NPORT-EX 2 304352GS033125.htm
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
March 31, 2025 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
Shares
Dividend Rate
Value
aa
Investment Company – 80.1%
(a)
Goldman Sachs Financial Square Government
Fund - Institutional Shares
161,969,633
4.259%
$
161,969,633
(Cost $161,969,633)
TOTAL INVESTMENTS – 80.1%
(Cost $161,969,633)
$
161,969,633
OTHER ASSETS IN EXCESS OF LIABILITIES
– 19.9%
40,205,780
NET ASSETS – 100.0%
$
202,175,413
  a
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net assets.
(a)
Represents an affiliated issuer.
FUTURES CONTRACTS
— At March 31, 2025, the
Portfolio
had the following futures contracts:
Description
Number of
Contracts
Expiration
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Long position contracts:
100 oz Gold
9
06/26/25
$
2,841,390
$
176,069
Amsterdam Exchange Index
8
04/17/25
1,556,674
600
CAC 40 10 Euro Index
126
04/17/25
10,631,788
(337,191)
CBOE Volatality Index
192
04/16/25
4,001,952
(201,523)
Coffee "C"
5
05/19/25
710,063
(28,444)
Corn
71
05/14/25
1,625,012
(73,909)
EURO STOXX 50 Index
117
06/20/25
6,564,714
(286,730)
Feeder Cattle
16
05/22/25
2,278,400
74,553
FTSE 100 Index
120
06/20/25
13,318,470
(170,246)
FTSE China A50 Index
403
04/29/25
5,373,602
(35,908)
FTSE Taiwan Index Equity Index
3
04/29/25
208,530
(15,667)
FTSE/JSE Top 40 Index
221
06/19/25
9,906,730
77,125
German Stock Index
8
06/20/25
4,839,035
(1,289)
Hang Seng Index
14
04/29/25
2,083,596
(8,273)
Hard Red Winter Wheat
55
05/14/25
1,530,375
(107,296)
HSCEI
88
04/29/25
4,817,046
(139,426)
KOSPI 200 Index
30
06/12/25
1,700,170
(98,184)
Lean Hogs
40
06/13/25
1,528,400
(27,689)
Live Cattle
38
06/30/25
3,095,480
115,517
LME Copper Base Metal
14
04/14/25
3,387,731
66,796
LME Copper Base Metal
14
05/19/25
3,393,765
(23,633)
LME Lead Base Metal
77
05/19/25
3,857,777
(114,521)
LME Lead Base Metal
111
04/14/25
5,529,215
(58,310)
LME Nickel Base Metal
71
04/14/25
6,703,050
(109,008)
LME Nickel Base Metal
52
05/19/25
4,935,952
(147,081)
LME Primary Aluminium
79
04/14/25
4,969,396
(273,196)
LME Primary Aluminium
68
05/19/25
4,300,014
(280,616)
LME Zinc Base Metal
49
04/14/25
3,480,886
(3,004)
LME Zinc Base Metal
31
05/19/25
2,207,820
(58,685)
Mini VSTOXX®Index
676
04/16/25
1,535,014
13,423
MSCI EAFE E-Mini Index
130
06/20/25
15,705,950
(493,793)
Natural Gas
105
04/28/25
4,338,600
(66,422)
OMXS30 Index
601
04/16/25
14,801,085
(808,672)
Platinum
21
07/29/25
1,082,445
48,297
S&P 500 E-Mini Index
111
06/20/25
31,375,538
(111,846)
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
(continued)
March 31, 2025 (Unaudited)
FUTURES CONTRACTS
(continued)
Description
Number of
Contracts
Expiration
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Long position contracts: (continued)
S&P 500 E-Mini Index
34
06/20/25
$
9,610,525
$
109,176
S&P/TSX 60 Index
36
06/19/25
7,492,943
(99,548)
Silver
22
05/28/25
3,825,250
200,641
Sugar No. 11
118
04/30/25
2,492,538
(157,642)
TOPIX Index
23
06/12/25
4,082,005
(116,860)
U.S. Treasury 10 Year Note
142
06/18/25
15,793,063
(37,257)
U.S. Treasury Long Bond
76
06/18/25
8,944,250
(4,318)
Wheat
41
05/14/25
1,101,875
(40,483)
Total
$
(3,654,473)
Short position contracts:
Australian 10 year Bond
(158)
06/16/25
(11,118,216)
(223)
Brent Crude Oil
(53)
04/30/25
(3,958,570)
(235,053)
Cotton No. 2
