UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
| Caroline Kraus, Esq. | Copies to: | |
| Goldman Sachs & Co. LLC | Geoffrey R.T. Kenyon, Esq. | |
| 200 West Street | Dechert LLP | |
| New York, New York 10282 | 100 Oliver Street | |
| 40th Floor | ||
| Boston, MA 02110-2605 |
(Name and address of agents for service)
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: August 31
Date of reporting period: February 29, 2020
| ITEM 1. |
REPORTS TO STOCKHOLDERS. |
|
The Semi-Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
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Financial Square FundsSM |
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Federal Instruments |
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Government |
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Money Market |
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Prime Obligations |
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Treasury Instruments |
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Treasury Obligations |
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Treasury Solutions |
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It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Administration, Capital, Cash Management, Drexel Hamilton Class, Preferred, Premier, Resource, Service, Class R6 and Select shareholders or 800-526-7384 for Class A and Class C shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Financial Square Funds
| ∎ |
FEDERAL INSTRUMENTS FUND |
| ∎ |
GOVERNMENT FUND |
| ∎ |
MONEY MARKET FUND |
| ∎ |
PRIME OBLIGATIONS FUND |
| ∎ |
TREASURY INSTRUMENTS FUND |
| ∎ |
TREASURY OBLIGATIONS FUND |
| ∎ |
TREASURY SOLUTIONS FUND |
| i | ||||
| 2 | ||||
| 3 | ||||
| 4 | ||||
| 5 | ||||
| 43 | ||||
| 51 | ||||
| 55 | ||||
| 62 | ||||
| 67 | ||||
| 72 | ||||
| 77 | ||||
| 82 | ||||
| 87 | ||||
| 103 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29, 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. A Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events or actions. The full extent of the impact of COVID-19 on the Funds’ performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
On March 15, 2020, the Federal Reserve of the United States (Fed) announced an emergency 1.00% rate cut. This cut was their second intermeeting move in less than two weeks, having cut 0.50% on March 3rd. Since these rate cuts, and in response to further market disruption due to COVID-19, the Fed has announced various programs in an effort to stabilize liquidity in the short-term credit markets and money market fund industry. On March 19, 2020 and March 20, 2020, Goldman Sachs Bank USA (GS Bank), an affiliate of Goldman Sachs Asset Management, L.P. (GSAM), purchased securities at fair market value (as determined by a third party pricing service) from the Goldman Sachs Financial Square Money Market Fund and the Goldman Sachs Financial Square Prime Obligations Fund. Per regulatory requirements, the Funds filed Form N-CRs disclosing the sale of assets to GS Bank, in addition to posting information about the transactions on the funds’ websites.
i
PORTFOLIO RESULTS
GOVERNMENT MONEY MARKET FUNDS
| ∎ |
Federal Instruments Fund |
| ∎ |
Government Fund |
| ∎ |
Treasury Instruments Fund |
| ∎ |
Treasury Obligations Fund |
| ∎ |
Treasury Solutions Fund |
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
INSTITUTIONAL MONEY MARKET FUNDS
| ∎ |
Money Market Fund |
| ∎ |
Prime Obligations Fund |
You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
1
Financial Square Funds
as of February 29, 2020
| PERFORMANCE REVIEW1,2 |
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| September 1, 2019–February 29, 2020 |
Fund Total Return (based on NAV)3 Institutional Shares |
SEC 7-Day
Current Yield4 |
iMoneyNet Institutional
Average5 |
|||||||||||
| Federal Instruments | 0.83 | % | 1.46 | % | 1.47 | %6 | ||||||||
| Government | 0.83 | 1.46 | 1.47 | 6 | ||||||||||
| Money Market | 0.94 | 1.69 | 1.70 | 7 | ||||||||||
| Prime Obligations | 0.95 | 1.68 | 1.70 | 7 | ||||||||||
| Treasury Instruments | 0.81 | 1.41 | 1.42 | 8 | ||||||||||
| Treasury Obligations | 0.82 | 1.41 | 1.45 | 9 | ||||||||||
| Treasury Solutions | 0.82 | 1.40 | 1.45 | 9 | ||||||||||
The returns represent past performance. Past performance does not guarantee future results. The Funds’ investment returns will fluctuate. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| 1 | Each of the Treasury Obligations, Money Market, Treasury Instruments and Treasury Solutions Funds offers nine separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier and Resource), the Federal Instruments Fund offers eight separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management and Premier), the Prime Obligations Fund offers ten separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource and Drexel Hamilton Class), and the Government Fund offers thirteen separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Drexel Hamilton Class, Class R6, Class A and Class C), each of which is subject to different fees and expenses that affect performance and entitles shareholders to different services. The Institutional, Drexel Hamilton Class, and Class R6 Shares do not have distribution and/or service (12b-1) or administration and/or service (non-12b-1) fees. The Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Class A and Class C Shares offer financial institutions the opportunity to receive fees for providing certain distribution, administrative support and/or shareholder services (as applicable). As an annualized percentage of average daily net assets, these share classes pay combined distribution and/or service (12b-1), administration and/ or service (non-12b-1) fees (as applicable) at the following contractual rates: the Select Shares pay 0.03%, Preferred Shares pay 0.10%, Capital Shares pay 0.15%, Administration Shares pay 0.25%, Service Shares pay 0.50%, Cash Management Shares pay 0.80%, Premier Shares pay 0.35%, Resource Shares pay 0.65%, Class A Shares pay 0.25% and Class C Shares pay 1.00%. If these fees were reflected in the above performance, performance would have been reduced. In addition, the Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased. |
| 3 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. A Fund’s total return reflects the reinvestment of dividends and other distributions. |
| 4 | The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects a Fund’s current earnings than do the Fund Total Return figures. |
| 5 | Source: iMoneyNet, Inc. February 2020. The iMoneyNet Institutional Average represents total return. |
| 6 | Government & Agencies Institutional–Category includes the most broadly based of the government institutional funds. These funds may generally invest in U.S. treasuries, U.S. agencies, repurchase agreements, or government-backed floating rate notes. |
| 7 | First Tier Institutional–Category includes only non-government institutional funds that also are not holding any second tier securities. Portfolio holdings of First Tier funds include U.S. Treasury, U.S. other, repurchase agreements, time deposits, domestic bank obligations, foreign bank obligations, first tier commercial paper, floating rate notes, and asset-backed commercial paper. |
| 8 | Treasury Institutional–Category includes only institutional government funds that hold 100 percent in U.S. Treasuries. |
| 9 | Treasury & Repo Institutional–Category includes only institutional government funds that hold U.S. Treasuries and repurchase agreements backed by the U.S. Treasury. |
2
| SUMMARY OF THE INSTITUTIONAL SHARES1,2 AS OF 2/29/2020 |
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| Funds |
7-Day Dist. Yield10 |
SEC 7-Day Effective Yield11 |
30-Day Average Yield12 |
Weighted Avg. Maturity (days)13 |
Weighted Avg. Life (days)14 |
|||||||||||||||||
| Federal Instruments | 1.51 | % | 1.47 | % | 1.51 | % | 51 | 113 | ||||||||||||||
| Government | 1.51 | 1.47 | 1.52 | 39 | 117 | |||||||||||||||||
| Money Market | 1.71 | 1.71 | 1.73 | 39 | 86 | |||||||||||||||||
| Prime Obligations | 1.70 | 1.70 | 1.72 | 40 | 86 | |||||||||||||||||
| Treasury Instruments | 1.42 | 1.42 | 1.43 | 53 | 116 | |||||||||||||||||
| Treasury Obligations | 1.47 | 1.42 | 1.48 | 39 | 108 | |||||||||||||||||
| Treasury Solutions | 1.45 | 1.41 | 1.47 | 52 | 117 | |||||||||||||||||
| The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above. |
| Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance. |
| 10 | The 7-Day Distribution Yield is an annualized measure of a Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield. |
| 11 | The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. |
| 12 | The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield. |
| 13 | A Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7. |
| 14 | A Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
3
| SECTOR ALLOCATIONS15 |
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| As of February 29, 2020 | ||||||||||||||||||||||||||||||
|
Security Type
(Percentage of Net Assets) |
Federal
Instruments |
Government |
Money
Market |
Prime
Obligations |
Treasury
Instruments |
Treasury
Obligations |
Treasury
Solutions |
|||||||||||||||||||||||
| Certificates of Deposit | — | — | — | — | — | — | — | |||||||||||||||||||||||
| Certificates of Deposit - Eurodollar | — | — | 1.8 | % | — | — | — | — | ||||||||||||||||||||||
| Certificates of Deposit - Yankeedollar | — | — | 10.4 | 12.4 | % | — | — | — | ||||||||||||||||||||||
| Commercial Paper & Corporate Obligations | — | — | 17.2 | 22.0 | — | — | — | |||||||||||||||||||||||
| Fixed Rate Municipal Debt Obligations | — | — | 2.0 | 1.2 | — | — | — | |||||||||||||||||||||||
| Repurchase Agreements | — | 59.5 | % | 14.5 | 16.9 | — | 60.7 | % | 23.3 | % | ||||||||||||||||||||
| Time Deposits | — | — | 16.5 | 12.8 | — | — | — | |||||||||||||||||||||||
| U.S. Government Agency Obligations | 42.7 | % | 1.8 | — | — | — | — | — | ||||||||||||||||||||||
| U.S. Treasury Obligations | 47.4 | 23.9 | — | 1.0 | 109.1 | % | 36.9 | 98.4 | ||||||||||||||||||||||
| Variable Rate Municipal Debt Obligations | — | — | 1.6 | 1.8 | — | — | — | |||||||||||||||||||||||
| Variable Rate Obligations | 10.2 | 14.4 | 32.6 | 32 | — | — | — | |||||||||||||||||||||||
| As of August 31, 2019 | ||||||||||||||||||||||||||||||
|
Security Type
(Percentage of Net Assets) |
Federal
Instruments |
Government |
Money
Market |
Prime
Obligations |
Treasury
Instruments |
Treasury
Obligations |
Treasury
Solutions |
|||||||||||||||||||||||
| Certificates of Deposit | — | — | 1.6 | % | 1.8 | % | — | — | — | |||||||||||||||||||||
| Certificates of Deposit - Eurodollar | — | — | 7.1 | — | — | — | — | |||||||||||||||||||||||
| Certificates of Deposit - Yankeedollar | — | — | 10.7 | 10.3 | — | — | — | |||||||||||||||||||||||
| Commercial Paper & Corporate Obligations | — | — | 25.2 | 28.1 | — | — | — | |||||||||||||||||||||||
| Fixed Rate Municipal Debt Obligations | — | — | 1.7 | 3.2 | — | — | — | |||||||||||||||||||||||
| Repurchase Agreements | — | 64.9 | % | 22.8 | 24.0 | — | 68.0 | % | — | |||||||||||||||||||||
| Time Deposits | — | — | 11.1 | 9.5 | — | — | — | |||||||||||||||||||||||
| U.S. Government Agency Obligations | 81.9 | % | 16.1 | — | 0.1 | — | — | — | ||||||||||||||||||||||
| U.S. Treasury Obligations | 18.1 | 18.5 | 1.1 | 1.0 | 101.1 | % | 30.0 | 104.2 | % | |||||||||||||||||||||
| Variable Rate Municipal Debt Obligations | — | — | 1.6 | 2.0 | — | — | — | |||||||||||||||||||||||
| Variable Rate Obligations | — | — | 21.3 | 21.9 | — | — | — | |||||||||||||||||||||||
| 15 | Each Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
4
FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 5 |
FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 6 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Variable or floating 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 February 29, 2020. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
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Investment Abbreviations: |
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FEDL01 |
—US Federal Funds Effective Rate |
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LIBOR |
—London Interbank Offered Rates |
|
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MMY |
—Money Market Yield |
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Prime |
—Federal Reserve Bank Prime Loan Rate US |
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SOFR |
—Secured Overnight Financing Rate |
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T-Bill |
—Treasury Bill |
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| The accompanying notes are an integral part of these financial statements. | 7 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 8 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
| The accompanying notes are an integral part of these financial statements. | 9 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 10 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
| The accompanying notes are an integral part of these financial statements. | 11 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized
Cost |
|||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
BofA Securities, Inc. |
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| $ | 250,000,000 | 1.500 | % | 03/02/20 | $ | 250,000,000 | ||||||||
|
Maturity Value: $250,031,250 |
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|
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Collateralized by U.S. Treasury Notes, 1.875% to 3.125%, due
|
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| 400,000,000 | 1.540 | 03/02/20 | 400,000,000 | |||||||||||
|
Maturity Value: $400,051,333 |
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|
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Collateralized by U.S. Treasury Notes, 1.125% to 1.500%, due
|
|
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| 394,600,000 | 1.610 | 03/02/20 | 394,600,000 | |||||||||||
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Maturity Value: $394,652,942 |
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Collateralized by Federal Home Loan Mortgage Corp., 2.500% to
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Canadian Imperial Bank of Commerce |
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| 600,000,000 | 1.610 | 03/02/20 | 600,000,000 | |||||||||||
|
Maturity Value: $600,080,500 |
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|
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Collateralized by Federal National Mortgage Association, 3.500%
|
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Citibank N.A. (Overnight MBS + 0.01%) |
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| 1,000,000,000 | 1.620 | (b) | 03/06/20 | 1,000,000,000 | ||||||||||
|
Maturity Value: $1,022,275,000 |
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|
Settlement Date: 11/01/18 |
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|
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Collateralized by Federal Farm Credit Bank, 1.600% to 3.220%,
|
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|
Citigroup Global Markets Inc. |
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| 400,000,000 | 1.580 | 03/02/20 | 400,000,000 | |||||||||||
|
Maturity Value: $400,052,667 |
||||||||||||||
|
|
Shared collateral consisting of Federal Home Loan Mortgage
|
|
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|
|
|
|||||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Citigroup Global Markets Inc. – (continued) |
||||||||||||||
| 400,000,000 | 1.580 | 03/02/20 | 400,000,000 | |||||||||||
|
Maturity Value: $400,052,667 |
||||||||||||||
|
|
Shared collateral consisting of Federal Home Loan Mortgage
|
|
||||||||||||
| 1,498,300,000 | 1.610 | 03/02/20 | 1,498,300,000 | |||||||||||
|
Maturity Value: $1,498,501,022 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 2.500% to
|
|
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|
|
|
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|
Credit Agricole Corporate and Investment Bank |
||||||||||||||
| 150,000,000 | 1.540 | 03/02/20 | 150,000,000 | |||||||||||
|
Maturity Value: $150,019,250 |
||||||||||||||
|
|
Collateralized by U.S. Treasury Bonds, 3.000% to 3.750%, due
|
|
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|
|
|
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|
Daiwa Capital Markets America Inc. |
||||||||||||||
| 78,853,841 | 1.610 | 03/02/20 | 78,853,841 | |||||||||||
|
Maturity Value: $78,864,421 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 1.500%, due 08/15/26.
|
|
||||||||||||
| 87,604,166 | 1.610 | 03/02/20 | 87,604,166 | |||||||||||
|
Maturity Value: $87,615,920 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.750%, due 04/30/23.
|
|
||||||||||||
| 90,061,733 | 1.610 | 03/02/20 | 90,061,733 | |||||||||||
|
Maturity Value: $90,073,816 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.500%, due 02/28/26.
|
|
||||||||||||
| 98,958,333 | 1.610 | 03/02/20 | 98,958,333 | |||||||||||
|
Maturity Value: $98,971,610 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.125%, due 05/31/26.
|
|
||||||||||||
| 103,431,372 | 1.610 | 03/02/20 | 103,431,372 | |||||||||||
|
Maturity Value: $103,445,249 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.500%, due 03/31/23.
|
|
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| 12 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized
Cost |
|||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Daiwa Capital Markets America Inc. – (continued) |
||||||||||||||
| $ | 111,807,937 | 1.610 | % | 03/02/20 | $ | 111,807,937 | ||||||||
|
Maturity Value: $111,822,938 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.375%, due 04/30/26.
|
|
||||||||||||
| 113,415,440 | 1.610 | 03/02/20 | 113,415,440 | |||||||||||
|
Maturity Value: $113,430,657 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 1.625%, due 05/31/23.
|
|
||||||||||||
| 113,624,999 | 1.610 | 03/02/20 | 113,624,999 | |||||||||||
|
Maturity Value: $113,640,244 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.875%, due 08/15/28.
|
|
||||||||||||
| 129,817,401 | 1.610 | 03/02/20 | 129,817,401 | |||||||||||
|
Maturity Value: $129,834,818 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 1.375%, due 08/31/26.
|
|
||||||||||||
| 140,520,978 | 1.610 | 03/02/20 | 140,520,978 | |||||||||||
|
Maturity Value: $140,539,831 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.750%, due 02/28/25.
|
|
||||||||||||
| 145,490,195 | 1.610 | 03/02/20 | 145,490,195 | |||||||||||
|
Maturity Value: $145,509,715 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.750%, due 07/31/23.
|
|
||||||||||||
| 180,503,162 | 1.610 | 03/02/20 | 180,503,162 | |||||||||||
|
Maturity Value: $180,527,380 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.750%, due 08/31/25.
|
|
||||||||||||
| 239,889,703 | 1.610 | 03/02/20 | 239,889,703 | |||||||||||
|
Maturity Value: $239,921,888 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.250%, due 11/15/27.
|
|
||||||||||||
| 242,340,686 | 1.610 | 03/02/20 | 242,340,686 | |||||||||||
|
Maturity Value: $242,373,200 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 3.750%, due 11/15/43.
|
|
||||||||||||
| 264,441,726 | 1.610 | 03/02/20 | 264,441,726 | |||||||||||
|
Maturity Value: $264,477,205 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 3.875%, due 08/15/40.
|
|
||||||||||||
| 384,422,160 | 1.610 | 03/02/20 | 384,422,160 | |||||||||||
|
Maturity Value: $384,473,737 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.625%, due 12/15/21.
|
|
||||||||||||
|
|
|
|||||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Daiwa Capital Markets America Inc. – (continued) |
||||||||||||||
| 474,816,168 | 1.610 | 03/02/20 | 474,816,168 | |||||||||||
|
Maturity Value: $474,879,873 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.875%, due 10/31/23.
|
|
||||||||||||
|
|
|
|||||||||||||
|
Deutsche Bank Securities Inc. |
||||||||||||||
| 300,000,000 | 1.550 | 03/02/20 | 300,000,000 | |||||||||||
|
Maturity Value: $300,038,750 |
||||||||||||||
|
|
Collateralized by U.S. Treasury Notes, 2.125% to 2.875%, due
|
|
||||||||||||
| 3,000,000,000 | 1.610 | 03/02/20 | 3,000,000,000 | |||||||||||
|
Maturity Value: $3,000,402,500 |
||||||||||||||
|
|
Collateralized by Federal National Mortgage Association,
|
|
||||||||||||
|
|
|
|||||||||||||
|
Fixed Income Clearing Corp. |
||||||||||||||
| 1,000,000,000 | 1.590 | 03/02/20 | 1,000,000,000 | |||||||||||
|
Maturity Value: $1,000,132,500 |
||||||||||||||
|
|
Collateralized by U.S. Treasury Bonds, 2.875% to 3.375%, due
|
|
||||||||||||
| 3,000,000,000 | 1.600 | 03/02/20 | 3,000,000,000 | |||||||||||
|
Maturity Value: $3,000,400,000 |
||||||||||||||
|
|
Collateralized by U.S. Treasury Bonds, 2.750% to 3.000%, due
|
|
||||||||||||
|
|
|
|||||||||||||
|
HSBC Bank PLC |
||||||||||||||
| 3,100,000,000 | 1.610 | 03/02/20 | 3,100,000,000 | |||||||||||
|
Maturity Value: $3,100,415,917 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bill, 0.000%, due 08/13/20,
|
|
||||||||||||
|
|
|
|||||||||||||
|
HSBC Bank PLC (Overnight Treasury + 0.02%) |
||||||||||||||
| 400,000,000 | 1.630 | (b) | 03/06/20 | 400,000,000 | ||||||||||
|
Maturity Value: $404,401,002 |
||||||||||||||
|
Settlement Date: 07/11/19 |
||||||||||||||
|
|
Collateralized by U.S. Treasury Bonds, 0.000% to 1.375%, due
|
|
||||||||||||
|
|
|
|||||||||||||
| The accompanying notes are an integral part of these financial statements. | 13 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 14 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized
Cost |
|||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Joint Account I |
||||||||||||||
| $ | 1,600,000,000 | 1.590 | % | 03/02/20 | $ | 1,600,000,000 | ||||||||
|
Maturity Value: $1,600,212,000 |
||||||||||||||
|
|
|
|||||||||||||
|
Joint Account III |
||||||||||||||
| 6,238,400,000 | 1.607 | 03/02/20 | 6,238,400,000 | |||||||||||
|
Maturity Value: $6,239,235,405 |
||||||||||||||
|
|
|
|||||||||||||
|
Mizuho Securities USA LLC |
||||||||||||||
| 600,000,000 | 1.610 | 03/02/20 | 600,000,000 | |||||||||||
|
Maturity Value: $600,080,500 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 6.500%,
|
|
||||||||||||
|
|
|
|||||||||||||
|
Morgan Stanley & Co. LLC |
||||||||||||||
| 500,000,000 | 1.610 | 03/02/20 | 500,000,000 | |||||||||||
|
Maturity Value: $500,067,083 |
||||||||||||||
|
|
Collateralized by Federal Farm Credit Bank, 1.550% to 5.400%,
|
|
||||||||||||
|
|
|
|||||||||||||
|
MUFG Securities Americas Inc. |
||||||||||||||
| 250,000,000 | 1.610 | 03/02/20 | 250,000,000 | |||||||||||
|
Maturity Value: $250,033,542 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 2.000% to
|
|
||||||||||||
| 250,000,000 | 1.580 | 03/17/20 | 250,000,000 | |||||||||||
|
Maturity Value: $250,735,139 |
||||||||||||||
|
Settlement Date: 01/10/20 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 2.500% to
|
|
||||||||||||
| 200,000,000 | 1.880 | 03/31/20 | 200,000,000 | |||||||||||
|
Maturity Value: $201,880,000 |
||||||||||||||
|
Settlement Date: 10/03/19 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 3.000% to
|
|
||||||||||||
|
|
|
|||||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
MUFG Securities Americas Inc. (Overnight MBS + 0.08%) |
||||||||||||||
| 250,000,000 | 1.690 | (b) | 04/03/20 | 250,000,000 | ||||||||||
|
Maturity Value: $255,821,106 |
||||||||||||||
|
Settlement Date: 11/28/18 |
||||||||||||||
|
|
Shared collateral consisting of Federal Home Loan Mortgage
|
|
||||||||||||
| 250,000,000 | 1.690 | (b) | 04/03/20 | 250,000,000 | ||||||||||
|
Maturity Value: $254,318,885 |
||||||||||||||
|
Settlement Date: 04/05/19 |
||||||||||||||
|
|
Shared collateral consisting of Federal Home Loan Mortgage
|
|
||||||||||||
|
|
|
|||||||||||||
|
MUFG Securities Americas Inc. (Overnight Treasury + 0.02%) |
||||||||||||||
| 400,000,000 | 1.610 | (b) | 03/06/20 | 400,000,000 | ||||||||||
|
Maturity Value: $405,599,219 |
||||||||||||||
|
Settlement Date: 05/02/19 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bill, 0.000%, due 08/06/20,
|
|
||||||||||||
|
|
|
|||||||||||||
|
Natixis-New York Branch |
||||||||||||||
| 200,000,000 | 1.590 | 03/02/20 | 200,000,000 | |||||||||||
|
Maturity Value: $200,026,500 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 3.000% to
|
|
||||||||||||
| 500,000,000 | 1.610 | 03/02/20 | 500,000,000 | |||||||||||
|
Maturity Value: $500,067,083 |
||||||||||||||
|
|
Collateralized by Federal Farm Credit Bank, 2.480% to 3.900%, due
|
|
||||||||||||
|
|
|
|||||||||||||
| The accompanying notes are an integral part of these financial statements. | 15 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized
Cost |
|||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Nomura Securities International, Inc. |
||||||||||||||
| $ | 2,000,000,000 | 1.610 | % | 03/02/20 | $ | 2,000,000,000 | ||||||||
|
Maturity Value: $2,000,268,333 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Bank, 3.250%, due
|
|
||||||||||||
|
|
|
|||||||||||||
|
Norinchukin Bank (The) |
||||||||||||||
| 215,000,000 | 1.670 | 03/04/20 | 215,000,000 | |||||||||||
|
Maturity Value: $215,907,599 |
||||||||||||||
|
Settlement Date: 12/04/19 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29
|
|
||||||||||||
| 260,000,000 | 1.680 | 03/09/20 | 260,000,000 | |||||||||||
|
Maturity Value: $261,055,600 |
||||||||||||||
|
Settlement Date: 12/13/19 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29,
|
|
||||||||||||
| 435,000,000 | 1.680 | 03/09/20 | 435,000,000 | |||||||||||
|
Maturity Value: $436,806,700 |
||||||||||||||
|
Settlement Date: 12/11/19 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29,
|
|
||||||||||||
| 650,000,000 | 1.700 | 03/17/20 | 650,000,000 | |||||||||||
|
Maturity Value: $652,793,194 |
||||||||||||||
|
Settlement Date: 12/17/19 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29
|
|
||||||||||||
| 220,000,000 | 1.680 | 05/11/20 | 220,000,000 | |||||||||||
|
Maturity Value: $220,985,600 |
||||||||||||||
|
Settlement Date: 02/05/20 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29,
|
|
||||||||||||
|
|
|
|||||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Norinchukin Bank (The) – (continued) |
||||||||||||||
| 100,000,000 | 1.670 | 05/21/20 | 100,000,000 | |||||||||||
|
Maturity Value: $100,422,139 |
||||||||||||||
|
Settlement Date: 02/20/20 |
||||||||||||||
|
|
Collateralized by U.S. Treasury Inflation-Indexed Notes, 0.375%
|
|
||||||||||||
| 175,000,000 | 1.630 | 05/27/20 | 175,000,000 | |||||||||||
|
Maturity Value: $175,721,049 |
||||||||||||||
|
Settlement Date: 02/26/20 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Inflation-Indexed Note,
|
|
||||||||||||
|
|
|
|||||||||||||
|
Northwestern Mutual Life Insurance Company |
||||||||||||||
| 102,570,000 | 1.610 | 03/02/20 | 102,570,000 | |||||||||||
|
Maturity Value: $102,583,761 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.125%, due 11/30/23.
|
|
||||||||||||
| 197,660,000 | 1.610 | 03/02/20 | 197,660,000 | |||||||||||
|
Maturity Value: $197,686,519 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 1.750%, due 11/15/20.
|
|
||||||||||||
| 551,485,000 | 1.610 | 03/02/20 | 551,485,000 | |||||||||||
|
Maturity Value: $551,558,991 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 2.375%, due 03/15/21.
|
|
||||||||||||
|
|
|
|||||||||||||
|
Prudential Insurance Company of America (The) |
||||||||||||||
| 8,178,750 | 1.610 | 03/02/20 | 8,178,750 | |||||||||||
|
Maturity Value: $8,179,847 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
| 10,586,000 | 1.610 | 03/02/20 | 10,586,000 | |||||||||||
|
Maturity Value: $10,587,420 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 6.625%, due 02/15/27.
|
|
||||||||||||
| 20,093,750 | 1.610 | 03/02/20 | 20,093,750 | |||||||||||
|
Maturity Value: $20,096,446 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
| 20,963,750 | 1.610 | 03/02/20 | 20,963,750 | |||||||||||
|
Maturity Value: $20,966,563 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 0.000%, due 08/15/41.
|
|
||||||||||||
| 23,553,750 | 1.610 | 03/02/20 | 23,553,750 | |||||||||||
|
Maturity Value: $23,556,910 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
|
|
|
|||||||||||||
| 16 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized
Cost |
|||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Prudential Insurance Company of America (The) – (continued) |
||||||||||||||
| $ | 24,082,500 | 1.610 | % | 03/02/20 | $ | 24,082,500 | ||||||||
|
Maturity Value: $24,085,731 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Principal-Only Stripped
|
|
||||||||||||
| 25,156,250 | 1.610 | 03/02/20 | 25,156,250 | |||||||||||
|
Maturity Value: $25,159,625 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 0.000%, due 08/15/39.
|
|
||||||||||||
| 26,345,000 | 1.610 | 03/02/20 | 26,345,000 | |||||||||||
|
Maturity Value: $26,348,535 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 2.875%, due 05/15/43.
|
|
||||||||||||
| 26,437,500 | 1.610 | 03/02/20 | 26,437,500 | |||||||||||
|
Maturity Value: $26,441,047 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
| 29,212,500 | 1.610 | 03/02/20 | 29,212,500 | |||||||||||
|
Maturity Value: $29,216,419 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
| 31,875,000 | 1.610 | 03/02/20 | 31,875,000 | |||||||||||
|
Maturity Value: $31,879,277 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Principal-Only Stripped
|
|
||||||||||||
| 32,000,000 | 1.610 | 03/02/20 | 32,000,000 | |||||||||||
|
Maturity Value: $32,004,293 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 3.125%, due 05/15/48.
|
|
||||||||||||
| 33,468,750 | 1.610 | 03/02/20 | 33,468,750 | |||||||||||
|
Maturity Value: $33,473,240 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
| 36,562,500 | 1.610 | 03/02/20 | 36,562,500 | |||||||||||
|
Maturity Value: $36,567,405 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
| 53,325,000 | 1.610 | 03/02/20 | 53,325,000 | |||||||||||
|
Maturity Value: $53,332,154 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 2.750%, due 08/15/47.
|
|
||||||||||||
| 56,156,250 | 1.610 | 03/02/20 | 56,156,250 | |||||||||||
|
Maturity Value: $56,163,784 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
|
|
|
|||||||||||||
| Repurchase Agreements(c) – (continued) | ||||||||||||||
|
Prudential Insurance Company of America (The) – (continued) |
||||||||||||||
| 59,375,000 | 1.610 | 03/02/20 | 59,375,000 | |||||||||||
|
Maturity Value: $59,382,966 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 0.000%, due 08/15/47.
|
|
||||||||||||
| 99,000,000 | 1.610 | 03/02/20 | 99,000,000 | |||||||||||
|
Maturity Value: $99,013,283 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Interest-Only Stripped Security,
|
|
||||||||||||
| 144,480,000 | 1.610 | 03/02/20 | 144,480,000 | |||||||||||
|
Maturity Value: $144,499,384 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 2.500%, due 02/15/45.
|
|
||||||||||||
| 179,625,000 | 1.610 | 03/02/20 | 179,625,000 | |||||||||||
|
Maturity Value: $179,649,100 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Bond, 2.875%, due 08/15/45.
|
|
||||||||||||
| 179,750,000 | 1.610 | 03/02/20 | 179,750,000 | |||||||||||
|
Maturity Value: $179,774,116 |
||||||||||||||
|
|
Collateralized by a U.S. Treasury Note, 0.000%, due 08/15/27.
|
|
||||||||||||
|
|
|
|||||||||||||
|
Royal Bank of Canada |
||||||||||||||
| 5,000,000,000 | 1.610 | 03/02/20 | 5,000,000,000 | |||||||||||
|
Maturity Value: $5,000,670,833 |
||||||||||||||
|
|
Collateralized by Federal Farm Credit Bank, 2.930% to 3.080%,
|
|
||||||||||||
| 1,000,000,000 | 1.610 | (d) | 03/07/20 | 1,000,000,000 | ||||||||||
|
Maturity Value: $1,001,162,777 |
||||||||||||||
|
Settlement Date: 02/13/20 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 2.500% to
|
|
||||||||||||
|
|
|
|||||||||||||
|
Sumitomo Mitsui Banking Corp. |
||||||||||||||
| 2,200,000,000 | 1.610 | 03/02/20 | 2,200,000,000 | |||||||||||
|
Maturity Value: $2,200,295,167 |
||||||||||||||
|
|
Collateralized by Federal Home Loan Mortgage Corp., 3.500%,
|
|
||||||||||||
|
|
|
|||||||||||||
| The accompanying notes are an integral part of these financial statements. | 17 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Variable or floating 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 February 29, 2020. | |
|
(c) |
Unless noted, all repurchase agreements were entered into on February 29, 2020. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
|
(d) |
The instrument is subject to a demand feature. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
|
||
|
Investment Abbreviations: |
||
|
FEDL01 |
—US Federal Funds Effective Rate |
|
|
LIBOR |
—London Interbank Offered Rates |
|
|
MMY |
—Money Market Yield |
|
|
Prime |
—Federal Reserve Bank Prime Loan Rate US |
|
|
SOFR |
—Secured Overnight Financing Rate |
|
|
T-Bill |
—Treasury Bill |
|
|
|
||
| 18 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 19 |
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 20 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE MONEY MARKET FUND
| The accompanying notes are an integral part of these financial statements. | 21 |
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||||||||
| Variable Rate Obligations(d) – (continued) | ||||||||||||||
|
|
Collateralized Commercial Paper Flex Co., LLC (1 Mo. LIBOR
+
|
|
||||||||||||
| $ | 25,000,000 | 1.855 | % (b) | 07/01/20 | $ | 25,009,701 | ||||||||
|
Commonwealth Bank of Australia (3 Mo. LIBOR + 0.02%) |
||||||||||||||
| 60,000,000 | 1.854 | (b) | 07/10/20 | 60,006,314 | ||||||||||
|
Commonwealth Bank of Australia (3 Mo. LIBOR + 0.12%) |
||||||||||||||
| 38,068,000 | 2.005 | (b) | 12/03/20 | 38,096,543 | ||||||||||
|
Commonwealth Bank of Australia (3 Mo. LIBOR + 0.15%) |
||||||||||||||
| 55,219,000 | 2.085 | (b) | 09/24/20 | 55,264,899 | ||||||||||
|
Commonwealth Bank of Australia (3 Mo. LIBOR + 0.11%) |
||||||||||||||
| 60,000,000 | 2.010 | (b) | 09/17/20 | 60,035,304 | ||||||||||
|
Commonwealth Bank of Australia (1 Mo. LIBOR + 0.17%) |
||||||||||||||
| 37,500,000 | 1.825 | (b) | 04/02/20 | 37,506,943 | ||||||||||
|
Cooeperatieve Rabobank U.A. (3 Mo. LIBOR + 0.11%) |
||||||||||||||
| 85,000,000 | 1.998 | 12/11/20 | 84,999,945 | |||||||||||
|
Cooeperatieve Rabobank U.A.-London Branch |
||||||||||||||
| 35,000,000 | 1.837 | 05/18/20 | 35,010,724 | |||||||||||
|
|
Credit Agricole Corporate and Investment Bank (3 Mo. LIBOR
+
|
|
||||||||||||
| 25,000,000 | 2.138 | 10/09/20 | 25,034,900 | |||||||||||
|
|
Credit Agricole Corporate and Investment Bank (FEDL01 +
|
|
||||||||||||
| 31,850,000 | 1.910 | 06/12/20 | 31,875,770 | |||||||||||
|
|
Credit Agricole Corporate and Investment Bank (FEDL01 +
|
|
||||||||||||
| 29,064,000 | 2.010 | 06/26/20 | 29,099,461 | |||||||||||
|
|
Credit Agricole Corporate and Investment Bank (1 Mo. LIBOR
+
|
|
||||||||||||
| 30,000,000 | 1.773 | 10/27/20 | 30,024,170 | |||||||||||
|
Credit Suisse AG-New York Branch (3 Mo. LIBOR + 0.23%) |
||||||||||||||
| 55,000,000 | 2.118 | 12/30/20 | 55,058,340 | |||||||||||
|
Credit Suisse AG-New York Branch (SOFR + 0.29%) |
||||||||||||||
| 16,000,000 | 1.870 | 08/07/20 | 16,009,752 | |||||||||||
|
Credit Suisse AG-New York Branch (SOFR + 0.38%) |
||||||||||||||
| 40,000,000 | 1.960 | 05/04/20 | 40,020,183 | |||||||||||
|
Credit Suisse AG-New York Branch (SOFR + 0.48%) |
||||||||||||||
| 13,550,000 | 2.060 | 10/02/20 | 13,573,275 | |||||||||||
|
Credit Suisse AG-New York Branch (SOFR + 0.21%) |
||||||||||||||
| 52,000,000 | 1.790 | 11/18/20 | 52,001,502 | |||||||||||
|
Credit Suisse AG-New York Branch (SOFR + 0.28%) |
||||||||||||||
| 75,000,000 | 1.860 | 07/07/20 | 75,037,359 | |||||||||||
|
DNB Bank ASA (1 Mo. LIBOR + 0.20%) |
||||||||||||||
| 85,000,000 | 1.829 | (b) | 07/22/20 | 85,067,621 | ||||||||||
|
DNB Bank ASA (1 Mo. LIBOR + 0.10%) |
||||||||||||||
| 26,400,000 | 1.716 | (b) | 02/24/21 | 26,399,016 | ||||||||||
|
HSBC Bank USA, N.A. (3 Mo. LIBOR + 0.06%) |
||||||||||||||
| 74,000,000 | 1.966 | 03/03/20 | 74,000,000 | |||||||||||
|
HSBC Bank USA, N.A. (3 Mo. LIBOR + 0.20%) |
||||||||||||||
| 8,084,000 | 1.937 | 11/06/20 | 8,092,218 | |||||||||||
|
ING (U.S.) Funding LLC (1 Mo. LIBOR + 0.17%) |
||||||||||||||
| 103,000,000 | 1.841 | (b) | 08/10/20 | 103,056,363 | ||||||||||
|
Macquarie Bank Ltd. (3 Mo. LIBOR + 0.12%) |
||||||||||||||
| 35,000,000 | 1.862 | (b) | 05/07/20 | 35,009,356 | ||||||||||
|
Macquarie Bank Ltd. (1 Mo. LIBOR + 0.25%) |
||||||||||||||
| 10,000,000 | 1.921 | (b) | 07/09/20 | 10,007,050 | ||||||||||
|
Mitsubishi UFJ Trust and Banking Corp. (1 Mo. LIBOR + 0.05%) |
||||||||||||||
| 72,000,000 | 1.700 | 06/17/20 | 72,002,237 | |||||||||||
|
|
|
|||||||||||||
| Variable Rate Obligations(d) – (continued) | ||||||||||||||
|
Mitsubishi UFJ Trust and Banking Corp. (1 Mo. LIBOR + 0.23%) |
||||||||||||||
| 55,000,000 | 1.895 | 03/11/20 | 55,005,787 | |||||||||||
|
Mitsubishi UFJ Trust and Banking Corp. (1 Mo. LIBOR + 0.08%) |
||||||||||||||
| 35,000,000 | 1.750 | 06/09/20 | 35,003,289 | |||||||||||
|
Mizuho Bank, Ltd.-New York Branch (1 Mo. LIBOR + 0.08%) |
||||||||||||||
| 34,000,000 | 1.745 | 09/11/20 | 34,007,994 | |||||||||||
|
Mizuho Bank, Ltd.-New York Branch (1 Mo. LIBOR + 0.15%) |
||||||||||||||
| 95,000,000 | 1.800 | 05/14/20 | 95,037,564 | |||||||||||
|
Mizuho Bank, Ltd.-New York Branch (1 Mo. LIBOR + 0.21%) |
||||||||||||||
| 135,000,000 | 1.880 | 08/07/20 | 135,106,343 | |||||||||||
|
MUFG Bank, Ltd.-New York Branch (1 Mo. LIBOR + 0.15%) |
||||||||||||||
| 10,000,000 | 1.803 | 07/13/20 | 10,003,927 | |||||||||||
|
National Australia Bank Ltd. (1 Mo. LIBOR + 0.17%) |
||||||||||||||
| 32,500,000 | 1.825 | (b) | 04/01/20 | 32,505,102 | ||||||||||
|
National Australia Bank Ltd. (3 Mo. LIBOR + 0.13%) |
||||||||||||||
| 40,000,000 | 1.871 | (b) | 11/05/20 | 40,034,803 | ||||||||||
|
National Australia Bank Ltd. (3 Mo. LIBOR + 0.12%) |
||||||||||||||
| 29,737,000 | 2.012 | (b) | 12/03/20 | 29,759,296 | ||||||||||
|
National Australia Bank Ltd. (3 Mo. LIBOR + 0.09%) |
||||||||||||||
| 100,000,000 | 1.977 | (b) | 09/11/20 | 100,051,874 | ||||||||||
|
National Bank of Canada (3 Mo. LIBOR + 0.07%) |
||||||||||||||
| 50,000,000 | 1.833 | (b) | 05/01/20 | 50,008,030 | ||||||||||
|
National Bank of Canada (FEDL01 + 0.36%) |
||||||||||||||
| 94,716,000 | 1.940 | (b) | 08/19/20 | 94,833,811 | ||||||||||
|
Natixis-New York Branch (1 Mo. LIBOR + 0.29%) |
||||||||||||||
| 39,000,000 | 1.958 | 06/05/20 | 39,034,042 | |||||||||||
|
Natixis-New York Branch (FEDL01 + 0.40%) |
||||||||||||||
| 65,000,000 | 1.980 | 08/06/20 | 65,085,574 | |||||||||||
|
Natixis-New York Branch (SOFR + 0.34%) |
||||||||||||||
| 30,000,000 | 1.920 | 03/12/20 | 30,002,909 | |||||||||||
|
Natixis-New York Branch (FEDL01 + 0.32%) |
||||||||||||||
| 64,000,000 | 1.900 | 04/09/20 | 64,019,402 | |||||||||||
|
Natixis-New York Branch (3 Mo. LIBOR + 0.20%) |
||||||||||||||
| 90,000,000 | 1.907 | 11/13/20 | 90,112,046 | |||||||||||
|
Natixis-New York Branch (SOFR + 0.25%) |
||||||||||||||
| 48,900,000 | 1.830 | 02/12/21 | 48,890,468 | |||||||||||
|
Nordea Bank ABP (1 Mo. LIBOR + 0.18%) |
||||||||||||||
| 50,000,000 | 1.835 | 07/02/20 | 50,023,822 | |||||||||||
|
Nordea Bank ABP-New York Branch (3 Mo. LIBOR + 0.16%) |
||||||||||||||
| 75,000,000 | 1.966 | 10/23/20 | 75,066,787 | |||||||||||
|
Nordea Bank ABP-New York Branch (3 Mo. LIBOR + 0.11%) |
||||||||||||||
| 35,000,000 | 2.002 | 12/07/20 | 35,018,475 | |||||||||||
|
Old Line Funding Corp. (1 Mo. LIBOR + 0.20%) |
||||||||||||||
| 43,000,000 | 1.870 | (b) | 07/07/20 | 43,026,574 | ||||||||||
|
Oversea-Chinese Banking Corp., Ltd. (3 Mo. LIBOR + 0.08%) |
||||||||||||||
| 7,000,000 | 1.989 | (b) | 04/02/20 | 7,000,693 | ||||||||||
|
Oversea-Chinese Banking Corp., Ltd. (3 Mo. LIBOR + 0.10%) |
||||||||||||||
| 75,000,000 | 2.006 | (b) | 09/03/20 | 75,002,391 | ||||||||||
|
Oversea-Chinese Banking Corp., Ltd. (3 Mo. LIBOR + 0.12%) |
||||||||||||||
| 35,708,000 | 1.862 | (b) | 08/07/20 | 35,726,306 | ||||||||||
|
Ridgefield Funding Company, LLC (1 Mo. LIBOR + 0.25%) |
||||||||||||||
| 100,000,000 | 1.918 | (b) | 06/05/20 | 100,062,113 | ||||||||||
|
Royal Bank of Canada (1 Mo. LIBOR + 0.18%) |
||||||||||||||
| 40,000,000 | 1.835 | (b) | 04/02/20 | 40,007,783 | ||||||||||
|
Royal Bank of Canada (FEDL01 + 0.28%) |
||||||||||||||
| 40,000,000 | 1.860 | 04/09/20 | 40,010,488 | |||||||||||
| 45,000,000 | 1.860 | 06/12/20 | 45,029,536 | |||||||||||
|
|
|
|||||||||||||
| 22 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE MONEY MARKET FUND
| The accompanying notes are an integral part of these financial statements. | 23 |
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 24 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE MONEY MARKET FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Exempt from registration under Rule 144A of the Securities Act of 1933. | |
|
(c) |
Rate shown is that which is in effect on February 29, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
|
(d) |
Variable or floating 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 February 29, 2020. | |
|
(e) |
Unless noted, all repurchase agreements were entered into on February 29, 2020. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
|
(f) |
The instrument is subject to a demand feature. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
|
||
|
Investment Abbreviations: |
||
|
FEDL01 |
—US Federal Funds Effective Rate |
|
|
GO |
—General Obligation |
|
|
GTY AGMT |
—Guaranty Agreement |
|
|
LIBOR |
—London Interbank Offered Rates |
|
|
LIQ |
—Liquidity Agreement |
|
|
LOC |
—Letter of Credit |
|
|
OBFR |
—Overnight Bank Funding Rate |
|
|
RB |
—Revenue Bond |
|
|
RMKT |
—Remarketed |
|
|
SOFR |
—Secured Overnight Financing Rate |
|
|
SPA |
—Stand-by Purchase Agreement |
|
|
VRDN |
—Variable Rate Demand Notes |
|
|
WI |
—When Issued Security |
|
|
|
||
| The accompanying notes are an integral part of these financial statements. | 25 |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 26 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
| The accompanying notes are an integral part of these financial statements. | 27 |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 28 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
| The accompanying notes are an integral part of these financial statements. | 29 |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 30 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Exempt from registration under Rule 144A of the Securities Act of 1933. | |
|
(c) |
Rate shown is that which is in effect on February 29, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
|
(d) |
Variable or floating 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 February 29, 2020. | |
|
(e) |
Unless noted, all repurchase agreements were entered into on February 29, 2020. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
| The accompanying notes are an integral part of these financial statements. | 31 |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
|
||
|
Investment Abbreviations: |
||
|
FEDL01 |
—US Federal Funds Effective Rate |
|
|
GO |
—General Obligation |
|
|
LIBOR |
—London Interbank Offered Rates |
|
|
LIQ |
—Liquidity Agreement |
|
|
LOC |
—Letter of Credit |
|
|
OBFR |
—Overnight Bank Funding Rate |
|
|
RB |
—Revenue Bond |
|
|
RMKT |
—Remarketed |
|
|
SBPA |
—Standby Bond Purchase Agreement |
|
|
SOFR |
—Secured Overnight Financing Rate |
|
|
SPA |
—Stand-by Purchase Agreement |
|
|
T-Bill |
—Treasury Bill |
|
|
VRDN |
—Variable Rate Demand Notes |
|
|
WI |
—When Issued Security |
|
|
|
||
| 32 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY INSTRUMENTS FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 33 |
FINANCIAL SQUARE TREASURY INSTRUMENTS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized
Cost |
|||||||||||
| U.S. Treasury Obligations – (continued) | ||||||||||||||
| $ | 369,800,000 | 2.500 | %(a) | 02/28/21 | $ | 373,825,125 | ||||||||
| 122,400,000 | 2.375 | 03/15/21 | 123,659,116 | |||||||||||
|
|
|
|||||||||||||
| TOTAL INVESTMENTS – 109.1% | $ | 66,218,805,709 | ||||||||||||
|
|
|
|||||||||||||
|
|
LIABILITIES IN EXCESS OF
OTHER ASSETS – (9.1)% |
|
(5,542,363,527 | ) | ||||||||||
|
|
|
|||||||||||||
| NET ASSETS – 100.0% | $ | 60,676,442,182 | ||||||||||||
|
|
|
|||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Variable or floating 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 February 29, 2020. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
|
||
|
Investment Abbreviations: |
||
|
MMY |
—Money Market Yield |
|
|
T-Bill |
—Treasury Bill |
|
|
|
||
| 34 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 35 |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 36 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
| The accompanying notes are an integral part of these financial statements. | 37 |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Variable or floating 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 February 29, 2020. | |
|
(c) |
Unless noted, all repurchase agreements were entered into on February 29, 2020. Additional information on Joint Repurchase Agreement Account I appears in the Additional Investment Information section. | |
|
(d) |
The instrument is subject to a demand feature. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
|
||
|
Investment Abbreviations: |
||
|
MMY |
—Money Market Yield |
|
|
T-Bill |
—Treasury Bill |
|
|
|
||
| 38 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY SOLUTIONS FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 39 |
FINANCIAL SQUARE TREASURY SOLUTIONS FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Variable or floating 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 February 29, 2020. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
|
||
|
Investment Abbreviations: |
||
|
MMY |
—Money Market Yield |
|
|
T-Bill |
—Treasury Bill |
|
|
|
||
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Schedule of Investments
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT I — At February 29, 2020, certain Funds had undivided interests in the Joint Repurchase Agreement Account I with a maturity date of March 2, 2020, as follows:
| Fund |
Principal
Amount |
Maturity
Value |
Collateral Value
Allocation |
|||||||||
|
Government |
$ | 1,600,000,000 | $1,600,212,000 | $ | 1,631,355,532 | |||||||
|
Treasury Obligations |
1,100,000,000 | 1,100,145,750 | 1,121,556,929 | |||||||||
REPURCHASE AGREEMENTS — At February 29, 2020, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account I were as follows:
| Counterparty |
Interest
Rate |
Government |
Treasury
Obligations |
|||||||||
|
Bank of Nova Scotia (The) |
1.590 | % | $ | 711,111,111 | $ | 488,888,889 | ||||||
|
Wells Fargo Securities, LLC |
1.590 | 888,888,889 | 611,111,111 | |||||||||
| TOTAL | $ | 1,600,000,000 | $ | 1,100,000,000 | ||||||||
At February 29, 2020, the Joint Repurchase Agreement Account I was fully collateralized by $62,490,245 and the following:
| Issuer | Interest Rates | Maturity Dates | ||||||
|
U.S. Treasury Bills |
0.000 | % | 03/26/20 to 08/13/20 | |||||
|
U.S. Treasury Bonds |
2.250 to 7.875 | 02/15/21 to 08/15/48 | ||||||
|
U.S. Treasury Inflation-Indexed Notes |
0.125 to 0.750 | 04/15/22 to 07/15/28 | ||||||
|
U.S. Treasury Notes |
1.125 to 3.000 | 02/29/20 to 02/15/30 | ||||||
JOINT REPURCHASE AGREEMENT ACCOUNT III — At February 29, 2020, certain Funds had undivided interests in the Joint Repurchase Agreement Account I with a maturity date of March 2, 2020, as follows:
| Fund |
Principal
Amount |
Maturity
Value |
Collateral Value
Allocation |
|||||||||
|
Government |
$6,238,400,000 | $6,239,235,405 | $6,425,812,279 | |||||||||
|
Money Market |
300,000,000 | 300,040,174 | 309,012,517 | |||||||||
|
Prime Obligations |
250,000,000 | 250,033,478 | 257,510,431 | |||||||||
REPURCHASE AGREEMENTS — At February 29, 2020, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account III were as follows:
| Counterparty |
Interest
Rate |
Government |
Money
Market |
Prime
Obligations |
||||||||||||
|
ABN Amro Bank N.V. |
1.610 | % | $ | 552,769,620 | $ | 26,582,278 | $ | 22,151,899 | ||||||||
|
Bank of America, N.A. |
1.610 | 394,835,443 | 18,987,342 | 15,822,785 | ||||||||||||
|
BofA Securities, Inc. |
1.610 | 1,342,440,506 | 64,556,962 | 53,797,468 | ||||||||||||
|
Bank of Nova Scotia (The) |
1.600 | 1,895,210,127 | 91,139,241 | 75,949,367 | ||||||||||||
|
Wells Fargo Securities, LLC |
1.610 | 2,053,144,304 | 98,734,177 | 82,278,481 | ||||||||||||
| TOTAL | $ | 6,238,400,000 | $ | 300,000,000 | $ | 250,000,000 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) |
At February 29, 2020, the Joint Repurchase Agreement Account III was fully collateralized by:
| Issuer | Interest Rates | Maturity Dates | ||||||
|
Federal Home Loan Mortgage Corp. |
2.000 to 9.500 | % | 08/01/20 to 03/01/50 | |||||
|
Federal National Mortgage Association |
2.500 to 6.500 | 11/01/26 to 05/01/58 | ||||||
