23				—	(b)			0.03				0.92				0.28
	Total from investment operations			0.70				0.38				0.05				0.91				0.35
	Distributions to shareholders from net investment income			(0.57	)			(0.09	)			(0.21	)			(0.49	)			(0.11	)
	Net asset value, end of year		$	10.59			$	10.46			$	10.17			$	10.33			$	9.91
	Total return(c)			6.86	%			3.74	%			0.49	%			9.48	%			3.80	%
	Net assets, end of year (in 000s)		$	620,690			$	583,578			$	573,866			$	1,054,147			$	736,643
	Ratio of net expenses to average net assets(d)			0.72	%			0.70	%			0.67	%			0.69	%			0.72	%
	Ratio of total expenses to average net assets(d)			0.76	%			0.76	%			0.76	%			0.77	%			0.78	%
	Ratio of net investment income (loss) to average net assets			4.51	%			3.68	%			0.23	%			(0.09	)%			0.73	%
	Portfolio turnover rate(e)			41	%			150	%			61	%			60	%			70	%

(a) Calculated based on the average shares outstanding methodology.

(b) Amount is less than $0.005 per share.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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.

(d) Expense ratios exclude the expenses of the Affiliated Underlying Funds in which the Fund invests.

(e) 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.

  

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

GOLDMAN SACHS ALLOCATION FUNDS

 

Consolidated Financial Highlights (continued)

Selected Share Data for a Share Outstanding Throughout Each Year

 

 

		Tactical Tilt Overlay Fund
		Class P Shares
		Year Ended August 31,
		2024				2023				2022				2021				2020
	Per Share Data
	Net asset value, beginning of year		$	10.46			$	10.17			$	10.33			$	9.91			$	9.66
	Net investment income (loss)(a)			0.47				0.38				0.04				(0.01	)			0.08
	Net realized and unrealized gain			0.23				—	(b)			0.01				0.92				0.28
	Total from investment operations			0.70				0.38				0.05				0.91				0.36
	Distributions to shareholders from net investment income			(0.57	)			(0.09	)			(0.21	)			(0.49	)			(0.11	)
	Net asset value, end of year		$	10.59			$	10.46			$	10.17			$	10.33			$	9.91
	Total return(c)			6.86	%			3.75	%			0.49	%			9.47	%			3.79	%
	Net assets, end of year (in 000s)		$	4,064,931			$	4,080,082			$	3,951,830			$	3,037,227			$	2,291,061
	Ratio of net expenses to average net assets(d)			0.72	%			0.70	%			0.67	%			0.69	%			0.72	%
	Ratio of total expenses to average net assets(d)			0.76	%			0.76	%			0.76	%			0.77	%			0.78	%
	Ratio of net investment income (loss) to average net assets			4.51	%			3.67	%			0.37	%			(0.08	)%			0.78	%
	Portfolio turnover rate(e)			41	%			150	%			61	%			60	%			70	%

(a) Calculated based on the average shares outstanding methodology.

(b) Amount is less than $0.005 per share.

(c) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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.

(d) Expense ratios exclude the expenses of the Affiliated Underlying Funds in which the Fund invests.

(e) 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.

  

The accompanying notes are an integral part of these financial statements. 53

GOLDMAN SACHS ALLOCATION FUNDS

 

Notes to Financial Statements

August 31, 2024

 

 

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
Goldman Sachs Global Managed Beta Fund	Institutional	Diversified
Goldman Sachs Strategic Factor Allocation Fund	Institutional and P	Diversified
Goldman Sachs Strategic Volatility Premium Fund	Institutional and P	Diversified
Goldman Sachs Tactical Tilt Overlay Fund	Institutional, R6 and P	Diversified

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to each of the Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds pursuant to management agreements (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. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

A. Basis of Consolidation for Strategic Factor Allocation Fund, Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund — Cayman Commodity-SFA, LLC., Cayman Commodity-SVP, LLC., and Cayman Commodity-TTIF, LLC., (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, are currently wholly-owned subsidiaries of the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds, respectively. The Subsidiaries act as investment vehicles for the Funds to enable the Funds to gain exposure to certain types of commodity-linked derivative instruments. The Funds are the sole shareholders of the Subsidiaries, and it is intended that each Fund will remain the sole shareholder and will continue to control its respective Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation.

As of August 31, 2024, the Fund and Subsidiary net assets were as follows:

Fund	Fund Net Assets	Subsidiary Net Assets	% Represented by Subsidiary’s Net Assets
Goldman Sachs Strategic Factor Allocation Fund	$2,399,259,628	$  5,110,097	0.2%
Goldman Sachs Strategic Volatility Premium Fund	444,612,507	5,110,097	1.1
Goldman Sachs Tactical Tilt Overlay Fund	4,701,415,728	592,780,361	12.6

B.  Investment Valuation — Each 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. Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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

  

54  

GOLDMAN SACHS ALLOCATION FUNDS

 

 

 

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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. For the Global Managed Beta and Tactical Tilt Overlay Funds, these reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Statement of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from a Fund’s investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund 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. A Fund records its 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. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.

For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statement of Assets and Liabilities and Consolidated Statements 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 swap contracts whose realized gains or losses are recognized from the effective start date. 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. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

D. Class Allocations and Expenses for Tactical Tilt Overlay Fund, Strategic Factor Allocation Fund and Strategic Volatility Premium Fund — 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 Transfer Agency fees.

E. Expenses for Global Managed Beta Fund — Expenses incurred directly by the Fund are charged to the Fund, and certain expenses incurred by the Trust that may not solely relate to the Fund are allocated to the Fund and the other applicable funds of the Trust on a straight-line and/or pro-rata basis, depending upon the nature of the expenses, and are accrued daily.