(58)
05/07/25
(1,938,070)
2,008
E-Mini Dow
(4)
06/20/25
(845,180)
(7,854)
Euro-BTP
(36)
06/06/25
(4,577,014)
(34,608)
Euro-OAT
(96)
06/06/25
(12,742,042)
167,243
FTSE/MIB Index
(25)
06/20/25
(5,046,158)
134,944
IBEX 35 Index
(17)
04/17/25
(2,411,751)
44,484
LEAN HOGS FUTURE JUN25
(64)
06/13/25
(2,445,440)
23,539
LME Copper Base Metal
(4)
05/19/25
(969,647)
13,439
LME Copper Base Metal
(14)
04/14/25
(3,387,731)
(77,128)
LME Lead Base Metal
(111)
04/14/25
(5,529,215)
41,735
LME Lead Base Metal
(90)
05/19/25
(4,509,090)
46,181
LME Nickel Base Metal
(52)
05/19/25
(4,935,952)
138,240
LME Nickel Base Metal
(71)
04/14/25
(6,703,050)
7,506
LME Primary Aluminium
(22)
05/19/25
(1,391,181)
55,520
LME Primary Aluminium
(79)
04/14/25
(4,969,396)
308,599
LME Zinc Base Metal
(49)
04/14/25
(3,480,887)
18,798
LME Zinc Base Metal
(30)
05/19/25
(2,136,600)
54,150
Low Sulphur Gasoil
(47)
05/12/25
(3,211,275)
(165,107)
Milling Wheat
(64)
05/12/25
(762,100)
17,709
MSCI EAFE E-Mini Index
(115)
06/20/25
(6,387,100)
215,439
NASDAQ 100 E-Mini Index
(2)
06/20/25
(777,580)
10,596
Nikkei 225 Index
(5)
06/12/25
(1,188,746)
34,659
NY Harbor USLD
(27)
04/30/25
(2,584,613)
(70,034)
Palladium
(7)
06/26/25
(701,400)
(34,261)
RBOB Gasoline
(58)
04/30/25
(5,577,953)
(320,767)
Russell 2000 E-Mini Index
(190)
06/20/25
(19,257,450)
(108,330)
S&P 400 E-Mini MidCap Index
(5)
06/20/25
(1,469,300)
4,915
SET50 Index
(2,129)
06/27/25
(9,168,663)
166,317
Soybean
(52)
05/14/25
(2,636,400)
6,123
Soybean Meal
(34)
05/14/25
(995,520)
53,698
Soybean Oil
(32)
05/14/25
(861,312)
(50,820)
SPI 200 Index
(84)
06/19/25
(10,336,082)
197,933
TurkDEX ISE 30
(1,787)
04/30/25
(5,129,193)
(19,391)
U.S. Treasury 10 Year Ultra Note
(224)
06/18/25
(25,630,500)
(410)
WTI Crude Oil
(47)
04/22/25
(3,358,150)
(207,850)
Total
$
431,939
Total Futures Contracts
$
(3,222,534)
ADDITIONAL INVESTMENT INFORMATION (
continued
)
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
(continued)
March 31, 2025 (Unaudited)
**End swaps header**
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
—
At March 31, 2025, the
Fund
had the following forward foreign
currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
Counterparty
Currency Purchased
Currency Sold
Settlement Date
Unrealized Gain
Morgan Stanley Co., Inc.
BRL
19,200,000
USD
3,320,532
4/2/2025
$
44,081
BRL
16,780,000
USD
2,908,655
5/5/2025
13,960
CZK
70,144,000
USD
3,041,867
6/18/2025
2,159
GBP
2,465,750
USD
3,179,345
6/18/2025
5,558
MXN
891,000
USD
43,007
6/18/2025
83
NOK
186,800,000
USD
17,557,943
6/18/2025
197,186
SEK
139,304,400
USD
13,866,910
6/18/2025
55,833
USD
6,968,804
AUD
11,072,000
6/18/2025
46,019
USD
1,587,861
CAD
2,265,000
6/18/2025
7,807
USD
1,548,795
CHF
1,355,000
6/18/2025
3,010
USD
10,768,274
EUR
9,913,000
6/18/2025
2,386
USD
3,487,082
GBP
2,690,000
6/18/2025
12,525
USD
4,039,499
HUF
1,506,078,000
6/18/2025
12,867
USD
15,984,700
IDR
264,060,000,000
6/18/2025
193,119
USD
23,284,482
JPY
3,406,949,000
6/18/2025
371,467
USD
16,066,396
KRW
23,320,000,000
6/18/2025
181,022
USD
27,029,229
NZD
47,020,000
6/18/2025
282,247
USD
1,970,563
PLN
7,620,000
6/18/2025
8,892
ZAR
80,000,000
USD
4,330,948
6/18/2025
5,037
TOTAL
$
1,445,258
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty
Currency Purchased
Currency Sold
Settlement Date
Unrealized Loss
Morgan Stanley Co., Inc.