|
Government National Mortgage Association |
3.000 to 4.000 | 10/15/40 to 10/20/49 | ||||||
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Assets and Liabilities
February 29, 2020 (Unaudited)
|
Federal
Instruments Fund |
Government Fund |
Money Market Fund |
Prime
Obligations Fund |
|||||||||||||||
| Assets: | ||||||||||||||||||
|
Investments , at value (cost $1,900,366,777, $48,028,533,062, $14,464,499,493 and $6,336,740,247) |
$ | 1,900,366,777 | $ | 48,028,533,062 | $ | 14,470,377,385 | $ | 6,339,054,459 | ||||||||||
|
Repurchase agreements , at value (cost $0, $71,472,342,250, $2,549,500,000 and $1,288,000,000) |
— | 71,472,342,250 | 2,549,503,780 | 1,288,001,382 | ||||||||||||||
|
Cash |
118,193 | 885,343,610 | 61,684 | 31,618 | ||||||||||||||
|
Receivables: |
||||||||||||||||||
|
Investments sold |
10,379,728 | 12,276,852 | 1,004,333,986 | 205,421,881 | ||||||||||||||
|
Interest |
1,195,294 | 105,147,672 | 20,797,134 | 7,883,897 | ||||||||||||||
|
Reimbursement from investment advisor |
4,621 | — | — | — | ||||||||||||||
|
Fund shares sold |
2,884 | 39,684,743 | — | 6,968,126 | ||||||||||||||
|
Other assets |
112,814 | 833,669 | 232,743 | 140,863 | ||||||||||||||
| Total assets | 1,912,180,311 | 120,544,161,858 | 18,045,306,712 | 7,847,502,226 | ||||||||||||||
| Liabilities: | ||||||||||||||||||
|
Payables: |
||||||||||||||||||
|
Investments purchased |
17,427,493 | 383,609,420 | 416,968,931 | 195,421,976 | ||||||||||||||
|
Dividend distribution |
458,737 | 67,839,599 | 10,619,083 | 3,704,247 | ||||||||||||||
|
Management fees |
181,331 | 15,540,050 | 1,917,362 | 794,452 | ||||||||||||||
|
Fund shares redeemed |
38,008 | 35,075,710 | — | 27,536,116 | ||||||||||||||
|
Distribution and Service fees and Transfer Agency fees |
17,360 | 1,093,342 | 147,477 | 61,107 | ||||||||||||||
|
Accrued expenses |
155,577 | 3,633,810 | 350,080 | 150,721 | ||||||||||||||
| Total liabilities | 18,278,506 | 506,791,931 | 430,002,933 | 227,668,619 | ||||||||||||||
| Net Assets: | ||||||||||||||||||
|
Paid-in capital |
1,893,815,338 | 120,034,317,486 | 17,609,075,629 | 7,617,362,435 | ||||||||||||||
|
Total distributable earnings (loss) |
86,467 | 3,052,441 | 6,228,150 | 2,471,172 | ||||||||||||||
| NET ASSETS | $ | 1,893,901,805 | $ | 120,037,369,927 | $ | 17,615,303,779 | $ | 7,619,833,607 | ||||||||||
|
Net Assets: |
||||||||||||||||||
|
Institutional Shares |
$1,818,376,418 | $108,936,388,043 | $17,577,272,747 | $7,435,335,751 | ||||||||||||||
|
Select Shares |
49,351 | 392,031,709 | 16,482,160 | 57,390,857 | ||||||||||||||
|
Preferred Shares |
5,623,609 | 1,062,157,095 | 2,803,054 | 4,468,941 | ||||||||||||||
|
Capital Shares |
1,133,794 | 1,224,431,411 | 14,328,739 | 7,725,634 | ||||||||||||||
|
Administration Shares |
48,921,159 | 5,585,897,809 | 4,406,003 | 37,877,889 | ||||||||||||||
|
Premier Shares |
51,855 | 199,360,369 | 1,048 | 1,048 | ||||||||||||||
|
Service Shares |
10,940,164 | 820,813,125 | 7,955 | 29,200 | ||||||||||||||
|
Class A Shares |
— | 359,281,613 | — | — | ||||||||||||||
|
Class C Shares |
— | 4,957,481 | — | — | ||||||||||||||
|
Resource Shares |
— | 74,348,818 | 1,039 | 1,037 | ||||||||||||||
|
Cash Management Shares |
8,805,455 | 137,693,133 | 1,034 | 1,034 | ||||||||||||||
|
Class R6 Shares |
— | 77,741,090 | — | — | ||||||||||||||
|
Drexel Hamilton Shares |
— | 1,162,268,231 | — | 77,002,216 | ||||||||||||||
|
Total Net Assets |
$ | 1,893,901,805 | $ | 120,037,369,927 | $ | 17,615,303,779 | $ | 7,619,833,607 | ||||||||||
|
Shares outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||||||||||
|
Institutional Shares |
1,818,298,128 | 108,933,612,987 | 17,566,283,700 | 7,430,333,155 | ||||||||||||||
|
Select Shares |
49,349 | 392,021,724 | 16,473,130 | 57,358,728 | ||||||||||||||
|
Preferred Shares |
5,623,367 | 1,062,130,032 | 2,801,353 | 4,466,738 | ||||||||||||||
|
Capital Shares |
1,133,746 | 1,224,400,217 | 14,319,689 | 7,720,810 | ||||||||||||||
|
Administration Shares |
48,919,050 | 5,585,755,497 | 4,403,620 | 37,852,846 | ||||||||||||||
|
Premier Shares |
51,853 | 199,355,288 | 1,047 | 1,047 | ||||||||||||||
|
Service Shares |
10,939,692 | 820,792,211 | 7,953 | 29,184 | ||||||||||||||
|
Class A Shares |
— | 359,272,445 | — | — | ||||||||||||||
|
Class C Shares |
— | 4,957,355 | — | — | ||||||||||||||
|
Resource Shares |
— | 74,346,929 | 1,038 | 1,037 | ||||||||||||||
|
Cash Management Shares |
8,805,075 | 137,689,625 | 1,033 | 1,033 | ||||||||||||||
|
Class R6 Shares |
— | 77,739,109 | — | — | ||||||||||||||
|
Drexel Hamilton Shares |
— | 1,162,238,605 | — | 76,951,779 | ||||||||||||||
|
Net asset value, offering and redemption price per share: |
||||||||||||||||||
|
Institutional Shares |
$1.00 | $1.00 | $1.0009 | $1.0007 | ||||||||||||||
|
Select Shares |
1.00 | 1.00 | 1.0012 | 1.0007 | ||||||||||||||
|
Preferred Shares |
1.00 | 1.00 | 1.0013 | 1.0006 | ||||||||||||||
|
Capital Shares |
1.00 | 1.00 | 1.0012 | 1.0005 | ||||||||||||||
|
Administration Shares |
1.00 | 1.00 | 1.0012 | 1.0006 | ||||||||||||||
|
Premier Shares |
1.00 | 1.00 | 1.0012 | 1.0006 | ||||||||||||||
|
Service Shares |
1.00 | 1.00 | 1.0010 | 1.0006 | ||||||||||||||
|
Class A Shares |
— | 1.00 | — | — | ||||||||||||||
|
Class C Shares |
— | 1.00 | — | — | ||||||||||||||
|
Resource Shares |
— | 1.00 | 1.0009 | 1.0006 | ||||||||||||||
|
Cash Management Shares |
1.00 | 1.00 | 1.0009 | 1.0006 | ||||||||||||||
|
Class R6 Shares |
— | 1.00 | — | — | ||||||||||||||
|
Drexel Hamilton Shares |
— | 1.00 | — | 1.0007 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Assets and Liabilities (continued)
February 29, 2020 (Unaudited)
|
Treasury Instruments Fund |
Treasury Obligations Fund |
Treasury Solutions Fund |
||||||||||||
| Assets: | ||||||||||||||
|
Investments , at value (cost $66,218,805,709, $6,115,791,182 and $8,861,251,531) |
$ | 66,218,805,709 | $ | 6,115,791,182 | $ | 8,861,251,531 | ||||||||
|
Repurchase agreements , at value (cost $0, $10,061,100,000 and $2,100,000,000) |
— | 10,061,100,000 | 2,100,000,000 | |||||||||||
|
Cash |
99,968 | 427,015,630 | 251,768 | |||||||||||
|
Receivables: |
||||||||||||||
|
Investments sold |
1,094,073,254 | 2,095,958 | 482,279,713 | |||||||||||
|
Interest |
33,632,955 | 14,126,169 | 5,096,930 | |||||||||||
|
Fund shares sold |
11,897,525 | 8,885,778 | 2,757,576 | |||||||||||
|
Other assets |
334,756 | 201,043 | 124,538 | |||||||||||
| Total assets | 67,358,844,167 | 16,629,215,760 | 11,451,762,056 | |||||||||||
| Liabilities: | ||||||||||||||
|
Payables: |
||||||||||||||
|
Investments purchased |
6,620,070,973 | 28,128,679 | 2,441,354,839 | |||||||||||
|
Dividend distribution |
29,374,464 | 10,507,532 | 3,782,698 | |||||||||||
|
Fund shares redeemed |
22,398,478 | 5,615,889 | 322,961 | |||||||||||
|
Management fees |
8,546,213 | 2,374,841 | 1,294,762 | |||||||||||
|
Distribution and Service fees and Transfer Agency fees |
477,404 | 137,555 | 136,105 | |||||||||||
|
Accrued expenses |
1,534,453 | 1,136,217 | 411,745 | |||||||||||
| Total liabilities | 6,682,401,985 | 47,900,713 | 2,447,303,110 | |||||||||||
| Net Assets: | ||||||||||||||
|
Paid-in capital |
60,674,081,013 | 16,580,297,992 | 9,003,886,772 | |||||||||||
|
Total distributable earnings (loss) |
2,361,169 | 1,017,055 | 479,724 | |||||||||||
| NET ASSETS | $ | 60,676,442,182 | $ | 16,581,315,047 | $ | 9,004,366,496 | ||||||||
|
Net Assets: |
||||||||||||||
|
Institutional Shares |
$ | 57,314,900,152 | $ | 12,937,411,525 | $ | 7,766,383,768 | ||||||||
|
Select Shares |
212,043,556 | 33,865,938 | 9,907,194 | |||||||||||
|
Preferred Shares |
131,086,764 | 390,612,313 | 58,673,357 | |||||||||||
|
Capital Shares |
1,189,841,468 | 442,974,247 | 188,204,656 | |||||||||||
|
Administration Shares |
1,643,654,206 | 1,718,248,745 | 441,939,656 | |||||||||||
|
Premier Shares |
135,118,803 | 19,767,126 | 153,300,175 | |||||||||||
|
Service Shares |
35,578,457 | 1,012,945,936 | 114,581,741 | |||||||||||
|
Resource Shares |
1,027 | 1,029 | 1,028 | |||||||||||
|
Cash Management Shares |
14,217,749 | 25,488,188 | 271,374,921 | |||||||||||
|
Total Net Assets |
$ | 60,676,442,182 | $ | 16,581,315,047 | $ | 9,004,366,496 | ||||||||
|
Shares outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||||||
|
Institutional Shares |
57,312,672,149 | 12,936,618,066 | 7,765,969,939 | |||||||||||
|
Select Shares |
212,035,319 | 33,863,863 | 9,906,666 | |||||||||||
|
Preferred Shares |
131,081,671 | 390,588,344 | 58,670,231 | |||||||||||
|
Capital Shares |
1,189,795,234 | 442,947,084 | 188,194,630 | |||||||||||
|
Administration Shares |
1,643,590,326 | 1,718,143,304 | 441,916,194 | |||||||||||
|
Premier Shares |
135,113,548 | 19,765,914 | 153,292,001 | |||||||||||
|
Service Shares |
35,577,074 | 1,012,883,765 | 114,575,631 | |||||||||||
|
Resource Shares |
1,027 | 1,029 | 1,027 | |||||||||||
|
Cash Management Shares |
14,217,196 | 25,486,624 | 271,360,451 | |||||||||||
|
Net asset value, offering and redemption price per share: |
||||||||||||||
|
Institutional Shares |
$1.00 | $1.00 | $1.00 | |||||||||||
|
Select Shares |
1.00 | 1.00 | 1.00 | |||||||||||
|
Preferred Shares |
1.00 | 1.00 | 1.00 | |||||||||||
|
Capital Shares |
1.00 | 1.00 | 1.00 | |||||||||||
|
Administration Shares |
1.00 | 1.00 | 1.00 | |||||||||||
|
Premier Shares |
1.00 | 1.00 | 1.00 | |||||||||||
|
Service Shares |
1.00 | 1.00 | 1.00 | |||||||||||
|
Resource Shares |
1.00 | 1.00 | 1.00 | |||||||||||
|
Cash Management Shares |
1.00 | 1.00 | 1.00 | |||||||||||
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Operations
For the Six Months Ended February 29, 2020 (Unaudited)
|
Federal
Instruments Fund |
Government Fund |
Money Market Fund |
Prime
Obligations Fund |
|||||||||||||||
| Investment Income: |
|
|||||||||||||||||
|
Interest income — from unaffiliated issuers |
$ | 14,724,490 | $ | 1,036,310,629 | $ | 181,020,219 | $ | 69,083,068 | ||||||||||
|
Interest income — from affiliated issuers |
— | 124,028 | — | — | ||||||||||||||
| Total investment income | 14,724,490 | 1,036,434,657 | 181,020,219 | 69,083,068 | ||||||||||||||
| Expenses: |
|
|||||||||||||||||
|
Fund-Level Expenses: |
||||||||||||||||||
|
Management fees |
1,511,438 | 92,997,705 | 14,390,373 | 5,515,605 | ||||||||||||||
|
Transfer Agency fees |
83,969 | 5,812,357 | 899,398 | 344,725 | ||||||||||||||
|
Custody, accounting and administrative services |
48,306 | 2,020,772 | 366,076 | 148,204 | ||||||||||||||
|
Professional fees |
40,089 | 31,598 | 32,199 | 32,288 | ||||||||||||||
|
Registration fees |
34,916 | 412,524 | 531,768 | 243,400 | ||||||||||||||
|
Trustee fees |
10,270 | 97,196 | 23,326 | — | ||||||||||||||
|
Shareholder meeting expenses |
4,417 | 405,553 | 7,754 | 8,078 | ||||||||||||||
|
Printing and mailing fees |
— | 379,386 | 19,234 | 19,192 | ||||||||||||||
|
Other |
19,754 | 363,569 | 66,888 | 78,691 | ||||||||||||||
|
Subtotal |
1,753,159 | 102,520,660 | 16,337,016 | 6,390,183 | ||||||||||||||
|
Class Specific Expenses: |
||||||||||||||||||
|
Administration Share fees |
71,943 | 7,428,893 | 5,728 | 60,538 | ||||||||||||||
|
Service Share fees |
25,275 | 2,013,239 | 109 | 2,040 | ||||||||||||||
|
Cash Management Share fees |
10,427 | 360,515 | 2 | 2 | ||||||||||||||
|
Distribution fees — Cash Management Shares |
6,256 | 216,309 | 2 | 2 | ||||||||||||||
|
Preferred Share fees |
2,729 | 561,447 | 2,040 | 1,858 | ||||||||||||||
|
Capital Share fees |
721 | 1,094,949 | 9,309 | 5,323 | ||||||||||||||
|
Premier Share fees |
90 | 351,256 | 2 | 2 | ||||||||||||||
|
Select Share fees |
7 | 67,230 | 4,733 | 10,000 | ||||||||||||||
|
Distribution fees — Resource Shares |
— | 55,092 | — | — | ||||||||||||||
|
Resource Share fees |
— | 183,640 | 3 | 3 | ||||||||||||||
|
Distribution and Service fees — Class A Shares |
— | 402,444 | — | — | ||||||||||||||
|
Distribution fees — Class C Shares |
— | 22,913 | — | — | ||||||||||||||
| Total expenses | 1,870,607 | 115,278,587 | 16,358,944 | 6,469,951 | ||||||||||||||
|
Less — expense reductions |
(384,458 | ) | (706 | ) | (2,757,560 | ) | (1,094,123 | ) | ||||||||||
| Net expenses | 1,486,149 | 115,277,881 | 13,601,384 | 5,375,828 | ||||||||||||||
| NET INVESTMENT INCOME | $ | 13,238,341 | $ | 921,156,776 | $ | 167,418,835 | $ | 63,707,240 | ||||||||||
|
Net realized gain from investment transactions |
503,390 | 26,446,767 | 2,075,744 | 759,277 | ||||||||||||||
|
Net change in unrealized gain from investment transactions |
— | — | 908,094 | 549,545 | ||||||||||||||
| Net realized and unrealized gain | 503,390 | 26,446,767 | 2,983,838 | 1,308,822 | ||||||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 13,741,731 | $ | 947,603,543 | $ | 170,402,673 | $ | 65,016,062 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Operations (continued)
For the Six Months Ended February 29, 2020 (Unaudited)
|
Treasury
Fund |
Treasury
Fund |
Treasury
Fund |
||||||||||||
| Investment Income: |
|
|||||||||||||
|
Interest income — from unaffiliated issuers |
$ | 521,320,613 | $ | 153,412,186 | $ | 81,453,404 | ||||||||
|
Interest income — from affiliated issuers |
— | 34,826 | — | |||||||||||
| Total investment income | 521,320,613 | 153,447,012 | 81,453,404 | |||||||||||
| Expenses: |
|
|||||||||||||
|
Fund-Level Expenses: |
||||||||||||||
|
Management fees |
53,788,473 | 15,750,362 | 8,424,942 | |||||||||||
|
Transfer Agency fees |
2,988,248 | 875,020 | 468,052 | |||||||||||
|
Custody, accounting and administrative services |
976,957 | 307,676 | 161,563 | |||||||||||
|
Shareholder meeting expenses |
450,964 | 12,534 | 14,840 | |||||||||||
|
Printing and mailing fees |
271,847 | 23,873 | 20,310 | |||||||||||
|
Trustee fees |
50,069 | 22,349 | 12,099 | |||||||||||
|
Professional fees |
37,586 | 31,982 | 38,666 | |||||||||||
|
Registration fees |
— | 156,916 | 21,250 | |||||||||||
|
Other |
200,065 | 89,740 | 57,197 | |||||||||||
|
Subtotal |
58,764,208 | 17,270,452 | 9,218,919 | |||||||||||
|
Class Specific Expenses: |
||||||||||||||
|
Administration Share fees |
2,136,762 | 2,496,330 | 425,015 | |||||||||||
|
Capital Share fees |
767,281 | 318,682 | 113,892 | |||||||||||
|
Premier Share fees |
259,782 | 33,286 | 233,619 | |||||||||||
|
Service Share fees |
72,905 | 2,788,905 | 326,929 | |||||||||||
|
Preferred Share fees |
51,623 | 215,811 | 26,379 | |||||||||||
|
Cash Management Share fees |
30,487 | 62,558 | 622,162 | |||||||||||
|
Select Share fees |
26,537 | 8,174 | 1,548 | |||||||||||
|
Distribution fees — Cash Management Shares |
18,293 | 37,535 | 373,297 | |||||||||||
|
Resource Share fees |
3 | 3 | 3 | |||||||||||
| Total expenses | 62,127,881 | 23,231,736 | 11,341,763 | |||||||||||
| Net expenses | 62,127,881 | 23,231,736 | 11,341,763 | |||||||||||
| NET INVESTMENT INCOME | $ | 459,192,732 | $ | 130,215,276 | $ | 70,111,641 | ||||||||
| Net realized gain from investment transactions | 17,033,757 | 5,771,068 | 4,258,818 | |||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 476,226,489 | $ | 135,986,344 | $ | 74,370,459 | ||||||||
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets
| Federal Instruments Fund | Government Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 13,238,341 | $ | 19,992,507 | $ | 921,156,776 | $ | 2,230,447,557 | ||||||||||||||
|
Net realized gain from investment transactions |
503,390 | 287,443 | 26,446,767 | 16,512,656 | ||||||||||||||||||
| Net increase in net assets resulting from operations | 13,741,731 | 20,279,950 | 947,603,543 | 2,246,960,213 | ||||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Institutional Shares |
(13,211,134 | ) | (18,771,613 | ) | (869,182,915 | ) | (2,060,931,674 | ) | ||||||||||||||
|
Select Shares |
(400 | ) | (1,031 | ) | (3,762,531 | ) | (14,157,360 | ) | ||||||||||||||
|
Preferred Shares |
(42,645 | ) | (198,625 | ) | (8,984,079 | ) | (20,494,217 | ) | ||||||||||||||
|
Capital Shares |
(7,118 | ) | (23,515 | ) | (11,026,967 | ) | (29,262,373 | ) | ||||||||||||||
|
Administration Shares |
(409,133 | ) | (1,036,837 | ) | (41,770,451 | ) | (99,448,265 | ) | ||||||||||||||
|
Premier Shares |
(338 | ) | (922 | ) | (1,314,378 | ) | (3,719,283 | ) | ||||||||||||||
|
Service Shares |
(58,575 | ) | (166,265 | ) | (4,670,560 | ) | (10,479,301 | ) | ||||||||||||||
|
Class A Shares |
— | — | (2,249,558 | ) | (2,048,233 | ) | ||||||||||||||||
|
Class C Shares |
— | — | (15,328 | ) | (55,218 | ) | ||||||||||||||||
|
Resource Shares |
— | — | (374,434 | ) | (973,664 | ) | ||||||||||||||||
|
Cash Management Shares |
(15,529 | ) | (768 | ) | (611,650 | ) | (204,841 | ) | ||||||||||||||
|
Class R6 Shares |
— | — | (816,483 | ) | (1,249,033 | ) | ||||||||||||||||
|
Drexel Hamilton Shares* |
— | — | (5,488,974 | ) | — | |||||||||||||||||
| Total distributions to shareholders | (13,744,872 | ) | (20,199,576 | ) | (950,268,308 | ) | (2,243,023,462 | ) | ||||||||||||||
| From share transactions |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
2,357,193,331 | 2,606,772,443 | 522,420,359,676 | 943,916,446,686 | ||||||||||||||||||
|
Reinvestment of distributions |
10,508,026 | 15,043,280 | 466,370,408 | 1,079,167,668 | ||||||||||||||||||
|
Cost of shares redeemed |
(2,006,905,758 | ) | (1,675,554,481 | ) | (513,501,312,119 | ) | (939,203,429,811 | ) | ||||||||||||||
| Net increase in net assets resulting from share transactions | 360,795,599 | 946,261,242 | 9,385,417,965 | 5,792,184,543 | ||||||||||||||||||
| NET INCREASE | 360,792,458 | 946,341,616 | 9,382,753,200 | 5,796,121,294 | ||||||||||||||||||
| Net assets: |
|
|||||||||||||||||||||
|
Beginning of period |
1,533,109,347 | 586,767,731 | 110,654,616,727 | 104,858,495,433 | ||||||||||||||||||
|
End of period |
$ | 1,893,901,805 | $ | 1,533,109,347 | $ | 120,037,369,927 | $ | 110,654,616,727 | ||||||||||||||
| * | Commenced operations on September 9, 2019. |
| The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
| Money Market Fund | Prime Obligations Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 167,418,835 | $ | 333,909,991 | $ | 63,707,240 | $ | 112,999,607 | ||||||||||||||
|
Net realized gain from investment transactions |
2,075,744 | 1,138,835 | 759,277 | 473,503 | ||||||||||||||||||
|
Net change in unrealized gain from investment transactions |
908,094 | 3,681,721 | 549,545 | 1,330,549 | ||||||||||||||||||
| Net increase in net assets resulting from operations | 170,402,673 | 338,730,547 | 65,016,062 | 114,803,659 | ||||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Institutional Shares |
(168,983,223 | ) | (333,758,870 | ) | (63,239,258 | ) | (110,684,532 | ) | ||||||||||||||
|
Select Shares |
(295,269 | ) | (776,671 | ) | (635,492 | ) | (1,798,426 | ) | ||||||||||||||
|
Preferred Shares |
(37,306 | ) | (48,834 | ) | (32,933 | ) | (61,378 | ) | ||||||||||||||
|
Capital Shares |
(107,498 | ) | (125,595 | ) | (61,373 | ) | (118,561 | ) | ||||||||||||||
|
Administration Shares |
(37,501 | ) | (45,826 | ) | (388,224 | ) | (535,405 | ) | ||||||||||||||
|
Premier Shares |
(9 | ) | (22 | ) | (9 | ) | (22 | ) | ||||||||||||||
|
Service Shares |
(293 | ) | (1,391 | ) | (6,946 | ) | (102,511 | ) | ||||||||||||||
|
Resource Shares |
(9 | ) | (22 | ) | (9 | ) | (22 | ) | ||||||||||||||
|
Cash Management Shares |
(7 | ) | (18 | ) | (7 | ) | (18 | ) | ||||||||||||||
|
Drexel Hamilton Shares* |
— | — | (127,419 | ) | — | |||||||||||||||||
| Total distributions to shareholders | (169,461,115 | ) | (334,757,249 | ) | (64,491,670 | ) | (113,300,875 | ) | ||||||||||||||
| From share transactions |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
58,037,537,173 | 85,569,465,008 | 13,854,914,423 | 16,195,180,217 | ||||||||||||||||||
|
Reinvestment of distributions |
92,046,056 | 162,186,050 | 38,162,512 | 68,630,093 | ||||||||||||||||||
|
Cost of shares redeemed |
(58,300,055,145 | ) | (79,561,685,600 | ) | (12,519,780,747 | ) | (13,862,825,962 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (170,471,916 | ) | 6,169,965,458 | 1,373,296,188 | 2,400,984,348 | |||||||||||||||||
| NET INCREASE (DECREASE) | (169,530,358 | ) | 6,173,938,756 | 1,373,820,580 | 2,402,487,132 | |||||||||||||||||
| Net assets: |
|
|||||||||||||||||||||
|
Beginning of period |
17,784,834,137 | 11,610,895,381 | 6,246,013,027 | 3,843,525,895 | ||||||||||||||||||
|
End of period |
$ | 17,615,303,779 | $ | 17,784,834,137 | $ | 7,619,833,607 | $ | 6,246,013,027 | ||||||||||||||
| * | Commenced operations on September 9, 2019. |
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
| Treasury Instruments Fund | Treasury Obligations Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 459,192,732 | $ | 1,135,422,170 | $ | 130,215,276 | $ | 342,100,566 | ||||||||||||||
|
Net realized gain from investment transactions |
17,033,757 | 19,078,477 | 5,771,068 | 3,418,497 | ||||||||||||||||||
| Net increase in net assets resulting from operations | 476,226,489 | 1,154,500,647 | 135,986,344 | 345,519,063 | ||||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Institutional Shares |
(457,293,293 | ) | (1,082,622,274 | ) | (109,047,836 | ) | (274,501,344 | ) | ||||||||||||||
|
Select Shares |
(1,392,013 | ) | (6,174,970 | ) | (435,525 | ) | (1,362,803 | ) | ||||||||||||||
|
Preferred Shares |
(778,455 | ) | (1,261,805 | ) | (3,317,194 | ) | (7,482,570 | ) | ||||||||||||||
|
Capital Shares |
(7,480,746 | ) | (14,187,561 | ) | (3,160,117 | ) | (6,772,558 | ) | ||||||||||||||
|
Administration Shares |
(11,830,212 | ) | (40,483,530 | ) | (13,860,819 | ) | (35,857,421 | ) | ||||||||||||||
|
Premier Shares |
(947,418 | ) | (2,487,259 | ) | (121,455 | ) | (299,438 | ) | ||||||||||||||
|
Service Shares |
(162,211 | ) | (1,707,995 | ) | (6,163,382 | ) | (18,360,886 | ) | ||||||||||||||
|
Resource Shares |
(6 | ) | (16 | ) | (5 | ) | (16 | ) | ||||||||||||||
|
Cash Management Shares |
(50,292 | ) | (89,437 | ) | (103,912 | ) | (16,375 | ) | ||||||||||||||
| Total distributions to shareholders | (479,934,646 | ) | (1,149,014,847 | ) | (136,210,245 | ) | (344,653,411 | ) | ||||||||||||||
| From share transactions |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
106,769,576,978 | 212,108,690,475 | 101,606,381,391 | 200,902,685,375 | ||||||||||||||||||
|
Reinvestment of distributions |
261,847,238 | 641,161,052 | 57,406,253 | 133,108,626 | ||||||||||||||||||
|
Cost of shares redeemed |
(101,049,829,966 | ) | (212,588,469,412 | ) | (101,644,763,572 | ) | (198,899,965,807 | ) | ||||||||||||||
| Net increase in net assets resulting from share transactions | 5,981,594,250 | 161,382,115 | 19,024,072 | 2,135,828,194 | ||||||||||||||||||
| NET INCREASE | 5,977,886,093 | 166,867,915 | 18,800,171 | 2,136,693,846 | ||||||||||||||||||
| Net assets: |
|
|||||||||||||||||||||
|
Beginning of period |
54,698,556,089 | 54,531,688,174 | 16,562,514,876 | 14,425,821,030 | ||||||||||||||||||
|
End of period |
$ | 60,676,442,182 | $ | 54,698,556,089 | $ | 16,581,315,047 | $ | 16,562,514,876 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
| Treasury Solutions Fund | ||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||
| From operations: |
|
|||||||||
|
Net investment income |
$ | 70,111,641 | $ | 181,047,952 | ||||||
|
Net realized gain from investment transactions |
4,258,818 | 3,922,005 | ||||||||
| Net increase in net assets resulting from operations | 74,370,459 | 184,969,957 | ||||||||
| Distributions to shareholders: | ||||||||||
|
From distributable earnings: |
||||||||||
|
Institutional Shares |
(68,145,050 | ) | (166,889,124 | ) | ||||||
|
Select Shares |
(82,646 | ) | (134,813 | ) | ||||||
|
Preferred Shares |
(401,955 | ) | (797,792 | ) | ||||||
|
Capital Shares |
(1,127,060 | ) | (3,373,366 | ) | ||||||
|
Administration Shares |
(2,382,682 | ) | (6,782,509 | ) | ||||||
|
Premier Shares |
(865,365 | ) | (2,503,790 | ) | ||||||
|
Service Shares |
(753,928 | ) | (1,983,011 | ) | ||||||
|
Resource Shares |
(6 | ) | (16 | ) | ||||||
|
Cash Management Shares |
(1,053,985 | ) | (1,690,423 | ) | ||||||
| Total distributions to shareholders | (74,812,677 | ) | (184,154,844 | ) | ||||||
| From share transactions | ||||||||||
|
Proceeds from sales of shares |
23,390,675,234 | 36,822,877,870 | ||||||||
|
Reinvestment of distributions |
47,833,892 | 131,480,668 | ||||||||
|
Cost of shares redeemed |
(23,021,038,230 | ) | (36,813,589,532 | ) | ||||||
| Net increase in net assets resulting from share transactions | 417,470,896 | 140,769,006 | ||||||||
| NET INCREASE | 417,028,678 | 141,584,119 | ||||||||
| Net assets: | ||||||||||
|
Beginning of period |
8,587,337,818 | 8,445,753,699 | ||||||||
|
End of period |
$ | 9,004,366,496 | $ | 8,587,337,818 | ||||||
| 50 | The accompanying notes are an integral part of these financial statements. |
Selected Data for a Share Outstanding Throughout Each Period
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Federal Instruments Fund — Select Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.008 | 0.021 | 0.013 | 0.005 | 0.001 | |||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.008 | 0.021 | 0.013 | 0.005 | 0.001 | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.82 | % | 2.15 | % | 1.31 | % | 0.49 | % | 0.13 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 49 | $ | 49 | $ | 48 | $ | 47 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.19 | %(e) | 0.21 | % | 0.23 | % | 0.23 | % | 0.23 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.23 | %(e) | 0.25 | % | 0.28 | % | 0.31 | % | 0.42 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.57 | %(e) | 2.11 | % | 1.30 | % | 0.48 | % | 0.14 | %(e) | ||||||||||||
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 51 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Federal Instruments Fund — Preferred Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.007 | 0.021 | 0.012 | 0.004 | 0.001 | |||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.007 | 0.021 | 0.012 | 0.004 | 0.001 | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.78 | % | 2.08 | % | 1.24 | % | 0.42 | % | 0.08 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 5,624 | $ | 5,536 | $ | 2,386 | $ | 50 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.26 | %(e) | 0.28 | % | 0.30 | % | 0.30 | % | 0.29 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.30 | %(e) | 0.32 | % | 0.35 | % | 0.38 | % | 0.49 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.50 | %(e) | 2.09 | % | 1.43 | % | 0.41 | % | 0.08 | %(e) | ||||||||||||
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Federal Instruments Fund — Capital Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.008 | 0.019 | 0.012 | 0.003 | — | (b) | ||||||||||||||||
|
Net realized gain |
— | (b) | 0.001 | — | (b) | 0.001 | — | (b) | ||||||||||||||
|
Total from investment operations |
0.008 | 0.020 | 0.012 | 0.004 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.76 | % | 2.03 | % | 1.19 | % | 0.37 | % | 0.05 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,134 | $ | 626 | $ | 5,136 | $ | 16,147 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.31 | %(e) | 0.33 | % | 0.35 | % | 0.35 | % | 0.33 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.35 | %(e) | 0.37 | % | 0.40 | % | 0.43 | % | 0.54 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.42 | %(e) | 1.90 | % | 1.04 | % | 0.31 | % | 0.04 | %(e) | ||||||||||||
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 52 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Federal Instruments Fund — Administration Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.007 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.007 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.71 | % | 1.93 | % | 1.09 | % | 0.27 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 48,921 | $ | 61,267 | $ | 59,447 | $ | 50,768 | $ | 43,835 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.41 | %(e) | 0.43 | % | 0.45 | % | 0.45 | % | 0.39 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.45 | %(e) | 0.47 | % | 0.50 | % | 0.53 | % | 0.64 | %(e) | ||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.36 | %(e) | 1.89 | % | 1.08 | % | 0.26 | % | (0.01 | )%(e) | ||||||||||||
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Federal Instruments Fund — Premier Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.007 | 0.018 | 0.010 | 0.002 | — | (b) | ||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.007 | 0.018 | 0.010 | 0.002 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.66 | % | 1.82 | % | 0.99 | % | 0.19 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 52 | $ | 52 | $ | 51 | $ | 50 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.51 | %(e) | 0.53 | % | 0.55 | % | 0.53 | % | 0.38 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.55 | %(e) | 0.57 | % | 0.60 | % | 0.63 | % | 0.74 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.25 | %(e) | 1.79 | % | 0.99 | % | 0.19 | % | — | %(e)(f) | ||||||||||||
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
| The accompanying notes are an integral part of these financial statements. | 53 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Federal Instruments Fund — Service Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.006 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||
|
Net realized gain |
— | (b) | 0.001 | — | (b) | — | (b) | — | (b) | |||||||||||||
|
Total from investment operations |
0.006 | 0.017 | 0.008 | 0.001 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.017 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.017 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.58 | % | 1.67 | % | 0.84 | % | 0.10 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 10,940 | $ | 11,493 | $ | 11,003 | $ | 15,129 | $ | 14,949 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.66 | %(e) | 0.68 | % | 0.70 | % | 0.62 | % | 0.39 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.70 | %(e) | 0.72 | % | 0.75 | % | 0.78 | % | 0.89 | %(e) | ||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.10 | %(e) | 1.64 | % | 0.83 | % | 0.09 | % | (0.01 | )%(e) | ||||||||||||
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Federal Instruments Fund — Cash Management Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.003 | 0.013 | 0.005 | — | (b) | — | (b) | |||||||||||||||
|
Net realized gain |
0.001 | 0.001 | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.004 | 0.014 | 0.005 | — | (b) | — | (b) | |||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.014 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.014 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.43 | % | 1.37 | % | 0.53 | % | 0.01 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 8,805 | $ | 92 | $ | 50 | $ | 50 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.96 | %(e) | 0.98 | % | 1.00 | % | 0.71 | % | 0.38 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
1.00 | %(e) | 1.02 | % | 1.05 | % | 1.08 | % | 1.19 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
0.68 | %(e) | 1.34 | % | 0.53 | % | 0.01 | % | — | %(e)(f) | ||||||||||||
| * | Commenced operations on October 30, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
| 54 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| Financial Square Government Fund — Select Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.008 | 0.022 | 0.013 | 0.005 | 0.002 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.008 | 0.022 | 0.013 | 0.005 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.022 | ) | (0.013 | ) | (0.005 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.022 | ) | (0.013 | ) | (0.005 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.82 | % | 2.20 | % | 1.35 | % | 0.52 | % | 0.17 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 392,032 | $ | 825,651 | $ | 598,258 | $ | 2,921,971 | $ | 2,471,275 | $ | 203,098 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.21 | %(e) | 0.21 | % | 0.20 | % | 0.21 | % | 0.21 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.21 | %(e) | 0.21 | % | 0.22 | % | 0.26 | % | 0.26 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.63 | %(e) | 2.16 | % | 1.19 | % | 0.52 | % | 0.21 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 55 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Financial Square Government Fund — Preferred Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.008 | 0.021 | 0.013 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.008 | 0.021 | 0.013 | 0.005 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.78 | % | 2.13 | % | 1.28 | % | 0.45 | % | 0.12 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1,062,157 | $ | 1,755,404 | $ | 1,330,598 | $ | 553,781 | $ | 536,818 | $ | 249,542 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.28 | %(e) | 0.28 | % | 0.27 | % | 0.28 | % | 0.27 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.28 | %(e) | 0.28 | % | 0.29 | % | 0.33 | % | 0.33 | % | 0.33 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.55 | %(e) | 2.08 | % | 1.32 | % | 0.43 | % | 0.13 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| Financial Square Government Fund — Capital Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.021 | 0.012 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.007 | 0.021 | 0.012 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.76 | % | 2.08 | % | 1.22 | % | 0.40 | % | 0.08 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1,224,431 | $ | 1,302,391 | $ | 1,287,999 | $ | 893,496 | $ | 1,390,271 | $ | 1,174,099 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.33 | %(e) | 0.33 | % | 0.32 | % | 0.33 | % | 0.30 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.33 | %(e) | 0.33 | % | 0.34 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.46 | %(e) | 2.05 | % | 1.24 | % | 0.37 | % | 0.07 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 56 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Financial Square Government Fund — Administration Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.020 | 0.011 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.007 | 0.020 | 0.011 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.020 | ) | (0.011 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.020 | ) | (0.011 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.71 | % | 1.97 | % | 0.12 | % | 0.30 | % | 0.02 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 5,585,898 | $ | 4,862,853 | $ | 4,454,065 | $ | 4,138,362 | $ | 2,673,689 | $ | 1,920,203 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.43 | %(e) | 0.43 | % | 0.42 | % | 0.43 | % | 0.36 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.43 | %(e) | 0.43 | % | 0.44 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.36 | %(e) | 1.95 | % | 1.13 | % | 0.32 | % | 0.01 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| Financial Square Government Fund — Premier Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.019 | 0.010 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized loss |
— | (b) | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.007 | 0.019 | 0.010 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.019 | ) | (0.010 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.019 | ) | (0.010 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.66 | % | 1.87 | % | 1.02 | % | 0.22 | % | 0.02 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 199,360 | $ | 190,633 | $ | 168,032 | $ | 101,311 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.53 | %(e) | 0.53 | % | 0.52 | % | 0.52 | % | 0.20 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.53 | %(e) | 0.53 | % | 0.54 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.26 | %(e) | 1.85 | % | 0.99 | % | 0.28 | % | 0.40 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 57 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Financial Square Government Fund — Service Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.017 | 0.009 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.006 | 0.017 | 0.009 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.58 | % | 1.72 | % | 0.87 | % | 0.12 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 820,813 | $ | 665,252 | $ | 587,810 | $ | 337,219 | $ | 368,299 | $ | 468,041 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.68 | %(e) | 0.68 | % | 0.67 | % | 0.60 | % | 0.36 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.68 | %(e) | 0.68 | % | 0.69 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.11 | %(e) | 1.69 | % | 0.93 | % | 0.11 | % | (0.01 | )% | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Government Fund — Class A Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.007 | 0.019 | 0.011 | — | (b) | — | (b) | |||||||||||||||
|
Net realized gain |
— | (b) | 0.001 | — | (b) | — | (b) | — | (b) | |||||||||||||
|
Total from investment operations |
0.007 | 0.020 | 0.011 | 0.003 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.020 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.020 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.71 | % | 1.97 | % | 1.12 | % | 0.30 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 359,282 | $ | 244,295 | $ | 69,681 | $ | 55,506 | $ | 1,563 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.43 | %(e) | 0.43 | % | 0.42 | % | 0.43 | % | 0.43 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.43 | %(e) | 0.43 | % | 0.44 | % | 0.48 | % | 0.48 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.35 | %(e) | 1.94 | % | 1.12 | % | 0.34 | % | 0.02 | %(e) | ||||||||||||
| * | Commenced operations on February 29, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 58 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Government Fund — Class C Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.003 | 0.012 | 0.004 | — | (b) | — | (b) | |||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.003 | 0.012 | 0.004 | — | (b) | — | (b) | |||||||||||||||
|
Distributions to shareholders from net investment income |
(0.003 | ) | (0.012 | ) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.003 | ) | (0.012 | ) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.33 | % | 1.21 | % | 0.39 | % | 0.01 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 4,957 | $ | 4,532 | $ | 4,928 | $ | 5,937 | $ | 413 | ||||||||||||
|
Ratio of net expenses to average net assets |
1.18 | %(e) | 1.18 | % | 1.15 | % | 0.70 | % | 0.44 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
1.18 | %(e) | 1.18 | % | 1.19 | % | 1.23 | % | 1.23 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
0.62 | %(e) | 1.19 | % | 0.37 | % | 0.01 | % | 0.01 | %(e) | ||||||||||||
| * | Commenced operations on February 29, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| Financial Square Government Fund — Resource Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.005 | 0.015 | 0.007 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.005 | 0.016 | 0.007 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.005 | ) | (0.016 | ) | (0.007 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.005 | ) | (0.016 | ) | (0.007 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.51 | % | 1.57 | % | 0.72 | % | 0.05 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 74,349 | $ | 70,841 | $ | 70,747 | $ | 74,864 | $ | 17,634 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.83 | %(e) | 0.83 | % | 0.82 | % | 0.69 | % | 0.43 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.83 | %(e) | 0.83 | % | 0.84 | % | 0.88 | % | 0.88 | % | 0.88 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.97 | %(e) | 1.54 | % | 0.70 | % | 0.06 | % | (0.01 | )% | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 59 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Financial Square Government Fund — Cash Management Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.004 | 0.013 | 0.006 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Net realized gain |
— | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.004 | 0.014 | 0.006 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.43 | % | 1.42 | % | 0.57 | % | 0.02 | % | 0.02 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 137,693 | $ | 96,690 | $ | 6,573 | $ | 3,779 | $ | 14 | $ | 4 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.98 | %(e) | 0.98 | % | 0.97 | % | 0.62 | % | 0.35 | % | 0.14 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.98 | %(e) | 0.98 | % | 0.99 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.80 | %(e) | 1.35 | % | 0.64 | % | 0.01 | % | 0.06 | % | 0.22 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Financial Square Government Fund — Class R6 Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.008 | 0.022 | 0.014 | 0.006 | 0.002 | |||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.008 | 0.022 | 0.014 | 0.006 | 0.002 | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.022 | ) | (0.014 | ) | (0.006 | ) | (0.002 | ) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.022 | ) | (0.014 | ) | (0.006 | ) | (0.002 | ) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.83 | % | 2.23 | % | 1.38 | % | 0.55 | % | 0.18 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 77,741 | $ | 96,804 | $ | 49,441 | $ | 12,773 | $ | 4,705 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.18 | %(e) | 0.18 | % | 0.17 | % | 0.18 | % | 0.18 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.18 | %(e) | 0.18 | % | 0.19 | % | 0.23 | % | 0.23 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.62 | %(e) | 2.20 | % | 1.54 | % | 0.56 | % | 0.26 | %(e) | ||||||||||||
| * | Commenced operations on December 29, 2015. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 60 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout the Period
| Financial Square Government Fund — Drexel Hamilton Class Shares |
Period Ended
February 29, 2020* |
|||||
| Per Share Data: | ||||||
|
Net asset value, beginning of period |
$ | 1.00 | ||||
|
Net investment income(a) |
0.008 | |||||
|
Net realized gain |
— | (b) | ||||
|
Total from investment operations |
0.008 | |||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | ||||
|
Distributions to shareholders from net realized gains |
— | (b) | ||||
|
Total distributions(c) |
(0.008 | ) | ||||
|
Net asset value, end of period |
$ | 1.00 | ||||
| Total return(d) | 0.79 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 1,162,268 | ||||
|
Ratio of net expenses to average net assets |
0.18 | %(e) | ||||
|
Ratio of total expenses to average net assets |
0.18 | %(e) | ||||
|
Ratio of net investment income to average net assets |
1.44 | %(e) | ||||
| * | Commenced operations on September 9, 2019. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 61 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0006 | $ | 1.0003 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0093 | 0.0244 | 0.0187 | 0.0071 | 0.003 | 0.001 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0004 | 0.0004 | (0.0019 | ) | 0.0015 | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.0097 | 0.0248 | 0.0168 | 0.0086 | 0.003 | 0.001 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0094 | ) | (0.0245 | ) | (0.0168 | ) | (0.0082 | ) | (0.003 | ) | (0.001 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0094 | ) | (0.0245 | ) | (0.0168 | ) | (0.0083 | ) | (0.003 | ) | (0.001 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0009 | $ | 1.0006 | $ | 1.0003 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.94 | % | 2.52 | % | 1.68 | % | 0.87 | % | 0.32 | % | 0.09 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 17,577,273 | $ | 17,728,767 | $ | 11,570,439 | $ | 2,542,693 | $ | 15,336,774 | $ | 32,746,797 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.15 | %(f) | 0.13 | % | 0.11 | % | 0.18 | % | 0.18 | % | 0.18 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.18 | %(f) | 0.18 | % | 0.20 | % | 0.25 | % | 0.23 | % | 0.23 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.86 | %(f) | 2.44 | % | 1.87 | % | 0.71 | % | 0.32 | % | 0.08 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Select Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0006 | $ | 1.0003 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0092 | 0.0240 | 0.0182 | 0.0040 | 0.003 | 0.001 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0007 | 0.0005 | (0.0017 | ) | 0.0043 | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.0099 | 0.0245 | 0.0165 | 0.0083 | 0.003 | 0.001 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0093 | ) | (0.0242 | ) | (0.0165 | ) | (0.0079 | ) | (0.003 | ) | (0.001 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0093 | ) | (0.0242 | ) | (0.0165 | ) | (0.0080 | ) | (0.003 | ) | (0.001 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0012 | $ | 1.0006 | $ | 1.0003 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.93 | % | 2.49 | % | 1.65 | % | 0.84 | % | 0.29 | % | 0.06 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 16,482 | $ | 34,943 | $ | 34,354 | $ | 9,847 | $ | 1,080,075 | $ | 1,917,216 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.18 | %(f) | 0.16 | % | 0.14 | % | 0.21 | % | 0.21 | % | 0.21 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.21 | %(f) | 0.21 | % | 0.23 | % | 0.28 | % | 0.26 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.85 | %(f) | 2.40 | % | 1.82 | % | 0.40 | % | 0.29 | % | 0.06 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| 62 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Preferred Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0090 | 0.0231 | 0.0172 | 0.0032 | 0.002 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0007 | 0.0008 | (0.0015 | ) | 0.0044 | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.0097 | 0.0239 | 0.0157 | 0.0076 | 0.002 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0089 | ) | (0.0235 | ) | (0.0158 | ) | (0.0072 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0090 | ) | (0.0235 | ) | (0.0158 | ) | (0.0073 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0013 | $ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.89 | % | 2.41 | % | 1.58 | % | 0.77 | % | 0.22 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 2,803 | $ | 4,901 | $ | 2,752 | $ | 1,418 | $ | 59,053 | $ | 116,846 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.25 | %(f) | 0.23 | % | 0.21 | % | 0.28 | % | 0.28 | % | 0.26 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.28 | %(f) | 0.28 | % | 0.30 | % | 0.35 | % | 0.33 | % | 0.33 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.81 | %(f) | 2.31 | % | 1.72 | % | 0.32 | % | 0.20 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Capital Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0085 | 0.0231 | 0.0177 | 0.0020 | 0.002 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain |
0.0009 | 0.0011 | 0.0001 | 0.0051 | — | (b) | — | (b) | ||||||||||||||||||
|
Total from investment operations |
0.0094 | 0.0242 | 0.0178 | 0.0071 | 0.002 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0087 | ) | (0.0240 | ) | (0.0177 | ) | (0.0068 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | — | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(d) |
(0.0088 | ) | (0.0240 | ) | (0.0177 | ) | (0.0068 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0012 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.87 | % | 2.35 | % | 1.54 | % | 0.72 | % | 0.18 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 14,329 | $ | 11,720 | $ | 1 | $ | 1 | $ | 108,671 | $ | 201,440 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.30 | %(f) | 0.28 | % | 0.11 | % | 0.33 | % | 0.33 | % | 0.27 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.33 | %(f) | 0.33 | % | 0.35 | % | 0.40 | % | 0.38 | % | 0.38 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.71 | %(f) | 2.31 | % | 1.77 | % | 0.20 | % | 0.18 | % | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
| The accompanying notes are an integral part of these financial statements. | 63 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Administration Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0005 | $ | 1.0003 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0080 | 0.0214 | 0.0140 | 0.0024 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain |
0.0010 | 0.0008 | 0.0003 | 0.0037 | — | (b) | — | (b) | ||||||||||||||||||
|
Total from investment operations |
0.0090 | 0.0222 | 0.0143 | 0.0061 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0082 | ) | (0.0220 | ) | (0.0143 | ) | (0.0057 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0083 | ) | (0.0220 | ) | (0.0143 | ) | (0.0058 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0012 | $ | 1.0005 | $ | 1.0003 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.83 | % | 2.25 | % | 1.43 | % | 0.61 | % | 0.10 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 4,406 | $ | 4,493 | $ | 3,218 | $ | 5,516 | $ | 316,162 | $ | 430,947 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.40 | %(f) | 0.38 | % | 0.36 | % | 0.43 | % | 0.40 | % | 0.26 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.43 | %(f) | 0.43 | % | 0.45 | % | 0.50 | % | 0.48 | % | 0.48 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.61 | %(f) | 2.14 | % | 1.40 | % | 0.24 | % | 0.09 | % | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Premier Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0077 | 0.0217 | 0.0142 | 0.0068 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0013 | 0.0002 | 0.0001 | (0.0016 | ) | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.0090 | 0.0219 | 0.0143 | 0.0052 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0083 | ) | (0.0217 | ) | (0.0142 | ) | (0.0049 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | — | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(d) |