F. 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 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 at least annually.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Tactical Tilt Overlay 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 each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities and Consolidated Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

  

  55

GOLDMAN SACHS ALLOCATION FUNDS

 

Notes to Financial Statements (continued)

August 31, 2024

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

G. 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 Statement of Operations and Consolidated 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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

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

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

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

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

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

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e., where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures and consistent with

  

56  

GOLDMAN SACHS ALLOCATION FUNDS

 

 

 

 

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under the Valuation Procedures 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 exchange-traded funds (“ETFs”) and other investment companies. Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs 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. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

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

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

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and

  

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August 31, 2024

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

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

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

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

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

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

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

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

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 the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either

  

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of August 31, 2024:

GLOBAL MANAGED BETA FUND
Investment Type	Level 1			Level 2			Level 3
Assets
Common Stock and/or Other Equity Investments(a)
Africa	$	234,090		$	—		$	—
Asia		1,741,716			32,847,879			—
Australia and Oceania		120,170			9,884,638			—
Europe		9,442,961			73,835,681			—
North America		298,252,646			207,613			591
Preferred Stocks		—			346,325			—
Exchange Traded Funds		3,443,491,249			—			—
Investment Company		215,810,091			—			—
Total	$	3,969,092,923		$	117,122,136		$	591
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(b)	$	—		$	1,399,037		$	—
Futures Contracts(b)		38,570,684			—			—
Purchased Option Contracts		62,196,881			3,116,901			—
Total	$	100,767,565		$	4,515,938		$	—
Liabilities
Forward Foreign Currency Exchange Contracts(b)	$	—		$	(26,219,242	)	$	—
Written Option Contracts		(1,105,170	)		—			—
Total	$	(1,105,170	)	$	(26,219,242	)	$	—

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

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

STRATEGIC FACTOR ALLOCATION FUND
Investment Type	Level 1		Level 2		Level 3
Assets
Fixed Income
U.S. Treasury Obligations	$	796,354,836	$	—	$	—
Investment Company		1,408,271,148		—		—
Total	$	2,204,625,984	$	—	$	—

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

STRATEGIC FACTOR ALLOCATION FUND (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets
Forward Foreign Currency Exchange Contracts(a)	$	—		$	12,564,622		$	—
Futures Contracts(a)		67,762,843			—			—
Purchased Option Contracts		28,784,579			—			—
Total	$	96,547,422		$	12,564,622		$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—		$	(24,119,814	)	$	—
Futures Contracts(a)		(7,234,545	)		—			—
Written Option Contracts		(1,120,590	)		—			—
Total	$	(8,355,135	)	$	(24,119,814	)	$	—

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

STRATEGIC VOLATILITY PREMIUM FUND
Investment Type	Level 1			Level 2		Level 3
Assets
Fixed Income
U.S. Treasury Obligations	$	288,637,708		$	—	$	—
Investment Companies		137,817,748			—		—
Total	$	426,455,456		$	—	$	—
Derivative Type
Assets
Futures Contracts(a)	$	38,343		$	—	$	—
Purchased Option Contracts		296,544			—		—
Total	$	334,887		$	—	$	—
Liabilities
Futures Contracts(a)	$	(845,213	)	$	—	$	—
Written Option Contracts		(126,714	)		—		—
Total	$	(971,927	)	$	—	$	—

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

  

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

TACTICAL TILT OVERLAY FUND
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
U.S. Treasury Obligations	$	612,617,607		$	—		$	—
Corporate Obligations		—			15,754,897			—
Agency Debentures		—			5,020,766			—
Securities Lending Reinvestment Vehicle		32,982,945			—			—
Exchange Traded Funds		240,378,989			—			—
Investment Companies		1,596,686,693			—			—
Short-term Investments		—			2,122,126,402			—
Total	$	2,482,666,234		$	2,142,902,065		$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)	$	—		$	14,133,903		$	—
Futures Contracts(a)		4,690,316			—			—
Interest Rate Swap Contracts(a)		—			3,695,905			—
Purchased Option Contracts		—			21,198,151			—
Total	$	4,690,316		$	39,027,959		$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)	$	—		$	(16,120,106	)	$	—
Futures Contracts(a)		(9,413,842	)		—			—
Written Option Contracts		—			(13,081,578	)		—
Total	$	(9,413,842	)	$	(29,201,684	)	$	—

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

For further information regarding security characteristics, see the Schedule and Consolidated 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 August 31, 2024. 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.

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

4. INVESTMENTS IN DERIVATIVES (continued)

Global Managed Beta Fund
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts; Purchased options, at value	$	4,515,938		Payable for unrealized loss on forward foreign currency exchange contracts	$	(26,219,242	)
Equity	Variation margin on futures contracts		38,570,684	(a)	Written options, at value		(1,105,170	)
Interest rate	Purchased options, at value		62,196,881		—		—
Total		$	105,283,503			$	(27,324,412	)
Strategic Factor Allocation Fund
Risk	Consolidated Statements of Assets and Liabilities	Assets			Consolidated Statements of Assets and Liabilities	Liabilities
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts	$	12,564,622		Payable for unrealized loss on forward foreign currency exchange contracts	$	(24,119,814	)
Equity	Variation margin on futures contracts; Purchased options, at value		69,095,027	(a)	Written options, at value		(966,639	)
Interest rate	Purchased options, at value		27,452,395		Variation margin on futures contracts; Written options, at value		(7,388,496	)(a)
Total		$	109,112,044			$	(32,474,949	)
Strategic Volatility Premium Fund
Risk	Consolidated Statements of Assets and Liabilities	Assets			Consolidated Statements of Assets and Liabilities	Liabilities
Equity	Variation margin on futures contracts; Purchased options, at value	$	115,236	(a)	Written options, at value	$	(98,165	)
Interest rate	Purchased options, at value		219,651		Variation margin on futures contracts: Written options, at value		(873,762	)(a)
Total		$	334,887			$	(971,927	)

  