USD
3,346,189
BRL
19,200,000
4/2/2025
(18,425)
AUD
340,000
USD
215,586
6/18/2025
(3,001)
CAD
16,829,000
USD
11,780,937
6/18/2025
(41,104)
CLP
5,190,000,000
USD
5,548,397
6/18/2025
(85,730)
COP
35,178,000,000
USD
8,455,132
6/18/2025
(131,279)
CZK
221,200,000
USD
9,619,509
6/18/2025
(20,133)
EUR
22,810,000
USD
24,868,061
6/18/2025
(95,550)
GBP
20,410,000
USD
26,396,898
6/18/2025
(34,179)
HUF
3,108,000,000
USD
8,405,506
6/18/2025
(95,998)
IDR
17,820,000,000
USD
1,088,756
6/18/2025
(23,067)
JPY
620,276,000
USD
4,253,189
6/18/2025
(81,599)
KRW
1,660,000,000
USD
1,147,471
6/18/2025
(16,694)
MXN
99,500,000
USD
4,893,419
6/18/2025
(81,421)
NZD
57,720,000
USD
33,195,271
6/18/2025
(361,673)
PLN
46,939,000
USD
12,103,960
6/18/2025
(20,117)
USD
2,908,716
CAD
4,180,000
6/18/2025
(7,232)
USD
399,537
CLP
380,000,000
6/18/2025
(427)
USD
8,597,582
CZK
198,800,000
6/18/2025
(29,704)
USD
6,894,438
GBP
5,347,000
6/18/2025
(12,053)
USD
14,350,270
INR
1,263,000,000
6/18/2025
(342,139)
USD
3,772,867
JPY
564,000,000
6/18/2025
(20,245)
USD
5,176,798
MXN
107,250,000
6/18/2025
(10,003)
USD
25,114,052
NOK
270,600,000
6/18/2025
(606,172)
USD
24,110,930
SEK
244,592,998
6/18/2025
(334,851)
USD
8,322,505
ZAR
153,590,000
6/18/2025
(2,042)
ZAR
281,760,000
USD
15,346,286
6/18/2025
(74,949)
TOTAL
$
(2,549,787)
ADDITIONAL INVESTMENT INFORMATION (
continued
)
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
(continued)
March 31, 2025 (Unaudited)
SWAP CONTRACTS
— At March 31, 2025, the Portfolio had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments Made by the
Fund
(a)
Payments Received by
the Fund
Termination
Date
Notional Amounts
(000's)
Value
Upfront Premium
(Received) Paid
Unrealized
Appreciation/
(Depreciation)
3.750%
(b)
3 Month BBSW
6/18/2026
AUD
129,240
$
104,449
$
85,704
$
18,745
2.500 
(c)
CORRA
6/18/2026
CAD
148,890
176,293
114,270
62,023
0.250 
(c)
1 Day SOFR
6/18/2026
CHF
181,100
328,915
124,895
204,020
2.000 
(c)
1 Day ESTRON
6/18/2026
EUR
139,450
119,921
–
119,921
1 Day SONIO
(c)
4.000
%
6/18/2026
GBP
87,170
76,400
–
76,400
3 Month STIBOR
(c)
2.250
6/18/2026
SEK
1,190,970
204,159
–
204,159
1 Day SOFR
(c)
3.750
6/18/2026
USD
203,540
84,958
–
84,958
2.000 
(c)
1 Day ESTRON
6/18/2027
EUR
122,250
152,744
–
152,744
4.000 
(c)
1 Day SONIO
6/18/2027
GBP
112,590
40,039
35,222
4,817
3.750 
(c)
1 Day SOFR
6/18/2027
USD
145,770
343,361
126,399
216,962
6 Month PRIBOR
(c)
3.750
9/17/2030
CZK
607,820
(203,009)
(599,371)
396,362
BUBORON
(c)
6.750
9/17/2030
HUF
6,433,840
15,088
(632,254)
647,342
6 Month WIBOR
(c)
5.000
9/17/2030
PLN
59,510
(316,058)
(562,125)
246,067
8.000 
(b)
3 Month JIBAR
9/17/2030
ZAR
572,720
144,141
437,024
(292,883)
3.000 
(d)
CORRA
6/18/2035
CAD
14,440
209,534
205,748
3,786
1 Day SOFR
(c)
1.000
6/18/2035
CHF
4,880
(182,579)
(106,412)
(76,167)
2.750 
(c)
1 Day ESTRON
6/18/2035
EUR
16,430
368,188
135,438
232,750
4.250 
(c)
1 Day SONIO
6/18/2035
GBP
32,620
249,210
36,574
212,636
3 Month STIBOR
(c)
2.750
6/18/2035
SEK
155,260
276,678
–
276,678
4.000 
(c)
1 Day SOFR
6/18/2035
USD
41,930
852,978
364,608
488,370
1 Day ESTRON
(c)
2.500
6/18/2055
EUR
23,480
231,829
–
231,829
1 Day SONIO
(c)
4.500
6/18/2055
GBP
35,210
(482,706)
(540,584)
57,878
1 Day SOFR
(c)
4.000
6/18/2055
USD
36,010
(1,364,581)
(1,068,388)
(296,193)
TOTAL
$
1,429,952
$
(1,843,252)
$
3,273,204
(a)
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to
March 31, 2025.