(0.0084 | ) | (0.0217 | ) | (0.0142 | ) | (0.0049 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0012 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.77 | % | 2.15 | % | 1.35 | % | 0.52 | % | 0.10 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.50 | %(f) | 0.48 | % | 0.47 | % | 0.53 | % | 0.19 | % | 0.18 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.53 | %(f) | 0.53 | % | 0.55 | % | 0.60 | % | 0.58 | % | 0.58 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.67 | %(f) | 2.17 | % | 1.42 | % | 0.69 | % | 0.37 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| 64 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Service Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0002 | $ | 1.0001 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0066 | 0.0199 | 0.0115 | 0.0011 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0012 | (0.0003 | ) | 0.0001 | 0.0027 | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.0078 | 0.0196 | 0.0116 | 0.0038 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0069 | ) | (0.0195 | ) | (0.0118 | ) | (0.0034 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0070 | ) | (0.0195 | ) | (0.0118 | ) | (0.0035 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0010 | $ | 1.0002 | $ | 1.0001 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.69 | % | 1.99 | % | 1.16 | % | 0.38 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 8 | $ | 8 | $ | 128 | $ | 67 | $ | 17,000 | $ | 21,066 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.65 | %(f) | 0.63 | % | 0.61 | % | 0.60 | % | 0.49 | % | 0.26 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.68 | %(f) | 0.68 | % | 0.70 | % | 0.75 | % | 0.73 | % | 0.73 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.33 | %(f) | 1.99 | % | 1.15 | % | 0.11 | % | — | %(g) | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Resource Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0077 | 0.0217 | 0.0142 | 0.0068 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0011 | 0.0002 | 0.0001 | (0.0040 | ) | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.0088 | 0.0219 | 0.0143 | 0.0028 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0084 | ) | (0.0217 | ) | (0.0142 | ) | (0.0025 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | — | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(d) |
(0.0085 | ) | (0.0217 | ) | (0.0142 | ) | (0.0025 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0009 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.63 | % | 1.84 | % | 1.04 | % | 0.28 | % | 0.10 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.50 | %(f) | 0.49 | % | 0.47 | % | 0.53 | % | 0.19 | % | 0.18 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.83 | %(f) | 0.83 | % | 0.85 | % | 0.90 | % | 0.88 | % | 0.88 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.68 | %(f) | 2.17 | % | 1.42 | % | 0.68 | % | 0.37 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 65 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Money Market Fund — Cash Management Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0007 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0058 | 0.0182 | 0.0106 | 0.0001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized and unrealized gain |
0.0010 | 0.0003 | 0.0001 | 0.0017 | — | (b) | — | (b) | ||||||||||||||||||
|
Total from investment operations |
0.0068 | 0.0185 | 0.0107 | 0.0018 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0066 | ) | (0.0182 | ) | (0.0106 | ) | (0.0015 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (c) | — | (c) | — | (c) | — | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(d) |
(0.0066 | ) | (0.0182 | ) | (0.0106 | ) | (0.0015 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0009 | $ | 1.0007 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.54 | % | 1.69 | % | 0.89 | % | 0.18 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 10,742 | $ | 8,041 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.85 | %(f) | 0.85 | % | 0.83 | % | 0.50 | % | 0.51 | % | 0.28 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.98 | %(f) | 0.98 | % | 1.00 | % | 1.05 | % | 1.03 | % | 1.03 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.33 | %(f) | 1.81 | % | 1.06 | % | 0.01 | % | — | %(g) | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
| 66 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Prime Obligations Fund — Select Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0092 | 0.0241 | 0.0181 | 0.0097 | 0.003 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0004 | 0.0002 | (0.0017 | ) | (0.0013 | ) | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.0096 | 0.0243 | 0.0164 | 0.0084 | 0.003 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0092 | ) | (0.0241 | ) | (0.0165 | ) | (0.0080 | ) | (0.003 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | (0.0001 | )(c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0093 | ) | (0.0241 | ) | (0.0165 | ) | (0.0081 | ) | (0.003 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0007 | $ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.94 | % | 2.48 | % | 1.64 | % | 0.84 | % | 0.26 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 57,391 | $ | 98,996 | $ | 60,236 | $ | 18,082 | $ | 9,454 | $ | 88,996 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.18 | %(f) | 0.16 | % | 0.14 | % | 0.21 | % | 0.21 | % | 0.20 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.21 | %(f) | 0.21 | % | 0.24 | % | 0.30 | % | 0.26 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.88 | %(f) | 2.41 | % | 1.81 | % | 0.97 | % | 0.29 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 67 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Prime Obligations Fund — Preferred Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0004 | $ | 1.0001 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0089 | 0.0233 | 0.0142 | 0.0030 | 0.002 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain |
0.0003 | 0.0004 | 0.0014 | 0.0047 | — | (b) | — | (b) | ||||||||||||||||||
|
Total from investment operations |
0.0092 | 0.0237 | 0.0156 | 0.0077 | 0.002 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0089 | ) | (0.0234 | ) | (0.0158 | ) | (0.0073 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | )(c) | — | (c) | — | (c) | (0.0001 | )(c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0090 | ) | (0.0234 | ) | (0.0158 | ) | (0.0074 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0006 | $ | 1.0004 | $ | 1.0001 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.89 | % | 2.41 | % | 1.57 | % | 0.77 | % | 0.20 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 4,469 | $ | 2,839 | $ | 2,624 | $ | 1,003 | $ | 279,445 | $ | 332,798 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.25 | %(f) | 0.23 | % | 0.21 | % | 0.28 | % | 0.28 | % | 0.21 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.28 | %(f) | 0.28 | % | 0.31 | % | 0.37 | % | 0.33 | % | 0.33 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.75 | %(f) | 2.33 | % | 1.42 | % | 0.30 | % | 0.19 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Prime Obligations Fund — Capital Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0086 | 0.0227 | 0.0178 | 0.0024 | 0.002 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
— | (b) | 0.0006 | (0.0026 | ) | 0.0048 | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.0086 | 0.0233 | 0.0152 | 0.0072 | 0.002 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0086 | ) | (0.0229 | ) | (0.0153 | ) | (0.0068 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | )(c) | — | (c) | — | (c) | (0.0001 | )(c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0087 | ) | (0.0229 | ) | (0.0153 | ) | (0.0069 | ) | (0.002 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0005 | $ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.87 | % | 2.35 | % | 1.53 | % | 0.72 | % | 0.16 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 7,726 | $ | 6,755 | $ | 6,829 | $ | 407 | $ | 140,138 | $ | 103,978 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.30 | %(f) | 0.28 | % | 0.26 | % | 0.33 | % | 0.31 | % | 0.21 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.33 | %(f) | 0.33 | % | 0.36 | % | 0.42 | % | 0.38 | % | 0.38 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.71 | %(f) | 2.27 | % | 1.78 | % | 0.24 | % | 0.16 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| 68 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Prime Obligations Fund —
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0081 | 0.0222 | 0.0139 | 0.0015 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain |
0.0001 | 0.0004 | 0.0003 | 0.0047 | — | (b) | — | (b) | ||||||||||||||||||
|
Total from investment operations |
0.0082 | 0.0222 | 0.0142 | 0.0062 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0081 | ) | (0.0219 | ) | (0.0143 | ) | (0.0058 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (c) | — | (c) | — | (c) | (0.0001 | )(c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0081 | ) | (0.0219 | ) | (0.0143 | ) | (0.0059 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0006 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.83 | % | 2.25 | % | 1.43 | % | 0.62 | % | 0.09 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 37,878 | $ | 9,748 | $ | 7,474 | $ | 4,282 | $ | 1,250,848 | $ | 1,893,461 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.40 | %(f) | 0.38 | % | 0.36 | % | 0.43 | % | 0.38 | % | 0.20 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.43 | %(f) | 0.43 | % | 0.46 | % | 0.52 | % | 0.48 | % | 0.48 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.58 | %(f) | 2.22 | % | 1.39 | % | 0.15 | % | 0.09 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Prime Obligations Fund — Premier Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0084 | 0.0216 | 0.0144 | 0.0071 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0001 | 0.0003 | (0.0001 | ) | (0.0018 | ) | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.0085 | 0.0219 | 0.0143 | 0.0053 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0084 | ) | (0.0216 | ) | (0.0144 | ) | (0.0050 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (c) | — | (c) | — | (c) | — | (c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0084 | ) | (0.0216 | ) | (0.0144 | ) | (0.0050 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0006 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.78 | % | 2.15 | % | 1.32 | % | 0.53 | % | 0.09 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.50 | %(f) | 0.49 | % | 0.47 | % | 0.53 | % | 0.18 | % | 0.18 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.53 | %(f) | 0.53 | % | 0.56 | % | 0.62 | % | 0.58 | % | 0.58 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.68 | %(f) | 2.16 | % | 1.44 | % | 0.71 | % | 0.36 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 69 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Prime Obligations Fund — Service Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0070 | 0.0197 | 0.0145 | 0.0003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0003 | (0.0001 | ) | (0.0028 | ) | 0.0035 | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.0073 | 0.0196 | 0.0117 | 0.0038 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0070 | ) | (0.0194 | ) | (0.0118 | ) | (0.0034 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | (0.0001 | )(c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0071 | ) | (0.0194 | ) | (0.0118 | ) | (0.0035 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0006 | $ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.70 | % | 2.00 | % | 1.16 | % | 0.38 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 29 | $ | 5,098 | $ | 102 | $ | 103 | $ | 253,231 | $ | 777,357 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.65 | %(f) | 0.63 | % | 0.61 | % | 0.59 | % | 0.42 | % | 0.20 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.68 | %(f) | 0.68 | % | 0.71 | % | 0.77 | % | 0.73 | % | 0.73 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.69 | %(f) | 1.97 | % | 1.45 | % | 0.03 | % | — | %(g) | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Prime Obligations Fund — Resource Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0085 | 0.0216 | 0.0144 | 0.0002 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0001 | 0.0003 | (0.0001 | ) | 0.0025 | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.0086 | 0.0219 | 0.0143 | 0.0027 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0084 | ) | (0.0216 | ) | (0.0144 | ) | (0.0024 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | — | (c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0085 | ) | (0.0216 | ) | (0.0144 | ) | (0.0024 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0006 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.63 | % | 1.85 | % | 1.01 | % | 0.27 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 71,804 | $ | 72,031 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.50 | %(f) | 0.49 | % | 0.47 | % | 0.52 | % | 0.46 | % | 0.20 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.83 | %(f) | 0.83 | % | 0.86 | % | 0.92 | % | 0.88 | % | 0.88 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.68 | %(f) | 2.16 | % | 1.44 | % | 0.02 | % | 0.01 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| 70 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Prime Obligations Fund — Cash Management Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | $ | 1.000 | ||||||||||||||
|
Net investment income(a) |
0.0065 | 0.0181 | 0.0108 | 0.0051 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.0002 | (0.0003 | ) | (0.0001 | ) | (0.0033 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.0067 | 0.0184 | 0.0107 | 0.0018 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.0065 | ) | (0.0181 | ) | (0.0108 | ) | (0.0015 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | — | (c) | — | (c) | — | (c) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(d) |
(0.0066 | ) | (0.0181 | ) | (0.0108 | ) | (0.0015 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.0006 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | $ | 1.000 | ||||||||||||||
| Total return(e) | 0.55 | % | 1.69 | % | 0.86 | % | 0.18 | % | 0.09 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.85 | %(f) | 0.85 | % | 0.83 | % | 0.73 | % | 0.18 | % | 0.18 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.98 | %(f) | 0.98 | % | 1.01 | % | 1.07 | % | 1.03 | % | 1.03 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.33 | %(f) | 1.80 | % | 1.08 | % | 0.51 | % | 0.37 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Amount is less than $0.00005 per share. |
| (d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (f) | Annualized. |
| Financial Square Prime Obligations Fund — Drexel Hamilton Class Shares |
Period Ended
February 29, 2020* |
|||||
| Per Share Data: | ||||||
|
Net asset value, beginning of period |
$ | 1.0006 | ||||
|
Net investment income(a) |
0.0089 | |||||
|
Net realized and unrealized gain |
0.0001 | (b) | ||||
|
Total from investment operations |
0.0090 | |||||
|
Distributions to shareholders from net investment income |
(0.0088 | ) | ||||
|
Distributions to shareholders from net realized gains |
(0.0001 | ) | ||||
|
Total distributions(b) |
(0.0089 | ) | ||||
|
Net asset value, end of period |
$ | 1.0007 | ||||
| Total return(c) | 0.96 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 77,002 | ||||
|
Ratio of net expenses to average net assets |
0.15 | %(d) | ||||
|
Ratio of total expenses to average net assets |
0.18 | %(d) | ||||
|
Ratio of net investment income to average net assets |
1.63 | %(d) | ||||
| * | Commenced operations on September 9, 2019. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (d) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 71 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
|
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| Financial Square Treasury Instruments Fund — Select Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.008 | 0.021 | 0.015 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | (0.002 | ) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.008 | 0.021 | 0.013 | 0.005 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.80 | % | 2.13 | % | 1.31 | % | 0.45 | % | 0.11 | % | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 212,044 | $ | 141,728 | $ | 370,898 | $ | 47,839 | $ | 21,009 | $ | 80,008 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.23 | %(f) | 0.23 | % | 0.23 | % | 0.23 | % | 0.21 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.23 | %(f) | 0.23 | % | 0.24 | % | 0.26 | % | 0.26 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.51 | %(f) | 2.09 | % | 1.49 | % | 0.43 | % | 0.07 | % | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
| 72 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Instruments Fund — Preferred Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.008 | 0.020 | 0.012 | 0.003 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.008 | 0.020 | 0.012 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.76 | % | 2.06 | % | 1.24 | % | 0.38 | % | 0.06 | % | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 131,087 | $ | 92,406 | $ | 45,007 | $ | 39,754 | $ | 12,735 | $ | 33,032 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.30 | %(f) | 0.30 | % | 0.30 | % | 0.30 | % | 0.26 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.30 | %(f) | 0.30 | % | 0.31 | % | 0.33 | % | 0.33 | % | 0.33 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.44 | %(f) | 2.02 | % | 1.24 | % | 0.34 | % | 0.05 | % | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
|
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| Financial Square Treasury Instruments Fund — Capital Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.020 | 0.011 | 0.004 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | 0.001 | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.007 | 0.020 | 0.012 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.74 | % | 2.01 | % | 1.19 | % | 0.33 | % | 0.03 | % | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1,189,841 | $ | 766,401 | $ | 374,831 | $ | 1,054,817 | $ | 495,853 | $ | 353,326 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.35 | %(f) | 0.35 | % | 0.35 | % | 0.35 | % | 0.30 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.35 | %(f) | 0.35 | % | 0.36 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.39 | %(f) | 1.98 | % | 1.08 | % | 0.38 | % | 0.02 | % | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
| The accompanying notes are an integral part of these financial statements. | 73 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Instruments Fund —
Administration Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.019 | 0.011 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.007 | 0.019 | 0.011 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.69 | % | 1.91 | % | 1.09 | % | 0.24 | % | — | %(e) | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1,643,654 | $ | 1,716,942 | $ | 2,361,026 | $ | 2,817,291 | $ | 2,186,426 | $ | 2,101,757 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.45 | %(f) | 0.45 | % | 0.45 | % | 0.44 | % | 0.32 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.45 | %(f) | 0.45 | % | 0.46 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.31 | %(f) | 1.86 | % | 1.07 | % | 0.26 | % | (0.01 | )% | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Instruments Fund — Premier Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.018 | 0.011 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.006 | 0.018 | 0.010 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.64 | % | 1.80 | % | 0.99 | % | 0.17 | % | — | %(e) | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 135,119 | $ | 151,939 | $ | 152,344 | $ | 56,059 | $ | 19,142 | $ | 54 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.55 | %(f) | 0.55 | % | 0.55 | % | 0.50 | % | 0.38 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.55 | %(f) | 0.55 | % | 0.56 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.21 | %(f) | 1.76 | % | 1.12 | % | 0.20 | % | (0.02 | )% | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
| 74 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Instruments Fund — Service Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.016 | 0.008 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.006 | 0.016 | 0.008 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.56 | % | 1.65 | % | 0.84 | % | 0.10 | % | — | %(e) | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 35,578 | $ | 26,723 | $ | 22,063 | $ | 47,234 | $ | 91,598 | $ | 197,083 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.70 | %(f) | 0.70 | % | 0.70 | % | 0.55 | % | 0.29 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.70 | %(f) | 0.70 | % | 0.71 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.04 | %(f) | 1.60 | % | 0.79 | % | 0.05 | % | (0.01 | )% | — | %(g) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
|
Financial Square Treasury Instruments Fund — Resource Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.016 | 0.009 | 0.004 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | — | (b) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.006 | 0.016 | 0.009 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.016 | ) | (0.009 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.016 | ) | (0.009 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.49 | % | 1.50 | % | 0.69 | % | 0.04 | % | — | %(e) | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.56 | %(f) | 0.56 | % | 0.55 | % | 0.26 | % | 0.19 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.85 | %(f) | 0.85 | % | 0.86 | % | 0.88 | % | 0.88 | % | 0.89 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.11 | %(f) | 1.61 | % | 0.87 | % | 0.37 | % | 0.37 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 75 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Financial Square Treasury Instruments Fund — Cash Management Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.004 | 0.014 | 0.006 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Net realized gain (loss) |
— | (b) | (0.001 | ) | (0.001 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.004 | 0.013 | 0.005 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.41 | % | 1.35 | % | 0.54 | % | 0.01 | % | — | %(e) | — | %(e) | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 14,218 | $ | 12,515 | $ | 64 | $ | 30 | $ | 279 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.00 | %(f) | 1.00 | % | 1.00 | % | 0.61 | % | 0.35 | % | 0.06 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.00 | %(f) | 1.00 | % | 1.01 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.75 | %(f) | 1.36 | % | 0.60 | % | — | %(g) | 0.05 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Amount is less than 0.005%. |
| (f) | Annualized. |
| (g) | Amount is less than 0.005% of average net assets. |
| 76 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Obligations Fund — Select Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.008 | 0.021 | 0.015 | 0.005 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | (0.002 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.008 | 0.021 | 0.013 | 0.005 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.80 | % | 2.17 | % | 1.34 | % | 0.47 | % | 0.13 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 33,866 | $ | 50,890 | $ | 134,034 | $ | 67,865 | $ | 505,162 | $ | 169,026 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.23 | %(e) | 0.23 | % | 0.23 | % | 0.23 | % | 0.21 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.23 | %(e) | 0.23 | % | 0.24 | % | 0.26 | % | 0.26 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.53 | %(e) | 2.08 | % | 1.46 | % | 0.46 | % | 0.12 | % | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
| The accompanying notes are an integral part of these financial statements. | 77 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Obligations Fund — Preferred Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.008 | 0.021 | 0.013 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.008 | 0.021 | 0.013 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.77 | % | 2.10 | % | 1.26 | % | 0.40 | % | 0.08 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 390,612 | $ | 461,459 | $ | 173,807 | $ | 123,436 | $ | 81,542 | $ | 220,426 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.30 | %(e) | 0.30 | % | 0.30 | % | 0.30 | % | 0.25 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.30 | %(e) | 0.30 | % | 0.31 | % | 0.33 | % | 0.33 | % | 0.33 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.47 | %(e) | 2.08 | % | 1.28 | % | 0.40 | % | 0.05 | % | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Obligations Fund — Capital Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.020 | 0.012 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.007 | 0.020 | 0.012 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.74 | % | 2.05 | % | 1.21 | % | 0.35 | % | 0.05 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 442,974 | $ | 390,680 | $ | 299,105 | $ | 269,417 | $ | 404,533 | $ | 442,625 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.35 | %(e) | 0.35 | % | 0.35 | % | 0.35 | % | 0.30 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.35 | %(e) | 0.35 | % | 0.36 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.42 | %(e) | 2.01 | % | 1.19 | % | 0.34 | % | 0.03 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 78 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Obligations Fund — Administration Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.019 | 0.011 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.007 | 0.019 | 0.011 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.69 | % | 1.95 | % | 1.11 | % | 0.26 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1,718,249 | $ | 2,034,113 | $ | 1,810,200 | $ | 1,307,550 | $ | 1,543,863 | $ | 1,620,517 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.45 | %(e) | 0.45 | % | 0.45 | % | 0.44 | % | 0.33 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.45 | %(e) | 0.45 | % | 0.46 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.32 | %(e) | 1.91 | % | 1.14 | % | 0.25 | % | (0.01 | )% | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Obligations Fund — Premier Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.018 | 0.013 | 0.004 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | (0.004 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.006 | 0.018 | 0.009 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.018 | ) | (0.009 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.018 | ) | (0.009 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.64 | % | 1.84 | % | 1.01 | % | 0.19 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 19,767 | $ | 17,485 | $ | 16,492 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.55 | %(e) | 0.55 | % | 0.55 | % | 0.27 | % | 0.19 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.55 | %(e) | 0.55 | % | 0.56 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.21 | %(e) | 1.82 | % | 1.32 | % | 0.37 | % | 0.36 | % | (0.02 | )% | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 79 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Obligations Fund — Service Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.017 | 0.009 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.006 | 0.017 | 0.009 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.56 | % | 1.69 | % | 0.86 | % | 0.11 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1,012,946 | $ | 936,398 | $ | 1,342,308 | $ | 954,846 | $ | 787,768 | $ | 940,671 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.70 | %(e) | 0.70 | % | 0.70 | % | 0.59 | % | 0.33 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.70 | %(e) | 0.70 | % | 0.71 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.03 | %(e) | 1.67 | % | 0.88 | % | 0.11 | % | (0.01 | )% | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Obligations Fund — Resource Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.005 | 0.016 | 0.008 | 0.004 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | — | (b) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.005 | 0.016 | 0.008 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.005 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.005 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.49 | % | 1.54 | % | 0.71 | % | 0.05 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.56 | %(e) | 0.56 | % | 0.56 | % | 0.27 | % | 0.19 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.85 | %(e) | 0.85 | % | 0.86 | % | 0.88 | % | 0.88 | % | 0.88 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.03 | %(e) | 1.59 | % | 0.78 | % | 0.37 | % | 0.36 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 80 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Obligations Fund — Cash Management Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.004 | 0.013 | 0.004 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
— | (b) | 0.001 | 0.002 | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.004 | 0.014 | 0.006 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.41 | % | 1.39 | % | 0.56 | % | 0.02 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 25,488 | $ | 22,364 | $ | 48 | $ | 154 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.00 | %(e) | 1.00 | % | 1.00 | % | 0.97 | % | 0.19 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.00 | %(e) | 1.00 | % | 1.01 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.76 | %(e) | 1.29 | % | 0.43 | % | 0.14 | % | 0.36 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 81 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Solutions Fund — Select Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.021 | 0.013 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
0.001 | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.008 | 0.021 | 0.013 | 0.005 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.001 | ) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.81 | % | 2.14 | % | 1.31 | % | 0.46 | % | 0.12 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 9,907 | $ | 8,325 | $ | 7,439 | $ | 7,333 | $ | 10,969 | $ | 12,266 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.23 | %(e) | 0.23 | % | 0.23 | % | 0.23 | % | 0.21 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.23 | %(e) | 0.23 | % | 0.24 | % | 0.26 | % | 0.26 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.50 | %(e) | 2.07 | % | 1.27 | % | 0.42 | % | 0.09 | % | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
| 82 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Solutions Fund — Preferred Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.020 | 0.013 | 0.003 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain (loss) |
0.001 | — | (b) | (0.001 | ) | 0.001 | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.008 | 0.020 | 0.012 | 0.004 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.001 | ) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.77 | % | 2.07 | % | 1.24 | % | 0.39 | % | 0.07 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 58,673 | $ | 38,419 | $ | 19,545 | $ | 14,565 | $ | 75,756 | $ | 40,923 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.30 | %(e) | 0.30 | % | 0.30 | % | 0.30 | % | 0.26 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.30 | %(e) | 0.30 | % | 0.31 | % | 0.33 | % | 0.33 | % | 0.33 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.43 | %(e) | 2.04 | % | 1.26 | % | 0.25 | % | 0.03 | % | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Solutions Fund — Capital Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.007 | 0.020 | 0.012 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
0.001 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.008 | 0.020 | 0.012 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.001 | ) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.75 | % | 2.02 | % | 1.19 | % | 0.34 | % | 0.03 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 188,205 | $ | 162,212 | $ | 165,645 | $ | 215,820 | $ | 264,092 | $ | 103,108 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.35 | %(e) | 0.35 | % | 0.35 | % | 0.35 | % | 0.32 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.35 | %(e) | 0.35 | % | 0.36 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.39 | %(e) | 1.97 | % | 1.15 | % | 0.30 | % | 0.01 | % | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
| The accompanying notes are an integral part of these financial statements. | 83 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Solutions Fund —
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.019 | 0.011 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
0.001 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.007 | 0.019 | 0.011 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.001 | ) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.70 | % | 1.92 | % | 1.09 | % | 0.25 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 441,940 | $ | 473,937 | $ | 360,817 | $ | 237,557 | $ | 189,870 | $ | 390,266 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.45 | %(e) | 0.45 | % | 0.45 | % | 0.44 | % | 0.30 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.45 | %(e) | 0.45 | % | 0.46 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.30 | %(e) | 1.85 | % | 1.09 | % | 0.28 | % | (0.02 | )% | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Solutions Fund — Premier Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.018 | 0.011 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
0.001 | — | (b) | (0.001 | ) | 0.001 | — | (b) | — | (b) | ||||||||||||||||
|
Total from investment operations |
0.007 | 0.018 | 0.010 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.001 | ) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.65 | % | 1.82 | % | 0.99 | % | 0.18 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 153,300 | $ | 161,003 | $ | 45,627 | $ | 15,512 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.55 | %(e) | 0.55 | % | 0.55 | % | 0.50 | % | 0.19 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.55 | %(e) | 0.55 | % | 0.56 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.20 | %(e) | 1.77 | % | 1.10 | % | 0.13 | % | 0.36 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 84 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Solutions Fund — Service Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.005 | 0.016 | 0.008 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
0.001 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.006 | 0.016 | 0.008 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.005 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.001 | ) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.57 | % | 1.66 | % | 0.84 | % | 0.10 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 114,582 | $ | 124,910 | $ | 155,808 | $ | 144,728 | $ | 142,607 | $ | 355,272 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.70 | %(e) | 0.70 | % | 0.70 | % | 0.58 | % | 0.29 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.70 | %(e) | 0.70 | % | 0.71 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.05 | %(e) | 1.60 | % | 0.83 | % | 0.08 | % | (0.02 | )% | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| Financial Square Treasury Solutions Fund — Resource Shares | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.005 | 0.016 | 0.008 | 0.004 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain (loss) |
0.001 | — | (b) | — | (b) | (0.004 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.006 | 0.016 | 0.008 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.50 | % | 1.51 | % | 0.69 | % | 0.05 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.56 | %(e) | 0.56 | % | 0.55 | % | 0.26 | % | 0.19 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.85 | %(e) | 0.85 | % | 0.86 | % | 0.88 | % | 0.88 | % | 0.88 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.12 | %(e) | 1.59 | % | 0.84 | % | 0.37 | % | 0.37 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 85 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
|
Financial Square Treasury Solutions Fund —
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.004 | 0.013 | 0.005 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Net realized gain |
0.001 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.005 | 0.013 | 0.005 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.001 | ) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Total distributions(c) |
(0.005 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.42 | % | 1.36 | % | 0.54 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 271,375 | $ | 223,501 | $ | 23,332 | $ | 33,252 | $ | 73,211 | $ | 147,486 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.00 | %(e) | 1.00 | % | 1.00 | % | 0.62 | % | 0.31 | % | 0.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.00 | %(e) | 1.00 | % | 1.01 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.75 | %(e) | 1.31 | % | 0.54 | % | — | %(f) | (0.20 | )% | — | %(f) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | Amount is less than 0.005% of average net assets. |
| 86 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered |
Diversified/
Non-Diversified |
||
|
Federal Instruments |
Institutional, Select, Preferred, Capital,
Administration, Premier, Service,
|
Diversified | ||
|
Government |
Institutional, Select, Preferred, Capital, Administration, Premier, Service, Class A, Class C, Resource, Cash Management, Class R6 and Drexel Hamilton Class* |
Diversified | ||
|
Money Market, Prime Obligations, Treasury Instruments, Treasury Obligations and Treasury Solutions |
Institutional, Select, Preferred, Capital, Administration, Premier, Service, Resource, and Cash Management |
Diversified | ||
|
Prime Obligations |
Institutional, Select, Preferred, Capital, Administration, Premier, Service, Resource, Cash Management, and Drexel Hamilton Class* |
Diversified |
| * | Drexel Hamilton Class Shares commenced operations on September 9, 2019. |
Class C Shares may typically be acquired only in an exchange for Class C Shares of another Goldman Sachs Fund. Class C Shares may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% during the first 12 months, measured from the time the original shares subject to the CDSC were acquired.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (the “Agreements”) with the Trust.
The following Funds were designated by the Board of Trustees (“Trustees”) as “institutional money market funds” under Rule 2a-7 under the Act: Financial Square Money Market Fund and Financial Square Prime Obligations Fund (the “Institutional Money Market Funds”). Each of the Institutional Money Market Funds must price its shares at a net asset value (“NAV”) reflecting market-based values of its portfolio securities (i.e., at a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000).
| 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. Investment Valuation — The investment valuation policy of the Funds, except for the Institutional Money Market Funds, is to use the amortized-cost method permitted by Rule 2a-7 under the Act for valuing portfolio securities. The amortized-cost method of valuation involves valuing a security at its cost and thereafter applying a constant accretion or amortization to maturity of any discount or premium. Normally, a security’s amortized cost will approximate its market value. Under procedures and tolerances approved by the Trustees, GSAM evaluates daily the difference between each Fund’s NAV per share using the amortized costs of its portfolio securities and the Fund’s NAV per share using market-based values of its portfolio securities. The Institutional Money Market Funds’ investment valuation policy is to value its portfolio securities only at market-based values. The market-based value of a portfolio security is determined, where readily available, on the basis of market quotations provided by pricing services or
87
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
securities dealers, or, where accurate market quotations are not readily available, on the basis of the security’s fair value as determined in accordance with Valuation Procedures approved by the Trustees. The pricing services may use valuation models or matrix pricing, which may consider (among other things): (i) yield or price with respect to debt securities that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value.
B. Investment Income and Investments — Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution, Service, Distribution and Service, Administration, Service and Administration, and Shareholder Administration fees and Transfer Agency fees. 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 respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable and tax exempt income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Funds and may include short-term capital gains. Long-term capital gain distributions, if any, are declared and paid annually. A Fund may defer or accelerate the timing of the distribution of short-term capital gains (or any portion thereof).
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. 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 Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Forward Commitments — A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
88
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Trustees have approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation (including both the amortized cost and market-based methods of valuation) of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies related to the market-based method of valuation, 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.
As of February 29, 2020, all investments and repurchase agreements, other than those held by the Institutional Money Market Funds, are classified as Level 2 of the fair value hierarchy. All investments for the Institutional Money Market Funds are classified as Level 2, with the exception of treasury securities of G7 countries which are generally classified as Level 1. Please refer to the Schedules of Investments for further detail.
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreements — Under the Agreements, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreements, 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.
89
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Administration, Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Administration, Service and/or Shareholder Administration Plans (the “Plans”) to allow Class C, Select, Preferred, Capital, Administration, Premier, Service, Resource and Cash Management Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of account administration and/or personal and account maintenance services to their customers who are beneficial owners of such shares. The Plans provide for compensation to the service organizations equal to an annual percentage rate of the average daily net assets of such shares.
C. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
The Trust, on behalf of Class C, Resource and Cash Management Shares of each applicable Fund, has adopted Distribution Plans subject to Rule 12b-1 under the Act. Under the Distribution Plans, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C, Resource and Cash Management Shares of the Funds, as set forth below.
The Trust, on behalf of the Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.
D. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class C Shares’ CDSC. During the six months ended February 29, 2020, Goldman Sachs has advised that it retained $912 in CDSCs with respect to Class C Shares of the Financial Square Government Fund.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is accrued daily and paid monthly and is equal to an annual percentage rate of each Fund’s average daily net assets.
F. Other Agreements — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding transfer agency fees and expenses, administration fees (as applicable), service fees (as applicable), 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, 0.014% of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. These Other Expense limitations will remain in place through at least December 27, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.
In addition, the Funds have entered into certain offset arrangements with the custodian which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
G. Total Fund Expenses
Fund Contractual Fees
The contractual management fee rate is 0.18% for the Financial Square Federal Instruments, Financial Square Treasury Instruments, Financial Square Treasury Obligations and Financial Square Treasury Solutions Funds and 0.16% for the Financial Square Government, Financial Square Money Market and Financial Square Prime Obligations Funds.
90
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Other contractual annualized rates for each of the Funds are as follows:
|
Institutional
Shares |
Select
Shares |
Preferred
Shares |
Capital
Shares |
Administration
Shares |
Premier
Shares |
Service
Shares |
Resource
Shares |
Cash
Management Shares |
Class R6
Shares(a) |
Drexel
Hamilton Class Shares |
Class A
Shares(a) |
Class C
Shares(a) |
||||||||||||||||||||||||||||||||||||||||
|
Administration, Service and/or Shareholder Administration Fees |
N/A | 0.03 | % | 0.10 | % | 0.15 | % | 0.25 | % | 0.35 | % | 0.25 | % | 0.50 | % | 0.50 | % | N/A | N/A | N/A | 0.25 | % | ||||||||||||||||||||||||||||||
|
Distribution and/or Service (12b-1) Fees |
N/A | N/A | N/A | N/A | N/A | N/A | 0.25 | (b) | 0.15 | (c) | 0.30 | (c) | N/A | N/A | 0.25 | % | 0.75 | (c) | ||||||||||||||||||||||||||||||||||
|
Transfer Agency Fee |
0.01 | % | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | % | 0.01 | % | 0.01 | 0.01 | ||||||||||||||||||||||||||||||||||||
| N/A—Fees | not applicable to respective share class |
| (a) | Government Fund only. |
| (b) | Service (12b-1) fee only. |
| (c) | Distribution (12b-1) fee only. |
Fund Effective Net Expenses (After Waivers and Reimbursements)
The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. As of December 2, 2019, the investment adviser has agreed to not impose a portion of the management fee equal annually to 0.06% of the Financial Square Federal Instruments Fund’s average daily net assets. This arrangement will remain in effect through at least December 27, 2020, and prior to such date, the investment adviser may not terminate the arrangement without the approval of the Board of Trustees. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. From May 8, 2019 to September 12, 2019, the investment adviser implemented a voluntary temporary fee waiver equal annually to 0.04% of the average daily net assets of the Financial Square Prime Obligations Fund and Financial Square Money Market Fund. On September 13, 2019, the investment adviser reduced the voluntary temporary fee waiver to a percentage rate equal annually to 0.03% of the average daily net assets for both Funds.
During the six months ended February 29, 2020, GSAM and Goldman Sachs (as applicable) agreed to waive all or a portion of the management fees and respective class-specific fees described above attributable to the Funds. The Funds are not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.
For the six months ended February 29, 2020, expense reductions including any fee waivers and Other Expense reimbursements were as follows (in thousands):
| Fund |
Management Fee Waivers |
Distribution,
Administration, Service and/or Shareholder Administration Plans Fee Waivers |
Custody Fee
Reduction |
Other Expense
Reimbursements |
Total
Expense Reductions |
|||||||||||||||
|
Federal Instruments |
$ 349 | $ | — | * | $ | — | * | $ | 35 | $ | 384 | |||||||||
|
Government |
— | — | 1 | — | 1 | |||||||||||||||
|
Money Market |
2,758 | — | * | — | — | 2,758 | ||||||||||||||
|
Prime Obligations |
1,055 | — | * | — | 39 | 1,094 | ||||||||||||||
| * | Amount less than one thousand. |
91
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended February 29, 2020, the net effective management fee rate was 0.18% for the Financial Square Treasury Instruments, Financial Square Treasury Obligations and Financial Square Treasury Solutions Funds, 0.16% for the Financial Square Government Fund, 0.14% for the Financial Square Federal Instruments Fund and 0.13% for the Financial Square Money Market and Financial Square Prime Obligations Funds.