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4. INVESTMENTS IN DERIVATIVES (continued)

Tactical Tilt Overlay Fund
Risk	Consolidated Statements of Assets and Liabilities	Assets			Consolidated Statements of Assets and Liabilities	Liabilities
Currency	Receivable for unrealized gain on forward foreign currency contracts; Purchased options, at value	$	14,430,798		Payable for unrealized loss on forward foreign currency contracts; Written options, at value	$	(16,606,094	)
Equity	Variation margin on futures contracts		14,787,385	(a)	Variation margin on futures contracts; Written options, at value		(5,473,847	)(a)
Interest rate	Variation margin on swap contracts; purchased options, at value		14,500,092	(a)	Variation margin on futures contracts; Written options, at value		(16,535,585	)
Total		$	43,718,275			$	(38,615,526	)

(a) Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedule and Consolidated Schedules of Investments. Only current day’s variation margin is reported within the Statement and Consolidated 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 fiscal year ended August 31, 2024. 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 Statement and Consolidated Statements of Operations:

Global Managed Beta Fund
Risk	Statements of Operations	Net Realized Gain (Loss)				Net Change in Unrealized Gain (Loss)
Currency	Net realized gain (loss) from forward foreign currency exchange contracts and purchased options/Net change in unrealized gain (loss) on forward foreign currency exchange contracts, and purchased options		$	19,362,330			$	(28,052,788	)
Equity	Net realized gain (loss) from futures contracts, purchased and written options/ Net change in unrealized gain (loss) on futures contracts and written options			44,292,689				31,996,937
Interest rate	Net realized gain (loss) from purchased options/Net change in unrealized gain (loss) on purchased options			(15,262	)			17,097,251
Total			$	63,639,757			$	21,041,400

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

4. INVESTMENTS IN DERIVATIVES (continued)

Strategic Factor Allocation Fund
Risk	Consolidated Statements of Operations	Net Realized Gain (Loss)				Net Change in Unrealized Gain (Loss)
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		$	121,824			$	(9,782,691	)
Equity	Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options			185,496,009				64,984,679
Interest rate	Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options			32,718,105				(15,657,475	)
Total			$	218,335,938			$	39,544,513
Strategic Volatility Premium Fund
Risk	Consolidated Statements of Operations	Net Realized Gain (Loss)				Net Change in Unrealized Gain (Loss)
Currency	Net realized gain (loss) from forward foreign currency exchange contracts		$	5,714			$	—
Equity	Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options			9,284,689				(12,001	)
Interest rate	Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options			4,720,743				(2,445,558	)
Total			$	14,011,146			$	(2,457,559	)
Tactical Tilt Overlay Fund
Risk	Consolidated Statements of Operations	Net Realized Gain (Loss)				Net Change in Unrealized Gain (Loss)
Commodity	Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on swap contracts		$	6,651,748			$	(2,616,745	)
Currency	Net realized gain (loss) from forward foreign currency contracts, purchased options and written options/Net change in unrealized gain (loss) on forward foreign currency contracts, purchased options and written options			(4,796,174	)			(2,931,374	)
Equity	Net realized gain (loss) from futures contracts, swap contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options			12,596,733				18,509,008
Interest rate	Net realized gain (loss) from futures contracts, swap contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, swap contracts, purchased options and written options			49,145,638				(17,489,378	)
Total			$	63,597,945			$	(4,528,489	)

  

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4. INVESTMENTS IN DERIVATIVES (continued)

For the fiscal year ended August 31, 2024, the relevant values for each derivative type were as follows:

	Average Number of Contracts, Notional Amounts(a)
Fund	Futures Contracts		Forward Contracts		Swap Agreements		Purchased Options		Purchased Swaptions		Written Options		Written Swaptions
Global Managed Beta Fund		4,223	$	711,926,818	$	—		487,175,597	$	—		73,266	$	—
Strategic Factor Allocation Fund		17,914		879,807,253		—		31,290,376		—		8,996,858		—
Strategic Volatility Premium Fund		2,989		—		—		1,399,854		—		1,301,692		—
Tactical Tilt Overlay Fund		26,987		343,471,796		123,837,060		111,607,836		1,331,348,504		37,495,420		1,598,058,625

(a) Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, purchased options and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that the Fund held such derivatives during the fiscal year ended August 31, 2024.

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.

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, a 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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Notes to Financial Statements (continued)

August 31, 2024

 

 

4. INVESTMENTS IN DERIVATIVES (continued)

The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of August 31, 2024:

Strategic Factor Allocation Fund
	Derivative Assets(1)	Derivative Liabilities(1)
Counterparty	Forward Currency Contracts	Forward Currency Contracts	Net Derivative Asset (Liabilities)	Collateral (Received) Pledged(1)	Net Amount(2)
MS & Co. Int. PLC	$12,564,622	$(24,119,814)	$(11,555,192)	$11,555,192	$—

(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.

Tactical Tilt Overlay Fund
	Derivative Assets(1)						Derivative Liabilities(1)
Counterparty	Options Purchased		Forward Currency Contracts		Total		Forward Currency Contracts			Options Written			Total			Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)		Net Amount(2)
Barclays Bank PLC	$	296,895	$	—	$	296,895	$	—		$	(485,988	)	$	(485,988	)	$	(189,093	)	$	189,093	$	—
BNP Paribas SA		2,989,052		—		2,989,052		—			(883,190	)		(883,190	)		2,105,862			—		2,105,862
BofA Securities LLC		13,402,843		—		13,402,843		—			(4,222,119	)		(4,222,119	)		9,180,724			—		9,180,724
JPMorgan Securities, Inc.		1,130,112		—		1,130,112		—			(5,349,319	)		(5,349,319	)		(4,219,207	)		4,219,207		—
MS & Co. Int. PLC		3,379,249		14,133,903		17,513,152		(16,120,106	)		(2,140,962	)		(18,261,068	)		(747,916	)		747,916		—
Total	$	21,198,151	$	14,133,903	$	35,332,054	$	(16,120,106	)	$	(13,081,578	)	$	(29,201,684	)	$	6,130,370		$	5,156,216	$	11,286,586