(b)
Payments made quarterly.
(c)
Payments made annually.
(d)
Payments made semi-annually.
Investment Abbreviations:
BBSW
—
Bank Bill Swap Rate
BUBORON
—
Budapest Interbank Offered Rate
CORRA
—
Canadian Overnight Repo Rate Average
ESTRON
—
Euro Short-Term Rate
JIBAR
—
Johannesburg Interbank Agreed Rate
PRIBOR
—
Prague Interbank Offered Rate
SOFR
—
Secured Overnight Financing Rate
SONIO
—
Sterling Overnight Index Average
STIBOR
—
Stockholm Interbank Offered Rate
WIBOR
—
Warsaw Interbank Offered Rate
Currency Abbreviations:
AUD
Australian Dollar
BRL
Brazilian Real
CAD
Canadian Dollar
CHF
Swiss Franc
CLP
Chilean Peso
COP
Colombian Peso
CZK
Czech Koruna
EUR
Euro
GBP
British Pound
HUF
Hungarian Forint
IDR
Indonesian Rupiah
INR
Indian Rupee
JPY
Japanese Yen
KRW
South Korean Won
MXN
Mexican Peso
NOK
Norwegian Krone
NZD
New Zealand Dollar
PLN
Polish Zloty
SEK
Swedish Krona
USD
United States Dollar
ZAR
South African Rand
ADDITIONAL INVESTMENT INFORMATION (
continued
)
**End swaps header** (continued)
Goldman Sachs Alternative Funds I
Consolidated Schedule of Investments
March 31, 2025 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation —
The Fund’s valuation policy is to value investments at fair value.
Investments and Fair Value Measurements —
U.S. GAAP defines the fair value of a financial instrument as the amount that would
be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes
the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices
in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3
measurements). The 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 Fund’s investments
that do not have readily available market quotations, the Trustees have designated the Adviser as the valuation designee to perform
fair valuations pursuant to rule 2a-5 under the Investment Company Action of 1940 (“Valuation Designee”) GSAM has day-to-day
responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To
assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures
and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the
Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments—
The valuation techniques and significant inputs used in determining the fair values
for investments classified as Level 1 and Level 2 are as follows:
Money Market Funds —
Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Money Market Fund”)
are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as
Level 1 of the fair value hierarchy. For information regarding the Underlying Money Market Fund’s accounting policies and investment
holdings, please see the Underlying Money Market Fund’s shareholder report.
Derivative Contracts —
A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a
combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices,
and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For
financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any,
is reported separately on the Statement of Assets and Liabilities as either due to broker/receivable for collateral on certain derivative
contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the
exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint
of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price
for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value
hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence,
including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative
Goldman Sachs Alternative Funds I
Consolidated Schedule of Investments
(continued)
March 31, 2025 (Unaudited)
pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends
upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the
market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures
of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally
cleared derivatives that trade in liquid markets, model inputs can generally be verified, and model selection does not involve significant
management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant
inputs are corroborated by market evidence.
i. Forward Contracts —
A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future
date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using
independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may
be used to collateralize forward contracts.
A
forward foreign currency exchange contract
is a contract in which the Fund agrees to receive or deliver a fixed quantity of one
currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market
daily 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 the Fund equal to the daily change in the contract
value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Swap Contracts
—
Bilateral swap contracts are agreements in which the Fund and a counterparty agree to exchange periodic
payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated
in the OTC market and payments are settled through direct payments between the Fund and the counterparty. By contrast, certain swap
transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”),
acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments
are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or
clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a
swap contract, 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 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.