H. Other Transactions with Affiliates — A Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common Trustees.
For the six months ended February 29, 2020, the purchase and sale transactions and related net realized gain (loss) for the Funds with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:
| Fund | Purchases | Sales |
Net Realized Gain
(Loss) |
|||||||||||
|
Federal Instruments |
$ | — | $ | — | $ | — | ||||||||
|
Government |
— | 812,863,369 | (886,542 | ) | ||||||||||
|
Money Market |
— | — | — | |||||||||||
|
Prime Obligations |
— | — | — | |||||||||||
|
Treasury Instruments |
— | — | — | |||||||||||
|
Treasury Obligations |
— | — | — | |||||||||||
|
Treasury Solutions |
— | — | — | |||||||||||
As of February 29, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of the outstanding share classes of the following Funds:
| Fund |
Select
Shares |
Capital
Shares |
Premier
Shares |
Service
Shares |
Resource
Shares |
Cash
Management Shares |
||||||||||||||||||||
|
Federal Instruments |
100 | % | 5 | % | 100 | % | — | % | — | % | — | % | ||||||||||||||
|
Money Market |
— | — | 100 | 13 | 100 | 100 | ||||||||||||||||||||
|
Prime Obligations |
— | — | 100 | — | 100 | 100 | ||||||||||||||||||||
|
Treasury Instruments |
— | — | — | — | 100 | — | ||||||||||||||||||||
|
Treasury Obligations |
— | — | — | — | 100 | — | ||||||||||||||||||||
|
Treasury Solutions |
— | — | — | — | 100 | — | ||||||||||||||||||||
The following table provides information about the investment in issuers deemed to be affiliates of the Funds.
| Government Fund | ||||||||||||||||||||
| Name of Affiliated Issuer |
Value at
8/31/19 |
Purchases
at Cost |
Proceeds from
Sales/maturities |
Value at
2/29/2020 |
Interest
Income |
|||||||||||||||
|
Goldman Sachs & Co. -Repurchase Agreement |
$ | — | $ | 2,848,000,000 | $ | (2,848,000,000 | ) | $ | — | $ | 124,028 | |||||||||
92
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Treasury Obligations Fund | ||||||||||||||||||||
| Name of Affiliated Issuer |
Value at
8/31/19 |
Purchases
at Cost |
Proceeds from
Sales/maturities |
Value at
2/29/2020 |
Interest
Income |
|||||||||||||||
|
Goldman Sachs & Co. -Repurchase Agreement |
$ | — | $ | 937,000,000 | $ | (937,000,000 | ) | $ | — | $ | 34,826 | |||||||||
I. Line of Credit Facility — As of February 29, 2020, the Funds participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Funds did not have any borrowings under the facility.
| 5. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, August 31, 2019, the Funds’ certain timing differences on a tax basis were as follows:
|
Federal
Instruments |
Government |
Money
Market |
Prime
Obligations |
Treasury
Instruments |
Treasury
Obligations |
Treasury
Solutions |
||||||||||||||||||||||
|
Timing differences (Dividend Payable and
|
$ | (685,203 | ) | $ | (93,939,935 | ) | $ | (15,969,302 | ) | $ | (4,897,347 | ) | $ | (43,794,439 | ) | $ | (15,241,248 | ) | $ | (4,592,245 | ) | |||||||
At February 29, 2020, the aggregate cost for each Fund stated in the accompanying Statements of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three tax years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 6. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily. monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to the Fund’s investment resulting from a substitute reference rate may also adversely affect the Fund’s performance and/or NAV.
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
93
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 6. OTHER RISKS (continued) |
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 the Fund’s NAV and liquidity. 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. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio.
Interest Rate Risk — When interest rates increase, a Fund’s yield will tend to be lower than prevailing market rates, and the market value of its securities or instruments may also be adversely affected. A low interest rate environment poses additional risks to a Fund, because low yields on the Fund’s portfolio holdings may have an adverse impact on the Fund’s ability to provide a positive yield to its shareholders, pay expenses out of Fund assets, or, at times, maintain a stable $1.00 share price (or, for the Institutional Money Market Funds, minimize the volatility of the Fund’s NAV per share). The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Market and Credit Risks — In the normal course of business, a Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments.
Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.
Credit/Default Risk — An issuer or guarantor of a security held by a 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.
| 7. 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.
| 8. OTHER MATTERS |
Exemptive Orders — Pursuant to SEC exemptive orders, the Funds may enter into certain principal transactions, including repurchase agreements, with Goldman Sachs.
94
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 9. SUBSEQUENT EVENTS |
Goldman Sachs Bank USA (“GS Bank”), an affiliate of GSAM, recently purchased $1,451,565,193 of securities from the Financial Square Money Market Fund ($722,365,313 on March 19, 2020 and $729,199,880 on March 20, 2020) and $391,141,514 of securities from the Financial Square Prime Obligations Fund ($301,201,274 on March 19, 2020 and $89,940,240 on March 20, 2020). GS Bank purchased these securities from the Funds at fair market value (as determined by a third-party pricing service) to promote liquidity in the short-term credit markets and to increase the Funds’ weekly liquid assets in response to market disruptions related to COVID-19. These purchases were made in reliance on, and subject to the conditions set forth in, Rule 17a-9 under the Act and relief issued by the SEC Staff in Investment Company Institute, SEC No-Action Letter (pub. avail. March 19, 2020). The Funds were required to disclose additional information about these purchases, including information with respect to each of the purchased securities, on Form N-CR and to file this form with the SEC. The Funds’ Form N-CR filings are available on the EDGAR Database on the SEC’s Internet site at http://www.sec.gov.
Subsequent events after the Statements of Assets and Liabilities date other than the above have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
95
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 28, 2019 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Federal Instruments Fund | ||||||||
|
|
|
|||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||
|
|
|
|||||||
| Shares* | Shares* | |||||||
|
|
|
|||||||
| Institutional Shares | ||||||||
|
Shares sold |
2,282,899,710 | 2,413,919,468 | ||||||
|
Reinvestment of distributions |
10,413,588 | 14,716,134 | ||||||
|
Shares redeemed |
(1,928,930,080 | ) | (1,483,363,844 | ) | ||||
| 364,383,218 | 945,271,758 | |||||||
| Select Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
400 | 1,030 | ||||||
|
Shares redeemed |
— | — | ||||||
| 400 | 1,030 | |||||||
| Preferred Shares | ||||||||
|
Shares sold |
2,975,796 | 37,261,772 | ||||||
|
Reinvestment of distributions |
41,901 | 194,287 | ||||||
|
Shares redeemed |
(2,930,187 | ) | (34,306,015 | ) | ||||
| 87,510 | 3,150,044 | |||||||
| Capital Shares | ||||||||
|
Shares sold |
501,043 | 3,027,408 | ||||||
|
Reinvestment of distributions |
7,117 | 23,515 | ||||||
|
Shares redeemed |
(25 | ) | (7,561,629 | ) | ||||
| 508,135 | (4,510,706 | ) | ||||||
| Administration Shares | ||||||||
|
Shares sold |
49,138,143 | 148,393,733 | ||||||
|
Reinvestment of distributions |
29,307 | 106,606 | ||||||
|
Shares redeemed |
(61,512,403 | ) | (146,683,155 | ) | ||||
| (12,344,953 | ) | 1,817,184 | ||||||
| Premier Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
338 | 924 | ||||||
|
Shares redeemed |
— | — | ||||||
| 338 | 924 | |||||||
| Service Shares | ||||||||
|
Shares sold |
1,887,372 | 4,095,943 | ||||||
|
Reinvestment of distributions |
6 | 17 | ||||||
|
Shares redeemed |
(2,439,631 | ) | (3,606,548 | ) | ||||
| (552,253 | ) | 489,412 | ||||||
| Cash Management Shares | ||||||||
|
Shares sold |
19,791,267 | 74,119 | ||||||
|
Reinvestment of distributions |
15,369 | 767 | ||||||
|
Shares redeemed |
(11,093,432 | ) | (33,290 | ) | ||||
| 8,713,204 | 41,596 | |||||||
|
NET INCREASE (DECREASE) IN SHARES |
360,795,599 | 946,261,242 | ||||||
| * | Valued at $1.00 per share. |
96
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Government Fund | ||||||||
|
|
|
|||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||
|
|
|
|||||||
| Shares* | Shares* | |||||||
|
|
|
|||||||
| Institutional Shares | ||||||||
|
Shares sold |
490,379,175,271 | 891,386,834,941 | ||||||
|
Reinvestment of distributions |
438,644,677 | 1,010,265,284 | ||||||
|
Shares redeemed |
(482,418,277,804 | ) | (888,091,751,934 | ) | ||||
| 8,399,542,144 | 4,305,348,291 | |||||||
| Select Shares | ||||||||
|
Shares sold |
620,474,713 | 2,476,891,028 | ||||||
|
Reinvestment of distributions |
2,626,048 | 12,289,471 | ||||||
|
Shares redeemed |
(1,056,686,814 | ) | (2,261,820,345 | ) | ||||
| (433,586,053 | ) | 227,360,154 | ||||||
| Preferred Shares | ||||||||
|
Shares sold |
2,371,727,333 | 5,273,993,017 | ||||||
|
Reinvestment of distributions |
2,733,571 | 3,737,667 | ||||||
|
Shares redeemed |
(3,067,643,336 | ) | (4,852,993,321 | ) | ||||
| (693,182,432 | ) | 424,737,363 | ||||||
| Capital Shares | ||||||||
|
Shares sold |
6,417,138,828 | 11,257,171,481 | ||||||
|
Reinvestment of distributions |
5,071,265 | 15,882,356 | ||||||
|
Shares redeemed |
(6,500,132,818 | ) | (11,258,708,341 | ) | ||||
| (77,922,725 | ) | 14,345,496 | ||||||
| Administration Shares | ||||||||
|
Shares sold |
15,230,541,217 | 29,072,426,243 | ||||||
|
Reinvestment of distributions |
11,157,553 | 29,387,533 | ||||||
|
Shares redeemed |
(14,518,548,314 | ) | (28,693,198,135 | ) | ||||
| 723,150,456 | 408,615,641 | |||||||
| Premier Shares | ||||||||
|
Shares sold |
284,837,001 | 583,756,477 | ||||||
|
Reinvestment of distributions |
329,905 | 965,018 | ||||||
|
Shares redeemed |
(276,434,461 | ) | (562,127,983 | ) | ||||
| 8,732,445 | 22,593,512 | |||||||
| Service Shares | ||||||||
|
Shares sold |
1,877,330,585 | 2,120,569,930 | ||||||
|
Reinvestment of distributions |
1,616,177 | 2,216,832 | ||||||
|
Shares redeemed |
(1,723,371,610 | ) | (2,045,369,736 | ) | ||||
| 155,575,152 | 77,417,026 | |||||||
| Class A Shares | ||||||||
|
Shares sold |
265,927,950 | 293,735,038 | ||||||
|
Reinvestment of distributions |
2,243,999 | 2,034,223 | ||||||
|
Shares redeemed |
(153,181,436 | ) | (121,167,609 | ) | ||||
| 114,990,513 | 174,601,652 | |||||||
| Class C Shares | ||||||||
|
Shares sold |
1,284,139 | 2,254,507 | ||||||
|
Reinvestment of distributions |
15,139 | 54,930 | ||||||
|
Shares redeemed |
(873,763 | ) | (2,705,871 | ) | ||||
| 425,515 | (396,434 | ) | ||||||
| Resource Shares | ||||||||
|
Shares sold |
67,734,101 | 105,554,574 | ||||||
|
Reinvestment of distributions |
366,080 | 949,693 | ||||||
|
Shares redeemed |
(64,590,640 | ) | (106,412,980 | ) | ||||
| 3,509,541 | 91,287 | |||||||
| Cash Management Shares | ||||||||
|
Shares sold |
324,539,626 | 169,240,070 | ||||||
|
Reinvestment of distributions |
553,288 | 190,391 | ||||||
|
Shares redeemed |
(284,088,661 | ) | (79,318,182 | ) | ||||
| 41,004,253 | 90,112,279 | |||||||
| Class R6 Shares | ||||||||
|
Shares sold |
563,156,273 | 1,174,019,386 | ||||||
|
Reinvestment of distributions |
809,041 | 1,194,270 | ||||||
|
Shares redeemed |
(583,024,763 | ) | (1,127,855,380 | ) | ||||
| (19,059,449 | ) | 47,358,276 | ||||||
| Drexel Hamilton Class Shares1 | ||||||||
|
Shares sold |
4,016,492,639 | — | ||||||
|
Reinvestment of distributions |
203,665 | — | ||||||
|
Shares redeemed |
(2,854,457,699 | ) | — | |||||
| 1,162,238,605 | — | |||||||
|
NET INCREASE IN SHARES |
9,385,417,965 | 5,792,184,543 | ||||||
| * | Valued at $1.00 per share. |
| 1 | Commenced operations on September 9, 2019. |
97
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Money Market Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
57,991,360,759 | $ | 58,020,807,431 | 85,472,232,406 | $ | 85,504,124,710 | ||||||||||
|
Reinvestment of distributions |
91,537,374 | 91,586,178 | 161,155,196 | 161,220,324 | ||||||||||||
|
Shares redeemed |
(58,235,278,203 | ) | (58,264,830,081 | ) | (79,482,109,352 | ) | (79,510,982,209 | ) | ||||||||
| (152,380,070 | ) | (152,436,472 | ) | 6,151,278,250 | 6,154,362,825 | |||||||||||
| Select Shares | ||||||||||||||||
|
Shares sold |
7,725,602 | 7,729,441 | 35,383,853 | 35,399,217 | ||||||||||||
|
Reinvestment of distributions |
278,784 | 278,927 | 749,777 | 750,042 | ||||||||||||
|
Shares redeemed |
(26,454,295 | ) | (26,467,111 | ) | (35,555,683 | ) | (35,566,804 | ) | ||||||||
| (18,449,909 | ) | (18,458,743 | ) | 577,947 | 582,455 | |||||||||||
| Preferred Shares | ||||||||||||||||
|
Shares sold |
592,259 | 592,575 | 4,100,461 | 4,102,857 | ||||||||||||
|
Reinvestment of distributions |
35,800 | 35,819 | 47,283 | 47,302 | ||||||||||||
|
Shares redeemed |
(2,724,459 | ) | (2,725,700 | ) | (2,001,549 | ) | (2,002,199 | ) | ||||||||
| (2,096,400 | ) | (2,097,306 | ) | 2,146,195 | 2,147,960 | |||||||||||
| Capital Shares | ||||||||||||||||
|
Shares sold |
7,034,460 | 7,038,077 | 14,344,255 | 14,350,053 | ||||||||||||
|
Reinvestment of distributions |
107,422 | 107,479 | 123,841 | 123,904 | ||||||||||||
|
Shares redeemed |
(4,536,009 | ) | (4,538,077 | ) | (2,755,303 | ) | (2,756,631 | ) | ||||||||
| 2,605,873 | 2,607,479 | 11,712,793 | 11,717,326 | |||||||||||||
| Administration Shares | ||||||||||||||||
|
Shares sold |
1,077,658 | 1,078,099 | 9,581,492 | 9,583,600 | ||||||||||||
|
Reinvestment of distributions |
37,466 | 37,483 | 43,015 | 43,030 | ||||||||||||
|
Shares redeemed |
(1,202,245 | ) | (1,202,726 | ) | (8,350,525 | ) | (8,351,107 | ) | ||||||||
| (87,121 | ) | (87,144 | ) | 1,273,982 | 1,275,523 | |||||||||||
| Premier Shares | ||||||||||||||||
|
Shares sold |
— | — | — | — | ||||||||||||
|
Reinvestment of distributions |
8 | 8 | 22 | 21 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
| 8 | 8 | 22 | 21 | |||||||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
291,521 | 291,550 | 1,904,464 | 1,904,571 | ||||||||||||
|
Reinvestment of distributions |
150 | 150 | 1,392 | 1,392 | ||||||||||||
|
Shares redeemed |
(291,421 | ) | (291,450 | ) | (2,026,500 | ) | (2,026,650 | ) | ||||||||
| 250 | 250 | (120,644 | ) | (120,687 | ) | |||||||||||
| Resource Shares | ||||||||||||||||
|
Shares sold |
— | — | — | — | ||||||||||||
|
Reinvestment of distributions |
6 | 6 | 18 | 18 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
| 6 | 6 | 18 | 18 | |||||||||||||
| Cash Management Shares | ||||||||||||||||
|
Shares sold |
— | — | — | — | ||||||||||||
|
Reinvestment of distributions |
6 | 6 | 16 | 17 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
| 6 | 6 | 16 | 17 | |||||||||||||
|
NET INCREASE (DECREASE) |
(170,407,357 | ) | $ | (170,471,916 | ) | 6,166,868,579 | $ | 6,169,965,458 | ||||||||
98
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Prime Obligations Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
13,492,900,881 | $ | 13,500,539,996 | 15,725,452,191 | $ | 15,732,290,883 | ||||||||||
|
Reinvestment of distributions |
37,395,197 | 37,417,047 | 66,503,105 | 66,531,471 | ||||||||||||
|
Shares redeemed |
(12,218,750,321 | ) | (12,225,706,256 | ) | (13,438,235,559 | ) | (13,443,968,943 | ) | ||||||||
| 1,311,545,757 | 1,312,250,787 | 2,353,719,737 | 2,354,853,411 | |||||||||||||
| Select Shares | ||||||||||||||||
|
Shares sold |
78,753,598 | 78,787,167 | 213,862,591 | 213,917,899 | ||||||||||||
|
Reinvestment of distributions |
618,790 | 619,073 | 1,788,204 | 1,788,665 | ||||||||||||
|
Shares redeemed |
(120,965,094 | ) | (121,014,125 | ) | (176,925,865 | ) | (176,970,918 | ) | ||||||||
| (41,592,706 | ) | (41,607,885 | ) | 38,724,930 | 38,735,646 | |||||||||||
| Preferred Shares | ||||||||||||||||
|
Shares sold |
2,596,595 | 2,597,628 | 597,101 | 597,295 | ||||||||||||
|
Reinvestment of distributions |
32,918 | 32,931 | 61,367 | 61,381 | ||||||||||||
|
Shares redeemed |
(1,000,825 | ) | (1,001,225 | ) | (444,203 | ) | (444,303 | ) | ||||||||
| 1,628,688 | 1,629,334 | 214,265 | 214,373 | |||||||||||||
| Capital Shares | ||||||||||||||||
|
Shares sold |
5,482,159 | 5,485,000 | 9,197,390 | 9,200,873 | ||||||||||||
|
Reinvestment of distributions |
59,374 | 59,406 | 116,133 | 116,176 | ||||||||||||
|
Shares redeemed |
(4,571,830 | ) | (4,574,045 | ) | (9,390,061 | ) | (9,392,520 | ) | ||||||||
| 969,703 | 970,361 | (76,538 | ) | (75,471 | ) | |||||||||||
| Administration Shares | ||||||||||||||||
|
Shares sold |
137,210,962 | 137,280,948 | 229,264,877 | 229,320,926 | ||||||||||||
|
Reinvestment of distributions |
26,805 | 26,821 | 29,952 | 29,966 | ||||||||||||
|
Shares redeemed |
(109,127,774 | ) | (109,184,193 | ) | (227,024,448 | ) | (227,086,977 | ) | ||||||||
| 28,109,993 | 28,123,576 | 2,270,381 | 2,263,915 | |||||||||||||
| Premier Shares | ||||||||||||||||
|
Shares sold |
— | — | — | — | ||||||||||||
|
Reinvestment of distributions |
8 | 8 | 21 | 21 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
| 8 | 8 | 21 | 21 | |||||||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
25,989 | 26,002 | 9,852,210 | 9,852,341 | ||||||||||||
|
Reinvestment of distributions |
6,944 | 6,946 | 102,357 | 102,380 | ||||||||||||
|
Shares redeemed |
(5,099,373 | ) | (5,100,903 | ) | (4,961,019 | ) | (4,962,303 | ) | ||||||||
| (5,066,440 | ) | (5,067,955 | ) | 4,993,548 | 4,992,418 | |||||||||||
| Resource Shares | ||||||||||||||||
|
Shares sold |
— | — | — | — | ||||||||||||
|
Reinvestment of distributions |
6 | 6 | 18 | 18 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
| 6 | 6 | 18 | 18 | |||||||||||||
| Cash Management Shares | ||||||||||||||||
|
Shares sold |
— | — | — | — | ||||||||||||
|
Reinvestment of distributions |
6 | 6 | 17 | 17 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
| 6 | 6 | 17 | 17 | |||||||||||||
| Drexel Hamilton Class Shares1 | ||||||||||||||||
|
Shares sold |
130,119,610 | 130,197,682 | — | — | ||||||||||||
|
Reinvestment of distributions |
268 | 268 | — | — | ||||||||||||
|
Shares redeemed |
(53,168,099 | ) | (53,200,000 | ) | — | — | ||||||||||
| 76,951,779 | 76,997,950 | — | — | |||||||||||||
|
NET INCREASE (DECREASE) |
1,372,546,794 | $ | 1,373,296,188 | 2,399,846,379 | $ | 2,400,984,348 | ||||||||||
| 1 | Commenced operations on September 9, 2019. |
99
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Treasury Instruments Fund | ||||||||
|
|
|
|||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||
|
|
|
|||||||
| Shares* | Shares* | |||||||
|
|
|
|||||||
| Institutional Shares | ||||||||
|
Shares sold |
98,615,976,979 | 195,689,041,910 | ||||||
|
Reinvestment of distributions |
244,582,566 | 590,796,167 | ||||||
|
Shares redeemed |
(93,332,035,595 | ) | (195,700,598,649 | ) | ||||
| 5,528,523,950 | 579,239,428 | |||||||
| Select Shares | ||||||||
|
Shares sold |
179,176,771 | 518,597,741 | ||||||
|
Reinvestment of distributions |
1,390,341 | 6,122,100 | ||||||
|
Shares redeemed |
(110,243,603 | ) | (753,901,903 | ) | ||||
| 70,323,509 | (229,182,062 | ) | ||||||
| Preferred Shares | ||||||||
|
Shares sold |
207,616,893 | 282,059,008 | ||||||
|
Reinvestment of distributions |
712,239 | 1,076,595 | ||||||
|
Shares redeemed |
(169,643,804 | ) | (235,745,585 | ) | ||||
| 38,685,328 | 47,390,018 | |||||||
| Capital Shares | ||||||||
|
Shares sold |
3,273,299,422 | 5,079,230,616 | ||||||
|
Reinvestment of distributions |
7,181,438 | 14,153,088 | ||||||
|
Shares redeemed |
(2,857,003,472 | ) | (4,701,892,663 | ) | ||||
| 423,477,388 | 391,491,041 | |||||||
| Administration Shares | ||||||||
|
Shares sold |
4,315,273,821 | 9,801,141,669 | ||||||
|
Reinvestment of distributions |
7,896,321 | 27,440,637 | ||||||
|
Shares redeemed |
(4,396,338,488 | ) | (10,472,824,806 | ) | ||||
| (73,168,346 | ) | (644,242,500 | ) | |||||
| Premier Shares | ||||||||
|
Shares sold |
88,476,785 | 85,437,222 | ||||||
|
Reinvestment of distributions |
62 | 227 | ||||||
|
Shares redeemed |
(105,285,401 | ) | (85,857,678 | ) | ||||
| (16,808,554 | ) | (420,229 | ) | |||||
| Service Shares | ||||||||
|
Shares sold |
61,201,466 | 591,074,196 | ||||||
|
Reinvestment of distributions |
35,362 | 1,482,793 | ||||||
|
Shares redeemed |
(52,379,300 | ) | (587,900,313 | ) | ||||
| 8,857,528 | 4,656,676 | |||||||
| Resource Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
5 | 15 | ||||||
|
Shares redeemed |
— | — | ||||||
| 5 | 15 | |||||||
| Cash Management Shares | ||||||||
|
Shares sold |
28,554,841 | 62,108,113 | ||||||
|
Reinvestment of distributions |
48,904 | 89,430 | ||||||
|
Shares redeemed |
(26,900,303 | ) | (49,747,815 | ) | ||||
| 1,703,442 | 12,449,728 | |||||||
|
NET INCREASE (DECREASE) IN SHARES |
5,981,594,250 | 161,382,115 | ||||||
| * | Valued at $1.00 per share. |
100
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Treasury Obligations Fund | ||||||||
|
|
|
|||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||
|
|
|
|||||||
| Shares* | Shares* | |||||||
|
|
|
|||||||
| Institutional Shares | ||||||||
|
Shares sold |
89,051,466,541 | 179,812,019,430 | ||||||
|
Reinvestment of distributions |
48,871,206 | 112,068,032 | ||||||
|
Shares redeemed |
(88,811,911,613 | ) | (177,925,444,505 | ) | ||||
| 288,426,134 | 1,998,642,957 | |||||||
| Select Shares | ||||||||
|
Shares sold |
229,498,054 | 2,598,447,379 | ||||||
|
Reinvestment of distributions |
396,495 | 1,185,463 | ||||||
|
Shares redeemed |
(246,916,752 | ) | (2,682,777,751 | ) | ||||
| (17,022,203 | ) | (83,144,909 | ) | |||||
| Preferred Shares | ||||||||
|
Shares sold |
842,470,288 | 1,617,000,097 | ||||||
|
Reinvestment of distributions |
1,393,875 | 3,236,195 | ||||||
|
Shares redeemed |
(914,700,672 | ) | (1,332,613,451 | ) | ||||
| (70,836,509 | ) | 287,622,841 | ||||||
| Capital Shares | ||||||||
|
Shares sold |
1,309,968,827 | 2,076,412,757 | ||||||
|
Reinvestment of distributions |
3,144,082 | 6,733,955 | ||||||
|
Shares redeemed |
(1,260,816,353 | ) | (1,991,593,373 | ) | ||||
| 52,296,556 | 91,553,339 | |||||||
| Administration Shares | ||||||||
|
Shares sold |
5,320,851,729 | 9,005,120,273 | ||||||
|
Reinvestment of distributions |
2,981,294 | 8,385,089 | ||||||
|
Shares redeemed |
(5,639,646,805 | ) | (8,789,701,450 | ) | ||||
| (315,813,782 | ) | 223,803,912 | ||||||
| Premier Shares | ||||||||
|
Shares sold |
42,757,233 | 78,328,681 | ||||||
|
Reinvestment of distributions |
121,433 | 297,872 | ||||||
|
Shares redeemed |
(40,596,837 | ) | (77,634,454 | ) | ||||
| 2,281,829 | 992,099 | |||||||
| Service Shares | ||||||||
|
Shares sold |
4,709,952,553 | 5,573,019,258 | ||||||
|
Reinvestment of distributions |
409,410 | 1,193,344 | ||||||
|
Shares redeemed |
(4,633,793,942 | ) | (5,980,169,543 | ) | ||||
| 76,568,021 | (405,956,941 | ) | ||||||
| Resource Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
5 | 15 | ||||||
|
Shares redeemed |
— | — | ||||||
| 5 | 15 | |||||||
| Cash Management Shares | ||||||||
|
Shares sold |
99,416,166 | 36,932,020 | ||||||
|
Reinvestment of distributions |
88,453 | 14,140 | ||||||
|
Shares redeemed |
(96,380,598 | ) | (14,631,279 | ) | ||||
| 3,124,021 | 22,314,881 | |||||||
|
NET DECREASE IN SHARES |
19,024,072 | 2,135,828,194 | ||||||
| * | Valued at $1.00 per share. |
101
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Treasury Solutions Fund | ||||||||
|
|
|
|||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||
|
|
|
|||||||
| Shares* | Shares* | |||||||
|
|
|
|||||||
| Institutional Shares | ||||||||
|
Shares sold |
20,356,872,154 | 31,260,811,776 | ||||||
|
Reinvestment of distributions |
44,140,451 | 122,135,595 | ||||||
|
Shares redeemed |
(20,029,263,153 | ) | (31,656,170,064 | ) | ||||
| 371,749,452 | (273,222,693 | ) | ||||||
| Select Shares | ||||||||
|
Shares sold |
4,000,000 | 2,500,000 | ||||||
|
Reinvestment of distributions |
82,649 | 134,817 | ||||||
|
Shares redeemed |
(2,500,000 | ) | (1,750,000 | ) | ||||
| 1,582,649 | 884,817 | |||||||
| Preferred Shares | ||||||||
|
Shares sold |
98,802,994 | 171,320,273 | ||||||
|
Reinvestment of distributions |
301,679 | 361,128 | ||||||
|
Shares redeemed |
(78,849,090 | ) | (152,811,813 | ) | ||||
| 20,255,583 | 18,869,588 | |||||||
| Capital Shares | ||||||||
|
Shares sold |
712,634,177 | 1,417,546,214 | ||||||
|
Reinvestment of distributions |
1,108,794 | 3,232,299 | ||||||
|
Shares redeemed |
(687,743,538 | ) | (1,424,225,568 | ) | ||||
| 25,999,433 | (3,447,055 | ) | ||||||
| Administration Shares | ||||||||
|
Shares sold |
962,498,158 | 1,812,039,680 | ||||||
|
Reinvestment of distributions |
1,747,643 | 5,071,633 | ||||||
|
Shares redeemed |
(996,231,276 | ) | (1,704,022,196 | ) | ||||
| (31,985,475 | ) | 113,089,117 | ||||||
| Premier Shares | ||||||||
|
Shares sold |
316,558,901 | 667,825,505 | ||||||
|
Reinvestment of distributions |
153,901 | 373,857 | ||||||
|
Shares redeemed |
(324,406,175 | ) | (552,840,125 | ) | ||||
| (7,693,373 | ) | 115,359,237 | ||||||
| Service Shares | ||||||||
|
Shares sold |
284,924,438 | 452,244,295 | ||||||
|
Reinvestment of distributions |
129,091 | 160,698 | ||||||
|
Shares redeemed |
(295,374,379 | ) | (483,314,808 | ) | ||||
| (10,320,850 | ) | (30,909,815 | ) | |||||
| Resource Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
5 | 15 | ||||||
|
Shares redeemed |
— | — | ||||||
| 5 | 15 | |||||||
| Cash Management Shares | ||||||||
|
Shares sold |
654,384,412 | 1,038,590,126 | ||||||
|
Reinvestment of distributions |
169,679 | 10,627 | ||||||
|
Shares redeemed |
(606,670,619 | ) | (838,454,958 | ) | ||||
| 47,883,472 | 200,145,795 | |||||||
|
NET DECREASE IN SHARES |
417,470,896 | 140,769,006 | ||||||
| * | Valued at $1.00 per share. |
102
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Funds to the extent such expenses exceed a specified percentage of each Funds’ net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing the trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
|
Proposal 2.
To
approve a change to the Fund’s sub-classification under
|
For | Against | Abstained | Broker Non-Votes | ||||||||||||
|
Large Cap Growth Insights Fund |
23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
103
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited)
As a shareholder of Institutional Shares, Select Shares, Preferred Shares, Capital Shares, Administration Shares, Premier Shares, Service Shares, Class A Shares, Class C Shares, Resource Shares, Cash Management Shares, Class R6 or Drexel Hamilton Class Shares of a Fund, you incur two types of costs: (1) transaction costs, including contingent deferred sales charges (with respect to Class C Shares); and (2) ongoing costs, including management fees and distribution, service, administration and/or shareholder administration fees (with respect to all share classes except Institutional Shares and Class R6 Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares, Select Shares, Preferred Shares. Capital Shares, Administration Shares, Premier Shares, Service Shares, Class A Shares, Class C Shares, Resource Shares, Cash Management Shares, Class R6 or Drexel Hamilton Class Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days in a 366-day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the column heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
104
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited) (continued)
| Federal Instruments Fund | Government Fund | Money Market Fund | ||||||||||||||||||||||||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
|||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
$ | 1,000.00 | $ | 1,008.32 | $ | 0.80 | $ | 1,000.00 | $ | 1,008.34 | $ | 0.90 | $ | 1,000.00 | $ | 1,009.45 | $ | 0.75 | ||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.07 | + | 0.81 | 1,000.00 | 1,023.97 | + | 0.91 | 1,000.00 | 1,024.12 | + | 0.75 | ||||||||||||||||||||||||
| Select Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,008.16 | 0.95 | 1,000.00 | 1,008.19 | 1.05 | 1,000.00 | 1,009.30 | 0.90 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.92 | + | 0.96 | 1,000.00 | 1,023.82 | + | 1.06 | 1,000.00 | 1,023.97 | + | 0.91 | ||||||||||||||||||||||||
| Preferred Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,007.81 | 1.30 | 1,000.00 | 1,007.84 | 1.40 | 1,000.00 | 1,008.94 | 1.25 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.57 | + | 1.31 | 1,000.00 | 1,023.47 | + | 1.41 | 1,000.00 | 1,023.62 | + | 1.26 | ||||||||||||||||||||||||
| Capital Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,007.56 | 1.55 | 1,000.00 | 1,007.59 | 1.65 | 1,000.00 | 1,008.69 | 1.50 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.32 | + | 1.56 | 1,000.00 | 1,023.22 | + | 1.66 | 1,000.00 | 1,023.37 | + | 1.51 | ||||||||||||||||||||||||
| Administration Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,007.06 | 2.05 | 1,000.00 | 1,007.09 | 2.15 | 1,000.00 | 1,008.29 | 2.00 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.82 | + | 2.06 | 1,000.00 | 1,022.73 | + | 2.16 | 1,000.00 | 1,022.87 | + | 2.01 | ||||||||||||||||||||||||
| Premier Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,006.56 | 2.54 | 1,000.00 | 1,006.59 | 2.64 | 1,000.00 | 1,007.69 | 2.50 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.33 | + | 2.56 | 1,000.00 | 1,022.23 | + | 2.66 | 1,000.00 | 1,022.38 | + | 2.51 | ||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,005.81 | 3.29 | 1,000.00 | 1,005.84 | 3.39 | 1,000.00 | 1,006.94 | 3.24 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,021.58 | + | 3.32 | 1,000.00 | 1,021.48 | + | 3.42 | 1,000.00 | 1,021.63 | + | 3.27 | ||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
N/A | N/A | N/A | 1,000.00 | 1,005.08 | 4.14 | N/A | N/A | N/A | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
N/A | N/A | N/A | 1,000.00 | 1,020.74 | + | 4.17 | N/A | N/A | N/A | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
N/A | N/A | N/A | 1,000.00 | 1,004.33 | 4.88 | N/A | N/A | N/A | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
N/A | N/A | N/A | 1,000.00 | 1,019.99 | + | 4.92 | N/A | N/A | N/A | ||||||||||||||||||||||||||
| Resource Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
N/A | N/A | N/A | 1,000.00 | 1,008.34 | 0.90 | 1,000.00 | 1,006.29 | 2.49 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
N/A | N/A | N/A | 1,000.00 | 1,023.97 | + | 0.91 | 1,000.00 | 1,022.38 | + | 2.51 | |||||||||||||||||||||||||
| Cash Management Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,004.31 | 4.78 | 1,000.00 | 1,007.09 | 2.15 | 1,000.00 | 1,005.43 | 4.24 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,020.09 | + | 4.82 | 1,000.00 | 1,022.73 | + | 2.16 | 1,000.00 | 1,020.64 | + | 4.27 | ||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
N/A | N/A | N/A | 1,000.00 | 1,003.33 | 5.88 | N/A | N/A | N/A | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
N/A | N/A | N/A | 1,000.00 | 1,019.00 | + | 5.92 | N/A | N/A | N/A | ||||||||||||||||||||||||||
| Drexel Hamilton Class Shares | ||||||||||||||||||||||||||||||||||||
|
Actual1 |
N/A | N/A | N/A | 1,000.00 | 1,007.89 | 0.89 | N/A | N/A | N/A | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
N/A | N/A | N/A | 1,000.00 | 1,023.97 | + | 0.91 | N/A | N/A | N/A | ||||||||||||||||||||||||||
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| 1 | Commenced operations on September 9, 2019. |
| Fund |
Institutional
|
Select
Shares |
Preferred
Shares |
Capital
Shares |
Administration
Shares |
Premier
Shares |
Service
Shares |
Class A
Shares |
Class C
Shares |
Resource
Shares |
Cash
Management Shares |
Class R6
Shares |
Drexel
Hamilton Class |
|||||||||||||||||||||||||||||||||||||||
|
Federal Instruments |
0.16 | % | 0.19 | % | 0.26 | % | 0.31 | % | 0.41 | % | 0.51 | % | 0.66 | % | N/A | N/A | N/A | 0.96 | % | N/A | N/A | |||||||||||||||||||||||||||||||
|
Government |
0.18 | 0.21 | 0.28 | 0.33 | 0.43 | 0.53 | 0.68 | 0.43 | % | 1.18 | % | 0.83 | % | 0.98 | 0.18 | % | 0.18 | % | ||||||||||||||||||||||||||||||||||
|
Money Market |
0.15 | 0.18 | 0.25 | 0.30 | 0.40 | 0.50 | 0.65 | N/A | N/A | 0.50 | 0.85 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
105
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited) (continued)
| Prime Obligations Fund | Treasury Instruments Fund | Treasury Obligations Fund | ||||||||||||||||||||||||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
|||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
$ | 1,000.00 | $ | 1,009.53 | $ | 0.75 | $ | 1,000.00 | $ | 1,008.12 | $ | 1.00 | $ | 1,000.00 | $ | 1,008.16 | $ | 1.00 | ||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | + | 0.75 | 1,000.00 | 1,023.87 | + | 1.01 | 1,000.00 | 1,023.87 | + | 1.01 | ||||||||||||||||||||||||
| Select Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,009.38 | 0.90 | 1,000.00 | 1,007.97 | 1.15 | 1,000.00 | 1,008.01 | 1.15 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.97 | + | 0.91 | 1,000.00 | 1,023.72 | + | 1.16 | 1,000.00 | 1,023.72 | + | 1.16 | ||||||||||||||||||||||||
| Preferred Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,008.93 | 1.25 | 1,000.00 | 1,007.62 | 1.50 | 1,000.00 | 1,007.66 | 1.50 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.62 | + | 1.26 | 1,000.00 | 1,023.37 | + | 1.51 | 1,000.00 | 1,023.37 | + | 1.51 | ||||||||||||||||||||||||
| Capital Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,008.67 | 1.50 | 1,000.00 | 1,007.37 | 1.75 | 1,000.00 | 1,007.40 | 1.75 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.37 | + | 1.51 | 1,000.00 | 1,023.12 | + | 1.76 | 1,000.00 | 1,023.12 | + | 1.76 | ||||||||||||||||||||||||
| Administration Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,008.27 | 2.00 | 1,000.00 | 1,006.87 | 2.25 | 1,000.00 | 1,006.90 | 2.25 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.87 | + | 2.01 | 1,000.00 | 1,022.63 | + | 2.26 | 1,000.00 | 1,022.63 | + | 2.26 | ||||||||||||||||||||||||
| Premier Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,007.77 | 2.50 | 1,000.00 | 1,006.37 | 2.74 | 1,000.00 | 1,006.40 | 2.74 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.38 | + | 2.51 | 1,000.00 | 1,022.13 | + | 2.77 | 1,000.00 | 1,022.13 | + | 2.77 | ||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,007.02 | 3.24 | 1,000.00 | 1,005.62 | 3.49 | 1,000.00 | 1,005.65 | 3.49 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,021.63 | + | 3.27 | 1,000.00 | 1,021.38 | + | 3.52 | 1,000.00 | 1,021.38 | + | 3.52 | ||||||||||||||||||||||||
| Resource Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,006.27 | 2.49 | 1,000.00 | 1,004.87 | 2.79 | 1,000.00 | 1,004.90 | 2.79 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.38 | + | 2.51 | 1,000.00 | 1,022.08 | + | 2.82 | 1,000.00 | 1,022.08 | + | 2.82 | ||||||||||||||||||||||||
| Cash Management Shares | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,005.52 | 4.24 | 1,000.00 | 1,004.11 | 4.98 | 1,000.00 | 1,004.15 | 4.98 | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,020.64 | + | 4.27 | 1,000.00 | 1,019.89 | + | 5.02 | 1,000.00 | 1,019.89 | + | 5.02 | ||||||||||||||||||||||||
| Drexel Hamilton Class Shares | ||||||||||||||||||||||||||||||||||||
|
Actual1 |
1,000.00 | 1,009.64 | 0.74 | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | + | 0.75 | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| 1 | Commenced operations on September 9, 2019. |
| Fund |
Institutional
|
Select
Shares |
Preferred
Shares |
Capital
Shares |
Administration
Shares |
Premier
Shares |
Service
Shares |
Class A
Shares |
Class C
Shares |
Resource
Shares |
Cash
Management Shares |
Class R6
Shares |
Drexel
Hamilton Class |
|||||||||||||||||||||||||||||||||||||||
|
Prime Obligations |
0.15 | 0.18 | 0.25 | 0.30 | 0.40 | 0.50 | 0.65 | N/A | N/A | 0.50 | 0.85 | N/A | 0.15 | |||||||||||||||||||||||||||||||||||||||
|
Treasury Instruments |
0.20 | 0.23 | 0.30 | 0.35 | 0.45 | 0.55 | 0.70 | N/A | N/A | 0.56 | 1.00 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
|
Treasury Obligations |
0.20 | 0.23 | 0.30 | 0.35 | 0.45 | 0.55 | 0.70 | N/A | N/A | 0.56 | 1.00 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
106
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited) (continued)
| Treasury Solutions Fund | ||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
|||||||||
| Institutional Shares | ||||||||||||
|
Actual |
$ | 1,000.00 | $ | 1,008.24 | $ | 1.00 | ||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.87 | + | 1.01 | ||||||||
| Select Shares | ||||||||||||
|
Actual |
1,000.00 | 1,008.09 | 1.15 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.72 | + | 1.16 | ||||||||
| Preferred Shares | ||||||||||||
|
Actual |
1,000.00 | 1,007.74 | 1.50 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.37 | + | 1.51 | ||||||||
| Capital Shares | ||||||||||||
|
Actual |
1,000.00 | 1,007.49 | 1.75 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.12 | + | 1.76 | ||||||||
| Administration Shares | ||||||||||||
|
Actual |
1,000.00 | 1,006.98 | 2.25 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.63 | + | 2.26 | ||||||||
| Premier Shares | ||||||||||||
|
Actual |
1,000.00 | 1,006.48 | 2.74 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.13 | + | 2.77 | ||||||||
| Service Shares | ||||||||||||
|
Actual |
1,000.00 | 1,005.73 | 3.49 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,021.38 | + | 3.52 | ||||||||
| Resource Shares | ||||||||||||
|
Actual |
1,000.00 | 1,004.98 | 2.79 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.08 | + | 2.82 | ||||||||
| Cash Management Shares | ||||||||||||
|
Actual |
1,000.00 | 1,004.23 | 4.98 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,019.89 | + | 5.02 | ||||||||
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund |
Institutional
|
Select
Shares |
Preferred
Shares |
Capital
Shares |
Administration
Shares |
Premier
Shares |
Service
Shares |
Class A
Shares |
Class C
Shares |
Resource
Shares |
Cash
Management Shares |
Class R6
Shares |
Drexel
Hamilton Class |
|||||||||||||||||||||||||||||||||||||||
|
Treasury Solutions |
0.20 | 0.23 | 0.30 | 0.35 | 0.45 | 0.55 | 0.70 | N/A | N/A | 0.56 | 1.00 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
107
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Short Duration Tax-Free Fund |
| ∎ |
Municipal Income Completion Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets OpportunitiesFund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Alternative
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance |
Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5Effective | after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
|
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver |
OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
|
|
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
|
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for shareholders of Class A Shares or Class C Shares) or 1-800-621-2550 (for shareholders of all other share classes of a Fund); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
Goldman Sachs & Co. LLC (“Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances. Fund holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
Financial Square FundsSM is a registered service mark of Goldman Sachs & Co LLC.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your Intermediary or from Goldman Sachs & Co LLC by calling (Class A Shares or Class C Shares – 1-800-526-7384) (all other share classes – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 200058-OTU-1180283 FSQSAR-20
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
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Fundamental Equity Growth Funds |
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Blue Chip |
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Capital Growth |
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Concentrated Growth |
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Flexible Cap |
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Growth Opportunities |
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Small Cap Growth |
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Small/Mid Cap Growth |
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Strategic Growth |
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Technology Opportunities |
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It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Service, Class R6 and Class P shareholders or 800-526-7384 for all other shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Fundamental Equity Growth Funds
| ∎ |
BLUE CHIP |
| ∎ |
CAPITAL GROWTH |
| ∎ |
CONCENTRATED GROWTH |
| ∎ |
FLEXIBLE CAP |
| ∎ |
GROWTH OPPORTUNITIES |
| ∎ |
SMALL CAP GROWTH |
| ∎ |
SMALL/MID CAP GROWTH |
| ∎ |
STRATEGIC GROWTH |
| ∎ |
TECHNOLOGY OPPORTUNITIES |
| i | ||||
| 1 | ||||
| 19 | ||||
| 40 | ||||
| 51 | ||||
| 51 | ||||
| 58 | ||||
| 66 | ||||
| 73 | ||||
| 80 | ||||
| 88 | ||||
| 95 | ||||
| 103 | ||||
| 111 | ||||
| 118 | ||||
| 142 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29, 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. A Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events or actions. The full extent of the impact of COVID-19 on a Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
i
Blue Chip Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
S&P 500®
Index2 |
||||||||
| Class A | -0.35 | % | 1.92 | % | ||||||
| Class C | -0.85 | 1.92 | ||||||||
| Institutional | -0.30 | 1.92 | ||||||||
| Investor | -0.25 | 1.92 | ||||||||
| Class P | -0.28 | 1.92 | ||||||||
| Class R | -0.54 | 1.92 | ||||||||
| Class R6 | -0.21 | 1.92 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The S&P 500® Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The S&P 500® Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Microsoft Corp. | 6.6 | % | Software | United States | ||||||
| Alphabet, Inc., Class A | 5.0 | Interactive Media & Services | United States | |||||||
| Apple, Inc. | 4.4 | Technology Hardware, Storage & Peripherals | United States | |||||||
| Texas Instruments, Inc. | 3.6 | Semiconductors & Semiconductor Equipment | United States | |||||||
| Ross Stores, Inc. | 3.4 | Specialty Retail | United States | |||||||
| Johnson & Johnson | 3.4 | Pharmaceuticals | United States | |||||||
| Honeywell International, Inc. | 3.3 | Industrial Conglomerates | United States | |||||||
| McDonald’s Corp. | 3.3 | Hotels, Restaurants & Leisure | United States | |||||||
| Walmart, Inc. | 3.3 | Food & Staples Retailing | United States | |||||||
| Union Pacific Corp. | 3.2 | Road & Rail | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
1
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
2
FUND BASICS
Capital Growth Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 1000®
Index2 |
||||||||
| Class A | 1.35 | % | 1.97 | % | ||||||
| Class C | 1.00 | 1.97 | ||||||||
| Institutional | 1.52 | 1.97 | ||||||||
| Service | 1.31 | 1.97 | ||||||||
| Investor | 1.49 | 1.97 | ||||||||
| Class P | 1.57 | 1.97 | ||||||||
| Class R | 1.20 | 1.97 | ||||||||
| Class R6 | 1.53 | 1.97 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It includes those Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. The Russell 1000 Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The Russell 1000 Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/20203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Microsoft Corp. | 4.8 | % | Software | United States | ||||||
| Apple, Inc. | 4.3 | Technology Hardware, Storage & Peripherals | United States | |||||||