(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 each 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 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 fiscal year ended August 31, 2024, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate
Fund	First $2 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate			Effective Net Management Rate*^
Global Managed Beta Fund		0.30	%		0.30	%		0.30	%		0.30	%		0.30	%		0.23%
Strategic Factor Allocation Fund		0.75			0.68			0.64			0.62			0.74			0.64(a)
Strategic Volatility Premium Fund		0.50			0.45			0.43			0.42			0.50			0.31(a)
Tactical Tilt Overlay Fund		0.75			0.68			0.64			0.62			0.71			0.64(a)

* 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 December 29, 2024. 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 Agreements as defined below after waivers.

The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”). The Strategic Volatility Premium Fund invests in Institutional Shares of the Goldman Sachs Financial Square Treasury Instruments Fund. The Global Managed Beta Fund invests in each of the Goldman Sachs ActiveBeta Emerging Markets Equity ETF, Goldman Sachs MarketBeta International Equity ETF, Goldman Sachs MarketBeta Russell 1000 Growth Equity ETF, Goldman Sachs MarketBeta Russell 1000 Value Equity ETF and the Goldman Sachs MarketBeta US Equity ETF, and the Tactical Tilt Overlay Fund invests in Goldman Sachs Energy Infrastructure Fund and Goldman Sachs MLP Energy Infrastructure Fund, which are affiliated Underlying Funds. 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 Funds 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 Government Money Market Fund. For the fiscal year ended August 31, 2024, GSAM waived $2,507,541, $2,236,830, $385,191 and $2,421,898 of the Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds’ management fees, respectively.

GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.40% as an annual percentage rate of the Strategic Volatility Premium Fund’s average daily net assets. This arrangement will remain in effect at least through December 29, 2024. For the fiscal year ended August 31, 2024, GSAM waived $433,612 of the Strategic Volatility Premium Fund’s management fee. GSAM also provides management services to the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds’ Subsidiaries pursuant to Subsidiary Management Agreements (each, a “Subsidiary Agreement”) and is 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 each Subsidiary’s management fee, and for as long as each Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds’ management fee in an amount equal to the management fee accrued and paid to GSAM by each Subsidiary under each Subsidiary Agreement. For the fiscal year ended August 31, 2024, GSAM waived $3,533, $3,533 and $1,527,997 of the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Fund’s management fees, respectively.

B. 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 of 0.04% of the average daily net assets of Institutional Shares for the Tactical Tilt Overlay Fund, Strategic Factor Allocation Fund

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

and Strategic Volatility Premium Fund, 0.02% of the average daily net assets of Institutional Shares for the Global Managed Beta Fund, 0.03% of the average daily net assets of Class R6 Shares for the Tactical Tilt Overlay Fund and 0.03% of the average daily net assets of Class P Shares for the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund.

C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or 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 the Funds. 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 Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds are 0.204%, 0.164%, 0.064% and 0.164%, respectively. These Other Expense limitations will remain in place through at least December 29, 2024 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 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 fiscal year ended August 31, 2024, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver		Other Expense Reimbursements	Total Expense Reductions
Global Managed Beta Fund		$2,507,541	$   —	$	2,507,541
Strategic Factor Allocation Fund		2,240,363	87,217		2,327,580
Strategic Volatility Premium Fund		822,336	181,860		1,004,196
Tactical Tilt Overlay Fund		3,949,895	74,863		4,024,758

D.  Line of Credit Facility — As of August 31, 2024, the Funds participated in a $1,150,000,000 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 fiscal year ended August 31, 2024, the Funds did not have any borrowings under the facility. Prior to April 16, 2024, the facility was $1,110,000,000.

E.  Other Transactions with Affiliates — For the fiscal year ended August 31, 2024, Goldman Sachs earned $234,719 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Tactical Tilt Overlay Fund.

As of August 31, 2024, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of total outstanding shares of the following Funds:

Fund	Institutional
Strategic Volatility Premium Fund	16%

  

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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The tables below show the transactions in and earnings from investments in the Underlying Funds for the fiscal year ended August 31, 2024:

Goldman Sachs Global Managed Beta Fund
Underlying Fund	Market Value as of 8/31/23		Purchases at Cost		Proceeds from Sales			Net Realized Gain/(Loss)			Change In Unrealized Gain/(Loss)		Market Value as of 8/31/24		Shares as of 8/31/24		Dividend Income
Goldman Sachs ActiveBeta Emerging Markets Equity ETF	$	30,171,571	$	18,044,295	$	(5,764,262	)	$	(1,176,184	)	$	6,397,625	$	47,673,045		1,433,474	$	439,734
Goldman Sachs Financial Square Government Fund — Institutional Shares		201,923,035		1,493,097,805		(1,479,210,749	)		—			—		215,810,091		215,810,091		10,297,042
Goldman Sachs MarketBeta International Equity ETF		380,586,474		217,270,761		(106,648,370	)		2,243,156			72,524,451		565,976,472		9,542,312		11,098,938
Goldman Sachs MarketBeta Russell 1000 Growth Equity ETF		—		482,403,197		(282,354,086	)		23,119,716			43,776,604		266,945,431		5,333,639		1,492,405
Goldman Sachs MarketBeta Russell 1000 Value Equity ETF		—		513,928,199		(80,157,929	)		1,610,839			58,277,288		493,658,397		10,198,774		4,269,439
Goldman Sachs MarketBeta U.S. Equity ETF		419,580,667		546,044,573		(151,282,735	)		6,515,878			141,955,406		962,813,789		12,431,424		7,527,607
Total	$	1,032,261,747	$	3,270,788,830	$	(2,105,418,131	)	$	32,313,405		$	322,931,374	$	2,552,877,225			$	35,125,165