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Goldman Sachs Alternative Funds I
Consolidated Schedule of Investments
(continued)
March 31, 2025 (Unaudited)
C. Fair Value Hierarchy—
The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy
as of March 31, 2025:
For further information regarding security characteristics, see the Schedules of Investments.
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk
—
The Fund’s 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 the 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 Fund 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 Fund 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.
Foreign and Emerging Countries Risk
—
Investing in foreign markets may involve special risks and considerations not typically
associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government
regulation, less public information, less stringent investor protections, less stringent accounting, corporate governance, financial
reporting and disclosure standards, and less economic, political and social stability in the countries in which the Fund invests. The
imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions
(including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement
or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and
other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the
imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities
issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility
Managed Futures Strategy Fund
Investment Type
Level 1
Level 2
Level 3
Assets
Investment Companies
$
161,969,633
$
—
$
—
€
1.00
€
1.00
€
1.00
Derivative Type
Assets
(a)
Forward Foreign Currency Exchange Contracts
$
—
$
1,445,258
$
—
Futures Contracts
2,645,972
—
—
Interest Rate Swap Contracts
—
3,938,447
—
Total
$
2,645,972
$
5,383,705
$
—
€
1.00
€
1.00
€
1.00
Liabilities
Forward Foreign Currency Exchange Contracts
(a)
$
—
$
(2,549,787
)
$
—
Futures Contracts
(a)
(5,868,506)
—
—
Interest Rate Swap Contracts
(a)
—
(665,243)
—
Total
$
(5,868,506)
$
(3,215,03
0
)
$
—
€
1.00
€
1.00
€
1.00
(a)
Amount shown represents unrealized gain (loss) at period end.
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Goldman Sachs Alternative Funds I
Consolidated Schedule of Investments
(continued)
March 31, 2025 (Unaudited)
and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the
Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of
securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative
foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other
instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate
significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in, or economically tied
to, emerging markets, these risks may be more pronounced.
Interest Rate Risk —
When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in
value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term
fixed income securities or instruments. A wide variety of market factors can cause interest rates to rise, including central bank monetary
policy, rising inflation and changes in the general economic conditions. Changing interest rates may have unpredictable effects on the
markets, may result in heightened market volatility and may detract from the Fund’s 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 Fund’s. A sudden or unpredictable increase in interest rates
may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund
to sell its investments at an advantageous time.
Investments in Other Investment Companies Risk
—
As a shareholder of another investment company, the Fund will indirectly bear
its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees
and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk
—
The Fund may experience adverse effects when certain large shareholders, such as other
funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries
(who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals,
accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions,
which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so,
which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income
to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption
could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio.
Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing
new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk
—
The Fund may make investments that are illiquid or that may become less liquid in response to market
developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to
the risk that the Fund will not be able to pay redemption proceeds within the allowable time period 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, the Fund may be forced to sell investments at an unfavorable time
and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions,
such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among
other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the
lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances
where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market
due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located
in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Goldman Sachs Alternative Funds I
Consolidated Schedule of Investments
(continued)
March 31, 2025 (Unaudited)
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 the 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, geopolitical disputes, acts of terrorism, social or political unrest, natural disasters, recessions, inflation, rapid
interest rate changes, supply chain disruptions, sanctions or the spread of infectious illness or other public health threats, or the threat
or potential of one or more such events and developments, could also significantly impact the Fund and its investments. Additionally,
the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with
which the Fund has unsettled or open transactions defaults.
Subsidiary Risk
—
The Subsidiary is not registered under the Act and is not subject to all the investor protections of the Investment
Company Act. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the
Subsidiary to operate as described in the Prospectus and the SAI and could adversely affect the Fund.
Tax Risk
—
The Fund seeks to gain exposure to the commodity markets primarily through investments in the Subsidiary. The tax
treatment of the Fund’s investments in the Subsidiary could affect whether income derived from such investments is “qualifying
income” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), or otherwise affect the character, timing
and/or amount of the Fund’s taxable income or any gains and distributions made by the Fund. If the IRS were to successfully assert
that a Fund’s income from such investments was not “qualifying income,” the Fund may fail to qualify as a regulated investment
company (“RIC”) under Subchapter M of the Code if over 10% of its gross income was derived from these investments. If the Fund
failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates
with no deduction for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause
substantial losses for, Fund shareholders.
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)