| Amazon.com, Inc. | 2.8 | Internet & Direct Marketing Retail | United States | |||||||
| Berkshire Hathaway, Inc., Class B | 2.0 | Diversified Financial Services | United States | |||||||
| Visa, Inc., Class A | 1.9 | IT Services | United States | |||||||
| JPMorgan Chase & Co. | 1.8 | Banks | United States | |||||||
| Facebook, Inc., Class A | 1.7 | Interactive Media & Services | United States | |||||||
| Alphabet, Inc., Class A | 1.7 | Interactive Media & Services | United States | |||||||
| Alphabet, Inc., Class C | 1.6 | Interactive Media & Services | United States | |||||||
| Procter & Gamble Co. (The) | 1.4 | Household Products | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
3
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
4
FUND BASICS
Concentrated Growth Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 1000®
Growth Index2 |
||||||||
| Class A | 5.80 | % | 5.40 | % | ||||||
| Class C | 5.37 | 5.40 | ||||||||
| Institutional | 5.96 | 5.40 | ||||||||
| Investor | 5.93 | 5.40 | ||||||||
| Class P | 5.99 | 5.40 | ||||||||
| Class R | 5.62 | 5.40 | ||||||||
| Class R6 | 5.98 | 5.40 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 1000® Growth Index is an unmanaged index that measures the performance of those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000® Growth Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Microsoft Corp. | 8.0 | % | Software | United States | ||||||
| Alphabet, Inc., Class A | 5.9 | Interactive Media & Services | United States | |||||||
| Apple, Inc. | 5.9 | Technology Hardware, Storage & Peripherals | United States | |||||||
| Visa, Inc., Class A | 4.9 | IT Services | United States | |||||||
| Facebook, Inc., Class A | 4.1 | Interactive Media & Services | United States | |||||||
| Amazon.com, Inc. | 3.3 | Internet & Direct Marketing Retail | United States | |||||||
| NVIDIA Corp. | 3.2 | Semiconductors & Semiconductor Equipment | United States | |||||||
| Adobe, Inc. | 3.0 | Software | United States | |||||||
| CSX Corp. | 2.7 | Road & Rail | United States | |||||||
| AstraZeneca PLC ADR | 2.7 | Pharmaceuticals | United Kingdom | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
5
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
6
FUND BASICS
Flexible Cap Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
S&P 500®
Index2 |
||||||||
| Class A | 1.05 | % | 1.92 | % | ||||||
| Class C | 0.66 | 1.92 | ||||||||
| Institutional | 1.12 | 1.92 | ||||||||
| Investor | 1.11 | 1.92 | ||||||||
| Class P | 1.13 | 1.92 | ||||||||
| Class R | 0.87 | 1.92 | ||||||||
| Class R6 | 1.21 | 1.92 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The S&P 500® Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The S&P 500® Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Microsoft Corp. | 5.6 | % | Software | United States | ||||||
| Apple, Inc. | 4.2 | Technology Hardware, Storage & Peripherals | United States | |||||||
| Amazon.com, Inc. | 3.2 | Internet & Direct Marketing Retail | United States | |||||||
| Johnson & Johnson | 2.1 | Pharmaceuticals | United States | |||||||
| Alphabet, Inc., Class A | 2.0 | Interactive Media & Services | United States | |||||||
| JPMorgan Chase & Co. | 1.9 | Banks | United States | |||||||
| Facebook, Inc., Class A | 1.8 | Interactive Media & Services | United States | |||||||
| Visa, Inc., Class A | 1.7 | IT Services | United States | |||||||
| Alphabet, Inc., Class C | 1.7 | Interactive Media & Services | United States | |||||||
| Procter & Gamble Co. (The) | 1.6 | Household Products | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
7
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
8
FUND BASICS
Growth Opportunities Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell Midcap®
Growth Index2 |
||||||||
| Class A | 0.72 | % | 0.50 | % | ||||||
| Class C | 0.20 | 0.50 | ||||||||
| Institutional | 0.89 | 0.50 | ||||||||
| Service | 0.58 | 0.50 | ||||||||
| Investor | 0.79 | 0.50 | ||||||||
| Class P | 0.89 | 0.50 | ||||||||
| Class R | 0.58 | 0.50 | ||||||||
| Class R6 | 0.89 | 0.50 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell Midcap® Growth Index is an unmanaged market capitalization weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap® Growth Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Fiserv, Inc. | 3.0 | % | IT Services | United States | ||||||
| Dollar General Corp. | 2.6 | Multiline Retail | United States | |||||||
| Ingersoll-Rand PLC | 2.3 | Machinery | United States | |||||||
| SBA Communications Corp. REIT | 2.1 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| Ball Corp. | 2.1 | Containers & Packaging | United States | |||||||
| Rockwell Automation, Inc. | 2.0 | Electrical Equipment | United States | |||||||
| Verisk Analytics, Inc. | 2.0 | Professional Services | United States | |||||||
| L3Harris Technologies, Inc. | 1.9 | Aerospace & Defense | United States | |||||||
| Lululemon Athletica, Inc. | 1.8 | Textiles, Apparel & Luxury Goods | United States | |||||||
| Splunk, Inc. | 1.8 | Software | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
9
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
10
FUND BASICS
Small Cap Growth Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| October 31, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 2000®
Growth Index2 |
||||||||
|
Class A |
1.76 | % | 6.14 | % | ||||||
|
Class C |
1.43 | 6.14 | ||||||||
|
Institutional |
1.82 | 6.14 | ||||||||
|
Investor |
1.80 | 6.14 | ||||||||
|
Class P |
1.82 | 6.14 | ||||||||
|
Class R |
1.62 | 6.14 | ||||||||
|
Class R6 |
1.82 | 6.14 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 2000® Growth Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2000® Growth Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Colfax Corp. | 1.8 | % | Machinery | United States | ||||||
| Repligen Corp. | 1.4 | Life Sciences Tools & Services | United States | |||||||
| Halozyme Therapeutics, Inc. | 1.4 | Biotechnology | United States | |||||||
| Inphi Corp. | 1.4 | Semiconductors & Semiconductor Equipment | United States | |||||||
| Aerojet Rocketdyne Holdings, Inc. | 1.3 | Aerospace & Defense | United States | |||||||
| Choice Hotels International, Inc. | 1.3 | Hotels, Restaurants & Leisure | United States | |||||||
| Tandem Diabetes Care, Inc. | 1.3 | Health Care Equipment & Supplies | United States | |||||||
| Generac Holdings, Inc. | 1.3 | Electrical Equipment | United States | |||||||
| SailPoint Technologies Holding, Inc. | 1.3 | Software | United States | |||||||
| LivaNova PLC | 1.3 | Health Care Equipment & Supplies | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
11
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
12
FUND BASICS
Small/Mid Cap Growth Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 2500®
Growth Index2 |
||||||||
| Class A | 5.33 | % | 1.24 | % | ||||||
| Class C | 4.96 | 1.24 | ||||||||
| Institutional | 5.53 | 1.24 | ||||||||
| Service | 5.20 | 1.24 | ||||||||
| Investor | 5.46 | 1.24 | ||||||||
| Class P | 5.52 | 1.24 | ||||||||
| Class R | 5.22 | 1.24 | ||||||||
| Class R6 | 5.47 | 1.24 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 2500® Growth Index is an unmanaged index that measures the performance of the small to mid-cap growth segment of the US equity universe. The Russell 2500® Growth Index is constructed to provide a comprehensive and unbiased barometer of the small- to mid-cap growth market. Based on ongoing empirical research of investment manager behavior, the methodology used to determine growth probability approximates the aggregate small- to mid-cap growth manager’s opportunity set. The Russell 2500® Growth Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP 10 HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Burlington Stores, Inc. | 2.1 | % | Specialty Retail | United States | ||||||
| West Pharmaceutical Services, Inc. | 2.0 | Health Care Equipment & Supplies | United States | |||||||
| Booz Allen Hamilton Holding Corp. | 1.8 | IT Services | United States | |||||||
| PerkinElmer, Inc. | 1.8 | Life Sciences Tools & Services | United States | |||||||
| Entegris, Inc. | 1.7 | Semiconductors & Semiconductor Equipment | United States | |||||||
| Bright Horizons Family Solutions, Inc. | 1.7 | Diversified Consumer Services | United States | |||||||
| Novanta, Inc. | 1.6 | Electronic Equipment, Instruments & Components | United States | |||||||
| DexCom, Inc. | 1.6 | Health Care Equipment & Supplies | United States | |||||||
| Teledyne Technologies, Inc. | 1.6 | Aerospace & Defense | United States | |||||||
| Allegion PLC | 1.5 | Building Products | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
13
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 | ||
| As of February 29, 2020 | ||
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
14
FUND BASICS
Strategic Growth Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 1000®
Growth Index2 |
||||||||
| Class A | 5.40 | % | 5.40 | % | ||||||
| Class C | 5.06 | 5.40 | ||||||||
| Institutional | 5.47 | 5.40 | ||||||||
| Service | 5.27 | 5.40 | ||||||||
| Investor | 5.48 | 5.40 | ||||||||
| Class P | 5.60 | 5.40 | ||||||||
| Class R | 5.16 | 5.40 | ||||||||
| Class R6 | 5.50 | 5.40 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 1000® Growth Index is an unmanaged index that measures the performance of those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000® Growth Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Microsoft Corp. | 7.5 | % | Software | United States | ||||||
| Apple, Inc. | 7.0 | Technology Hardware, Storage & Peripherals | United States | |||||||
| Amazon.com, Inc. | 4.9 | Internet & Direct Marketing Retail | United States | |||||||
| Alphabet, Inc., Class A | 4.4 | Interactive Media & Services | United States | |||||||
| Facebook, Inc., Class A | 4.1 | Interactive Media & Services | United States | |||||||
| Visa, Inc., Class A | 3.3 | IT Services | United States | |||||||
| Mastercard, Inc., Class A | 2.8 | IT Services | United States | |||||||
| NVIDIA Corp. | 2.7 | Semiconductors & Semiconductor Equipment | United States | |||||||
| Alphabet, Inc., Class C | 2.7 | Interactive Media & Services | United States | |||||||
| Adobe, Inc. | 2.2 | Software | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
15
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
16
FUND BASICS
Technology Opportunities Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
NASDAQ Composite
Total Return Index2 |
||||||||
| Class A | 7.72 | % | 8.13 | % | ||||||
| Class C | 7.38 | 8.13 | ||||||||
| Institutional | 7.92 | 8.13 | ||||||||
| Service | 7.61 | 8.13 | ||||||||
| Investor | 7.88 | 8.13 | ||||||||
| Class P | 7.92 | 8.13 | ||||||||
| Class R6 | 7.92 | 8.13 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The NASDAQ Composite Index includes all domestic and international based common type stocks listed on The NASDAQ Stock Market. The NASDAQ Composite Index is a broad based Index. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP 10 HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Microsoft Corp. | 9.8 | % | Software | United States | ||||||
| Amazon.com, Inc. | 8.8 | Internet & Direct Marketing Retail | United States | |||||||
| Visa, Inc., Class A | 4.8 | IT Services | United States | |||||||
| Alphabet, Inc., Class C | 4.8 | Interactive Media & Services | United States | |||||||
| Alphabet, Inc., Class A | 4.4 | Interactive Media & Services | United States | |||||||
| Adobe, Inc. | 4.4 | Software | United States | |||||||
| Apple, Inc. | 4.3 | Technology Hardware, Storage & Peripherals | United States | |||||||
| Facebook, Inc., Class A | 4.1 | Interactive Media & Services | United States | |||||||
| Texas Instruments, Inc. | 3.3 | Semiconductors & Semiconductor Equipment | United States | |||||||
| Amphenol Corp., Class A | 3.3 | Electronic Equipment, Instruments & Components | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
17
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION4 | ||
| As of February 29, 2020 | ||
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
18
GOLDMAN SACHS BLUE CHIP FUND
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS BLUE CHIP FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
|
||||
|
Investment Abbreviations: |
||||
|
ADR |
—American Depositary Receipt |
|||
|
PLC |
— Public Limited Company |
|||
|
REIT |
— Real Estate Investment Trust |
|||
|
|
||||
| 20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CAPITAL GROWTH FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS CAPITAL GROWTH FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CAPITAL GROWTH FUND
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS CAPITAL GROWTH FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
ADR |
—American Depositary Receipt |
|
|
LP |
—Limited Partnership |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
ADR |
—American Depositary Receipt |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FLEXIBLE CAP FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS FLEXIBLE CAP FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FLEXIBLE CAP FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
ADR |
—American Depositary Receipt |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Represents an affiliated issuer. | |
|
|
||||
|
Investment Abbreviations: |
||||
|
PLC |
— Public Limited Company |
|||
|
REIT |
— Real Estate Investment Trust |
|||
|
|
||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH FUND
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| * | Non-income producing security. | |
| (a) | Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
ADR |
— American Depositary Receipt |
|
|
PLC |
— Public Limited Company |
|
|
REIT |
— Real Estate Investment Trust |
|
|
|
||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
All or a portion of security is on loan. | |
|
(b) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
ADR |
—American Depositary Receipt |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| * | Non-income producing security. | |
| (a) | Represents an affiliated issuer. | |
|
|
||
| Investment Abbreviations: | ||
|
ADR |
—American Depositary Receipt |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
ADR |
—American Depositary Receipt |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Assets and Liabilities
February 29, 2020 (Unaudited)
|
Blue Chip Fund |
Capital Growth
Fund |
Concentrated
Growth Fund |
||||||||||||
| Assets: | ||||||||||||||
|
Investments in unaffiliated issuers, at value (cost $8,578,221, $626,105,665 and $97,154,777, respectively) |
$ | 10,353,138 | $ | 843,198,827 | $ | 151,139,432 | ||||||||
|
Investments in affiliated issuers, at value (cost $0, $5,957,410 and $617,954, respectively) |
— | 5,957,410 | 617,954 | |||||||||||
|
Investments in securities lending reinvestment vehicle, at value which equals cost |
— | 1,041,709 | — | |||||||||||
|
Cash |
21,202 | 16,829,256 | 499,969 | |||||||||||
|
Receivables: |
||||||||||||||
|
Investments sold |
417,499 | 11,146,364 | 3,158,315 | |||||||||||
|
Fund shares sold |
57,472 | 190,551 | 6,822 | |||||||||||
|
Reimbursement from investment adviser |
42,781 | 136,398 | 57,424 | |||||||||||
|
Dividends |
26,057 | 1,200,541 | 219,124 | |||||||||||
|
Securities lending income |
— | 8,934 | — | |||||||||||
|
Foreign tax reclaims |
— | 1,467 | — | |||||||||||
|
Other assets |
58,378 | 74,064 | 54,815 | |||||||||||
| Total assets | 10,976,527 | 879,785,521 | 155,753,855 | |||||||||||
| Liabilities: | ||||||||||||||
|
Payables: |
||||||||||||||
|
Upon return of securities loaned |
— | 1,041,709 | — | |||||||||||
|
Fund shares redeemed |
299,863 | 566,277 | 85,477 | |||||||||||
|
Investments purchased |
211,950 | 13,189,795 | 3,228,506 | |||||||||||
|
Management fees |
5,219 | 539,627 | 100,379 | |||||||||||
|
Distribution and Service fees and Transfer Agency fees |
3,344 | 281,294 | 7,280 | |||||||||||
|
Accrued expenses |
245,185 | 869,430 | 379,481 | |||||||||||
| Total liabilities | 765,561 | 16,488,132 | 3,801,123 | |||||||||||
| Net Assets: | ||||||||||||||
|
Paid-in capital |
8,460,066 | 640,992,228 | 93,912,275 | |||||||||||
|
Total distributable earnings |
1,750,900 | 222,305,161 | 58,040,457 | |||||||||||
| NET ASSETS | $ | 10,210,966 | $ | 863,297,389 | $ | 151,952,732 | ||||||||
|
Net Assets: |
||||||||||||||
|
Class A |
$ | 4,017,699 | $ | 683,195,999 | $ | 6,829,061 | ||||||||
|
Class C |
1,588,216 | 16,798,091 | 862,580 | |||||||||||
|
Institutional |
811,712 | 58,554,663 | 12,148,319 | |||||||||||
|
Service |
— | 1,800,863 | — | |||||||||||
|
Investor |
240,439 | 7,423,013 | 128,597 | |||||||||||
|
Class P |
1,855,477 | 84,949,886 | 131,433,244 | |||||||||||
|
Class R |
19,064 | 8,374,793 | 24,508 | |||||||||||
|
Class R6 |
1,678,359 | 2,200,081 | 526,423 | |||||||||||
|
Total Net Assets |
$ | 10,210,966 | $ | 863,297,389 | $ | 151,952,732 | ||||||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||||||
|
Class A |
309,795 | 30,606,018 | 399,398 | |||||||||||
|
Class C |
128,925 | 1,258,660 | 65,563 | |||||||||||
|
Institutional |
62,031 | 2,270,160 | 654,311 | |||||||||||
|
Service |
— | 85,316 | — | |||||||||||
|
Investor |
18,354 | 325,477 | 7,353 | |||||||||||
|
Class P |
141,781 | 3,299,321 | 7,098,943 | |||||||||||
|
Class R |
1,460 | 398,590 | 1,501 | |||||||||||
|
Class R6 |
128,217 | 85,422 | 28,423 | |||||||||||
|
Net asset value, offering and redemption price per share:(a) |
||||||||||||||
|
Class A |
$12.97 | $22.32 | $17.10 | |||||||||||
|
Class C |
12.32 | 13.35 | 13.16 | |||||||||||
|
Institutional |
13.09 | 25.79 | 18.57 | |||||||||||
|
Service |
— | 21.11 | — | |||||||||||
|
Investor |
13.10 | 22.81 | 17.49 | |||||||||||
|
Class P |
13.09 | 25.75 | 18.51 | |||||||||||
|
Class R |
13.06 | 21.01 | 16.32 | |||||||||||
|
Class R6 |
13.09 | 25.76 | 18.52 | |||||||||||
| (a) | Maximum public offering price per share for Class A Shares of the Blue Chip, Capital Growth and Concentrated Growth Funds is $13.72, $23.62 and $18.10, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Assets and Liabilities (continued)
February 29, 2020 (Unaudited)
|
Flexible Cap
Fund |
Growth
Opportunities Fund |
Small Cap
Growth Fund |
||||||||||||
| Assets: | ||||||||||||||
|
Investments in unaffiliated issuers, at value (cost $15,127,266, $852,043,555 and $4,359,506, respectively) |
$ | 19,018,719 | $ | 1,041,203,646 | $ | 4,313,941 | ||||||||
|
Investments in affiliated issuers, at value (cost $58,210, $22,557,862 and $52,867, respectively) |
58,210 | 22,557,862 | 52,867 | |||||||||||
|
Cash |
55,080 | 1,243,253 | 51,188 | |||||||||||
|
Deferred offering costs |
— | — | 76,876 | |||||||||||
|
Receivables: |
||||||||||||||
|
Reimbursement from investment adviser |
44,255 | 117,973 | 31,949 | |||||||||||
|
Dividends |
34,329 | 616,230 | 1,160 | |||||||||||
|
Fund shares sold |
5 | 699,139 | — | |||||||||||
|
Investments sold |
— | 9,127,288 | — | |||||||||||
|
Securities lending income |
— | 147 | — | |||||||||||
|
Other assets |
66,601 | 77,809 | 214,004 | |||||||||||
| Total assets | 19,277,199 | 1,075,643,347 | 4,741,985 | |||||||||||
| Liabilities: | ||||||||||||||
|
Payables: |
||||||||||||||
|
Investments purchased |
85,899 | 11,740,665 | 152 | |||||||||||
|
Management fees |
9,197 | 852,413 | 3,320 | |||||||||||
|
Fund shares redeemed |
5,638 | 5,501,988 | — | |||||||||||
|
Distribution and Service fees and Transfer Agency fees |
3,769 | 203,300 | 255 | |||||||||||
|
Offering costs |
— | — | 111,474 | |||||||||||
|
Organization costs |
— | — | 12,000 | |||||||||||
|
Accrued expenses |
253,528 | 349,831 | 29,388 | |||||||||||
| Total liabilities | 358,031 | 18,648,197 | 156,589 | |||||||||||
| Net Assets: | ||||||||||||||
|
Paid-in capital |
14,825,852 | 769,034,660 | 4,570,246 | |||||||||||
|
Total distributable earnings |
4,102,514 | 287,960,490 | 15,150 | |||||||||||
| NET ASSETS | $ | 18,928,366 | $ | 1,056,995,150 | $ | 4,585,396 | ||||||||
|
Net Assets: |
||||||||||||||
|
Class A |
$ | 5,455,418 | $ | 290,390,075 | $ | 60,626 | ||||||||
|
Class C |
1,337,849 | 30,554,135 | 50,732 | |||||||||||
|
Institutional |
571,868 | 375,859,889 | 3,880,300 | |||||||||||
|
Service |
— | 22,309,617 | — | |||||||||||
|
Investor |
37,192 | 68,317,290 | 50,900 | |||||||||||
|
Class P |
11,303,867 | 57,198,094 | 441,099 | |||||||||||
|
Class R |
39,904 | 40,546,320 | 50,815 | |||||||||||
|
Class R6 |
182,268 | 171,819,730 | 50,924 | |||||||||||
|
Total Net Assets |
$ | 18,928,366 | $ | 1,056,995,150 | $ | 4,585,396 | ||||||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||||||
|
Class A |
479,080 | 21,692,304 | 5,970 | |||||||||||
|
Class C |
138,121 | 5,748,906 | 5,002 | |||||||||||
|
Institutional |
46,176 | 20,596,485 | 381,837 | |||||||||||
|
Service |
— | 1,841,652 | — | |||||||||||
|
Investor |
3,074 | 4,634,346 | 5,010 | |||||||||||
|
Class P |
914,233 | 3,129,241 | 43,409 | |||||||||||
|
Class R |
3,672 | 3,339,893 | 5,006 | |||||||||||
|
Class R6 |
14,749 | 9,404,603 | 5,011 | |||||||||||
|
Net asset value, offering and redemption price per share:(a) |
||||||||||||||
|
Class A |
$11.39 | $13.39 | $10.16 | |||||||||||
|
Class C |
9.69 | 5.31 | 10.14 | |||||||||||
|
Institutional |
12.38 | 18.25 | 10.16 | |||||||||||
|
Service |
— | 12.11 | — | |||||||||||
|
Investor |
12.10 | 14.74 | 10.16 | |||||||||||
|
Class P |
12.36 | 18.28 | 10.16 | |||||||||||
|
Class R |
10.87 | 12.14 | 10.15 | |||||||||||
|
Class R6 |
12.36 | 18.27 | 10.16 | |||||||||||
| (a) | Maximum public offering price per share for Class A Shares of the Flexible Cap, Growth Opportunities and Small Cap Growth Funds is $12.05, $14.17 and $10.75, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Assets and Liabilities (continued)
February 29, 2020 (Unaudited)
|
Small/Mid Cap
Growth Fund |
Strategic
Growth Fund |
Technology
Opportunities Fund |
||||||||||||
| Assets: | ||||||||||||||
|
Investments in unaffiliated issuers, at value (cost $1,524,108,134, $82,086,659 and $252,943,324, respectively) |
$ | 1,825,820,370 | $ | 147,297,264 | $ | 488,034,850 | ||||||||
|
Investments in affiliated issuers, at value (cost $37,510,112, $357,960 and $13,234,337, respectively) |
37,510,112 | 357,960 | 13,234,337 | |||||||||||
|
Investments in securities lending reinvestment vehicle, at value which equals cost |
25,978,707 | — | — | |||||||||||
|
Cash |
2,700,978 | 608,872 | 1,589,625 | |||||||||||
|
Receivables: |
||||||||||||||
|
Investments sold |
5,753,118 | 2,042,695 | 7,040,905 | |||||||||||
|
Fund shares sold |
2,586,572 | 98,093 | 960,145 | |||||||||||
|
Dividends |
584,117 | 181,134 | 299,122 | |||||||||||
|
Reimbursement from investment adviser |
32,584 | 59,590 | 34,073 | |||||||||||
|
Securities lending income |
8,119 | — | — | |||||||||||
|
Other assets |
104,634 | 53,682 | 94,815 | |||||||||||
| Total assets | 1,901,079,311 | 150,699,290 | 511,287,872 | |||||||||||
| Liabilities: | ||||||||||||||
|
Payables: |
||||||||||||||
|
Upon return of securities loaned |
25,978,707 | — | — | |||||||||||
|
Investments purchased |
9,120,162 | 888,277 | 7,686,494 | |||||||||||
|
Fund shares redeemed |
6,926,000 | 324,969 | 2,622,674 | |||||||||||
|
Management fees |
1,355,844 | 92,514 | 406,932 | |||||||||||
|
Distribution and Service fees and Transfer Agency fees |
352,773 | 17,915 | 158,069 | |||||||||||
|
Accrued expenses |
348,490 | 344,644 | 185,777 | |||||||||||
| Total liabilities | 44,081,976 | 1,668,319 | 11,059,946 | |||||||||||
| Net Assets: | ||||||||||||||
|
Paid-in capital |
1,435,320,013 | 71,690,902 | 270,727,409 | |||||||||||
|
Total distributable earnings |
421,677,322 | 77,340,069 | 229,500,517 | |||||||||||
| NET ASSETS | $ | 1,856,997,335 | $ | 149,030,971 | $ | 500,227,926 | ||||||||
|
Net Assets: |
||||||||||||||
|
Class A |
$ | 266,719,539 | $ | 27,647,781 | $ | 313,607,921 | ||||||||
|
Class C |
148,626,134 | 3,504,406 | 23,380,090 | |||||||||||
|
Institutional |
776,164,034 | 47,264,446 | 85,307,408 | |||||||||||
|
Service |
17,749,379 | 611,820 | 28,723,734 | |||||||||||
|
Investor |
377,436,891 | 1,676,154 | 18,326,538 | |||||||||||
|
Class P |
199,338,031 | 68,012,706 | 30,593,161 | |||||||||||
|
Class R |
13,205,003 | 76,441 | — | |||||||||||
|
Class R6 |
57,758,324 | 237,217 | 289,074 | |||||||||||
|
Total Net Assets |
$ | 1,856,997,335 | $ | 149,030,971 | $ | 500,227,926 | ||||||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||||||
|
Class A |
14,320,158 | 3,364,156 | 14,792,196 | |||||||||||
|
Class C |
10,077,322 | 719,668 | 1,507,736 | |||||||||||
|
Institutional |
37,688,573 | 5,025,713 | 3,468,379 | |||||||||||
|
Service |
992,734 | 76,175 | 1,399,825 | |||||||||||
|
Investor |
19,154,745 | 178,877 | 762,129 | |||||||||||
|
Class P |
9,669,515 | 7,259,301 | 1,243,252 | |||||||||||
|
Class R |
750,088 | 9,784 | — | |||||||||||
|
Class R6 |
2,802,136 | 25,283 | 11,747 | |||||||||||
|
Net asset value, offering and redemption price per share:(a) |
||||||||||||||
|
Class A |
$18.63 | $8.22 | $21.20 | |||||||||||
|
Class C |
14.75 | 4.87 | 15.51 | |||||||||||
|
Institutional |
20.59 | 9.40 | 24.60 | |||||||||||
|
Service |
17.88 | 8.03 | 20.52 | |||||||||||
|
Investor |
19.70 | 9.37 | 24.05 | |||||||||||
|
Class P |
20.62 | 9.37 | 24.61 | |||||||||||
|
Class R |
17.60 | 7.81 | — | |||||||||||
|
Class R6 |
20.61 | 9.38 | 24.61 | |||||||||||
| (a) | Maximum public offering price per share for Class A Shares of the Small/Mid Cap Growth, Strategic Growth and Technology Opportunities Funds is $19.71, $8.70 and $22.43, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Operations
For the Six Months Ended February 29, 2020 (Unaudited)
|
Blue Chip Fund |
Capital Growth
Fund |
Concentrated
Growth Fund |
||||||||||||
| Investment income: | ||||||||||||||
|
Dividends — unaffiliated issuers (net of foreign withholding taxes of $—, $6,237 and $4,622, respectively) |
$ | 106,182 | $ | 6,384,112 | $ | 651,682 | ||||||||
|
Dividends — affiliated issuers |
1,539 | 23,180 | 8,547 | |||||||||||
|
Securities lending income — unaffiliated issuer |
— | 14,962 | — | |||||||||||
| Total investment income | 107,721 | 6,422,254 | 660,229 | |||||||||||
| Expenses: |
|
|||||||||||||
|
Printing and mailing costs |
137,545 | 604,620 | 217,825 | |||||||||||
|
Professional fees |
49,881 | 48,228 | 47,342 | |||||||||||
|
Registration fees |
46,068 | 63,165 | 47,781 | |||||||||||
|
Management fees |
33,790 | 3,277,462 | 594,422 | |||||||||||
|
Custody, accounting and administrative services |
27,521 | 122,467 | 32,188 | |||||||||||
|
Distribution and Service fees(a) |
13,415 | 1,030,412 | 13,273 | |||||||||||
|
Trustee fees |
6,989 | 7,671 | 7,094 | |||||||||||
|
Transfer Agency fees(a) |
6,384 | 679,041 | 29,828 | |||||||||||
|
Shareholder Meeting expense |
3,866 | 40,264 | 6,228 | |||||||||||
|
Service Share fees — Service Plan |
— | 2,123 | — | |||||||||||
|
Service Share fees — Shareholder Administration Plan |
— | 2,123 | — | |||||||||||
|
Other |
4,495 | 14,001 | 5,837 | |||||||||||
| Total expenses | 329,954 | 5,891,577 | 1,001,818 | |||||||||||
|
Less — expense reductions |
(268,458 | ) | (846,250 | ) | (356,986 | ) | ||||||||
| Net expenses | 61,496 | 5,045,327 | 644,832 | |||||||||||
| NET INVESTMENT INCOME | 46,225 | 1,376,927 | 15,397 | |||||||||||
| Realized and unrealized gain (loss): |
|
|||||||||||||
|
Net realized gain (loss) from: |
||||||||||||||
|
Investments — unaffiliated issuers |
123,205 | 22,810,687 | 7,886,845 | |||||||||||
|
Net change in unrealized gain (loss) on: |
||||||||||||||
|
Investments — unaffiliated issuers |
(108,070 | ) | (10,115,650 | ) | 889,381 | |||||||||
| Net realized and unrealized gain | 15,135 | 12,695,037 | 8,776,226 | |||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 61,360 | $ | 14,071,964 | $ | 8,791,623 | ||||||||
| (a) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
| Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||
|
Fund |
Class A |
Class C |
Class R |
Class A |
Class C |
Institutional |
Service |
Investor |
Class P |
Class R |
Class R6 |
|||||||||||||||||||||||||||||||||
|
Blue Chip |
$ | 5,331 | $ | 8,032 | $ | 52 | $ | 3,625 | $ | 1,365 | $ | 171 | $ | — | $ | 455 | $ | 326 | $ | 17 | $ | 425 | ||||||||||||||||||||||
|
Capital Growth |
915,971 | 92,135 | 22,306 | 622,858 | 15,663 | 12,495 | 340 | 6,390 | 13,377 | 7,584 | 334 | |||||||||||||||||||||||||||||||||
|
Concentrated Growth |
8,953 | 4,236 | 84 | 6,088 | 720 | 2,552 | — | 117 | 20,238 | 28 | 85 | |||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Operations (continued)
For the Six Months Ended February 29, 2020 (Unaudited)
|
Flexible Cap Fund |
Growth
Opportunities Fund |
Small Cap
Growth Fund(a) |
||||||||||||
| Investment income: | ||||||||||||||
|
Dividends — unaffiliated issuers (net of foreign withholding taxes of $98, $— and $—, respectively) |
$ | 159,312 | $ | 3,771,266 | $ | 5,898 | ||||||||
|
Dividends — affiliated issuers |
385 | 115,373 | 845 | |||||||||||
|
Securities lending income — unaffiliated issuer |
— | 55,381 | — | |||||||||||
| Total investment income | 159,697 | 3,942,020 | 6,743 | |||||||||||
| Expenses: |
|
|||||||||||||
|
Printing and mailing costs |
141,956 | 107,744 | 11,362 | |||||||||||
|
Management fees |
54,919 | 5,563,875 | 12,401 | |||||||||||
|
Professional fees |
47,342 | 47,342 | 36,059 | |||||||||||
|
Registration fees |
45,682 | 76,271 | — | |||||||||||
|
Custody, accounting and administrative services |
31,322 | 84,720 | 34,209 | |||||||||||
|
Distribution and Service fees(b) |
14,428 | 693,032 | 311 | |||||||||||
|
Transfer Agency fees(b) |
8,158 | 540,208 | 670 | |||||||||||
|
Trustee fees |
6,994 | 7,988 | 10,226 | |||||||||||
|
Shareholder meeting expense |
5,389 | 57,048 | 1,200 | |||||||||||
|
Organization and offering fees |
— | — | 12,000 | |||||||||||
|
Service Share fees — Service Plan |
— | 32,400 | — | |||||||||||
|
Service Share fees — Shareholder Administration Plan |
— | 32,400 | — | |||||||||||
|
Amortization of offering costs |
— | — | 38,123 | |||||||||||
|
Other |
4,619 | 19,907 | 3,572 | |||||||||||
| Total expenses | 360,809 | 7,262,935 | 160,133 | |||||||||||
|
Less — expense reductions |
(277,565 | ) | (796,902 | ) | (145,230 | ) | ||||||||
| Net expenses | 83,244 | 6,466,033 | 14,903 | |||||||||||
| NET INVESTMENT INCOME (LOSS) | 76,453 | (2,524,013 | ) | (8,160 | ) | |||||||||
| Realized and unrealized gain (loss): |
|
|||||||||||||
|
Net realized gain (loss) from: |
||||||||||||||
|
Investments — unaffiliated issuers |
406,428 | 130,364,874 | 77,921 | |||||||||||
|
Net change in unrealized gain (loss) on: |
||||||||||||||
|
Investments — unaffiliated issuers |
(268,329 | ) | (110,710,285 | ) | (45,565 | ) | ||||||||
| Net realized and unrealized gain | 138,099 | 19,654,589 | 32,356 | |||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 214,552 | $ | 17,130,576 | $ | 24,196 | ||||||||
| (a) | For the period October 31, 2019 (commencement of operations) through February 29, 2020. |
| (b) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
| Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||
|
Fund |
Class A |
Class C |
Class R |
Class A |
Class C |
Institutional |
Service |
Investor |
Class P |
Class R |
Class R6 |
|||||||||||||||||||||||||||||||||
|
Flexible Cap |
$ | 7,260 | $ | 7,064 | $ | 104 | $ | 4,937 | $ | 1,201 | $ | 128 | $ | — | $ | 57 | $ | 1,768 | $ | 35 | $ | 32 | ||||||||||||||||||||||
|
Growth Opportunities |
401,912 | 180,778 | 110,342 | 273,299 | 30,732 | 91,308 | 5,184 | 64,819 | 10,029 | 37,516 | 27,321 | |||||||||||||||||||||||||||||||||
|
Small Cap Growth |
45 | 177 | 89 | 31 | 30 | 530 | — | 30 | 14 | 30 | 5 | |||||||||||||||||||||||||||||||||
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Operations (continued)
For the Six Months Ended February 29, 2020 (Unaudited)
|
Small/Mid Cap
Growth Fund |
Strategic Growth
Fund |
Technology
Opportunities Fund |
||||||||||||
| Investment income: | ||||||||||||||
|
Dividends — unaffiliated issuers (net of foreign withholding taxes of $—, $1,616 and $17,946, respectively) |
$ | 3,760,849 | $ | 767,913 | $ | 1,860,892 | ||||||||
|
Dividends — affiliated issuers |
309,656 | 6,850 | 56,465 | |||||||||||
|
Securities lending income — unaffiliated issuer |
987,286 | 1,731 | 5,668 | |||||||||||
| Total investment income | 5,057,791 | 776,494 | 1,923,025 | |||||||||||
| Expenses: |
|
|||||||||||||
|
Management fees |
8,284,896 | 573,498 | 2,345,830 | |||||||||||
|
Distribution and Service fees(a) |
1,197,714 | 57,408 | 516,437 | |||||||||||
|
Transfer Agency fees(a) |
935,489 | 51,545 | 331,684 | |||||||||||
|
Custody, accounting and administrative services |
118,594 | 35,354 | 46,690 | |||||||||||
|
Shareholder meeting expense |
79,117 | 10,335 | 32,734 | |||||||||||
|
Registration fees |
76,784 | 55,368 | 51,577 | |||||||||||
|
Printing and mailing costs |
49,728 | 220,566 | 26,285 | |||||||||||
|
Professional fees |
47,341 | 48,037 | 47,342 | |||||||||||
|
Service Share fees — Service Plan |
22,747 | 775 | 37,219 | |||||||||||
|
Service Share fees — Shareholder Administration Plan |
22,747 | 775 | 37,219 | |||||||||||
|
Trustee fees |
8,558 | 7,107 | 7,353 | |||||||||||
|
Other |
32,916 | 6,458 | 9,075 | |||||||||||
| Total expenses | 10,876,631 | 1,067,226 | 3,489,445 | |||||||||||
|
Less — expense reductions |
(300,066 | ) | (370,375 | ) | (303,326 | ) | ||||||||
| Net expenses | 10,576,565 | 696,851 | 3,186,119 | |||||||||||
| NET INVESTMENT INCOME (LOSS) | (5,518,774 | ) | 79,643 | (1,263,094 | ) | |||||||||
| Realized and unrealized gain (loss): |
|
|||||||||||||
|
Net realized gain (loss) from: |
||||||||||||||
|
Investments — unaffiliated issuers |
200,818,908 | 15,510,308 | 12,495,053 | |||||||||||
|
Net change in unrealized gain (loss) on: |
||||||||||||||
|
Investments — unaffiliated issuers |
(91,452,285 | ) | (6,324,876 | ) | 24,098,405 | |||||||||
| Net realized and unrealized gain | 109,366,623 | 9,185,432 | 36,593,458 | |||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 103,847,849 | $ | 9,265,075 | $ | 35,330,364 | ||||||||
| (a) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
| Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||
|
Fund |
Class A |
Class C |
Class R |
Class A |
Class C |
Institutional |
Service |
Investor |
Class P |
Class R |
Class R6 |
|||||||||||||||||||||||||||||||||
|
Small/Mid Cap Growth |
$ | 357,442 | $ | 803,979 | $ | 36,293 | $ | 243,060 | $ | 136,676 | $ | 164,016 | $ | 3,639 | $ | 337,767 | $ | 29,327 | $ | 12,339 | $ | 8,665 | ||||||||||||||||||||||
|
Strategic Growth |
36,692 | 20,048 | 668 | 24,950 | 3,408 | 10,245 | 124 | 1,432 | 11,099 | 227 | 60 | |||||||||||||||||||||||||||||||||
|
Technology Opportunities |
393,902 | 122,535 | — | 267,851 | 20,831 | 16,583 | 5,955 | 16,325 | 4,102 | — | 37 | |||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Changes in Net Assets
| Blue Chip Fund | Capital Growth Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 46,225 | $ | 109,973 | $ | 1,376,927 | $ | 3,625,348 | ||||||||||||||
|
Net realized gain |
123,205 | 295,213 | 22,810,687 | 30,818,678 | ||||||||||||||||||
|
Net change in unrealized gain (loss) |
(108,070 | ) | 494,609 | (10,115,650 | ) | (11,480,667 | ) | |||||||||||||||
| Net increase in net assets resulting from operations | 61,360 | 899,795 | 14,071,964 | 22,963,359 | ||||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class A Shares |
(177,225 | ) | (213,475 | ) | (29,383,082 | ) | (220,760,042 | ) | ||||||||||||||
|
Class C Shares |
(59,804 | ) | (26,622 | ) | (1,094,018 | ) | (8,782,823 | ) | ||||||||||||||
|
Institutional Shares |
(39,352 | ) | (279,538 | ) | (2,359,339 | ) | (18,835,285 | ) | ||||||||||||||
|
Service Shares |
— | — | (70,266 | ) | (533,521 | ) | ||||||||||||||||
|
Investor Shares |
(11,386 | ) | (20,921 | ) | (310,127 | ) | (2,665,392 | ) | ||||||||||||||
|
Class P Shares |
(100,044 | ) | (174,322 | ) | (3,401,935 | ) | (26,269,986 | ) | ||||||||||||||
|
Class R Shares |
(824 | ) | (1,678 | ) | (366,639 | ) | (2,616,026 | ) | ||||||||||||||
|
Class R6 Shares |
(123,480 | ) | (903 | ) | (78,605 | ) | (16,308 | ) | ||||||||||||||
| Total distributions to shareholders | (512,115 | ) | (717,459 | ) | (37,064,011 | ) | (280,479,383 | ) | ||||||||||||||
| From share transactions: |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
1,415,392 | 8,917,461 | 14,949,929 | 85,928,898 | ||||||||||||||||||
|
Reinvestment of distributions |
486,610 | 669,296 | 35,117,504 | 266,002,222 | ||||||||||||||||||
|
Cost of shares redeemed |
(3,843,203 | ) | (7,131,548 | ) | (55,935,369 | ) | (215,035,892 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (1,941,201 | ) | 2,455,209 | (5,867,936 | ) | 136,895,228 | ||||||||||||||||
| TOTAL INCREASE (DECREASE) | (2,391,956 | ) | 2,637,545 | (28,859,983 | ) | (120,620,796 | ) | |||||||||||||||
| Net assets: | ||||||||||||||||||||||
|
Beginning of period |
12,602,922 | 9,965,377 | 892,157,372 | 1,012,778,168 | ||||||||||||||||||
|
End of period |
$ | 10,210,966 | $ | 12,602,922 | $ | 863,297,389 | $ | 892,157,372 | ||||||||||||||
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Changes in Net Assets (continued)
| Concentrated Growth Fund | Flexible Cap Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 15,397 | $ | 224,806 | $ | 76,453 | $ | 176,344 | ||||||||||||||
|
Net realized gain |
7,886,845 | 9,576,769 | 406,428 | 957,027 | ||||||||||||||||||
|
Net change in unrealized gain (loss) |
889,381 | (6,498,998 | ) | (268,329 | ) | (762,685 | ) | |||||||||||||||
| Net increase in net assets resulting from operations | 8,791,623 | 3,302,577 | 214,552 | 370,686 | ||||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class A Shares |
(570,407 | ) | (710,810 | ) | (329,577 | ) | (420,196 | ) | ||||||||||||||
|
Class C Shares |
(82,505 | ) | (148,426 | ) | (83,942 | ) | (104,102 | ) | ||||||||||||||
|
Institutional Shares |
(939,102 | ) | (1,532,532 | ) | (35,557 | ) | (114,070 | ) | ||||||||||||||
|
Investor Shares |
(11,029 | ) | (44,432 | ) | (4,078 | ) | (5,174 | ) | ||||||||||||||
|
Class P Shares |
(10,103,292 | ) | (14,440,076 | ) | (648,520 | ) | (930,190 | ) | ||||||||||||||
|
Class R Shares |
(3,148 | ) | (3,862 | ) | (2,314 | ) | (3,964 | ) | ||||||||||||||
|
Class R6 Shares |
(40,913 | ) | (11,481 | ) | (12,478 | ) | (1,067 | ) | ||||||||||||||
| Total distributions to shareholders | (11,750,396 | ) | (16,891,619 | ) | (1,116,466 | ) | (1,578,763 | ) | ||||||||||||||
| From share transactions: |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
2,309,008 | 5,983,510 | 749,889 | 1,466,388 | ||||||||||||||||||
|
Reinvestment of distributions |
11,629,846 | 16,689,324 | 1,116,466 | 1,575,048 | ||||||||||||||||||
|
Cost of shares redeemed |
(8,078,113 | ) | (26,762,615 | ) | (716,084 | ) | (4,328,331 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | 5,860,741 | (4,089,781 | ) | 1,150,271 | (1,286,895 | ) | ||||||||||||||||
| TOTAL INCREASE (DECREASE) | 2,901,968 | (17,678,823 | ) | 248,357 | (2,494,972 | ) | ||||||||||||||||
| Net assets: | ||||||||||||||||||||||
|
Beginning of period |
149,050,764 | 166,729,587 | 18,680,009 | 21,174,981 | ||||||||||||||||||
|
End of period |
$ | 151,952,732 | $ | 149,050,764 | $ | 18,928,366 | $ | 18,680,009 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Changes in Net Assets (continued)
| Growth Opportunities Fund | Small Cap Growth Fund | |||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the period
October 31, 2019* to February 29, 2020 (Unaudited) |
||||||||||||||||
| From operations: |
|
|||||||||||||||||
|
Net investment loss |
$ | (2,524,013 | ) | $ | (4,816,143 | ) | $ | (8,160 | ) | |||||||||
|
Net realized gain |
130,364,874 | 345,093,064 | 77,921 | |||||||||||||||
|
Net change in unrealized loss |
(110,710,285 | ) | (289,910,670 | ) | (45,565 | ) | ||||||||||||
| Net increase in net assets resulting from operations | 17,130,576 | 50,366,251 | 24,196 | |||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||
|
Class A Shares |
(84,857,623 | ) | (97,130,292 | ) | (83 | ) | ||||||||||||
|
Class C Shares |
(17,520,548 | ) | (19,969,153 | ) | (18 | ) | ||||||||||||
|
Institutional Shares |
(101,191,952 | ) | (187,967,343 | ) | (8,547 | ) | ||||||||||||
|
Service Shares |
(7,618,287 | ) | (8,365,708 | ) | — | |||||||||||||
|
Investor Shares |
(18,957,577 | ) | (17,580,366 | ) | (104 | ) | ||||||||||||
|
Class P Shares |
(13,993,377 | ) | (17,766,747 | ) | (117 | ) | ||||||||||||
|
Class R Shares |
(12,585,464 | ) | (13,633,189 | ) | (61 | ) | ||||||||||||
|
Class R6 Shares |
(39,106,235 | ) | (51,920,508 | ) | (116 | ) | ||||||||||||
| Total distributions to shareholders | (295,831,063 | ) | (414,333,306 | ) | (9,046 | ) | ||||||||||||
| From share transactions: |
|
|||||||||||||||||
|
Proceeds from sales of shares |
123,579,105 | 329,505,308 | 4,561,200 | |||||||||||||||
|
Reinvestment of distributions |
272,525,182 | 380,325,508 | 9,046 | |||||||||||||||
|
Cost of shares redeemed |
(324,563,895 | ) | (1,268,052,897 | ) | — | |||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | 71,540,392 | (558,222,081 | ) | 4,570,246 | ||||||||||||||
| TOTAL INCREASE (DECREASE) | (207,160,095 | ) | (922,189,136 | ) | 4,585,396 | |||||||||||||
| Net assets: |
|
|||||||||||||||||
|
Beginning of period |
1,264,155,245 | 2,186,344,381 | — | |||||||||||||||
|
End of period |
$ | 1,056,995,150 | $ | 1,264,155,245 | $ | 4,585,396 | ||||||||||||
| * | Commencement of operations. |
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Changes in Net Assets (continued)
| Small/Mid Cap Growth Fund | Strategic Growth Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income (loss) |
$ | (5,518,774 | ) | $ | (8,926,397 | ) | $ | 79,643 | $ | 387,676 | ||||||||||||
|
Net realized gain |
200,818,908 | 302,273,390 | 15,510,308 | 24,277,367 | ||||||||||||||||||
|
Net change in unrealized loss |
(91,452,285 | ) | (261,008,285 | ) | (6,324,876 | ) | (26,085,430 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 103,847,849 | 32,338,708 | 9,265,075 | (1,420,387 | ) | |||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class A Shares |
(39,805,523 | ) | (49,982,088 | ) | (4,611,552 | ) | (9,959,880 | ) | ||||||||||||||
|
Class C Shares |
(27,720,082 | ) | (37,660,467 | ) | (998,734 | ) | (2,011,947 | ) | ||||||||||||||
|
Institutional Shares |
(106,605,505 | ) | (146,388,336 | ) | (7,359,404 | ) | (19,817,247 | ) | ||||||||||||||
|
Service Shares |
(2,626,257 | ) | (2,862,516 | ) | (100,316 | ) | (180,451 | ) | ||||||||||||||
|
Investor Shares |
(52,201,231 | ) | (73,001,992 | ) | (235,813 | ) | (1,098,042 | ) | ||||||||||||||
|
Class P Shares |
(24,025,405 | ) | (34,099,828 | ) | (10,817,531 | ) | (27,631,178 | ) | ||||||||||||||
|
Class R Shares |
(2,127,370 | ) | (3,278,948 | ) | (41,983 | ) | (97,377 | ) | ||||||||||||||
|
Class R6 Shares |
(7,519,351 | ) | (6,417,937 | ) | (54,771 | ) | (4,416 | ) | ||||||||||||||
| Total distributions to shareholders | (262,630,724 | ) | (353,692,112 | ) | (24,220,104 | ) | (60,800,538 | ) | ||||||||||||||
| From share transactions: |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
191,158,241 | 429,635,141 | 7,403,040 | 29,238,433 | ||||||||||||||||||
|
Reinvestment of distributions |
237,385,247 | 317,808,677 | 23,784,787 | 59,192,504 | ||||||||||||||||||
|
Cost of shares redeemed |
(414,225,339 | ) | (928,309,800 | ) | (28,172,731 | ) | (87,998,353 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | 14,318,149 | (180,865,982 | ) | 3,015,096 | 432,584 | |||||||||||||||||
| TOTAL DECREASE | (144,464,726 | ) | (502,219,386 | ) | (11,939,933 | ) | (61,788,341 | ) | ||||||||||||||
| Net assets: |
|
|||||||||||||||||||||
|
Beginning of period |
2,001,462,061 | 2,503,681,447 | 160,970,904 | 222,759,245 | ||||||||||||||||||
|
End of period |