Goldman Sachs Strategic Factor Allocation Fund

Underlying Fund	Market Value as of 8/31/23		Purchases at Cost		Proceeds from Sales			Market Value as of 8/31/24		Shares as of 8/31/24	Dividend Income
Goldman Sachs Financial Square Government Fund — Institutional Shares	$	1,340,575,888	$	3,119,829,126	$	(3,052,133,866	)	$	1,408,271,148	1,408,271,148	$72,759,179

Goldman Sachs Strategic Volatility Premium Fund

Underlying Fund	Market Value as of 8/31/23		Purchases at Cost		Proceeds from Sales			Market Value as of 8/31/24		Shares as of 8/31/24	Dividend Income
Goldman Sachs Financial Square Government Fund — Institutional Shares	$	236,564,769	$	560,968,908	$	(792,432,228	)	$	5,101,449	5,101,449	$11,678,627
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares		—		190,278,863		(57,562,564	)		132,716,299	132,716,299	754,404
Total	$	236,564,769	$	751,247,771	$	(849,994,792	)	$	137,817,748		$12,433,031

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

Goldman Sachs Tactical Tilt Overlay Fund

Underlying Fund	Market Value as of 8/31/23		Purchases at Cost		Proceeds from Sales			Net Realized Gain/(Loss)		Change In Unrealized Gain/(Loss)	Market Value as of 8/31/24	Shares as of 8/31/24	Dividend Income	Capital Gain Distributions
Goldman Sachs Energy Infrastructure Fund — Class R6	$	70,294,705	$	2,531,696	$	(52,660,534	)	$	29,244,098	$(24,467,730)	$   24,942,235	1,836,689	$1,005,874	$1,525,821
Goldman Sachs Financial Square Government Fund — Institutional Shares		1,437,534,239		3,568,195,125		(3,438,322,552	)		—	—	1,567,406,812	1,567,406,812	67,847,144	—
Goldman Sachs MLP Energy Infrastructure Fund — Class R6		2,352,619		4,923,280		(3,639,454	)		36,944	664,257	4,337,646	117,107	271,688	—
Total	$	1,510,181,563	$	3,575,650,101	$	(3,494,622,540	)	$	29,281,042	$(23,803,473)	$1,596,686,693		$69,124,706	$1,525,821

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended August 31, 2024, were as follows:

Fund	Purchases of U.S. Government and Agency Obligations		Purchases		Sales and Maturities of U.S. Government and Agency Obligations		Sales and Maturities
Global Managed Beta Fund		$    —		$2,821,580,362		$    —		$1,701,663,832
Tactical Tilt Overlay Fund		483,796,881		299,103,292		86,190,063		181,548,894

For the fiscal year ended August 31, 2024, there were no purchases and proceeds from sales and maturities of long-term securities for the Strategic Factor Allocation and Strategic Volatility Premium Funds.

7. SECURITIES LENDING

The Global Managed Beta Fund and Tactical Tilt Overlay Fund may lend their securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. 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 Statement and/or Consolidated 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 Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.

In the event of a default by a borrower with respect to any loan, 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 BNYM is unable to purchase replacement securities, 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 Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. 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, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of August 31, 2024, are disclosed as “Payable upon return of securities loaned” on the Statement and Consolidated Statements of Assets and Liabilities, where applicable.

Both the Funds and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended August 31, 2024, are reported under Investment Income on the Statement and Consolidated Statements of Operations.

The following table provides information about the Funds’ investment in the Government Money Market Fund for the fiscal year ended August 31, 2024.

Fund	Beginning Value as of August 31, 2023		Purchases at cost		Proceeds from Sales			Ending Value as of August 31, 2024
Global Managed Beta Fund		$   12,600		$264,665,049		$(264,677,649	)		$        —
Tactical Tilt Overlay Fund		4,647,500		398,220,497		(369,885,052	)		32,982,945

8. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended August 31, 2024 was as follows:

	Global Managed Beta Fund		Strategic Factor Allocation Fund		Strategic Volatility Premium Fund		Tactical Tilt Overlay Fund
Distributions paid from:
Ordinary income		$54,313,580		$72,607,576		$18,418,927		$248,537,198

The tax character of distributions paid during the fiscal year ended August 31, 2023 was as follows:

	Global Managed Beta Fund		Strategic Factor Allocation Fund		Strategic Volatility Premium Fund		Tactical Tilt Overlay Fund
Distributions paid from:
Ordinary income		$99,998,153		$40,191,732		$3,705,003		$40,082,319

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

8. TAX INFORMATION (continued)

As of August 31, 2024, the components of accumulated earnings (losses) on a tax basis were as follows:

	Global Managed Beta Fund			Strategic Factor Allocation Fund			Strategic Volatility Premium Fund			Tactical Tilt Overlay Fund
Undistributed ordinary income — net		$ 197,666,040			$129,848,638			$ 13,420,918			$ 182,520,599
Undistributed long-term capital gains		162,162,410			94,887,954			—			—
Total Undistributed Earnings		$ 359,828,450			$224,736,592			$ 13,420,918			$ 182,520,599
Capital loss carryforwards(1):
Perpetual Short-Term		—			—			(7,406,945	)		(126,168,576	)
Perpetual Long-Term		—			—			(11,117,174	)		—
Total capital loss carryforwards		—			—			(18,524,119	)		(126,168,576	)
Timing differences(Late Year Ordinary Loss Deferral and Straddle Loss Deferral)		$  (42,861,044	)		$ (11,840,272	)		$         —			$  (7,524,524	)
Unrealized gains (loss) — net		693,497,523			350,541			171,618			37,696,175
Total accumulated earnings (loss) net		$1,010,464,929			$213,246,861			$  (4,931,583	)		$  86,523,674

(1) The Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium, and Tactical Tilt Overlay Funds utilized $21,398,737, $109,386,246, $11,552,378, and $53,120,801 of capital losses in the current fiscal year.