$ | 1,856,997,335 | $ | 2,001,462,061 | $ | 149,030,971 | $ | 160,970,904 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statements of Changes in Net Assets (continued)
| Technology Opportunities Fund | ||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||
| From operations: |
|
|||||||||
|
Net investment loss |
$ | (1,263,094 | ) | $ | (2,390,378 | ) | ||||
|
Net realized gain |
12,495,053 | 64,120,066 | ||||||||
|
Net change in unrealized gain (loss) |
24,098,405 | (46,141,622 | ) | |||||||
| Net increase in net assets resulting from operations | 35,330,364 | 15,588,066 | ||||||||
| Distributions to shareholders: | ||||||||||
|
From distributable earnings: |
||||||||||
|
Class A Shares |
(46,818,272 | ) | (59,848,450 | ) | ||||||
|
Class C Shares |
(4,769,848 | ) | (6,783,789 | ) | ||||||
|
Institutional Shares |
(10,990,995 | ) | (12,889,684 | ) | ||||||
|
Service Shares |
(4,475,409 | ) | (6,202,770 | ) | ||||||
|
Investor Shares |
(2,550,857 | ) | (3,690,377 | ) | ||||||
|
Class P Shares |
(3,525,530 | ) | (4,533,680 | ) | ||||||
|
Class R6 Shares |
(32,559 | ) | (2,018 | ) | ||||||
| Total distributions to shareholders | (73,163,470 | ) | (93,950,768 | ) | ||||||
| From share transactions: | ||||||||||
|
Proceeds from sales of shares |
57,857,199 | 100,347,012 | ||||||||
|
Reinvestment of distributions |
68,777,718 | 87,902,456 | ||||||||
|
Cost of shares redeemed |
(66,740,190 | ) | (169,331,009 | ) | ||||||
| Net increase in net assets resulting from share transactions | 59,894,727 | 18,918,459 | ||||||||
| TOTAL INCREASE (DECREASE) | 22,061,621 | (59,444,243 | ) | |||||||
| Net assets: | ||||||||||
|
Beginning of period |
478,166,305 | 537,610,548 | ||||||||
|
End of period |
$ | 500,227,926 | $ | 478,166,305 | ||||||
| 50 | The accompanying notes are an integral part of these financial statements. |
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Blue Chip Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.59 | $ | 14.00 | $ | 14.84 | $ | 13.08 | $ | 13.92 | $ | 16.66 | ||||||||||||||
|
Net investment income(a) |
0.05 | 0.12 | 0.11 | 0.07 | 0.09 | 0.09 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.06 | ) | 0.64 | 2.15 | 1.76 | 0.50 | (0.17 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.01 | ) | 0.76 | 2.26 | 1.83 | 0.59 | (0.08 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.15 | ) | (0.08 | ) | (0.09 | ) | (0.07 | ) | (0.07 | ) | (0.07 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.46 | ) | (1.09 | ) | (3.01 | ) | — | (b) | (1.36 | ) | (2.59 | ) | ||||||||||||||
|
Total distributions |
(0.61 | ) | (1.17 | ) | (3.10 | ) | (0.07 | ) | (1.43 | ) | (2.66 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.97 | $ | 13.59 | $ | 14.00 | $ | 14.84 | $ | 13.08 | $ | 13.92 | ||||||||||||||
| Total Return(c) | (0.35 | )% | 6.80 | % | 17.50 | % | 14.06 | % | 4.39 | % | (1.22 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 4,018 | $ | 3,878 | $ | 2,533 | $ | 1,880 | $ | 2,124 | $ | 3,086 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.05 | %(d) | 1.03 | % | 1.04 | % | 1.17 | % | 1.22 | % | 1.21 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.45 | %(d) | 4.26 | % | 5.12 | % | 4.64 | % | 3.60 | % | 2.81 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.70 | %(d) | 0.90 | % | 0.81 | % | 0.53 | % | 0.67 | % | 0.57 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
16 | % | 47 | % | 71 | % | 77 | % | 49 | % | 67 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS BLUE CHIP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Blue Chip Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 12.91 | $ | 13.40 | $ | 14.36 | $ | 12.69 | $ | 13.56 | $ | 16.33 | ||||||||||||||
|
Net investment income (loss)(a) |
— | (b) | 0.02 | 0.01 | (0.02 | ) | (0.01 | ) | (0.03 | ) | ||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.07 | ) | 0.62 | 2.07 | 1.69 | 0.50 | (0.15 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.07 | ) | 0.64 | 2.08 | 1.67 | 0.49 | (0.18 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.06 | ) | (0.04 | ) | (0.03 | ) | — | — | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.46 | ) | (1.09 | ) | (3.01 | ) | — | (b) | (1.36 | ) | (2.59 | ) | ||||||||||||||
|
Total distributions |
(0.52 | ) | (1.13 | ) | (3.04 | ) | — | (b) | (1.36 | ) | (2.59 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.32 | $ | 12.91 | $ | 13.40 | $ | 14.36 | $ | 12.69 | $ | 13.56 | ||||||||||||||
| Total Return(c) | (0.85 | )% | 6.04 | % | 16.66 | % | 13.18 | % | 3.66 | % | (1.96 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,588 | $ | 1,487 | $ | 172 | $ | 178 | $ | 195 | $ | 355 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.80 | %(d) | 1.78 | % | 1.80 | % | 1.92 | % | 1.97 | % | 1.97 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
6.20 | %(d) | 4.97 | % | 5.86 | % | 5.38 | % | 4.33 | % | 3.56 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.05 | )%(d) | 0.18 | % | 0.05 | % | (0.18 | )% | (0.10 | )% | (0.21 | )% | ||||||||||||||
|
Portfolio turnover rate(e) |
16 | % | 47 | % | 71 | % | 77 | % | 49 | % | 67 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BLUE CHIP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Blue Chip Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.73 | $ | 14.10 | $ | 14.92 | $ | 13.17 | $ | 14.01 | $ | 16.75 | ||||||||||||||
|
Net investment income(a) |
0.08 | 0.16 | 0.16 | 0.12 | 0.14 | 0.14 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.07 | ) | 0.67 | 2.17 | 1.77 | 0.51 | (0.16 | ) | ||||||||||||||||||
|
Total from investment operations |
0.01 | 0.83 | 2.33 | 1.89 | 0.65 | (0.02 | ) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.19 | ) | (0.11 | ) | (0.14 | ) | (0.14 | ) | (0.13 | ) | (0.13 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.46 | ) | (1.09 | ) | (3.01 | ) | — | (b) | (1.36 | ) | (2.59 | ) | ||||||||||||||
|
Total distributions |
(0.65 | ) | (1.20 | ) | (3.15 | ) | (0.14 | ) | (1.49 | ) | (2.72 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.09 | $ | 13.73 | $ | 14.10 | $ | 14.92 | $ | 13.17 | $ | 14.01 | ||||||||||||||
| Total Return(c) | (0.30 | )% | 7.27 | % | 17.92 | % | 14.43 | % | 4.84 | % | (0.82 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 812 | $ | 791 | $ | 4,969 | $ | 3,499 | $ | 4,754 | $ | 10,855 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.70 | %(d) | 0.67 | % | 0.68 | % | 0.79 | % | 0.82 | % | 0.81 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.07 | %(d) | 3.97 | % | 4.65 | % | 4.28 | % | 3.16 | % | 2.42 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.06 | %(d) | 1.22 | % | 1.20 | % | 0.88 | % | 1.10 | % | 0.93 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
16 | % | 47 | % | 71 | % | 77 | % | 49 | % | 67 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS BLUE CHIP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Blue Chip Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.72 | $ | 14.11 | $ | 14.92 | $ | 13.16 | $ | 13.98 | $ | 16.72 | ||||||||||||||
|
Net investment income(a) |
0.05 | 0.15 | 0.14 | 0.11 | 0.13 | 0.11 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.05 | ) | 0.65 | 2.18 | 1.76 | 0.50 | (0.15 | ) | ||||||||||||||||||
|
Total from investment operations |
— | 0.80 | 2.32 | 1.87 | 0.63 | (0.04 | ) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.16 | ) | (0.10 | ) | (0.12 | ) | (0.11 | ) | (0.09 | ) | (0.11 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.46 | ) | (1.09 | ) | (3.01 | ) | — | (b) | (1.36 | ) | (2.59 | ) | ||||||||||||||
|
Total distributions |
(0.62 | ) | (1.19 | ) | (3.13 | ) | (0.11 | ) | (1.45 | ) | (2.70 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.10 | $ | 13.72 | $ | 14.11 | $ | 14.92 | $ | 13.16 | $ | 13.98 | ||||||||||||||
| Total Return(c) | (0.25 | )% | 7.05 | % | 17.86 | % | 14.27 | % | 4.67 | % | (0.98 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 240 | $ | 1,064 | $ | 235 | $ | 188 | $ | 156 | $ | 800 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.83 | %(d) | 0.78 | % | 0.79 | % | 0.92 | % | 0.97 | % | 0.96 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.16 | %(d) | 4.06 | % | 4.87 | % | 4.47 | % | 3.54 | % | 1.06 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.72 | %(d) | 1.16 | % | 1.06 | % | 0.78 | % | 0.97 | % | 0.73 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
16 | % | 47 | % | 71 | % | 77 | % | 49 | % | 67 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BLUE CHIP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Blue Chip Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 13.73 | $ | 14.11 | $ | 13.06 | ||||||||
|
Net investment income(b) |
0.07 | 0.17 | 0.06 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.06 | ) | 0.65 | 0.99 | ||||||||||
|
Total from investment operations |
0.01 | 0.82 | 1.05 | |||||||||||
|
Distributions to shareholders from net investment income |
(0.19 | ) | (0.11 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.46 | ) | (1.09 | ) | — | |||||||||
|
Total distributions |
(0.65 | ) | (1.20 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 13.09 | $ | 13.73 | $ | 14.11 | ||||||||
| Total Return(c) | (0.28 | )% | 7.22 | % | 8.04 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,856 | $ | 2,135 | $ | 2,026 | ||||||||
|
Ratio of net expenses to average net assets |
0.69 | %(d) | 0.66 | % | 0.66 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
5.06 | %(d) | 3.88 | % | 5.72 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
1.04 | %(d) | 1.26 | % | 1.23 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
16 | % | 47 | % | 71 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS BLUE CHIP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Blue Chip Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.67 | $ | 14.07 | $ | 14.89 | $ | 13.09 | $ | 13.88 | $ | 16.62 | ||||||||||||||
|
Net investment income(a) |
0.03 | 0.08 | 0.08 | 0.04 | 0.07 | 0.04 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.07 | ) | 0.67 | 2.16 | 1.76 | 0.50 | (0.16 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.04 | ) | 0.75 | 2.24 | 1.80 | 0.57 | (0.12 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.11 | ) | (0.06 | ) | (0.05 | ) | — | — | (0.03 | ) | ||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.46 | ) | (1.09 | ) | (3.01 | ) | — | (b) | (1.36 | ) | (2.59 | ) | ||||||||||||||
|
Total distributions |
(0.57 | ) | (1.15 | ) | (3.06 | ) | — | (b) | (1.36 | ) | (2.62 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.06 | $ | 13.67 | $ | 14.07 | $ | 14.89 | $ | 13.09 | $ | 13.88 | ||||||||||||||
| Total Return(c) | (0.54 | )% | 6.58 | % | 17.21 | % | 13.77 | % | 4.18 | % | (1.48 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 19 | $ | 20 | $ | 20 | $ | 22 | $ | 19 | $ | 118 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.30 | %(d) | 1.27 | % | 1.29 | % | 1.41 | % | 1.47 | % | 1.46 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.70 | %(d) | 4.53 | % | 5.36 | % | 4.88 | % | 3.70 | % | 3.10 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.45 | %(d) | 0.64 | % | 0.55 | % | 0.30 | % | 0.49 | % | 0.28 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
16 | % | 47 | % | 71 | % | 77 | % | 49 | % | 67 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BLUE CHIP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Blue Chip Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.73 | $ | 14.11 | $ | 14.93 | $ | 13.17 | $ | 14.01 | $ | 15.04 | ||||||||||||||
|
Net investment income(b) |
0.07 | 0.17 | 0.16 | 0.13 | 0.14 | 0.01 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.06 | ) | 0.65 | 2.17 | 1.77 | 0.51 | (1.04 | ) | ||||||||||||||||||
|
Total from investment operations |
0.01 | 0.82 | 2.33 | 1.90 | 0.65 | (1.03 | ) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.19 | ) | (0.11 | ) | (0.14 | ) | (0.14 | ) | (0.13 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.46 | ) | (1.09 | ) | (3.01 | ) | — | (c) | (1.36 | ) | — | |||||||||||||||
|
Total distributions |
(0.65 | ) | (1.20 | ) | (3.15 | ) | (0.14 | ) | (1.49 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 13.09 | $ | 13.73 | $ | 14.11 | $ | 14.93 | $ | 13.17 | $ | 14.01 | ||||||||||||||
| Total Return(d) | (0.21 | )% | 7.20 | % | 17.94 | % | 14.52 | % | 4.86 | % | (6.85 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,678 | $ | 3,229 | $ | 11 | $ | 11 | $ | 10 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.69 | %(e) | 0.66 | % | 0.68 | % | 0.77 | % | 0.81 | % | 0.76 | %(e) | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.05 | %(e) | 3.76 | % | 4.73 | % | 4.20 | % | 3.14 | % | 1.65 | %(e) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.98 | %(e) | 1.31 | % | 1.16 | % | 0.95 | % | 1.09 | % | 1.08 | %(e) | ||||||||||||||
|
Portfolio turnover rate(f) |
16 | % | 47 | % | 71 | % | 77 | % | 49 | % | 67 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (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. 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. | 57 |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 22.93 | $ | 32.46 | $ | 28.92 | $ | 24.15 | $ | 24.80 | $ | 28.16 | ||||||||||||||
|
Net investment income(a) |
0.03 | 0.08 | 0.02 | 0.04 | 0.03 | 0.01 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.33 | (0.28 | ) | 6.01 | 5.07 | 1.37 | 1.00 | |||||||||||||||||||
|
Total from investment operations |
0.36 | (0.20 | ) | 6.03 | 5.11 | 1.40 | 1.01 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.08 | ) | — | (b) | (0.02 | ) | (0.01 | ) | — | — | ||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Total distributions |
(0.97 | ) | (9.33 | ) | (2.49 | ) | (0.34 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 22.32 | $ | 22.93 | $ | 32.46 | $ | 28.92 | $ | 24.15 | $ | 24.80 | ||||||||||||||
| Total Return(c) | 1.35 | % | 3.72 | % | 22.01 | % | 21.47 | % | 5.79 | % | 3.34 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 683,196 | $ | 708,827 | $ | 745,362 | $ | 671,371 | $ | 630,091 | $ | 669,345 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.14 | %(d) | 1.14 | % | 1.14 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.32 | %(d) | 1.22 | % | 1.31 | % | 1.51 | % | 1.51 | % | 1.49 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.29 | %(d) | 0.36 | % | 0.06 | % | 0.14 | % | 0.11 | % | 0.04 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
19 | % | 55 | % | 93 | % | 48 | % | 45 | % | 55 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 14.05 | $ | 24.01 | $ | 22.13 | $ | 18.68 | $ | 19.77 | $ | 23.45 | ||||||||||||||
|
Net investment loss(a) |
(0.03 | ) | (0.07 | ) | (0.16 | ) | (0.12 | ) | (0.12 | ) | (0.15 | ) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.22 | (0.56 | ) | 4.51 | 3.90 | 1.08 | 0.84 | |||||||||||||||||||
|
Total from investment operations |
0.19 | (0.63 | ) | 4.35 | 3.78 | 0.96 | 0.69 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.35 | $ | 14.05 | $ | 24.01 | $ | 22.13 | $ | 18.68 | $ | 19.77 | ||||||||||||||
| Total Return(b) | 1.00 | % | 3.01 | % | 21.11 | % | 20.59 | % | 4.98 | % | 2.55 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 16,798 | $ | 18,674 | $ | 65,983 | $ | 62,701 | $ | 68,960 | $ | 75,941 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.89 | %(c) | 1.89 | % | 1.89 | % | 1.90 | % | 1.90 | % | 1.90 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.07 | %(c) | 1.97 | % | 2.06 | % | 2.26 | % | 2.26 | % | 2.25 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.47 | )%(c) | (0.41 | )% | (0.70 | )% | (0.61 | )% | (0.64 | )% | (0.71 | )% | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 55 | % | 93 | % | 48 | % | 45 | % | 55 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 26.39 | $ | 35.76 | $ | 31.60 | $ | 26.35 | $ | 26.82 | $ | 30.01 | ||||||||||||||
|
Net investment income(a) |
0.09 | 0.20 | 0.13 | 0.15 | 0.13 | 0.12 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.37 | (0.17 | ) | 6.62 | 5.54 | 1.49 | 1.06 | |||||||||||||||||||
|
Total from investment operations |
0.46 | 0.03 | 6.75 | 5.69 | 1.62 | 1.18 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.17 | ) | (0.07 | ) | (0.12 | ) | (0.11 | ) | (0.04 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Total distributions |
(1.06 | ) | (9.40 | ) | (2.59 | ) | (0.44 | ) | (2.09 | ) | (4.37 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 25.79 | $ | 26.39 | $ | 35.76 | $ | 31.60 | $ | 26.35 | $ | 26.82 | ||||||||||||||
| Total Return(b) | 1.52 | % | 4.14 | % | 22.50 | % | 21.96 | % | 6.19 | % | 3.75 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 58,554 | $ | 60,169 | $ | 77,293 | $ | 165,948 | $ | 141,442 | $ | 173,539 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.76 | %(c) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.94 | %(c) | 0.83 | % | 0.93 | % | 1.11 | % | 1.11 | % | 1.09 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.67 | %(c) | 0.74 | % | 0.40 | % | 0.54 | % | 0.50 | % | 0.44 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 55 | % | 93 | % | 48 | % | 45 | % | 55 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 21.73 | $ | 31.33 | $ | 28.00 | $ | 23.40 | $ | 24.12 | $ | 27.53 | ||||||||||||||
|
Net investment income (loss)(a) |
0.02 | 0.06 | (0.01 | ) | — | — | (b) | (0.02 | ) | |||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.32 | (0.33 | ) | 5.81 | 4.93 | 1.33 | 0.98 | |||||||||||||||||||
|
Total from investment operations |
0.34 | (0.27 | ) | 5.80 | 4.93 | 1.33 | 0.96 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.07 | ) | — | — | — | — | — | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Total distributions |
(0.96 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 21.11 | $ | 21.73 | $ | 31.33 | $ | 28.00 | $ | 23.40 | $ | 24.12 | ||||||||||||||
| Total Return(c) | 1.31 | % | 3.57 | % | 21.91 | % | 21.36 | % | 5.66 | % | 3.23 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,801 | $ | 1,546 | $ | 1,802 | $ | 1,437 | $ | 1,561 | $ | 1,917 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.26 | %(d) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.44 | %(d) | 1.33 | % | 1.41 | % | 1.61 | % | 1.61 | % | 1.60 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.18 | %(d) | 0.25 | % | (0.04 | )% | (0.02 | )% | 0.01 | % | (0.08 | )% | ||||||||||||||
|
Portfolio turnover rate(e) |
19 | % | 55 | % | 93 | % | 48 | % | 45 | % | 55 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 23.43 | $ | 32.94 | $ | 29.31 | $ | 24.48 | $ | 25.07 | $ | 28.36 | ||||||||||||||
|
Net investment income(a) |
0.07 | 0.15 | 0.09 | 0.11 | 0.08 | 0.07 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.34 | (0.28 | ) | 6.11 | 5.13 | 1.40 | 1.01 | |||||||||||||||||||
|
Total from investment operations |
0.41 | (0.13 | ) | 6.20 | 5.24 | 1.48 | 1.08 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.14 | ) | (0.05 | ) | (0.10 | ) | (0.08 | ) | (0.02 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Total distributions |
(1.03 | ) | (9.38 | ) | (2.57 | ) | (0.41 | ) | (2.07 | ) | (4.37 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 22.81 | $ | 23.43 | $ | 32.94 | $ | 29.31 | $ | 24.48 | $ | 25.07 | ||||||||||||||
| Total Return(b) | 1.49 | % | 3.96 | % | 22.35 | % | 21.77 | % | 6.05 | % | 3.59 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 7,423 | $ | 6,649 | $ | 9,259 | $ | 8,496 | $ | 4,297 | $ | 3,823 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.89 | %(c) | 0.89 | % | 0.89 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.07 | %(c) | 0.97 | % | 1.06 | % | 1.26 | % | 1.26 | % | 1.24 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.54 | %(c) | 0.60 | % | 0.31 | % | 0.43 | % | 0.35 | % | 0.28 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 55 | % | 93 | % | 48 | % | 45 | % | 55 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 26.34 | $ | 35.74 | $ | 33.39 | ||||||||
|
Net investment income(b) |
0.09 | 0.20 | 0.09 | |||||||||||
|
Net realized and unrealized gain (loss) |
0.38 | (0.18 | ) | 2.26 | ||||||||||
|
Total from investment operations |
0.47 | 0.02 | 2.35 | |||||||||||
|
Distributions to shareholders from net investment income |
(0.17 | ) | (0.09 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | — | |||||||||
|
Total distributions |
(1.06 | ) | (9.42 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 25.75 | $ | 26.34 | $ | 35.74 | ||||||||
| Total Return(c) | 1.57 | % | 4.13 | % | 7.04 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 84,950 | $ | 85,422 | $ | 104,131 | ||||||||
|
Ratio of net expenses to average net assets |
0.75 | %(d) | 0.74 | % | 0.74 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
0.93 | %(d) | 0.82 | % | 0.85 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.68 | %(d) | 0.75 | % | 0.72 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
19 | % | 55 | % | 93 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 21.63 | $ | 31.26 | $ | 28.01 | $ | 23.44 | $ | 24.19 | $ | 27.64 | ||||||||||||||
|
Net investment income (loss)(a) |
— | (b) | 0.02 | (0.06 | ) | (0.03 | ) | (0.03 | ) | (0.06 | ) | |||||||||||||||
|
Net realized and unrealized gain (loss) |
0.31 | (0.32 | ) | 5.81 | 4.93 | 1.33 | 0.98 | |||||||||||||||||||
|
Total from investment operations |
0.31 | (0.30 | ) | 5.75 | 4.90 | 1.30 | 0.92 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.04 | ) | — | (0.03 | ) | — | — | — | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Total distributions |
(0.93 | ) | (9.33 | ) | (2.50 | ) | (0.33 | ) | (2.05 | ) | (4.37 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 21.01 | $ | 21.63 | $ | 31.26 | $ | 28.01 | $ | 23.44 | $ | 24.19 | ||||||||||||||
| Total Return(c) | 1.20 | % | 3.47 | % | 21.73 | % | 21.19 | % | 5.51 | % | 3.05 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 8,375 | $ | 8,559 | $ | 8,887 | $ | 8,093 | $ | 3,450 | $ | 3,500 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.39 | %(d) | 1.39 | % | 1.39 | % | 1.40 | % | 1.40 | % | 1.40 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.57 | %(d) | 1.47 | % | 1.56 | % | 1.77 | % | 1.76 | % | 1.74 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.04 | %(d) | 0.11 | % | (0.20 | )% | (0.10 | )% | (0.15 | )% | (0.21 | )% | ||||||||||||||
|
Portfolio turnover rate(e) |
19 | % | 55 | % | 93 | % | 48 | % | 45 | % | 55 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CAPITAL GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Capital Growth Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 26.35 | $ | 35.75 | $ | 31.60 | $ | 26.34 | $ | 26.82 | $ | 28.86 | ||||||||||||||
|
Net investment income(b) |
0.09 | 0.19 | 0.20 | 0.16 | 0.13 | 0.01 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.38 | (0.17 | ) | 6.55 | 5.55 | 1.49 | (2.05 | ) | ||||||||||||||||||
|
Total from investment operations |
0.47 | 0.02 | 6.75 | 5.71 | 1.62 | (2.04 | ) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.17 | ) | (0.09 | ) | (0.13 | ) | (0.12 | ) | (0.05 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.89 | ) | (9.33 | ) | (2.47 | ) | (0.33 | ) | (2.05 | ) | — | |||||||||||||||
|
Total distributions |
(1.06 | ) | (9.42 | ) | (2.60 | ) | (0.45 | ) | (2.10 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 25.76 | $ | 26.35 | $ | 35.75 | $ | 31.60 | $ | 26.34 | $ | 26.82 | ||||||||||||||
| Total Return(c) | 1.53 | % | 4.12 | % | 22.53 | % | 21.99 | % | 6.19 | % | (7.07 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 2,200 | $ | 2,313 | $ | 60 | $ | 16 | $ | 10 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.75 | %(d) | 0.74 | % | 0.74 | % | 0.75 | % | 0.74 | % | 0.76 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.93 | %(d) | 0.83 | % | 0.90 | % | 1.10 | % | 1.09 | % | 1.11 | %(d) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.68 | %(d) | 0.75 | % | 0.60 | % | 0.56 | % | 0.52 | % | 0.54 | %(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
19 | % | 55 | % | 93 | % | 48 | % | 45 | % | 55 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Concentrated Growth Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 17.55 | $ | 19.33 | $ | 17.62 | $ | 15.06 | $ | 16.06 | $ | 18.94 | ||||||||||||||
|
Net investment income (loss)(a) |
(0.03 | ) | (0.03 | ) | (0.01 | ) | 0.02 | — | (b) | — | (c)(d) | |||||||||||||||
|
Net realized and unrealized gain |
1.06 | 0.35 | 3.82 | 2.64 | 0.81 | 0.55 | ||||||||||||||||||||
|
Total from investment operations |
1.03 | 0.32 | 3.81 | 2.66 | 0.81 | 0.55 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
— | — | — | (c) | (0.03 | ) | — | — | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.48 | ) | (2.10 | ) | (2.10 | ) | (0.07 | ) | (1.81 | ) | (3.43 | ) | ||||||||||||||
|
Total distributions |
(1.48 | ) | (2.10 | ) | (2.10 | ) | (0.10 | ) | (1.81 | ) | (3.43 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 17.10 | $ | 17.55 | $ | 19.33 | $ | 17.62 | $ | 15.06 | $ | 16.06 | ||||||||||||||
| Total Return(e) | 5.80 | % | 3.58 | % | 23.68 | % | 17.75 | % | 5.10 | % | 2.54 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 6,829 | $ | 6,735 | $ | 5,633 | $ | 5,462 | $ | 6,573 | $ | 7,350 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.16 | %(f) | 1.16 | % | 1.17 | % | 1.20 | % | 1.22 | % | 1.24 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.64 | %(f) | 1.45 | % | 1.51 | % | 1.65 | % | 1.63 | % | 1.60 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.32 | )%(f) | (0.18 | )% | (0.05 | )% | 0.11 | % | 0.03 | %(b) | 0.02 | %(d) | ||||||||||||||
|
Portfolio turnover rate(g) |
22 | % | 40 | % | 44 | % | 54 | %(h) | 55 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.19% of average net assets. |
| (c) | Amount is less than $0.005 per share. |
| (d) | Reflects income recognized from a special dividend which amounted to $0.05 per share and 0.30% of average net assets. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (h) | On July 28, 2017, Goldman Sachs Concentrated Growth Fund acquired all of the net assets of Goldman Sachs Focused Growth Fund pursuant to an Agreement and Plan of Reorganization. Portfolio turnover excludes purchases and sales of securities by Goldman Sachs Focused Growth Fund (acquired fund) prior to the merger date. |
| 66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Concentrated Growth Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.87 | $ | 15.88 | $ | 14.93 | $ | 12.84 | $ | 14.05 | $ | 17.09 | ||||||||||||||
|
Net investment loss(a) |
(0.08 | ) | (0.13 | ) | (0.12 | ) | (0.08 | ) | (0.09 | )(b) | (0.11 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
0.85 | 0.22 | 3.17 | 2.24 | 0.69 | 0.50 | ||||||||||||||||||||
|
Total from investment operations |
0.77 | 0.09 | 3.05 | 2.16 | 0.60 | 0.39 | ||||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.48 | ) | (2.10 | ) | (2.10 | ) | (0.07 | ) | (1.81 | ) | (3.43 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.16 | $ | 13.87 | $ | 15.88 | $ | 14.93 | $ | 12.84 | $ | 14.05 | ||||||||||||||
| Total Return(d) | 5.37 | % | 2.81 | % | 22.74 | % | 16.88 | % | 4.27 | % | 1.78 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 863 | $ | 823 | $ | 2,137 | $ | 2,210 | $ | 2,192 | $ | 3,604 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.91 | %(e) | 1.91 | % | 1.92 | % | 1.95 | % | 1.98 | % | 1.99 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.40 | %(e) | 2.21 | % | 2.26 | % | 2.40 | % | 2.38 | % | 2.35 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(1.07 | )%(e) | (0.98 | )% | (0.80 | )% | (0.61 | )% | (0.71 | )%(b) | (0.74 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
22 | % | 40 | % | 44 | % | 54 | %(g) | 55 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.19% of average net assets. |
| (c) | Reflects income recognized from a special dividend which amounted to $0.05 per share and 0.30% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (g) | On July 28, 2017, Goldman Sachs Concentrated Growth Fund acquired all of the net assets of Goldman Sachs Focused Growth Fund pursuant to an Agreement and Plan of Reorganization. Portfolio turnover excludes purchases and sales of securities by Goldman Sachs Focused Growth Fund (acquired fund) prior to the merger date. |
| The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Concentrated Growth Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 18.93 | $ | 20.61 | $ | 18.65 | $ | 15.94 | $ | 16.88 | $ | 19.71 | ||||||||||||||
|
Net investment income(a) |
— | (b) | 0.03 | 0.06 | 0.09 | 0.07 | (c) | 0.08 | (d) | |||||||||||||||||
|
Net realized and unrealized gain |
1.14 | 0.41 | 4.07 | 2.78 | 0.84 | 0.57 | ||||||||||||||||||||
|
Total from investment operations |
1.14 | 0.44 | 4.13 | 2.87 | 0.91 | 0.65 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | (0.02 | ) | (0.07 | ) | (0.09 | ) | (0.04 | ) | (0.05 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.48 | ) | (2.10 | ) | (2.10 | ) | (0.07 | ) | (1.81 | ) | (3.43 | ) | ||||||||||||||
|
Total distributions |
(1.50 | ) | (2.12 | ) | (2.17 | ) | (0.16 | ) | (1.85 | ) | (3.48 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 18.57 | $ | 18.93 | $ | 20.61 | $ | 18.65 | $ | 15.94 | $ | 16.88 | ||||||||||||||
| Total Return(e) | 5.96 | % | 3.98 | % | 24.13 | % | 18.22 | % | 5.47 | % | 2.97 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 12,148 | $ | 12,497 | $ | 15,286 | $ | 142,623 | $ | 134,818 | $ | 155,652 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.81 | %(f) | 0.80 | % | 0.81 | % | 0.82 | % | 0.82 | % | 0.84 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.26 | %(f) | 1.07 | % | 1.20 | % | 1.26 | % | 1.23 | % | 1.20 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.03 | %(f) | 0.17 | % | 0.31 | % | 0.51 | % | 0.43 | %(c) | 0.42 | %(d) | ||||||||||||||
|
Portfolio turnover rate(g) |
22 | % | 40 | % | 44 | % | 54 | %(h) | 55 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.19% of average net assets. |
| (d) | Reflects income recognized from a special dividend which amounted to $0.05 per share and 0.30% of average net assets. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (h) | On July 28, 2017, Goldman Sachs Concentrated Growth Fund acquired all of the net assets of Goldman Sachs Focused Growth Fund pursuant to an Agreement and Plan of Reorganization. Portfolio turnover excludes purchases and sales of securities by Goldman Sachs Focused Growth Fund (acquired fund) prior to the merger date. |
| 68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Concentrated Growth Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 17.90 | $ | 19.66 | $ | 17.88 | $ | 15.28 | $ | 16.26 | $ | 19.10 | ||||||||||||||
|
Net investment income (loss)(a) |
(0.01 | ) | 0.01 | 0.03 | 0.07 | 0.04 | (b) | 0.05 | (c) | |||||||||||||||||
|
Net realized and unrealized gain |
1.08 | 0.36 | 3.88 | 2.67 | 0.81 | 0.56 | ||||||||||||||||||||
|
Total from investment operations |
1.07 | 0.37 | 3.91 | 2.74 | 0.85 | 0.61 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
— | (d) | (0.03 | ) | (0.03 | ) | (0.07 | ) | (0.02 | ) | (0.02 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.48 | ) | (2.10 | ) | (2.10 | ) | (0.07 | ) | (1.81 | ) | (3.43 | ) | ||||||||||||||
|
Total distributions |
(1.48 | ) | (2.13 | ) | (2.13 | ) | (0.14 | ) | (1.83 | ) | (3.45 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 17.49 | $ | 17.90 | $ | 19.66 | $ | 17.88 | $ | 15.28 | $ | 16.26 | ||||||||||||||
| Total Return(e) | 5.93 | % | 3.83 | % | 23.94 | % | 18.14 | % | 5.31 | % | 2.84 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 129 | $ | 133 | $ | 463 | $ | 780 | $ | 452 | $ | 342 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.91 | %(f) | 0.91 | % | 0.92 | % | 0.95 | % | 0.97 | % | 0.99 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.40 | %(f) | 1.22 | % | 1.26 | % | 1.41 | % | 1.38 | % | 1.35 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.07 | )%(f) | 0.03 | % | 0.17 | % | 0.45 | % | 0.27 | %(b) | 0.29 | %(c) | ||||||||||||||
|
Portfolio turnover rate(g) |
22 | % | 40 | % | 44 | % | 54 | %(h) | 55 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.19% of average net assets. |
| (c) | Reflects income recognized from a special dividend which amounted to $0.05 per share and 0.30% of average net assets. |
| (d) | Amount is less than $0.005 per share. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (h) | On July 28, 2017, Goldman Sachs Concentrated Growth Fund acquired all of the net assets of Goldman Sachs Focused Growth Fund pursuant to an Agreement and Plan of Reorganization. Portfolio turnover excludes purchases and sales of securities by Goldman Sachs Focused Growth Fund (acquired fund) prior to the merger date. |
| The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Concentrated Growth Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 18.88 | $ | 20.60 | $ | 18.54 | ||||||||
|
Net investment income(b) |
— | (c) | 0.03 | 0.02 | ||||||||||
|
Net realized and unrealized gain |
1.13 | 0.40 | 2.04 | |||||||||||
|
Total from investment operations |
1.13 | 0.43 | 2.06 | |||||||||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | (0.05 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(1.48 | ) | (2.10 | ) | — | |||||||||
|
Total distributions |
(1.50 | ) | (2.15 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 18.51 | $ | 18.88 | $ | 20.60 | ||||||||
| Total Return(d) | 5.99 | % | 4.01 | % | 11.11 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 131,433 | $ | 128,289 | $ | 143,078 | ||||||||
|
Ratio of net expenses to average net assets |
0.80 | %(e) | 0.79 | % | 0.79 | %(e) | ||||||||
|
Ratio of total expenses to average net assets |
1.25 | %(e) | 1.06 | % | 0.72 | %(e) | ||||||||
|
Ratio of net investment income to average net assets |
0.04 | %(e) | 0.18 | % | 0.32 | %(e) | ||||||||
|
Portfolio turnover rate(f) |
22 | % | 40 | % | 44 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Concentrated Growth Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 16.84 | $ | 18.68 | $ | 17.13 | $ | 14.65 | $ | 15.71 | $ | 18.64 | ||||||||||||||
|
Net investment loss(a) |
(0.05 | ) | (0.07 | ) | (0.05 | ) | (0.02 | ) | (0.04 | )(b) | (0.05 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
1.01 | 0.33 | 3.70 | 2.57 | 0.79 | 0.55 | ||||||||||||||||||||
|
Total from investment operations |
0.96 | 0.26 | 3.65 | 2.55 | 0.75 | 0.50 | ||||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.48 | ) | (2.10 | ) | (2.10 | ) | (0.07 | ) | (1.81 | ) | (3.43 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 16.32 | $ | 16.84 | $ | 18.68 | $ | 17.13 | $ | 14.65 | $ | 15.71 | ||||||||||||||
| Total Return(d) | 5.62 | % | 3.36 | % | 23.37 | % | 17.46 | % | 4.81 | % | 2.28 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 25 | $ | 36 | $ | 34 | $ | 25 | $ | 22 | $ | 27 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.41 | %(e) | 1.41 | % | 1.42 | % | 1.45 | % | 1.48 | % | 1.49 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.90 | %(e) | 1.70 | % | 1.75 | % | 1.91 | % | 1.89 | % | 1.87 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.58 | )%(e) | (0.43 | )% | (0.29 | )% | (0.14 | )% | (0.25 | )%(b) | (0.31 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
22 | % | 40 | % | 44 | % | 54 | %(g) | 55 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.19% of average net assets. |
| (c) | Reflects income recognized from a special dividend which amounted to $0.05 per share and 0.30% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (g) | On July 28, 2017, Goldman Sachs Concentrated Growth Fund acquired all of the net assets of Goldman Sachs Focused Growth Fund pursuant to an Agreement and Plan of Reorganization. Portfolio turnover excludes purchases and sales of securities by Goldman Sachs Focused Growth Fund (acquired fund) prior to the merger date. |
| The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS CONCENTRATED GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Concentrated Growth Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 18.88 | $ | 20.60 | $ | 18.65 | $ | 15.95 | $ | 16.88 | $ | 18.04 | ||||||||||||||
|
Net investment income(b) |
— | (c) | 0.04 | 0.06 | 0.13 | 0.07 | (d) | 0.01 | (e) | |||||||||||||||||
|
Net realized and unrealized gain (loss) |
1.14 | 0.39 | 4.06 | 2.74 | 0.85 | (1.17 | ) | |||||||||||||||||||
|
Total from investment operations |
1.14 | 0.43 | 4.12 | 2.87 | 0.92 | (1.16 | ) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | (0.05 | ) | (0.07 | ) | (0.10 | ) | (0.04 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.48 | ) | (2.10 | ) | (2.10 | ) | (0.07 | ) | (1.81 | ) | — | |||||||||||||||
|
Total distributions |
(1.50 | ) | (2.15 | ) | (2.17 | ) | (0.17 | ) | (1.85 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 18.52 | $ | 18.88 | $ | 20.60 | $ | 18.65 | $ | 15.95 | $ | 16.88 | ||||||||||||||
| Total Return(f) | 5.98 | % | 4.00 | % | 24.09 | % | 18.17 | % | 5.56 | % | (6.43 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 526 | $ | 538 | $ | 99 | $ | 68 | $ | 10 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.80 | %(g) | 0.79 | % | 0.80 | % | 0.82 | % | 0.81 | % | 0.77 | %(g) | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.25 | %(g) | 1.04 | % | 1.09 | % | 1.32 | % | 1.21 | % | 1.48 | %(g) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.03 | %(g) | 0.22 | % | 0.34 | % | 0.74 | % | 0.44 | %(d) | 0.46 | %(e)(g) | ||||||||||||||
|
Portfolio turnover rate(h) |
22 | % | 40 | % | 44 | % | 54 | %(i) | 55 | % | 47 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Amount is less than $0.005 per share. |
| (d) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.19% of average net assets. |
| (e) | Reflects income recognized from a special dividend which amounted to $0.05 per share and 0.30% of average net assets. |
| (f) | 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. |
| (g) | Annualized. |
| (h) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (i) | On July 28, 2017, Goldman Sachs Concentrated Growth Fund acquired all of the net assets of Goldman Sachs Focused Growth Fund pursuant to an Agreement and Plan of Reorganization. Portfolio turnover excludes purchases and sales of securities by Goldman Sachs Focused Growth Fund (acquired fund) prior to the merger date. |
| 72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FLEXIBLE CAP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Flexible Cap Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 11.93 | $ | 12.66 | $ | 14.09 | $ | 11.74 | $ | 11.90 | $ | 13.21 | ||||||||||||||
|
Net investment income (loss)(a) |
0.04 | 0.09 | 0.09 | — | (b) | (0.02 | ) | (0.04 | )(c) | |||||||||||||||||
|
Net realized and unrealized gain |
0.12 | 0.15 | 2.17 | 2.36 | 0.59 | 0.63 | ||||||||||||||||||||
|
Total from investment operations |
0.16 | 0.24 | 2.26 | 2.36 | 0.57 | 0.59 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.08 | ) | (0.10 | ) | (0.01 | ) | — | — | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.62 | ) | (0.87 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Total distributions |
(0.70 | ) | (0.97 | ) | (3.69 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 11.39 | $ | 11.93 | $ | 12.66 | $ | 14.09 | $ | 11.74 | $ | 11.90 | ||||||||||||||
| Total Return(d) | 1.05 | % | 3.07 | % | 18.82 | % | 20.14 | % | 4.93 | % | 4.59 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 5,455 | $ | 5,383 | $ | 5,490 | $ | 5,627 | $ | 5,927 | $ | 7,048 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.00 | %(e) | 0.97 | % | 0.95 | % | 1.20 | % | 1.22 | % | 1.24 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
3.79 | %(e) | 2.88 | % | 2.47 | % | 3.01 | % | 3.07 | % | 2.97 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.58 | %(e) | 0.74 | % | 0.73 | % | (0.01 | )% | (0.21 | )% | (0.30 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
21 | % | 50 | % | 157 | % | 47 | % | 46 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (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. 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. | 73 |
GOLDMAN SACHS FLEXIBLE CAP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Flexible Cap Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.23 | $ | 11.00 | $ | 12.75 | $ | 10.71 | $ | 11.00 | $ | 12.43 | ||||||||||||||
|
Net investment loss(a) |
(0.01 | ) | — | (b) | — | (b) | (0.09 | ) | (0.10 | ) | (0.12 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
0.11 | 0.13 | 1.93 | 2.14 | 0.54 | 0.59 | ||||||||||||||||||||
|
Total from investment operations |
0.10 | 0.13 | 1.93 | 2.05 | 0.44 | 0.47 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | (0.03 | ) | — | — | — | — | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.62 | ) | (0.87 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Total distributions |
(0.64 | ) | (0.90 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 9.69 | $ | 10.23 | $ | 11.00 | $ | 12.75 | $ | 10.71 | $ | 11.00 | ||||||||||||||
| Total Return(d) | 0.66 | % | 2.30 | % | 18.00 | % | 19.18 | % | 4.12 | % | 3.83 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,338 | $ | 1,288 | $ | 1,304 | $ | 1,512 | $ | 1,474 | $ | 1,802 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.75 | %(f) | 1.72 | % | 1.70 | % | 1.95 | % | 1.97 | % | 1.98 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
4.54 | %(f) | 3.63 | % | 3.20 | % | 3.76 | % | 3.82 | % | 3.71 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.17 | )%(f) | — | %(e) | (0.02 | )% | (0.75 | )% | (0.96 | )% | (1.04 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(g) |
21 | % | 50 | % | 157 | % | 47 | % | 46 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (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) | Amount is less than 0.005% per share. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 74 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FLEXIBLE CAP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Flexible Cap Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 12.94 | $ | 13.61 | $ | 14.88 | $ | 12.35 | $ | 12.44 | $ | 13.68 | ||||||||||||||
|
Net investment income(a) |
0.06 | 0.13 | 0.14 | 0.05 | 0.02 | 0.01 | (b) | |||||||||||||||||||
|
Net realized and unrealized gain |
0.13 | 0.19 | 2.33 | 2.49 | 0.62 | 0.65 | ||||||||||||||||||||
|
Total from investment operations |
0.19 | 0.32 | 2.47 | 2.54 | 0.64 | 0.66 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | (0.12 | ) | (0.06 | ) | — | — | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.62 | ) | (0.87 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Total distributions |
(0.75 | ) | (0.99 | ) | (3.74 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.38 | $ | 12.94 | $ | 13.61 | $ | 14.88 | $ | 12.35 | $ | 12.44 | ||||||||||||||
| Total Return(c) | 1.12 | % | 3.47 | % | 19.29 | % | 20.61 | % | 5.29 | % | 4.99 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 572 | $ | 587 | $ | 1,633 | $ | 11,111 | $ | 9,330 | $ | 8,586 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.62 | %(d) | 0.59 | % | 0.59 | % | 0.82 | % | 0.82 | % | 0.84 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
3.41 | %(d) | 2.41 | % | 2.01 | % | 2.62 | % | 2.68 | % | 2.57 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.96 | %(d) | 1.08 | % | 1.04 | % | 0.38 | % | 0.20 | % | 0.09 | %(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
21 | % | 50 | % | 157 | % | 47 | % | 46 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS FLEXIBLE CAP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Flexible Cap Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 12.65 | $ | 13.35 | $ | 14.63 | $ | 12.16 | $ | 12.27 | $ | 13.53 | ||||||||||||||
|
Net investment income(a) |
0.05 | 0.12 | 0.12 | 0.05 | — | (b) | — | (b)(c) | ||||||||||||||||||
|
Net realized and unrealized gain |
0.13 | 0.18 | 2.28 | 2.43 | 0.62 | 0.64 | ||||||||||||||||||||
|
Total from investment operations |
0.18 | 0.30 | 2.40 | 2.48 | 0.62 | 0.64 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.11 | ) | (0.13 | ) | — | — | — | — | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.62 | ) | (0.87 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Total distributions |
(0.73 | ) | (1.00 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.10 | $ | 12.65 | $ | 13.35 | $ | 14.63 | $ | 12.16 | $ | 12.27 | ||||||||||||||
| Total Return(d) | 1.11 | % | 3.40 | % | 19.08 | % | 20.43 | % | 5.20 | % | 4.88 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 37 | $ | 70 | $ | 68 | $ | 379 | $ | 197 | $ | 253 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.75 | %(e) | 0.72 | % | 0.70 | % | 0.95 | % | 0.97 | % | 0.98 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
3.55 | %(e) | 2.63 | % | 2.08 | % | 2.83 | % | 2.76 | % | 2.66 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.77 | %(e) | 0.99 | % | 0.88 | % | 0.35 | % | 0.03 | % | (0.03 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
21 | % | 50 | % | 157 | % | 47 | % | 46 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 76 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FLEXIBLE CAP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Flexible Cap Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 12.92 | $ | 13.61 | $ | 12.75 | ||||||||
|
Net investment income(b) |
0.07 | 0.14 | 0.09 | |||||||||||
|
Net realized and unrealized gain |
0.12 | 0.19 | 0.77 | |||||||||||
|
Total from investment operations |
0.19 | 0.33 | 0.86 | |||||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | (0.15 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.62 | ) | (0.87 | ) | — | |||||||||
|
Total distributions |
(0.75 | ) | (1.02 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 12.36 | $ | 12.92 | $ | 13.61 | ||||||||
| Total Return(c) | 1.13 | % | 3.56 | % | 6.75 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 11,304 | $ | 11,110 | $ | 12,616 | ||||||||
|
Ratio of net expenses to average net assets |
0.61 | %(d) | 0.58 | % | 0.58 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
3.40 | %(d) | 2.47 | % | 3.14 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.98 | %(d) | 1.13 | % | 1.79 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
21 | % | 50 | % | 157 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 77 |
GOLDMAN SACHS FLEXIBLE CAP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Flexible Cap Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 11.40 | $ | 12.14 | $ | 13.67 | $ | 11.42 | $ | 11.63 | $ | 12.97 | ||||||||||||||
|
Net investment income (loss)(a) |
0.02 | 0.05 | 0.06 | (0.03 | ) | (0.05 | ) | (0.07 | )(b) | |||||||||||||||||
|
Net realized and unrealized gain |
0.12 | 0.16 | 2.09 | 2.29 | 0.57 | 0.63 | ||||||||||||||||||||
|
Total from investment operations |
0.14 | 0.21 | 2.15 | 2.26 | 0.52 | 0.56 | ||||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.05 | ) | (0.08 | ) | — | — | — | — | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.62 | ) | (0.87 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Total distributions |
(0.67 | ) | (0.95 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | (1.90 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 10.87 | $ | 11.40 | $ | 12.14 | $ | 13.67 | $ | 11.42 | $ | 11.63 | ||||||||||||||
| Total Return(c) | 0.87 | % | 2.89 | % | 18.50 | % | 19.83 | % | 4.61 | % | 4.43 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 40 | $ | 39 | $ | 49 | $ | 39 | $ | 37 | $ | 33 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.25 | %(d) | 1.22 | % | 1.20 | % | 1.45 | % | 1.47 | % | 1.49 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
4.03 | %(d) | 3.13 | % | 2.74 | % | 3.28 | % | 3.33 | % | 3.24 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.33 | %(d) | 0.49 | % | 0.48 | % | (0.23 | )% | (0.45 | )% | (0.55 | )%(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
21 | % | 50 | % | 157 | % | 47 | % | 46 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FLEXIBLE CAP FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Flexible Cap Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 12.91 | $ | 13.61 | $ | 14.88 | $ | 12.35 | $ | 12.44 | $ | 13.38 | ||||||||||||||
|
Net investment income(b) |
0.07 | 0.14 | 0.15 | 0.05 | 0.03 | — | (c)(d) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.13 | 0.18 | 2.32 | 2.49 | 0.61 | (0.94 | ) | |||||||||||||||||||
|
Total from investment operations |
0.20 | 0.32 | 2.47 | 2.54 | 0.64 | (0.94 | ) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | (0.15 | ) | (0.06 | ) | — | — | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.62 | ) | (0.87 | ) | (3.68 | ) | (0.01 | ) | (0.73 | ) | — | |||||||||||||||
|
Total distributions |
(0.75 | ) | (1.02 | ) | (3.74 | ) | (0.01 | ) | (0.73 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 12.36 | $ | 12.91 | $ | 13.61 | $ | 14.88 | $ | 12.35 | $ | 12.44 | ||||||||||||||
| Total Return(e) | 1.21 | % | 3.47 | % | 19.27 | % | 20.61 | % | 5.29 | % | (7.03 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 182 | $ | 202 | $ | 14 | $ | 12 | $ | 10 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.61 | %(f) | 0.59 | % | 0.58 | % | 0.82 | % | 0.81 | % | 0.84 | %(f) | ||||||||||||||
|
Ratio of total expenses to average net assets |
3.40 | %(f) | 2.59 | % | 2.09 | % | 2.61 | % | 2.66 | % | 4.34 | %(f) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.97 | %(f) | 1.17 | % | 1.11 | % | 0.39 | % | 0.22 | % | 0.24 | %(d)(f) | ||||||||||||||
|
Portfolio turnover rate(g) |
21 | % | 50 | % | 157 | % | 47 | % | 46 | % | 41 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Amount is less than $0.005 per share. |
| (d) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 79 |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 18.14 | $ | 23.42 | $ | 23.97 | $ | 21.70 | $ | 23.84 | $ | 30.22 | ||||||||||||||
|
Net investment loss(a) |
(0.05 | ) | (0.09 | ) | (0.14 | ) | (0.12 | ) | (0.10 | )(b) | (0.17 | )(c) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.33 | 0.69 | 4.20 | 2.94 | 0.77 | (0.05 | ) | |||||||||||||||||||
|
Total from investment operations |
0.28 | 0.60 | 4.06 | 2.82 | 0.67 | (0.22 | ) | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | (4.61 | ) | (0.55 | ) | (2.81 | ) | (6.16 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.39 | $ | 18.14 | $ | 23.42 | $ | 23.97 | $ | 21.70 | $ | 23.84 | ||||||||||||||
| Total Return(d) | 0.72 | % | 8.00 | % | 19.37 | % | 13.40 | % | 3.39 | % | (1.47 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 290,390 | $ | 331,433 | $ | 421,605 | $ | 486,115 | $ | 631,053 | $ | 946,463 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.25 | %(e) | 1.27 | % | 1.30 | % | 1.30 | % | 1.32 | % | 1.35 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.40 | %(e) | 1.39 | % | 1.40 | % | 1.43 | % | 1.42 | % | 1.40 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.60 | )%(e) | (0.51 | )% | (0.60 | )% | (0.56 | )% | (0.47 | )%(b) | (0.65 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
28 | % | 69 | % | 60 | % | 61 | % | 55 | % | 51 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.16% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.10% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 80 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.16 | $ | 16.11 | $ | 17.95 | $ | 16.52 | $ | 18.95 | $ | 25.42 | ||||||||||||||
|
Net investment loss(a) |
(0.05 | ) | (0.13 | ) | (0.22 | ) | (0.22 | ) | (0.20 | )(b) | (0.30 | )(c) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.23 | 0.06 | 2.99 | 2.20 | 0.58 | (0.01 | ) | |||||||||||||||||||
|
Total from investment operations |
0.18 | (0.07 | ) | 2.77 | 1.98 | 0.38 | (0.31 | ) | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | (4.61 | ) | (0.55 | ) | (2.81 | ) | (6.16 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 5.31 | $ | 10.16 | $ | 16.11 | $ | 17.95 | $ | 16.52 | $ | 18.95 | ||||||||||||||
| Total Return(d) | 0.20 | % | 7.24 | % | 18.52 | % | 12.49 | % | 2.66 | % | (2.23 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 30,554 | $ | 40,072 | $ | 77,990 | $ | 91,086 | $ | 128,788 | $ | 168,461 | ||||||||||||||
|
Ratio of net expenses to average net assets |
2.00 | %(e) | 2.02 | % | 2.05 | % | 2.05 | % | 2.07 | % | 2.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.16 | %(e) | 2.14 | % | 2.15 | % | 2.18 | % | 2.17 | % | 2.15 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(1.34 | )%(e) | (1.25 | )% | (1.35 | )% | (1.32 | )% | (1.23 | )%(b) | (1.40 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
28 | % | 69 | % | 60 | % | 61 | % | 55 | % | 51 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.16% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.10% of average net assets. |
| (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. 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. | 81 |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 22.93 | $ | 27.78 | $ | 27.54 | $ | 24.76 | $ | 26.71 | $ | 33.02 | ||||||||||||||
|
Net investment loss(a) |
(0.03 | ) | (0.04 | ) | (0.07 | ) | (0.05 | ) | (0.03 | )(b) | (0.07 | )(c) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.38 | 1.07 | 4.92 | 3.38 | 0.89 | (0.08 | ) | |||||||||||||||||||
|
Total from investment operations |
0.35 | 1.03 | 4.85 | 3.33 | 0.86 | (0.15 | ) | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | (4.61 | ) | (0.55 | ) | (2.81 | ) | (6.16 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 18.25 | $ | 22.93 | $ | 27.78 | $ | 27.54 | $ | 24.76 | $ | 26.71 | ||||||||||||||
| Total Return(d) | 0.89 | % | 8.34 | % | 19.78 | % | 13.81 | % | 3.76 | % | (1.08 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 375,860 | $ | 491,659 | $ | 1,178,239 | $ | 1,670,808 | $ | 2,160,714 | $ | 3,171,058 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.91 | %(e) | 0.93 | % | 0.96 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.02 | %(e) | 1.00 | % | 1.01 | % | 1.03 | % | 1.02 | % | 1.00 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.26 | )%(e) | (0.17 | )% | (0.26 | )% | (0.21 | )% | (0.11 | )%(b) | (0.24 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
28 | % | 69 | % | 60 | % | 61 | % | 55 | % | 51 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.16% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.10% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 82 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 16.89 | $ | 22.29 | $ | 23.05 | $ | 20.92 | $ | 23.11 | $ | 29.51 | ||||||||||||||
|
Net investment loss(a) |
(0.06 | ) | (0.11 | ) | (0.17 | ) | (0.15 | ) | (0.13 | )(b) | (0.19 | )(c) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.31 | 0.59 | 4.02 | 2.83 | 0.75 | (0.05 | ) | |||||||||||||||||||
|
Total from investment operations |
0.25 | 0.48 | 3.85 | 2.68 | 0.62 | (0.24 | ) | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | (4.61 | ) | (0.55 | ) | (2.81 | ) | (6.16 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.11 | $ | 16.89 | $ | 22.29 | $ | 23.05 | $ | 20.92 | $ | 23.11 | ||||||||||||||
| Total Return(d) | 0.58 | % | 7.82 | % | 19.21 | % | 13.22 | % | 3.27 | % | (1.59 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 22,310 | $ | 27,094 | $ | 34,211 | $ | 33,159 | $ | 37,432 | $ | 49,105 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.41 | %(e) | 1.43 | % | 1.46 | % | 1.45 | % | 1.45 | % | 1.45 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.52 | %(e) | 1.51 | % | 1.51 | % | 1.53 | % | 1.52 | % | 1.50 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.76 | )%(e) | (0.67 | )% | (0.76 | )% | (0.71 | )% | (0.61 | )%(b) | (0.75 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
28 | % | 69 | % | 60 | % | 61 | % | 55 | % | 51 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.16% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.10% of average net assets. |
| (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. 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. | 83 |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 19.47 | $ | 24.59 | $ | 24.90 | $ | 22.46 | $ | 24.52 | $ | 30.85 | ||||||||||||||
|
Net investment loss(a) |
(0.03 | ) | (0.05 | ) | (0.08 | ) | (0.07 | ) | (0.05 | )(b) | (0.11 | )(c) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.33 | 0.81 | 4.38 | 3.06 | 0.80 | (0.06 | ) | |||||||||||||||||||
|
Total from investment operations |
0.30 | 0.76 | 4.30 | 2.99 | 0.75 | (0.17 | ) | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | (4.61 | ) | (0.55 | ) | (2.81 | ) | (6.16 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 14.74 | $ | 19.47 | $ | 24.59 | $ | 24.90 | $ | 22.46 | $ | 24.52 | ||||||||||||||
| Total Return(d) | 0.79 | % | 8.33 | % | 19.64 | % | 13.71 | % | 3.64 | % | (1.25 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 68,317 | $ | 77,012 | $ | 93,889 | $ | 132,003 | $ | 135,930 | $ | 171,980 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.00 | %(e) | 1.01 | % | 1.05 | % | 1.05 | % | 1.07 | % | 1.10 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.15 | %(e) | 1.15 | % | 1.15 | % | 1.18 | % | 1.17 | % | 1.15 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.35 | )%(e) | (0.25 | )% | (0.35 | )% | (0.31 | )% | (0.23 | )%(b) | (0.41 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
28 | % | 69 | % | 60 | % | 61 | % | 55 | % | 51 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.16% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.10% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 84 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 22.96 | $ | 27.80 | $ | 26.35 | ||||||||
|
Net investment loss(b) |
(0.03 | ) | (0.04 | ) | (0.04 | ) | ||||||||
|
Net realized and unrealized gain |
0.38 | 1.08 | 1.49 | |||||||||||
|
Total from investment operations |
0.35 | 1.04 | 1.45 | |||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 18.28 | $ | 22.96 | $ | 27.80 | ||||||||
| Total Return(c) | 0.89 | % | 8.38 | % | 5.50 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 57,198 | $ | 69,893 | $ | 94,974 | ||||||||
|
Ratio of net expenses to average net assets |
0.90 | %(d) | 0.92 | % | 0.95 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
1.01 | %(d) | 1.00 | % | 1.00 | %(d) | ||||||||
|
Ratio of net investment loss to average net assets |
(0.25 | )%(d) | (0.16 | )% | (0.36 | )%(d) | ||||||||
|
Portfolio turnover rate(e) |
28 | % | 69 | % | 60 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 85 |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 16.92 | $ | 22.33 | $ | 23.11 | $ | 20.99 | $ | 23.21 | $ | 29.65 | ||||||||||||||
|
Net investment loss(a) |
(0.06 | ) | (0.13 | ) | (0.19 | ) | (0.17 | ) | (0.15 | )(b) | (0.23 | )(c) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.31 | 0.60 | 4.02 | 2.84 | 0.74 | (0.05 | ) | |||||||||||||||||||
|
Total from investment operations |
0.25 | 0.47 | 3.83 | 2.67 | 0.59 | (0.28 | ) | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | (4.61 | ) | (0.55 | ) | (2.81 | ) | (6.16 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.14 | $ | 16.92 | $ | 22.33 | $ | 23.11 | $ | 20.99 | $ | 23.21 | ||||||||||||||
| Total Return(d) | 0.58 | % | 7.75 | % | 19.06 | % | 13.13 | % | 3.12 | % | (1.74 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 40,546 | $ | 45,005 | $ | 54,359 | $ | 59,225 | $ | 63,105 | $ | 77,673 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.50 | %(e) | 1.51 | % | 1.55 | % | 1.55 | % | 1.57 | % | 1.60 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.65 | %(e) | 1.64 | % | 1.65 | % | 1.68 | % | 1.67 | % | 1.65 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.85 | )%(e) | (0.76 | )% | (0.85 | )% | (0.81 | )% | (0.73 | )%(b) | (0.90 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
28 | % | 69 | % | 60 | % | 61 | % | 55 | % | 51 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.16% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.10% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 86 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 22.95 | $ | 27.80 | $ | 27.55 | $ | 24.77 | $ | 26.71 | $ | 28.49 | ||||||||||||||
|
Net investment loss(b) |
(0.03 | ) | (0.04 | ) | (0.07 | ) | (0.04 | ) | (0.04 | )(c) | (0.01 | )(d) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.38 | 1.07 | 4.93 | 3.37 | 0.91 | (1.77 | ) | |||||||||||||||||||
|
Total from investment operations |
0.35 | 1.03 | 4.86 | 3.33 | 0.87 | (1.78 | ) | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(5.03 | ) | (5.88 | ) | (4.61 | ) | (0.55 | ) | (2.81 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 18.27 | $ | 22.95 | $ | 27.80 | $ | 27.55 | $ | 24.77 | $ | 26.71 | ||||||||||||||
| Total Return(e) | 0.89 | % | 8.35 | % | 19.80 | % | 13.80 | % | 3.81 | % | (6.25 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 171,820 | $ | 181,988 | $ | 231,077 | $ | 118,634 | $ | 44,865 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.90 | %(f) | 0.92 | % | 0.95 | % | 0.93 | % | 0.93 | % | 0.97 | %(f) | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.01 | %(f) | 1.00 | % | 0.99 | % | 1.01 | % | 1.01 | % | 1.02 | %(f) | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.25 | )%(f) | (0.16 | )% | (0.25 | )% | (0.18 | )% | (0.19 | )%(c) | (0.32 | )%(d)(f) | ||||||||||||||
|
Portfolio turnover rate(g) |
28 | % | 69 | % | 60 | % | 61 | % | 55 | % | 51 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.16% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.10% of average net assets. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 87 |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout The Period
|
Goldman Sachs
Small Cap Growth Fund |
||||||
| Class A Shares | ||||||
|
Period Ended
February 29, 2020(a) (Unaudited) |
||||||
| Per Share Data | ||||||
|
Net asset value, beginning of period |
$ | 10.00 | ||||
|
Net investment loss(b) |
(0.03 | ) | ||||
|
Net realized and unrealized gain |
0.21 | |||||
|
Total from investment operations |
0.18 | |||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | ||||
|
Net asset value, end of period |
$ | 10.16 | ||||
| Total Return(c) | 1.76 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 60 | ||||
|
Ratio of net expenses to average net assets |
1.32 | %(d) | ||||
|
Ratio of total expenses to average net assets |
11.29 | %(d) | ||||
|
Ratio of net investment loss to average net assets |
(0.91 | )%(d) | ||||
|
Portfolio turnover rate(e) |
32 | % | ||||
| (a) | Commenced operations on October 31, 2019. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 88 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout The Period
|
Goldman Sachs
Small Cap Growth Fund |
||||||
| Class C Shares | ||||||
|
Period Ended
February 29, 2020(a) (Unaudited) |
||||||
| Per Share Data | ||||||
|
Net asset value, beginning of period |
$ | 10.00 | ||||
|
Net investment loss(b) |
(0.06 | ) | ||||
|
Net realized and unrealized gain |
0.20 | |||||
|
Total from investment operations |
0.14 | |||||
|
Distributions to shareholders from net investment income |
— | (c) | ||||
|
Net asset value, end of period |
$ | 10.14 | ||||
| Total Return(d) | 1.43 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 51 | ||||
|
Ratio of net expenses to average net assets |
2.07 | %(e) | ||||
|
Ratio of total expenses to average net assets |
12.09 | %(e) | ||||
|
Ratio of net investment loss to average net assets |
(1.66 | )%(e) | ||||
|
Portfolio turnover rate(f) |
32 | % | ||||
| (a) | Commenced operations on October 31, 2019. |
| (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. 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. | 89 |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout The Period
|
Goldman Sachs
Small Cap Growth Fund |
||||||
| Institutional Shares | ||||||
|
Period Ended
February 29, 2020(a) (Unaudited) |
||||||
| Per Share Data | ||||||
|
Net asset value, beginning of period |
$ | 10.00 | ||||
|
Net investment loss(b) |
(0.02 | ) | ||||
|
Net realized and unrealized gain |
0.20 | |||||
|
Total from investment operations |
0.18 | |||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | ||||
|
Net asset value, end of period |
$ | 10.16 | ||||
| Total Return(c) | 1.82 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 3,880 | ||||
|
Ratio of net expenses to average net assets |
0.94 | %(d) | ||||
|
Ratio of total expenses to average net assets |
10.94 | %(d) | ||||
|
Ratio of net investment loss to average net assets |
(0.53 | )%(d) | ||||
|
Portfolio turnover rate(e) |
32 | % | ||||
| (a) | Commenced operations on October 31, 2019. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 90 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout The Period
|
Goldman Sachs
Small Cap Growth Fund |
||||||
| Investor Shares | ||||||
|
Period Ended
February 29, 2020(a) (Unaudited) |
||||||
| Per Share Data | ||||||
|
Net asset value, beginning of period |
$ | 10.00 | ||||
|
Net investment loss(b) |
(0.02 | ) | ||||
|
Net realized and unrealized gain |
0.20 | |||||
|
Total from investment operations |
0.18 | |||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | ||||
|
Net asset value, end of period |
$ | 10.16 | ||||
| Total Return(c) | 1.80 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 51 | ||||
|
Ratio of net expenses to average net assets |
1.07 | %(d) | ||||
|
Ratio of total expenses to average net assets |
11.09 | %(d) | ||||
|
Ratio of net investment loss to average net assets |
(0.66 | )%(d) | ||||
|
Portfolio turnover rate(e) |
32 | % | ||||
| (a) | Commenced operations on October 31, 2019. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 91 |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout The Period
|
Goldman Sachs
Small Cap Growth Fund |
||||||
| Class P Shares | ||||||
|
Period Ended
February 29, 2020(a) (Unaudited) |
||||||
| Per Share Data | ||||||
|
Net asset value, beginning of period |
$ | 10.00 | ||||
|
Net investment loss(b) |
(0.02 | ) | ||||
|
Net realized and unrealized gain |
0.20 | |||||
|
Total from investment operations |
0.18 | |||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | ||||
|
Net asset value, end of period |
$ | 10.16 | ||||
| Total Return(c) | 1.82 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 441 | ||||
|
Ratio of net expenses to average net assets |
0.91 | %(d) | ||||
|
Ratio of total expenses to average net assets |
9.81 | %(d) | ||||
|
Ratio of net investment loss to average net assets |
(0.49 | )%(d) | ||||
|
Portfolio turnover rate(e) |
32 | % | ||||
| (a) | Commenced operations on October 31, 2019. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 92 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout The Period
|
Goldman Sachs
Small Cap Growth Fund |
||||||
| Class R Shares | ||||||
|
Period Ended
February 29, 2020(a) (Unaudited) |
||||||
| Per Share Data | ||||||
|
Net asset value, beginning of period |
$ | 10.00 | ||||
|
Net investment loss(b) |
(0.04 | ) | ||||
|
Net realized and unrealized gain |
0.20 | |||||
|
Total from investment operations |
0.16 | |||||
|
Distributions to shareholders from net investment income |
(0.01 | ) | ||||
|
Net asset value, end of period |
$ | 10.15 | ||||
| Total Return(c) | 1.62 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 51 | ||||
|
Ratio of net expenses to average net assets |
1.57 | %(d) | ||||
|
Ratio of total expenses to average net assets |
11.59 | %(d) | ||||
|
Ratio of net investment loss to average net assets |
(1.16 | )%(d) | ||||
|
Portfolio turnover rate(e) |
32 | % | ||||
| (a) | Commenced operations on October 31, 2019. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 93 |
GOLDMAN SACHS SMALL CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout The Period
|
Goldman Sachs
Small Cap Growth Fund |
||||||
| Class R6 Shares | ||||||
|
Period Ended
February 29, 2020(a) (Unaudited) |
||||||
| Per Share Data | ||||||
|
Net asset value, beginning of period |
$ | 10.00 | ||||
|
Net investment loss(b) |
(0.02 | ) | ||||
|
Net realized and unrealized gain |
0.20 | |||||
|
Total from investment operations |
0.18 | |||||
|
Distributions to shareholders from net investment income |
(0.02 | ) | ||||
|
Net asset value, end of period |
$ | 10.16 | ||||
| Total Return(c) | 1.82 | % | ||||
|
Net assets, end of period (in 000’s) |
$ | 51 | ||||
|
Ratio of net expenses to average net assets |
0.93 | %(d) | ||||
|
Ratio of total expenses to average net assets |
10.94 | %(d) | ||||
|
Ratio of net investment loss to average net assets |
(0.52 | )%(d) | ||||
|
Portfolio turnover rate(e) |
32 | % | ||||
| (a) | Commenced operations on October 31, 2019. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 94 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 20.53 | $ | 23.94 | $ | 21.81 | $ | 19.85 | $ | 20.72 | $ | 20.90 | ||||||||||||||
|
Net investment loss(a) |
(0.06 | ) | (0.12 | )(b) | (0.14 | )(c) | (0.12 | )(d) | (0.14 | )(e) | (0.18 | )(f) | ||||||||||||||
|
Net realized and unrealized gain |
1.18 | 0.36 | 5.15 | 2.77 | — | 1.71 | ||||||||||||||||||||
|
Total from investment operations |
1.12 | 0.24 | 5.01 | 2.65 | (0.14 | ) | 1.53 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | (2.88 | ) | (0.69 | ) | (0.73 | ) | (1.71 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 18.63 | $ | 20.53 | $ | 23.94 | $ | 21.81 | $ | 19.85 | $ | 20.72 | ||||||||||||||
| Total Return(g) | 5.33 | % | 4.33 | % | 25.22 | % | 13.78 | % | (0.56 | )% | 7.67 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 266,720 | $ | 295,072 | $ | 346,289 | $ | 351,253 | $ | 736,221 | $ | 906,362 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.24 | %(h) | 1.26 | % | 1.28 | % | 1.29 | % | 1.31 | % | 1.33 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.31 | %(h) | 1.32 | % | 1.35 | % | 1.46 | % | 1.45 | % | 1.45 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.62 | )%(h) | (0.59 | )%(b) | (0.64 | )%(c) | (0.62 | )%(d) | (0.73 | )%(e) | (0.85 | )%(f) | ||||||||||||||
|
Portfolio turnover rate(i) |
25 | % | 76 | % | 59 | % | 60 | % | 67 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.14% of average net assets. |
| (e) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.15% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.01 per share and 0.05% of average net assets. |
| (g) | 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. |
| (h) | Annualized. |
| (i) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 95 |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 16.90 | $ | 20.60 | $ | 19.27 | $ | 17.75 | $ | 18.74 | $ | 19.20 | ||||||||||||||
|
Net investment loss(a) |
(0.11 | ) | (0.22 | )(b) | (0.27 | )(c) | (0.24 | )(d) | (0.25 | )(e) | (0.31 | )(f) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.98 | 0.17 | 4.48 | 2.45 | (0.01 | ) | 1.56 | |||||||||||||||||||
|
Total from investment operations |
0.87 | (0.05 | ) | 4.21 | 2.21 | (0.26 | ) | 1.25 | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | (2.88 | ) | (0.69 | ) | (0.73 | ) | (1.71 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 14.75 | $ | 16.90 | $ | 20.60 | $ | 19.27 | $ | 17.75 | $ | 18.74 | ||||||||||||||
| Total Return(g) | 4.96 | % | 3.50 | % | 24.30 | % | 12.98 | % | (1.34 | )% | 6.84 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 148,626 | $ | 166,172 | $ | 232,881 | $ | 217,385 | $ | 265,282 | $ | 268,384 | ||||||||||||||
|
Ratio of net expenses to average net assets |
2.00 | %(h) | 2.01 | % | 2.03 | % | 2.04 | % | 2.06 | % | 2.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.06 | %(h) | 2.07 | % | 2.10 | % | 2.21 | % | 2.20 | % | 2.20 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(1.37 | )%(h) | (1.35 | )%(b) | (1.38 | )%(c) | (1.36 | )%(d) | (1.48 | )%(e) | (1.60 | )%(f) | ||||||||||||||
|
Portfolio turnover rate(i) |
25 | % | 76 | % | 59 | % | 60 | % | 67 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.14% of average net assets. |
| (e) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.15% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.01 per share and 0.05% of average net assets. |
| (g) | 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. |
| (h) | Annualized. |
| (i) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 96 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 22.36 | $ | 25.63 | $ | 23.08 | $ | 20.89 | $ | 21.69 | $ | 21.71 | ||||||||||||||
|
Net investment loss(a) |
(0.03 | ) | (0.06 | )(b) | (0.07 | )(c) | (0.05 | )(d) | (0.07 | )(e) | (0.10 | )(f) | ||||||||||||||
|
Net realized and unrealized gain |
1.28 | 0.44 | 5.50 | 2.93 | — | 1.79 | ||||||||||||||||||||
|
Total from investment operations |
1.25 | 0.38 | 5.43 | 2.88 | (0.07 | ) | 1.69 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | (2.88 | ) | (0.69 | ) | (0.73 | ) | (1.71 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 20.59 | $ | 22.36 | $ | 25.63 | $ | 23.08 | $ | 20.89 | $ | 21.69 | ||||||||||||||
| Total Return(g) | 5.53 | % | 4.62 | % | 25.69 | % | 14.21 | % | (0.21 | )% | 8.15 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 776,164 | $ | 853,375 | $ | 1,067,540 | $ | 1,149,459 | $ | 1,235,282 | $ | 1,355,322 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.93 | %(h) | 0.93 | % | 0.92 | % | 0.92 | % | 0.93 | % | 0.93 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.93 | %(h) | 0.93 | % | 0.96 | % | 1.06 | % | 1.05 | % | 1.05 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.30 | )%(h) | (0.26 | )%(b) | (0.27 | )%(c) | (0.24 | )%(d) | (0.35 | )%(e) | (0.45 | )%(f) | ||||||||||||||
|
Portfolio turnover rate(i) |
25 | % | 76 | % | 59 | % | 60 | % | 67 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.14% of average net assets. |
| (e) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.15% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.01 per share and 0.05% of average net assets. |
| (g) | 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. |
| (h) | Annualized. |
| (i) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 97 |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 19.84 | $ | 23.32 | $ | 21.33 | $ | 19.46 | $ | 20.35 | $ | 20.58 | ||||||||||||||
|
Net investment loss(a) |
(0.08 | ) | (0.15 | )(b) | (0.17 | )(c) | (0.14 | )(d) | (0.16 | )(e) | (0.20 | )(f) | ||||||||||||||
|
Net realized and unrealized gain |
1.14 | 0.32 | 5.04 | 2.70 | — | 1.68 | ||||||||||||||||||||
|
Total from investment operations |
1.06 | 0.17 | 4.87 | 2.56 | (0.16 | ) | 1.48 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | (2.88 | ) | (0.69 | ) | (0.73 | ) | (1.71 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 17.88 | $ | 19.84 | $ | 23.32 | $ | 21.33 | $ | 19.46 | $ | 20.35 | ||||||||||||||
| Total Return(g) | 5.20 | % | 4.13 | % | 25.12 | % | 13.59 | % | (0.67 | )% | 7.54 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 17,749 | $ | 18,395 | $ | 18,210 | $ | 16,520 | $ | 13,956 | $ | 12,695 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.43 | %(h) | 1.43 | % | 1.42 | % | 1.42 | % | 1.43 | % | 1.42 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.43 | %(h) | 1.44 | % | 1.46 | % | 1.56 | % | 1.55 | % | 1.55 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.80 | )%(h) | (0.75 | )%(b) | (0.77 | )%(c) | (0.73 | )%(d) | (0.85 | )%(e) | (0.95 | )%(f) | ||||||||||||||
|
Portfolio turnover rate(i) |
25 | % | 76 | % | 59 | % | 60 | % | 67 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.14% of average net assets. |
| (e) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.15% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.01 per share and 0.05% of average net assets. |
| (g) | 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. |
| (h) | Annualized. |
| (i) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 98 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 21.53 | $ | 24.85 | $ | 22.48 | $ | 20.39 | $ | 21.21 | $ | 21.30 | ||||||||||||||
|
Net investment loss(a) |
(0.04 | ) | (0.07 | )(b) | (0.09 | )(c) | (0.08 | )(d) | (0.09 | )(e) | (0.13 | )(f) | ||||||||||||||
|
Net realized and unrealized gain |
1.23 | 0.40 | 5.34 | 2.86 | — | 1.75 | ||||||||||||||||||||
|
Total from investment operations |
1.19 | 0.33 | 5.25 | 2.78 | (0.09 | ) | 1.62 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | (2.88 | ) | (0.69 | ) | (0.73 | ) | (1.71 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 19.70 | $ | 21.53 | $ | 24.85 | $ | 22.48 | $ | 20.39 | $ | 21.21 | ||||||||||||||
| Total Return(g) | 5.46 | % | 4.57 | % | 25.57 | % | 14.06 | % | (0.31 | )% | 7.97 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 377,437 | $ | 409,019 | $ | 529,670 | $ | 437,309 | $ | 313,812 | $ | 221,058 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.99 | %(h) | 1.01 | % | 1.03 | % | 1.04 | % | 1.06 | % | 1.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.06 | %(h) | 1.07 | % | 1.10 | % | 1.21 | % | 1.20 | % | 1.20 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.37 | )%(h) | (0.34 | )%(b) | (0.38 | )%(c) | (0.36 | )%(d) | (0.48 | )%(e) | (0.60 | )%(f) | ||||||||||||||
|
Portfolio turnover rate(i) |
25 | % | 76 | % | 59 | % | 60 | % | 67 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.14% of average net assets. |
| (e) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.15% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.01 per share and 0.05% of average net assets. |
| (g) | 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. |
| (h) | Annualized. |
| (i) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 99 |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 22.38 | $ | 25.64 | $ | 23.61 | ||||||||
|
Net investment loss(b) |
(0.03 | ) | (0.05 | )(c) | (0.03 | )(d) | ||||||||
|
Net realized and unrealized gain |
1.29 | 0.44 | 2.06 | |||||||||||
|
Total from investment operations |
1.26 | 0.39 | 2.03 | |||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 20.62 | $ | 22.38 | $ | 25.64 | ||||||||
| Total Return(e) | 5.52 | % | 4.67 | % | 8.60 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 199,338 | $ | 188,657 | $ | 245,612 | ||||||||
|
Ratio of net expenses to average net assets |
0.92 | %(f) | 0.92 | % | 0.90 | %(f) | ||||||||
|
Ratio of total expenses to average net assets |
0.92 | %(f) | 0.92 | % | 0.91 | %(f) | ||||||||
|
Ratio of net investment loss to average net assets |
(0.29 | )%(f) | (0.25 | )%(c) | (0.36 | )%(d)(f) | ||||||||
|
Portfolio turnover rate(g) |
25 | % | 76 | % | 59 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 100 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 19.58 | $ | 23.08 | $ | 21.17 | $ | 19.34 | $ | 20.26 | $ | 20.51 | ||||||||||||||
|
Net investment loss(a) |
(0.08 | ) | (0.16 | )(b) | (0.19 | )(c) | (0.17 | )(d) | (0.18 | )(e) | (0.23 | )(f) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
1.12 | 0.31 | 4.98 | 2.69 | (0.01 | ) | 1.69 | |||||||||||||||||||
|
Total from investment operations |
1.04 | 0.15 | 4.79 | 2.52 | (0.19 | ) | 1.46 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | (2.88 | ) | (0.69 | ) | (0.73 | ) | (1.71 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 17.60 | $ | 19.58 | $ | 23.08 | $ | 21.17 | $ | 19.34 | $ | 20.26 | ||||||||||||||
| Total Return(g) | 5.22 | % | 4.07 | % | 24.92 | % | 13.47 | % | (0.83 | )% | 7.46 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 13,205 | $ | 15,856 | $ | 24,215 | $ | 26,918 | $ | 34,493 | $ | 34,697 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.49 | %(h) | 1.51 | % | 1.53 | % | 1.54 | % | 1.56 | % | 1.58 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.56 | %(h) | 1.57 | % | 1.61 | % | 1.71 | % | 1.70 | % | 1.70 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.86 | )%(h) | (0.85 | )%(b) | (0.90 | )%(c) | (0.86 | )%(d) | (0.98 | )%(e) | (1.10 | )%(f) | ||||||||||||||
|
Portfolio turnover rate(i) |
25 | % | 76 | % | 59 | % | 60 | % | 67 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.14% of average net assets. |
| (e) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.15% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.01 per share and 0.05% of average net assets. |
| (g) | 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. |
| (h) | Annualized. |
| (i) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 101 |
GOLDMAN SACHS SMALL/MID CAP GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 22.38 | $ | 25.64 | $ | 23.09 | $ | 20.89 | $ | 21.69 | $ | 23.47 | ||||||||||||||
|
Net investment loss(b) |
(0.03 | ) | (0.05 | )(c) | (0.06 | )(d) | (0.04 | )(e) | (0.06 | )(f) | (0.01 | )(g) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
1.28 | 0.44 | 5.49 | 2.93 | (0.01 | ) | (1.77 | ) | ||||||||||||||||||
|
Total from investment operations |
1.25 | 0.39 | 5.43 | 2.89 | (0.07 | ) | (1.78 | ) | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.02 | ) | (3.65 | ) | (2.88 | ) | (0.69 | ) | (0.73 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 20.61 | $ | 22.38 | $ | 25.64 | $ | 23.09 | $ | 20.89 | $ | 21.69 | ||||||||||||||
| Total Return(h) | 5.47 | % | 4.67 | % | 25.68 | % | 14.26 | % | (0.21 | )% | (7.58 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 57,758 | $ | 54,916 | $ | 39,263 | $ | 22,660 | $ | 9,785 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.92 | %(i) | 0.92 | % | 0.91 | % | 0.90 | % | 0.92 | % | 0.92 | %(i) | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.92 | %(i) | 0.93 | % | 0.95 | % | 1.04 | % | 1.04 | % | 1.05 | %(i) | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.29 | )%(i) | (0.23 | )%(c) | (0.25 | )%(d) | (0.18 | )%(e) | (0.28 | )%(f) | (0.34 | )%(g)(i) | ||||||||||||||
|
Portfolio turnover rate(j) |
25 | % | 76 | % | 59 | % | 60 | % | 67 | % | 47 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.08% of average net assets. |
| (d) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.11% of average net assets. |
| (e) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.14% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.15% of average net assets. |
| (g) | Reflects income recognized from special dividends which amounted to $0.01 per share and 0.05% of average net assets. |
| (h) | 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. |
| (i) | Annualized. |
| (j) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 102 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 9.25 | $ | 13.83 | $ | 13.79 | $ | 11.91 | $ | 11.86 | $ | 13.50 | ||||||||||||||
|
Net investment income (loss)(a) |
(0.01 | ) | (0.01 | ) | (0.02 | ) | 0.02 | 0.02 | 0.02 | (b) | ||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.54 | (0.30 | ) | 3.03 | 2.26 | 0.74 | 0.42 | |||||||||||||||||||
|
Total from investment operations |
0.53 | (0.31 | ) | 3.01 | 2.28 | 0.76 | 0.44 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
— | — | — | (0.04 | ) | (0.02 | ) | — | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.36 | ) | (0.69 | ) | (2.08 | ) | ||||||||||||||
|
Total distributions |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.40 | ) | (0.71 | ) | (2.08 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 8.22 | $ | 9.25 | $ | 13.83 | $ | 13.79 | $ | 11.91 | $ | 11.86 | ||||||||||||||
| Total Return(c) | 5.40 | % | 2.86 | % | 25.59 | % | 19.79 | % | 6.48 | % | 3.09 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 27,648 | $ | 28,311 | $ | 30,174 | $ | 46,114 | $ | 46,093 | $ | 45,046 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.14 | %(d) | 1.14 | % | 1.14 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.60 | %(d) | 1.40 | % | 1.39 | % | 1.55 | % | 1.54 | % | 1.52 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.18 | )%(d) | (0.07 | )% | (0.15 | )% | 0.15 | % | 0.19 | % | 0.13 | %(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
20 | % | 28 | % | 40 | % | 54 | % | 56 | % | 52 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 103 |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 6.09 | $ | 10.81 | $ | 11.46 | $ | 10.00 | $ | 10.12 | $ | 11.90 | ||||||||||||||
|
Net investment loss(a) |
(0.03 | ) | (0.06 | ) | (0.09 | ) | (0.06 | ) | (0.05 | ) | (0.07 | )(b) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.37 | (0.39 | ) | 2.41 | 1.88 | 0.62 | 0.37 | |||||||||||||||||||
|
Total from investment operations |
0.34 | (0.45 | ) | 2.32 | 1.82 | 0.57 | 0.30 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.36 | ) | (0.69 | ) | (2.08 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 4.87 | $ | 6.09 | $ | 10.81 | $ | 11.46 | $ | 10.00 | $ | 10.12 | ||||||||||||||
| Total Return(c) | 5.06 | % | 2.07 | % | 24.61 | % | 18.89 | % | 5.70 | % | 2.23 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 3,504 | $ | 4,142 | $ | 9,081 | $ | 9,326 | $ | 11,103 | $ | 11,175 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.89 | %(d) | 1.89 | % | 1.89 | % | 1.90 | % | 1.90 | % | 1.90 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.35 | %(d) | 2.14 | % | 2.13 | % | 2.30 | % | 2.29 | % | 2.27 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.94 | )%(d) | (0.83 | )% | (0.85 | )% | (0.60 | )% | (0.56 | )% | (0.63 | )%(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
20 | % | 28 | % | 40 | % | 54 | % | 56 | % | 52 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 104 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.39 | $ | 14.92 | $ | 14.67 | $ | 12.64 | $ | 12.53 | $ | 14.15 | ||||||||||||||
|
Net investment income(a) |
0.01 | 0.03 | 0.04 | 0.07 | 0.07 | 0.07 | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.59 | (0.26 | ) | 3.25 | 2.40 | 0.78 | 0.43 | |||||||||||||||||||
|
Total from investment operations |
0.60 | (0.23 | ) | 3.29 | 2.47 | 0.85 | 0.50 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.03 | ) | (0.03 | ) | (0.07 | ) | (0.08 | ) | (0.05 | ) | (0.04 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.36 | ) | (0.69 | ) | (2.08 | ) | ||||||||||||||
|
Total distributions |
(1.59 | ) | (4.30 | ) | (3.04 | ) | (0.44 | ) | (0.74 | ) | (2.12 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 9.40 | $ | 10.39 | $ | 14.92 | $ | 14.67 | $ | 12.64 | $ | 12.53 | ||||||||||||||
| Total Return(c) | 5.47 | % | 3.31 | % | 26.11 | % | 20.29 | % | 6.89 | % | 3.43 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 47,265 | $ | 52,461 | $ | 75,470 | $ | 211,311 | $ | 294,952 | $ | 326,619 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.76 | %(d) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.22 | %(d) | 1.00 | % | 0.99 | % | 1.14 | % | 1.14 | % | 1.12 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.20 | %(d) | 0.32 | % | 0.31 | % | 0.51 | % | 0.59 | % | 0.52 | %(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
20 | % | 28 | % | 40 | % | 54 | % | 56 | % | 52 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 105 |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 9.08 | $ | 13.67 | $ | 13.70 | $ | 11.85 | $ | 11.81 | $ | 13.47 | ||||||||||||||
|
Net investment income (loss)(a) |
(0.01 | ) | (0.01 | ) | (0.03 | ) | 0.01 | 0.01 | — | (b)(c) | ||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.52 | (0.31 | ) | 3.00 | 2.24 | 0.73 | 0.42 | |||||||||||||||||||
|
Total from investment operations |
0.51 | (0.32 | ) | 2.97 | 2.25 | 0.74 | 0.42 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
— | — | (0.03 | ) | (0.04 | ) | (0.01 | ) | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.36 | ) | (0.69 | ) | (2.08 | ) | ||||||||||||||
|
Total distributions |
(1.56 | ) | (4.27 | ) | (3.00 | ) | (0.40 | ) | (0.70 | ) | (2.08 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 8.03 | $ | 9.08 | $ | 13.67 | $ | 13.70 | $ | 11.85 | $ | 11.81 | ||||||||||||||
| Total Return(d) | 5.27 | % | 2.79 | % | 25.48 | % | 19.66 | % | 6.40 | % | 2.93 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 612 | $ | 622 | $ | 597 | $ | 478 | $ | 272 | $ | 254 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.26 | %(e) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.72 | %(e) | 1.53 | % | 1.48 | % | 1.65 | % | 1.64 | % | 1.62 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.30 | )%(e) | (0.14 | )% | (0.21 | )% | 0.09 | % | 0.11 | % | (0.01 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