As of August 31, 2024, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Global Managed Beta Fund			Strategic Factor Allocation Fund			Strategic Volatility Premium Fund		Tactical Tilt Overlay Fund
Tax Cost		$3,472,149,977			$2,284,122,970			$425,975,743		$4,619,889,403
Gross unrealized gain		699,575,908			1,095,386			171,618		249,181,211
Gross unrealized loss		(6,078,385	)		(744,845	)		—		(211,485,036	)
Net unrealized gain		$  693,497,523			$      350,541			$    171,618		$   37,696,175

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 contracts, net mark to market gains/(losses) on regulated options contracts, net mark to market gains/(losses) on foreign currency contracts, partnership investments, differences in the tax treatment of passive foreign investment company investments and swap transactions.

The Strategic Factor Allocation and Strategic Volatility Premium Funds reclassed $2,600 and $2,597, respectively, from paid in capital to distributable earnings for the year ending August 31, 2024. In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds and result primarily from differences in the tax treatment of underlying fund investments.

The Tactical Tilt Overlay Fund reclassed $92,308 from distributable earnings to paid in capital for the year ending August 31, 2024. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of underlying fund investments.

GSAM has reviewed each 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 each Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

  

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9. OTHER RISKS

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

Asset Allocation Risk — The Fund’s allocations to the various asset classes may cause the Funds to underperform other funds with a similar investment objective.

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

Derivatives Risk — The Funds’ use of derivatives and other similar instruments (collectively, referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to a Fund. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Funds will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Funds will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. 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.

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.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from Fund performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Funds with longer average portfolio durations will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of a Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.

Investments in ETFs Risk — The Fund may invest directly in ETFs, including affiliated ETFs. The Fund’s investments in ETFs will be subject to the restrictions applicable to investments by an investment company in other investment companies, unless relief is otherwise provided under the terms of an SEC exemptive order or SEC exemptive rule.

Investments in the Underlying Funds Risk — The investments of a Fund may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Funds investment performance is directly related to the investment performance of the Underlying Funds it holds. The Funds are subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Fund has a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

9. OTHER RISKS (continued)

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

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. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy its obligations 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 or without significant dilution to remaining investors’ interests because of unusual market conditions, declining prices of the securities sold, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect a Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.

Management Risk — A strategy used by the Investment Adviser may fail to produce the intended results.

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

Option Writing Risk — Writing (selling) options may limit the opportunity to profit from an increase or decrease in the market value of a reference security in exchange for up-front cash (the premium) at the time of selling the option. In a sharp rising or falling market, the Fund could significantly underperform the market or other portfolios without an option writing strategy. The Fund could also experience a sudden, significant permanent loss due to dramatic movements in the market value of reference security, which may far exceed the premiums received for writing the option. Such significant losses could cause significant deteriorations in the Fund’s NAV. Furthermore, the premium received from the Fund’s option writing strategies may not fully protect it against market movements because the Fund will continue to bear the risk of movements in the value of its portfolio investments.

Tax Risk — The Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds 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

  

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9. OTHER RISKS (continued)

specifically concluded that income and gains from investments in commodity index-linked structured notes (the “Notes Rulings”) 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. However, the Tactical Tilt Overlay Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Treasury regulations generally treat the Tactical Tilt Overlay Fund’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a current-year distribution out of the earnings and profits of the subsidiary that are attributable to such income inclusion or (B) such inclusion is derived with respect to the Tactical Tilt Overlay Fund’s business of investing in stock, securities, or currencies.

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

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 have been evaluated through the date of issuance, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

12. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Global Managed Beta Fund
	For the Fiscal Year Ended August 31, 2024						For the Fiscal Year Ended August 31, 2023
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		133,623,792		$	1,924,804,556			78,875,852		$	1,025,111,264
Reinvestment of distributions		3,816,836			54,313,580			8,323,215			99,961,817
Shares redeemed		(61,823,377	)		(890,367,936	)		(30,131,088	)		(393,640,885	)
NET INCREASE		75,617,251			1,088,750,200			57,067,979			731,432,196

  

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Notes to Financial Statements (continued)

August 31, 2024

 

 

12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Strategic Factor Allocation Fund
	For the Fiscal Year Ended August 31, 2024						For the Fiscal Year Ended August 31, 2023
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		91,334		$	1,073,736			321,256		$	3,353,859
Reinvestment of distributions		44,048			489,814			27,194			275,278
Shares redeemed		(318,582	)		(3,639,227	)		(196,484	)		(2,032,399	)
		(183,200	)		(2,075,677	)		151,966			1,596,738
Class R6 Shares(a)
Reinvestment of distributions		—			—			25			249
Shares redeemed		—			—			(1,244	)		(13,478	)
		—			—			(1,219	)		(13,229	)
Class P Shares
Shares sold		23,428,587			267,164,554			77,593,313			795,595,888
Reinvestment of distributions		6,568,102			72,117,761			3,995,736			39,916,205
Shares redeemed		(41,442,327	)		(466,786,141	)		(78,264,954	)		(798,426,744	)
		(11,445,638	)		(127,503,826	)		3,324,095			37,085,349
NET INCREASE (DECREASE)		(11,628,838	)	$	(129,579,503	)		3,474,842		$	38,668,858

(a) At the close of business on July 14, 2023, Class R6 Shares of the Strategic Factor Allocation Fund were liquidated.

	Strategic Volatility Premium Fund
	For the Fiscal Year Ended August 31, 2024						For the Fiscal Year Ended August 31, 2023
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		9,994		$	96,386			13,266		$	127,237
Reinvestment of distributions		1,170			11,216			245			2,343
Shares redeemed		(12,251	)		(118,481	)		(11,483	)		(110,191	)
		(1,087	)		(10,879	)		2,028			19,389
Class P Shares
Shares sold		7,011,705			68,171,907			20,118,341			193,655,213
Reinvestment of distributions		1,919,469			18,407,711			386,903			3,702,660
Shares redeemed		(10,290,175	)		(99,607,205	)		(27,792,106	)		(267,078,922	)
		(1,359,001	)		(13,027,587	)		(7,286,862	)		(69,721,049	)
NET DECREASE		(1,360,088	)	$	(13,038,466	)		(7,284,834	)	$	(69,701,660	)

  

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12. SUMMARY OF SHARE TRANSACTIONS (continued)

	Tactical Tilt Overlay Fund
	For the Fiscal Year Ended August 31, 2024						For the Fiscal Year Ended August 31, 2023
	Shares			Dollars			Shares			Dollars
Institutional Shares
Shares sold		260,454		$	2,795,027			1,135,526		$	12,100,469
Reinvestment of distributions		116,399			1,239,650			17,716			188,140
Shares redeemed		(1,410,497	)		(15,165,659	)		(733,042	)		(7,837,585	)
		(1,033,644	)		(11,130,982	)		420,200			4,451,024
Class R6 Shares
Shares sold		10,845,859			113,098,000			10,251,194			106,266,000
Reinvestment of distributions		2,957,734			30,435,080			457,566			4,703,786
Shares redeemed		(10,960,203	)		(113,669,188	)		(11,347,385	)		(116,175,121	)
		2,843,390			29,863,892			(638,625	)		(5,205,335	)
Class P Shares
Shares sold		57,458,286			595,956,030			64,343,749			664,723,341
Reinvestment of distributions		21,075,070			216,862,467			3,422,970			35,188,129
Shares redeemed		(84,583,238	)		(877,561,129	)		(66,277,795	)		(683,437,254	)
		(6,049,882	)		(64,742,632	)		1,488,924			16,474,216
NET INCREASE (DECREASE)		(4,240,136	)	$	(46,009,722	)		1,270,499		$	15,719,905

  

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Global Managed Beta Fund, Goldman Sachs Strategic Factor Allocation Fund, Goldman Sachs Strategic Volatility Premium Fund, and Goldman Sachs Tactical Tilt Overlay Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (four of the Funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of August 31, 2024, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2024, the results of each of their operations for the year then ended and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Goldman Sachs Global Managed Beta Fund

Statement of assets and liabilities, including the schedule of investments as of August 31, 2024, the related statement of operations for the year ended August 31, 2024, the statements of changes in net assets for each of the two years in the period ended August 31, 2024, and the financial highlights for each of the five years in the period ended August 31, 2024.

Goldman Sachs Strategic Factor Allocation Fund and its subsidiary, Goldman Sachs Strategic Volatility Premium Fund and its subsidiary, and Goldman Sachs Tactical Tilt Overlay Fund and its subsidiary

Consolidated statement of assets and liabilities, including the consolidated schedule of investments as of August 31, 2024, the related consolidated statement of operations for the year ended August 31, 2024, the consolidated statements of changes in net assets for each of the two years in the period ended August 31, 2024, and the consolidated financial highlights for each of the periods indicated therein.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2024 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 25, 2024

We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.

  

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Statement Regarding Basis for Approval of Management Agreement (Unaudited)

Background

The Goldman Sachs Global Managed Beta Fund, Goldman Sachs Strategic Factor Allocation Fund, Goldman Sachs Strategic Volatility Premium Fund, and Goldman Sachs Tactical Tilt Overlay Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreement was most recently approved for continuation until June 30, 2025 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 11-12, 2024 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:

(a) the nature and quality of the advisory, administrative, and other services provided to the Fund and the underlying funds in which the Tactical Tilt Overlay Fund invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of the Fund and the Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund and the Underlying Funds invest;

(c) information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy;

(d) the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund;

(e) fee and expense information for the Fund, including:

(i) the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the Fund’s expense trends over time; and

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(f) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund;

(g) the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations;

(h) information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates;

(i) whether the Fund’s existing management fee schedule, together with the management fee schedules of the Underlying Funds, adequately addressed any economies of scale;

  

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Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

(j) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Fund and/or the Underlying Funds for transfer agency, portfolio trading, distribution and other services;

(k) a summary of potential benefits derived by the Fund and/or the Underlying Funds as a result of their relationship with the Investment Adviser;

(l) information regarding commissions paid by the Fund and/or the Underlying Funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution, as applicable;

(m) portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

(n) the nature and quality of the services provided to the Fund and the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and

(o) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.

Nature, Extent, and Quality of the Services Provided Under the Management Agreement

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds, the Underlying Funds, and their service providers operate, including developments associated with geopolitical events and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. They also noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Trustees also considered information regarding the Investment Adviser’s efforts relating to business continuity planning. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds, the Underlying Funds, and the Investment Adviser and its affiliates.

  

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Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

Investment Performance

The Trustees also considered the investment performance of the Funds and the Underlying Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2023, and (in the case of the Strategic Volatility Premium Fund) updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2024. The information on each Fund’s investment performance was provided for the one-, three-, and five-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ and the Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. For the Strategic Factor Allocation Fund and Strategic Volatility Premium Fund, they noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.

The Trustees observed that the Tactical Tilt Overlay Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the three-year period, in the third quartile for the five-year period, and in the fourth quartile for the one-year period ended December 31, 2023, and had outperformed the Fund’s benchmark index for the three- and five-year periods and underperformed for the one-year period ended March 31, 2024. They also considered that the Tactical Tilt Overlay Fund had experienced a benchmark index change in 2021. They noted that the Global Managed Beta Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and five-year periods, and in the fourth quartile for the three-year period ended December 31, 2023, and had outperformed the Fund’s benchmark index for the five-year period and underperformed for the one- and three-year periods ended March 31, 2024. The Trustees considered that the Strategic Factor Allocation Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods ended December 31, 2023, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2024. They noted that the Strategic Factor Allocation Fund had experienced certain portfolio management changes in 2022 and early 2024. The Trustees observed that the Strategic Volatility Premium Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one- and three-year periods ended March 31, 2024. They noted that the Strategic Volatility Premium Fund had experienced certain portfolio management changes in 2022 and early 2024.

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and (in the case of the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund, and Tactical Tilt Overlay Fund) breakpoints, to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations with respect to the Funds and the Underlying Funds. With respect to the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund, and Tactical Tilt Overlay Fund, the Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to the Fund’s wholly-owned subsidiary. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less

  

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Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.

In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Profitability

The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2023 and 2022, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.

Economies of Scale

The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. For the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund, the Trustees also considered the breakpoints in the fee rate payable under the Management Agreement at the following annual percentage rates of the average daily net assets of each Fund:

	Strategic Factor			Strategic Volatility			Tactical Tilt
Average Daily Net Assets	Allocation Fund			Premium Fund			Overlay Fund
First $2 billion		0.75	%		0.50	%		0.75	%
Next $3 billion		0.68			0.45			0.68
Next $3 billion		0.64			0.43			0.64
Over $8 billion		0.62			0.42			0.62

The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fee for the Strategic Volatility Premium Fund and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints for the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund, and Tactical Tilt Overlay Fund represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.

They also noted that the Investment Adviser had passed along savings to shareholders of the Tactical Tilt Overlay Fund, which had asset levels above at least the first breakpoint during the prior fiscal year. The Trustees also considered the services provided to the Tactical Tilt Overlay Fund under the Management Agreement and the fees and expenses borne by the Underlying Funds and considered the Investment Adviser’s finding that the management fees payable by the Fund were not duplicative of the management fees paid at the Underlying Fund level.

With respect to Global Managed Beta Fund, the Trustees noted that the Fund does not have management fee breakpoints. They considered the asset levels in the Fund; the Fund’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing the contractual fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level.

  

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GOLDMAN SACHS ALLOCATION FUNDS

 

 

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds and certain Underlying Funds; (c) in the case of the Global Managed Beta Fund and Tactical Tilt Overlay Fund, research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds and certain Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds or Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) in the case of the Tactical Tilt Overlay Fund and Global Managed Beta Fund, fees earned by the Investment Adviser for managing the fund in which each Fund’s and certain Underlying Funds’ securities lending cash collateral is invested; (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds and the Underlying Funds; (j) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; (k) the investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (l) the possibility that the working relationship between the Investment Adviser and the Funds’ and the Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds and/or the Underlying Funds (as applicable) receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds and/or the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds and the Underlying Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ and the Underlying Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2025.

  

  83

 

 

Goldman Sachs Trust – Allocation Funds - Tax Information (Unaudited)

For the year ended August 31, 2024, 8.28% and 1.51% of the dividends paid from net investment company taxable income by the Global Managed Beta and Tactical Tilt Overlay Funds qualify for the dividends received deduction available to corporations.

From distributions paid during the fiscal year ended August 31, 2024, the total amount of income received by the Global Managed Beta Fund from sources within foreign countries and possessions of the United States was $0.1259 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid from foreign sources by the Global Managed Beta Fund was 45.94%. The total amount of taxes paid by the Global Managed Beta Fund to such countries was $0.0115.

For the year ended August 31, 2024, the Global Managed Beta and Tactical Tilt Overlay Funds designate 72.53% and 0.64%, respectively, of the dividends paid from net investment company taxable income as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

For the year ended August 31, 2024, 0.14% of the dividends paid from net investment company taxable income by the Global Managed Beta Fund qualify as section 199A dividends.

For the fiscal year ended August 31, 2024, the Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium, and Tactical Tilt Overlay Funds designate 17.06%, 100.00%, 100.00%, and 75.28%, respectively, of the dividends paid from net investment company taxable income as section 163(j) Interest Dividends.

  

84

TRUSTEES OFFICERS Gregory G. Weaver, Chair James A. McNamara, President Cheryl K. Beebe Joseph F. DiMaria, Principal Financial Officer, Principal Dwight L. Bush Accounting Officer and Treasurer Kathryn A. Cassidy Robert Griffith, Secretary John G. Chou Joaquin Delgado Eileen H. Dowling Lawrence Hughes John F. Killian Steven D. Krichmar Michael Latham James A. McNamara Lawrence W. Stranghoener PaulC.Wirth GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York, New York 10282 © 2024 Goldman Sachs. All rights reserved. ALLOCATEAR-24

ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.

The aggregate remuneration paid to the Funds’ trustees, officers and others, if any, is included in Item 7 of this report.

ITEM 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.

The Funds’ statement regarding the basis for approval of their investment advisory contract is included in Item 7 of this report.

ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 13. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 15. 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 16. 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 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 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.

(a) Not applicable.

(b) Not applicable.

ITEM 19. EXHIBITS.

(a)(1)	Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 13(a)(1) of the registrant’s Form N-CSR filed on August 26, 2022.
(a)(2)	Not Applicable.
(a)(3)	Exhibit 99.CERT. Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.
(a)(4)	Not applicable to open-end investment companies.
(a)(5)	There was no change in the registrant’s independent public accountant for the period covered by this report.
(b)	Exhibit 99.906CERT. Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith.
(101)	Inline Interactive Data File - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the inline XBRL document.

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:		November 5, 2024

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:		November 5, 2024
By:		/s/ Joseph F. DiMaria
		Joseph F. DiMaria
		Principal Financial Officer
		Goldman Sachs Trust
Date:		November 5, 2024