20 | % | 28 | % | 40 | % | 54 | % | 56 | % | 52 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.18% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 106 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.34 | $ | 14.89 | $ | 14.66 | $ | 12.63 | $ | 12.53 | $ | 14.14 | ||||||||||||||
|
Net investment income(a) |
— | (b) | 0.02 | 0.02 | 0.06 | 0.05 | 0.05 | (c) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.60 | (0.27 | ) | 3.24 | 2.40 | 0.78 | 0.44 | |||||||||||||||||||
|
Total from investment operations |
0.60 | (0.25 | ) | 3.26 | 2.46 | 0.83 | 0.49 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.01 | ) | (0.03 | ) | (0.06 | ) | (0.07 | ) | (0.04 | ) | (0.02 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.36 | ) | (0.69 | ) | (2.08 | ) | ||||||||||||||
|
Total distributions |
(1.57 | ) | (4.30 | ) | (3.03 | ) | (0.43 | ) | (0.73 | ) | (2.10 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 9.37 | $ | 10.34 | $ | 14.89 | $ | 14.66 | $ | 12.63 | $ | 12.53 | ||||||||||||||
| Total Return(d) | 5.48 | % | 3.14 | % | 25.90 | % | 20.15 | % | 6.69 | % | 3.34 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,676 | $ | 1,533 | $ | 2,578 | $ | 2,264 | $ | 829 | $ | 817 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.89 | %(e) | 0.89 | % | 0.89 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.35 | %(e) | 1.14 | % | 1.12 | % | 1.30 | % | 1.29 | % | 1.27 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.07 | %(e) | 0.16 | % | 0.15 | % | 0.48 | % | 0.44 | % | 0.37 | %(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
20 | % | 28 | % | 40 | % | 54 | % | 56 | % | 52 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.18% of average net assets. |
| (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. 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. | 107 |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 10.35 | $ | 14.90 | $ | 13.53 | ||||||||
|
Net investment income(b) |
0.01 | 0.04 | 0.01 | |||||||||||
|
Net realized and unrealized gain (loss) |
0.60 | (0.28 | ) | 1.36 | ||||||||||
|
Total from investment operations |
0.61 | (0.24 | ) | 1.37 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.03 | ) | (0.04 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | — | |||||||||
|
Total distributions |
(1.59 | ) | (4.31 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 9.37 | $ | 10.35 | $ | 14.90 | ||||||||
| Total Return(c) | 5.60 | % | 3.26 | % | 10.13 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 68,013 | $ | 73,132 | $ | 104,590 | ||||||||
|
Ratio of net expenses to average net assets |
0.75 | %(d) | 0.74 | % | 0.74 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
1.21 | %(d) | 0.99 | % | 0.96 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.21 | %(d) | 0.32 | % | 0.22 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
20 | % | 28 | % | 40 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 108 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 8.88 | $ | 13.49 | $ | 13.56 | $ | 11.75 | $ | 11.74 | $ | 13.42 | ||||||||||||||
|
Net investment loss(a) |
(0.02 | ) | (0.03 | ) | (0.04 | ) | (0.01 | ) | (0.01 | ) | (0.01 | )(b) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
0.51 | (0.31 | ) | 2.96 | 2.23 | 0.73 | 0.41 | |||||||||||||||||||
|
Total from investment operations |
0.49 | (0.34 | ) | 2.92 | 2.22 | 0.72 | 0.40 | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
— | — | (0.02 | ) | (0.05 | ) | (0.02 | ) | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.36 | ) | (0.69 | ) | (2.08 | ) | ||||||||||||||
|
Total distributions |
(1.56 | ) | (4.27 | ) | (2.99 | ) | (0.41 | ) | (0.71 | ) | (2.08 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 7.81 | $ | 8.88 | $ | 13.49 | $ | 13.56 | $ | 11.75 | $ | 11.74 | ||||||||||||||
| Total Return(c) | 5.16 | % | 2.67 | % | 25.29 | % | 19.56 | % | 6.18 | % | 2.78 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 76 | $ | 292 | $ | 255 | $ | 169 | $ | 81 | $ | 77 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.39 | %(d) | 1.39 | % | 1.39 | % | 1.40 | % | 1.40 | % | 1.40 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.85 | %(d) | 1.65 | % | 1.62 | % | 1.80 | % | 1.79 | % | 1.76 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.52 | )%(d) | (0.31 | )% | (0.34 | )% | (0.07 | )% | (0.05 | )% | (0.07 | )%(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
20 | % | 28 | % | 40 | % | 54 | % | 56 | % | 52 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 109 |
GOLDMAN SACHS STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.37 | $ | 14.91 | $ | 14.66 | $ | 12.63 | $ | 12.53 | $ | 13.36 | ||||||||||||||
|
Net investment income(b) |
0.01 | 0.04 | 0.04 | 0.08 | 0.07 | 0.01 | (c) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.59 | (0.27 | ) | 3.25 | 2.40 | 0.77 | (0.84 | ) | ||||||||||||||||||
|
Total from investment operations |
0.60 | (0.23 | ) | 3.29 | 2.48 | 0.84 | (0.83 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.03 | ) | (0.04 | ) | (0.07 | ) | (0.09 | ) | (0.05 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.56 | ) | (4.27 | ) | (2.97 | ) | (0.36 | ) | (0.69 | ) | — | |||||||||||||||
|
Total distributions |
(1.59 | ) | (4.31 | ) | (3.04 | ) | (0.45 | ) | (0.74 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 9.38 | $ | 10.37 | $ | 14.91 | $ | 14.66 | $ | 12.63 | $ | 12.53 | ||||||||||||||
| Total Return(d) | 5.50 | % | 3.33 | % | 26.15 | % | 20.33 | % | 6.83 | % | (6.21 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 237 | $ | 477 | $ | 15 | $ | 12 | $ | 10 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.75 | %(e) | 0.74 | % | 0.74 | % | 0.75 | % | 0.76 | % | 0.73 | %(e) | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.21 | %(e) | 1.03 | % | 0.97 | % | 1.14 | % | 1.15 | % | 1.06 | %(e) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.16 | %(e) | 0.40 | % | 0.30 | % | 0.57 | % | 0.59 | % | 0.68 | %(c)(e) | ||||||||||||||
|
Portfolio turnover rate(f) |
20 | % | 28 | % | 40 | % | 54 | % | 56 | % | 52 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.18% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 110 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Technology Opportunities Fund | ||||||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 23.17 | $ | 27.91 | $ | 23.04 | $ | 18.73 | $ | 17.93 | $ | 18.97 | ||||||||||||||
|
Net investment loss(a) |
(0.06 | ) | (0.12 | ) | (0.16 | ) | (0.15 | ) | (0.12 | )(b) | (0.14 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
1.80 | 0.44 | 6.79 | 5.37 | 2.50 | 0.57 | ||||||||||||||||||||
|
Total from investment operations |
1.74 | 0.32 | 6.63 | 5.22 | 2.38 | 0.43 | ||||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.71 | ) | (5.06 | ) | (1.76 | ) | (0.91 | ) | (1.58 | ) | (1.47 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 21.20 | $ | 23.17 | $ | 27.91 | $ | 23.04 | $ | 18.73 | $ | 17.93 | ||||||||||||||
| Total Return(d) | 7.72 | % | 4.73 | % | 30.46 | % | 29.17 | % | 13.71 | % | 2.31 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 313,608 | $ | 305,666 | $ | 312,289 | $ | 268,746 | $ | 233,097 | $ | 250,087 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.30 | %(e) | 1.34 | % | 1.38 | % | 1.42 | % | 1.47 | % | 1.48 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.44 | %(e) | 1.48 | % | 1.48 | % | 1.53 | % | 1.55 | % | 1.54 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.54 | )%(e) | (0.53 | )% | (0.65 | )% | (0.74 | )% | (0.68 | )%(b) | (0.74 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
13 | % | 27 | % | 46 | % | 19 | % | 22 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.10% of average net assets. |
| (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. 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. | 111 |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Technology Opportunities Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 17.94 | $ | 23.05 | $ | 19.45 | $ | 16.07 | $ | 15.70 | $ | 16.91 | ||||||||||||||
|
Net investment loss(a) |
(0.11 | ) | (0.24 | ) | (0.29 | ) | (0.25 | ) | (0.22 | )(b) | (0.24 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
1.39 | 0.19 | 5.65 | 4.54 | 2.17 | 0.50 | ||||||||||||||||||||
|
Total from investment operations |
1.28 | (0.05 | ) | 5.36 | 4.29 | 1.95 | 0.26 | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.71 | ) | (5.06 | ) | (1.76 | ) | (0.91 | ) | (1.58 | ) | (1.47 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 15.51 | $ | 17.94 | $ | 23.05 | $ | 19.45 | $ | 16.07 | $ | 15.70 | ||||||||||||||
| Total Return(d) | 7.38 | % | 3.97 | % | 29.49 | % | 28.18 | % | 12.87 | % | 1.53 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 23,380 | $ | 24,948 | $ | 57,207 | $ | 50,779 | $ | 52,843 | $ | 53,556 | ||||||||||||||
|
Ratio of net expenses to average net assets |
2.06 | %(e) | 2.10 | % | 2.13 | % | 2.17 | % | 2.22 | % | 2.23 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.20 | %(e) | 2.23 | % | 2.23 | % | 2.28 | % | 2.30 | % | 2.29 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(1.29 | )%(e) | (1.31 | )% | (1.40 | )% | (1.49 | )% | (1.43 | )%(b) | (1.49 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
13 | % | 27 | % | 46 | % | 19 | % | 22 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.10% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 112 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Technology Opportunities Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 26.28 | $ | 30.78 | $ | 25.15 | $ | 20.29 | $ | 19.22 | $ | 20.16 | ||||||||||||||
|
Net investment loss(a) |
(0.03 | ) | (0.04 | ) | (0.07 | ) | (0.07 | ) | (0.05 | )(b) | (0.07 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
2.06 | 0.60 | 7.46 | 5.84 | 2.70 | 0.60 | ||||||||||||||||||||
|
Total from investment operations |
2.03 | 0.56 | 7.39 | 5.77 | 2.65 | 0.53 | ||||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.71 | ) | (5.06 | ) | (1.76 | ) | (0.91 | ) | (1.58 | ) | (1.47 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 24.60 | $ | 26.28 | $ | 30.78 | $ | 25.15 | $ | 20.29 | $ | 19.22 | ||||||||||||||
| Total Return(d) | 7.92 | % | 5.12 | % | 30.95 | % | 29.66 | % | 14.22 | % | 2.68 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 85,307 | $ | 74,728 | $ | 87,522 | $ | 85,095 | $ | 83,746 | $ | 92,483 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.99 | %(e) | 0.98 | % | 0.99 | % | 1.02 | % | 1.07 | % | 1.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.06 | %(e) | 1.09 | % | 1.09 | % | 1.13 | % | 1.15 | % | 1.14 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.22 | )%(e) | (0.17 | )% | (0.26 | )% | (0.34 | )% | (0.27 | )%(b) | (0.33 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
13 | % | 27 | % | 46 | % | 19 | % | 22 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.10% of average net assets. |
| (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. 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. | 113 |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Technology Opportunities Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 22.56 | $ | 27.35 | $ | 22.64 | $ | 18.44 | $ | 17.69 | $ | 18.76 | ||||||||||||||
|
Net investment loss(a) |
(0.08 | ) | (0.15 | ) | (0.18 | ) | (0.16 | ) | (0.14 | )(b) | (0.15 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
1.75 | 0.42 | 6.65 | 5.27 | 2.47 | 0.55 | ||||||||||||||||||||
|
Total from investment operations |
1.67 | 0.27 | 6.47 | 5.11 | 2.33 | 0.40 | ||||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.71 | ) | (5.06 | ) | (1.76 | ) | (0.91 | ) | (1.58 | ) | (1.47 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 20.52 | $ | 22.56 | $ | 27.35 | $ | 22.64 | $ | 18.44 | $ | 17.69 | ||||||||||||||
| Total Return(d) | 7.61 | % | 4.62 | % | 30.28 | % | 29.03 | % | 13.61 | % | 2.17 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 28,724 | $ | 29,084 | $ | 33,109 | $ | 18,919 | $ | 11,186 | $ | 10,329 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.49 | %(e) | 1.48 | % | 1.49 | % | 1.51 | % | 1.57 | % | 1.58 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.56 | %(e) | 1.59 | % | 1.59 | % | 1.63 | % | 1.65 | % | 1.64 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.73 | )%(e) | (0.67 | )% | (0.75 | )% | (0.83 | )% | (0.79 | )%(b) | (0.84 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
13 | % | 27 | % | 46 | % | 19 | % | 22 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.10% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 114 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Technology Opportunities Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 25.78 | $ | 30.33 | $ | 24.84 | $ | 20.08 | $ | 19.07 | $ | 20.04 | ||||||||||||||
|
Net investment loss(a) |
(0.04 | ) | (0.07 | ) | (0.11 | ) | (0.10 | ) | (0.08 | )(b) | (0.10 | )(c) | ||||||||||||||
|
Net realized and unrealized gain |
2.02 | 0.58 | 7.36 | 5.77 | 2.67 | 0.60 | ||||||||||||||||||||
|
Total from investment operations |
1.98 | 0.51 | 7.25 | 5.67 | 2.59 | 0.50 | ||||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(3.71 | ) | (5.06 | ) | (1.76 | ) | (0.91 | ) | (1.58 | ) | (1.47 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 24.05 | $ | 25.78 | $ | 30.33 | $ | 24.84 | $ | 20.08 | $ | 19.07 | ||||||||||||||
| Total Return(d) | 7.88 | % | 5.01 | % | 30.76 | % | 29.46 | % | 14.00 | % | 2.54 | % | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 18,327 | $ | 19,207 | $ | 22,520 | $ | 23,317 | $ | 6,741 | $ | 6,103 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.05 | %(e) | 1.09 | % | 1.13 | % | 1.16 | % | 1.22 | % | 1.23 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.19 | %(e) | 1.23 | % | 1.23 | % | 1.28 | % | 1.30 | % | 1.29 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.29 | )%(e) | (0.29 | )% | (0.40 | )% | (0.46 | )% | (0.43 | )%(b) | (0.52 | )%(c) | ||||||||||||||
|
Portfolio turnover rate(f) |
13 | % | 27 | % | 46 | % | 19 | % | 22 | % | 41 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.13% of average net assets. |
| (c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.10% of average net assets. |
| (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. 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. | 115 |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Technology Opportunities Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 26.29 | $ | 30.79 | $ | 27.83 | ||||||||
|
Net investment income (loss)(b) |
(0.03 | ) | (0.04 | ) | 0.01 | |||||||||
|
Net realized and unrealized gain |
2.06 | 0.60 | 2.95 | |||||||||||
|
Total from investment operations |
2.03 | 0.56 | 2.96 | |||||||||||
|
Distributions to shareholders from net realized gains |
(3.71 | ) | (5.06 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 24.61 | $ | 26.29 | $ | 30.79 | ||||||||
| Total Return(c) | 7.92 | % | 5.11 | % | 10.64 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 30,593 | $ | 24,396 | $ | 24,951 | ||||||||
|
Ratio of net expenses to average net assets |
0.98 | %(d) | 0.97 | % | 0.97 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
1.05 | %(d) | 1.08 | % | 1.14 | %(d) | ||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.21 | )%(d) | (0.16 | )% | 0.08 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
13 | % | 27 | % | 46 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 116 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TECHNOLOGY OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Technology Opportunities Fund | ||||||||||||||
| Class R6 Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 26.29 | $ | 30.78 | $ | 25.08 | ||||||||
|
Net investment loss(b) |
(0.03 | ) | (0.02 | ) | (0.04 | ) | ||||||||
|
Net realized and unrealized gain |
2.06 | 0.59 | 5.74 | |||||||||||
|
Total from investment operations |
2.03 | 0.57 | 5.70 | |||||||||||
|
Distributions to shareholders from net realized gains |
(3.71 | ) | (5.06 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 24.61 | $ | 26.29 | $ | 30.78 | ||||||||
| Total Return(c) | 7.92 | % | 5.15 | % | 22.73 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 289 | $ | 138 | $ | 12 | ||||||||
|
Ratio of net expenses to average net assets |
0.99 | %(d) | 0.97 | % | 0.98 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
1.05 | %(d) | 1.09 | % | 1.08 | %(d) | ||||||||
|
Ratio of net investment loss to average net assets |
(0.21 | )%(d) | (0.07 | )% | (0.20 | )%(d) | ||||||||
|
Portfolio turnover rate(e) |
13 | % | 27 | % | 46 | % | ||||||||
| (a) | Commenced operations on December 29, 2017. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 117 |
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered |
Diversified/ Non-diversified |
||
|
Capital Growth, Growth Opportunities, Small/Mid Cap Growth and Strategic Growth |
A, C, Institutional, Service, Investor, P, R and R6 |
Diversified | ||
|
Blue Chip Concentrated Growth, Flexible Cap and Small Cap Growth |
A, C, Institutional, Investor, P, R and R6 |
Diversified | ||
|
Technology Opportunities |
A, C, Institutional, Service, Investor, P and R6 |
Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class P, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. 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 recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/ or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
118
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies 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.
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 Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
F. Offering and Organization Costs — Offering costs paid in connection with the initial offering of shares of Small Cap Growth Fund are being amortized on a straight-line basis over 12 months from the date of commencement of operations. Organization costs paid in connection with the organization of Small Cap Growth Fund were expensed on the first day of operations.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price
119
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. 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 Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV 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 Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. 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 classified in the fair value hierarchy as of February 29, 2020:
| BLUE CHIP |
|
|||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 266,698 | $ | — | $ | — | ||||||
|
North America |
10,086,440 | — | — | |||||||||
| Total | $ | 10,353,138 | $ | — | $ | — | ||||||
| (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. |
120
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| CAPITAL GROWTH | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 17,237,492 | $ | — | $ | — | ||||||
|
North America |
823,916,094 | — | — | |||||||||
|
Oceania |
2,045,241 | — | — | |||||||||
|
Investment Company |
5,957,410 | — | — | |||||||||
|
Securities Lending Reinvestment Vehicle |
1,041,709 | — | — | |||||||||
| Total | $ | 850,197,946 | $ | — | $ | — | ||||||
|
CONCENTRATED GROWTH |
||||||||||||
|
Investment Type |
Level 1 |
Level 2 | Level 3 | |||||||||
|
Assets |
||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 7,872,353 | $ | — | $ | — | ||||||
|
North America |
143,267,079 | — | — | |||||||||
|
Investment Company |
617,954 | — | — | |||||||||
|
Total |
$ | 151,757,386 | $ | — | $ | — | ||||||
|
FLEXIBLE CAP |
||||||||||||
|
Investment Type |
Level 1 |
Level 2 | Level 3 | |||||||||
|
Assets |
||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 316,170 | $ | — | $ | — | ||||||
|
North America |
18,702,549 | — | — | |||||||||
|
Investment Company |
58,210 | — | — | |||||||||
|
Total |
$ | 19,076,929 | $ | — | $ | — | ||||||
|
GROWTH OPPORTUNITIES |
||||||||||||
|
Investment Type |
Level 1 |
Level 2 | Level 3 | |||||||||
|
Assets |
||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Asia |
$ | 3,657,679 | $ | — | $ | — | ||||||
|
Europe |
6,197,687 | — | — | |||||||||
|
North America |
1,006,694,474 | — | — | |||||||||
|
Oceania |
16,461,223 | — | — | |||||||||
|
South America |
8,192,583 | — | — | |||||||||
|
Investment Company |
22,557,862 | — | — | |||||||||
|
Total |
$ | 1,063,761,508 | $ | — | $ | — | ||||||
| (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. |
121
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| SMALL CAP GROWTH | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Asia |
$ | 8,320 | $ | — | $ | — | ||||||
|
Europe |
55,739 | — | — | |||||||||
|
North America |
4,249,882 | — | — | |||||||||
|
Investment Company |
52,867 | — | — | |||||||||
|
Total |
$ | 4,366,808 | $ | — | $ | — | ||||||
|
SMALL/MID CAP GROWTH |
||||||||||||
|
Investment Type |
Level 1 |
Level 2 | Level 3 | |||||||||
|
Assets |
||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 22,738,047 | $ | — | $ | — | ||||||
|
North America |
1,803,082,323 | — | — | |||||||||
|
Investment Company |
37,510,112 | — | — | |||||||||
|
Securities Lending Reinvestment Vehicle |
25,978,707 | — | — | |||||||||
|
Total |
$ | 1,889,309,189 | $ | — | $ | — | ||||||
|
STRATEGIC GROWTH |
||||||||||||
|
Investment Type |
Level 1 |
Level 2 | Level 3 | |||||||||
|
Assets |
||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 3,855,186 | $ | — | $ | — | ||||||
|
North America |
143,442,078 | — | — | |||||||||
|
Investment Company |
357,960 | — | — | |||||||||
|
Total |
$ | 147,655,224 | $ | — | $ | — | ||||||
|
TECHNOLOGY OPPORTUNITIES |
||||||||||||
|
Investment Type |
Level 1 |
Level 2 | Level 3 | |||||||||
|
Assets |
||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Asia |
$ | 7,145,424 | $ | — | $ | — | ||||||
|
Europe |
7,704,771 | — | — | |||||||||
|
North America |
473,184,655 | — | — | |||||||||
|
Investment Company |
13,234,337 | — | — | |||||||||
|
Total |
$ | 501,269,187 | $ | — | $ | — | ||||||
| (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. |
For further information regarding security characteristics, see the Schedules of Investments.
122
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
As of February 29, 2020, contractual management fees with GSAM were as stated below. The effective contractual management rates and effective net management rates represent the rates for the six month period ended February 29, 2020.
| Contractual Management Rate |
Effective
Contractual Management Rate |
Effective Net
Management Rate# |
||||||||||||||||||||||||||||
| Fund |
First $1 billion |
Next $1 billion |
Next $3 billion |
Next $3 billion |
Over $8 billion |
|||||||||||||||||||||||||
|
Blue Chip |
0.55 | % | 0.50 | % | 0.47 | % | 0.46 | % | 0.45 | % | 0.55 | % | 0.55 | % | ||||||||||||||||
|
Capital Growth |
0.71 | 0.64 | 0.61 | 0.61 | 0.61 | 0.71 | 0.71 | |||||||||||||||||||||||
|
Concentrated Growth |
0.76 | 0.68 | 0.65 | 0.64 | 0.62 | 0.76 | 0.76 | |||||||||||||||||||||||
|
Flexible Cap |
0.55 | 0.50 | 0.47 | 0.46 | 0.45 | 0.55 | 0.55 | |||||||||||||||||||||||
|
Growth Opportunities |
0.92 | 0.92 | 0.83 | 0.79 | 0.77 | 0.92 | 0.86 | * | ||||||||||||||||||||||
|
Small Cap Growth |
0.85 | 0.85 | 0.77 | 0.73 | 0.71 | 0.85 | 0.85 | |||||||||||||||||||||||
|
Small/Mid Cap Growth |
0.85 | 0.85 | 0.77 | 0.73 | 0.71 | 0.85 | 0.82 | |||||||||||||||||||||||
|
Strategic Growth |
0.71 | 0.64 | 0.61 | 0.59 | 0.58 | 0.71 | 0.71 | |||||||||||||||||||||||
|
Technology Opportunities |
0.94 | 0.85 | 0.80 | 0.79 | 0.77 | 0.94 | 0.94 | |||||||||||||||||||||||
| # | The Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
| * | The Investment Adviser agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.86% as an annual percentage rate of the Growth Opportunities Fund’s average daily net assets. This arrangement will remain in effect through at least December 27, 2020. |
123
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Government Money Market Fund. For the six months ended February 29, 2020, the management fee waived by GSAM for each Fund was as follows:
| Fund | Management Fee Waived | |||||
|
Blue Chip |
$ | 141 | ||||
|
Capital Growth |
2,274 | |||||
|
Concentrated Growth |
799 | |||||
|
Flexible Cap |
38 | |||||
|
Growth Opportunities |
11,017 | |||||
|
Small Cap Growth |
32 | |||||
|
Small/Mid Cap Growth |
29,548 | |||||
|
Strategic Growth |
643 | |||||
|
Technology Opportunities |
5,585 | |||||
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.
124
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.
| Distribution and/or Service Plan Rates | ||||||||||||||||
| Class A* | Class C | Class R* | Service | |||||||||||||
|
Distribution and/or Service Plan |
0.25 | % | 0.75 | % | 0.50 | % | 0.25 | % | ||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and/or Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended February 29, 2020, Goldman Sachs retained the following amounts:
|
Front End
Sales Charge |
Contingent Deferred
Sales Charge |
|||||||||
| Fund | Class A | Class C | ||||||||
|
Blue Chip |
$ | 2,882 | $ | — | ||||||
|
Capital Growth |
9,318 | 555 | ||||||||
|
Concentrated Growth |
1,509 | — | ||||||||
|
Flexible Cap |
924 | — | ||||||||
|
Growth Opportunities |
6,435 | 599 | ||||||||
|
Small Cap Growth |
— | — | ||||||||
|
Small/Mid Cap Growth |
10,962 | — | ||||||||
|
Strategic Growth |
2,208 | 11 | ||||||||
|
Technology Opportunities |
8,123 | 436 | ||||||||
D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C and Service Shares of the Funds, respectively.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.17% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.05% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Investor, and Class R Shares of the Small/Mid Cap Growth Fund. This
125
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
arrangement will remain in effect through at least December 27, 2020, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Board of Trustees. Prior to December 28, 2019, such waiver was 0.07%.
Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.11% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the Technology Opportunities Fund. This arrangement will remain in effect through at least December 27, 2020, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Board of Trustees. Prior to December 28, 2019, such waiver was 0.04%.
Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.03% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Growth Opportunities, Blue Chip and Concentrated Growth Funds. Prior to December 28, 2019, such waiver was 0.05% with respect to Class A, Class C, Investor and Class R Shares of the Growth Opportunities Fund. This arrangement will remain in effect through at least December 27, 2020, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Board of Trustees.
F. 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 each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Blue Chip, Capital Growth, Concentrated Growth, Flexible Cap, Growth Opportunities, Small Cap Growth, Small/Mid Cap Growth, Strategic Growth, and Technology Opportunities Funds are 0.084%, 0.004%, 0.004%, 0.004%, 0.004%, 0.024%, 0.064%, 0.004%, and 0.004%, respectively. These Other Expense limitations will remain in place through at least December 27, 2020 (October 31, 2020 for Small Cap Growth), 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 six months ended February 29, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund |
Management
Fee Waiver |
Transfer Agency
Fee Waiver/Credits |
Other
Expense Reimbursements |
Total
Expense Reductions |
||||||||||||||
|
Blue Chip |
$ | 141 | $ | 979 | $ | 267,338 | $ | 268,458 | ||||||||||
|
Capital Growth |
2,274 | 2,288 | 841,688 | 846,250 | ||||||||||||||
|
Concentrated Growth |
799 | 1,249 | 354,938 | 356,986 | ||||||||||||||
|
Flexible Cap |
38 | 11 | 277,516 | 277,565 | ||||||||||||||
|
Growth Opportunities |
373,872 | 103,250 | 319,780 | 796,902 | ||||||||||||||
|
Small Cap Growth |
32 | — | 145,198 | 145,230 | ||||||||||||||
|
Small/Mid Cap Growth |
29,548 | 270,518 | — | 300,066 | ||||||||||||||
|
Strategic Growth |
643 | 73 | 369,659 | 370,375 | ||||||||||||||
|
Technology Opportunities |
5,585 | 119,402 | 178,339 | 303,326 | ||||||||||||||
126
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
G. Line of Credit Facility — As of February 29, 2020, the Funds participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Funds did not have any borrowings under the facility.
I. Other Transactions with Affiliates — For the six months ended February 29, 2020, Goldman Sachs earned $13,558, $99, $15,241, $61,369, $31 and $2,768, in brokerage commissions from portfolio transactions, on behalf of the Capital Growth, Flexible Cap, Growth Opportunities, Small/Mid Cap Growth, Strategic Growth, and Technology Opportunities Funds, respectively.
The table below shows the transactions in and earnings from investments in the Government Money Market Fund — Institutional Shares for the six months ended February 29, 2020:
| Fund |
Beginning
Value as of August 31, 2019 |
Purchases
at Cost |
Proceeds
from Sales |
Market
Value as of February 29, 2020 |
Shares as of
February 29, 2020 |
Dividend
Income |
||||||||||||||||||
|
Blue Chip |
$ | 497,742 | $ | 1,441,544 | $ | (1,939,287 | ) | $ | — | — | $ | 1,539 | ||||||||||||
|
Capital Growth |
811,200 | 20,182,634 | (15,036,424 | ) | 5,957,410 | 5,957,410 | 23,180 | |||||||||||||||||
|
Concentrated Growth |
689,278 | 7,945,702 | (8,017,026 | ) | 617,954 | 617,954 | 8,547 | |||||||||||||||||
|
Flexible Cap |
37,087 | 916,699 | (895,576 | ) | 58,210 | 58,210 | 385 | |||||||||||||||||
|
Growth Opportunities |
5,547,470 | 215,640,320 | (198,629,928 | ) | 22,557,862 | 22,557,862 | 115,373 | |||||||||||||||||
|
Small Cap Growth |
— | 5,053,509 | (5,000,642 | ) | 52,867 | 52,867 | 845 | |||||||||||||||||
|
Small/Mid Cap Growth |
70,204,229 | 344,401,791 | (377,095,908 | ) | 37,510,112 | 37,510,112 | 309,656 | |||||||||||||||||
|
Strategic Growth |
992,869 | 13,101,508 | (13,736,417 | ) | 357,960 | 357,960 | 6,850 | |||||||||||||||||
|
Technology Opportunities |
— | 55,045,674 | (41,811,337 | ) | 13,234,337 | 13,234,337 | 5,668 | |||||||||||||||||
As of February 29, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding shares of the following Funds:
| Fund | Class A | Class C | Institutional | Investor | Class P | Class R | Class R6 | |||||||||||||||||||||||
|
Blue Chip |
— | % | — | % | 54 | % | 8 | % | — | % | 100 | % | — | % | ||||||||||||||||
|
Concentrated Growth |
— | — | — | 20 | — | 100 | — | |||||||||||||||||||||||
|
Flexible Cap |
— | — | — | 84 | — | 73 | 8 | |||||||||||||||||||||||
|
Small Cap Growth |
84 | 100 | 97 | 100 | 11 | 100 | 100 | |||||||||||||||||||||||
|
Strategic Growth |
— | — | — | — | — | 14 | 7 | |||||||||||||||||||||||
127
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 29, 2020, were as follows:
| Fund | Purchases | Sales | ||||||||
|
Blue Chip |
$ | 1,943,180 | $ | 3,693,253 | ||||||
|
Capital Growth |
171,960,159 | 227,755,885 | ||||||||
|
Concentrated Growth |
34,285,716 | 39,778,003 | ||||||||
|
Flexible Cap |
4,426,247 | 4,147,103 | ||||||||
|
Growth Opportunities |
328,930,895 | 565,684,488 | ||||||||
|
Small Cap Growth |
5,607,464 | 1,325,880 | ||||||||
|
Small/Mid Cap Growth |
473,181,087 | 683,173,097 | ||||||||
|
Strategic Growth |
31,094,702 | 52,494,449 | ||||||||
|
Technology Opportunities |
64,760,901 | 91,063,051 | ||||||||
| 6. SECURITIES LENDING |
The Funds 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 Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Capital Growth, Growth Opportunities, Small/Mid Cap Growth and Strategic Growth Funds invest the cash collateral received in connection with securities lending transactions in the 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
128
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 6. SECURITIES LENDING (continued) |
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, 2019, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The Funds did not have securities on loan as of February 29, 2020.
Each of the Funds and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended February 29, 2020, are reported under Investment Income on the Statements of Operations.
The following table provides information about the Funds’ investments in the Government Money Market Fund for the six months ended February 29, 2020:
| Fund |
Beginning
Value as of August 31, 2019 |
Purchases
at Cost |
Proceeds
from Sales |
Ending
Value as of February 29, 2020 |
||||||||||||||
|
Capital Growth |
$ | — | $ | 21,817,951 | $ | (20,776,242) | $ | 1,041,709 | ||||||||||
|
Growth Opportunities |
— | 100,220,965 | (100,220,965 | ) | — | |||||||||||||
|
Small/Mid Cap Growth |
— | 223,145,589 | (197,166,882 | ) | 25,978,707 | |||||||||||||
|
Strategic Growth |
— | 7,399,532 | (7,399,532 | ) | — | |||||||||||||
|
Technology Opportunities |
— | 13,435,454 | (13,435,454 | ) | — | |||||||||||||
| 7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, August 31, 2019, the Funds’ certain timing differences on a tax basis were as follows:
| Blue Chip |
Capital
Growth |
Concentrated
Growth |
Flexible
Cap Growth |
Growth
Opportunities |
Small/Mid Cap
Growth |
Strategic
Growth |
Technology
Opportunities |
|||||||||||||||||||||||||
|
Qualified Late Year Loss Deferral and Post October Losses |
$ | (81,878 | ) | $ | (13,982,552 | ) | $ | (669,788 | ) | $ | (175,248 | ) | $ | (3,184,452 | ) | $ | (17,202,922 | ) | $ | (1,999,947 | ) | $ | (6,321,739 | ) | ||||||||
As of February 29, 2020, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Blue Chip | Capital Growth |
Concentrated
Growth |
Flexible Cap
Growth |
Growth
Opportunities |
Small Cap
Growth |
Small/Mid Cap
Growth |
Strategic
Growth |
Technology
Opportunities |
||||||||||||||||||||||||||||
|
Tax Cost |
$ | 8,667,804 | $ | 638,092,350 | $ | 98,059,761 | $ | 15,231,814 | $ | 878,143,933 | $ | 4,412,373 | $ | 1,590,354,901 | $ | 82,889,093 | $ | 266,587,294 | ||||||||||||||||||
|
Gross unrealized gain |
1,893,675 | 239,249,589 | 55,089,959 | 4,673,289 | 217,979,609 | 273,600 | 375,474,545 | 66,285,834 | 237,043,749 | |||||||||||||||||||||||||||
|
Gross unrealized loss |
(208,341 | ) | (27,143,993 | ) | (1,392,334 | ) | (828,174 | ) | (32,362,034 | ) | (319,165 | ) | (76,520,257 | ) | (1,519,703 | ) | (2,361,856 | ) | ||||||||||||||||||
|
Net unrealized gains (losses) |
$ | 1,685,334 | $ | 212,105,596 | $ | 53,697,625 | $ | 3,845,115 | $ | 185,617,575 | $ | (45,565 | ) | $ | 298,954,288 | $ | 64,766,131 | $ | 234,681,893 | |||||||||||||||||
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, differences to the tax treatment of underlying fund investments, and partnership investments.
129
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 7. TAX INFORMATION (continued) |
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invest. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time.
Foreign Custody Risk — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Industry Concentration Risk — The Technology Opportunities Fund invests primarily in equity investments in high-quality technology, media, or service companies that adopt or use technology to improve their cost structure, revenue opportunities or competitive advantage. Because of its focus on technology, media and service companies, the Technology Opportunities Fund is subject to greater risk of loss as a result of adverse economic, business or other developments than if its investments were diversified across different industry sectors. The Technology Opportunities Fund may also invest in a relatively few number of issuers. Thus, the Technology Opportunities Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio and may be more susceptible to greater losses because of these developments.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
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.
130
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 8. OTHER RISKS (continued) |
In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments.
Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
131
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS |
| Blue Chip Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
55,874 | $ | 782,551 | 139,691 | $ | 1,745,301 | ||||||||||
|
Reinvestment of distributions |
12,565 | 176,323 | 17,899 | 211,711 | ||||||||||||
|
Shares redeemed |
(43,865 | ) | (607,555 | ) | (53,255 | ) | (663,868 | ) | ||||||||
| 24,574 | 351,319 | 104,335 | 1,293,144 | |||||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
10,348 | 140,463 | 113,257 | 1,245,148 | ||||||||||||
|
Reinvestment of distributions |
4,445 | 59,055 | 2,215 | 24,978 | ||||||||||||
|
Shares redeemed |
(1,052 | ) | (14,392 | ) | (13,105 | ) | (148,105 | ) | ||||||||
| 13,741 | 185,126 | 102,367 | 1,122,021 | |||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
3,542 | 49,984 | 118,834 | 1,528,950 | ||||||||||||
|
Reinvestment of distributions |
1,252 | 17,743 | 20,066 | 239,180 | ||||||||||||
|
Shares redeemed |
(402 | ) | (5,489 | ) | (433,612 | ) | (5,499,920 | ) | ||||||||
| 4,392 | 62,238 | (294,712 | ) | (3,731,790 | ) | |||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
1,000 | 14,168 | 72,477 | 966,895 | ||||||||||||
|
Reinvestment of distributions |
737 | 10,448 | 1,602 | 19,105 | ||||||||||||
|
Shares redeemed |
(60,902 | ) | (852,234 | ) | (13,192 | ) | (167,309 | ) | ||||||||
| (59,165 | ) | (827,618 | ) | 60,887 | 818,691 | |||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
— | (42 | ) | — | — | |||||||||||
|
Reinvestment of distributions |
7,056 | 100,044 | 14,612 | 174,322 | ||||||||||||
|
Shares redeemed |
(20,793 | ) | (301,615 | ) | (2,719 | ) | (32,450 | ) | ||||||||
| (13,737 | ) | (201,613 | ) | 11,893 | 141,872 | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
— | — | 5 | 66 | ||||||||||||
| — | — | 5 | 66 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
30,500 | 428,268 | 281,458 | 3,431,101 | ||||||||||||
|
Reinvestment of distributions |
8,674 | 122,997 | — | — | ||||||||||||
|
Shares redeemed |
(146,081 | ) | (2,061,918 | ) | (47,083 | ) | (619,896 | ) | ||||||||
| (106,907 | ) | (1,510,653 | ) | 234,375 | 2,811,205 | |||||||||||
|
NET INCREASE (DECREASE) |
(137,102 | ) | $ | (1,941,201 | ) | 219,150 | $ | 2,455,209 | ||||||||
132
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Capital Growth Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
239,597 | $ | 5,785,105 | 2,326,964 | $ | 63,575,763 | ||||||||||
|
Reinvestment of distributions |
1,181,420 | 27,979,749 | 10,589,777 | 211,151,830 | ||||||||||||
|
Shares redeemed |
(1,726,319 | ) | (41,254,346 | ) | (4,966,143 | ) | (110,412,912 | ) | ||||||||
| (305,302 | ) | (7,489,492 | ) | 7,950,598 | 164,314,681 | |||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
73,407 | 1,059,541 | 327,241 | 4,651,883 | ||||||||||||
|
Reinvestment of distributions |
71,152 | 1,004,660 | 658,461 | 8,079,315 | ||||||||||||
|
Shares redeemed |
(215,055 | ) | (3,107,038 | ) | (2,404,811 | ) | (51,096,241 | ) | ||||||||
| (70,496 | ) | (1,042,837 | ) | (1,419,109 | ) | (38,365,043 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
105,277 | 2,915,299 | 316,530 | 8,184,104 | ||||||||||||
|
Reinvestment of distributions |
70,107 | 1,922,071 | 645,191 | 14,798,485 | ||||||||||||
|
Shares redeemed |
(185,478 | ) | (5,108,300 | ) | (842,773 | ) | (22,071,500 | ) | ||||||||
| (10,094 | ) | (270,930 | ) | 118,948 | 911,089 | |||||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
14,869 | 341,652 | 4,932 | 104,779 | ||||||||||||
|
Reinvestment of distributions |
3,047 | 68,220 | 26,626 | 503,495 | ||||||||||||
|
Shares redeemed |
(3,736 | ) | (85,619 | ) | (17,952 | ) | (366,513 | ) | ||||||||
| 14,180 | 324,253 | 13,606 | 241,761 | |||||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
74,647 | 1,804,713 | 50,282 | 1,389,538 | ||||||||||||
|
Reinvestment of distributions |
12,797 | 310,127 | 130,778 | 2,665,391 | ||||||||||||
|
Shares redeemed |
(45,761 | ) | (1,115,983 | ) | (178,385 | ) | (4,171,169 | ) | ||||||||
| 41,683 | 998,857 | 2,675 | (116,240 | ) | ||||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
49,141 | 1,374,589 | 93,887 | 2,394,812 | ||||||||||||
|
Reinvestment of distributions |
124,310 | 3,401,935 | 1,146,496 | 26,269,986 | ||||||||||||
|
Shares redeemed |
(116,718 | ) | (3,177,389 | ) | (911,046 | ) | (22,413,350 | ) | ||||||||
| 56,733 | 1,599,135 | 329,337 | 6,251,448 | |||||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
53,878 | 1,224,884 | 66,551 | 1,464,100 | ||||||||||||
|
Reinvestment of distributions |
15,822 | 352,167 | 133,698 | 2,517,533 | ||||||||||||
|
Shares redeemed |
(66,860 | ) | (1,504,163 | ) | (88,796 | ) | (1,953,605 | ) | ||||||||
| 2,840 | 72,888 | 111,453 | 2,028,028 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
16,080 | 444,146 | 181,932 | 4,163,919 | ||||||||||||
|
Reinvestment of distributions |
2,870 | 78,575 | 706 | 16,187 | ||||||||||||
|
Shares redeemed |
(21,291 | ) | (582,531 | ) | (96,563 | ) | (2,550,602 | ) | ||||||||
| (2,341 | ) | (59,810 | ) | 86,075 | 1,629,504 | |||||||||||
|
NET INCREASE (DECREASE) |
(272,797 | ) | $ | (5,867,936 | ) | 7,193,583 | $ | 136,895,228 | ||||||||
133
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Concentrated Growth Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
24,213 | $ | 434,547 | 122,574 | $ | 2,118,396 | ||||||||||
|
Reinvestment of distributions |
28,021 | 488,415 | 37,996 | 567,276 | ||||||||||||
|
Shares redeemed |
(36,544 | ) | (664,962 | ) | (68,358 | ) | (1,074,197 | ) | ||||||||
| 15,690 | 258,000 | 92,212 | 1,611,475 | |||||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
13,907 | 196,444 | 10,772 | 149,037 | ||||||||||||
|
Reinvestment of distributions |
4,844 | 65,059 | 10,648 | 126,388 | ||||||||||||
|
Shares redeemed |
(12,532 | ) | (177,586 | ) | (96,594 | ) | (1,425,873 | ) | ||||||||
| 6,219 | 83,917 | (75,174 | ) | (1,150,448 | ) | |||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
6,925 | 141,120 | 27,746 | 499,624 | ||||||||||||
|
Reinvestment of distributions |
48,540 | 919,091 | 93,159 | 1,497,144 | ||||||||||||
|
Shares redeemed |
(61,421 | ) | (1,197,270 | ) | (202,347 | ) | (3,377,225 | ) | ||||||||
| (5,956 | ) | (137,059 | ) | (81,442 | ) | (1,380,457 | ) | |||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
— | — | 2,123 | 37,089 | ||||||||||||
|
Reinvestment of distributions |
619 | 11,029 | 2,918 | 44,432 | ||||||||||||
|
Shares redeemed |
(694 | ) | (12,488 | ) | (21,141 | ) | (336,592 | ) | ||||||||
| (75 | ) | (1,459 | ) | (16,100 | ) | (255,071 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
72,857 | 1,456,894 | 155,891 | 2,757,378 | ||||||||||||
|
Reinvestment of distributions |
534,993 | 10,103,292 | 899,567 | 14,440,076 | ||||||||||||
|
Shares redeemed |
(304,425 | ) | (5,888,630 | ) | (21,141 | ) | (20,497,343 | ) | ||||||||
| 303,425 | 5,671,556 | (149,118 | ) | (3,299,889 | ) | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
175 | 2,986 | 136 | 2,053 | ||||||||||||
|
Reinvestment of distributions |
123 | 2,047 | 176 | 2,528 | ||||||||||||
|
Shares redeemed |
(918 | ) | (15,755 | ) | — | — | ||||||||||
| (620 | ) | (10,722 | ) | 312 | 2,581 | |||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
3,971 | 77,017 | 25,768 | 419,933 | ||||||||||||
|
Reinvestment of distributions |
2,165 | 40,913 | 715 | 11,480 | ||||||||||||
|
Shares redeemed |
(6,203 | ) | (121,422 | ) | (2,803 | ) | (51,385 | ) | ||||||||
| (67 | ) | (3,492 | ) | 23,680 | 380,028 | |||||||||||
|
NET INCREASE (DECREASE) |
318,616 | $ | 5,860,741 | (205,630 | ) | $ | (4,089,781 | ) | ||||||||
134
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Flexible Cap Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
23,462 | $ | 289,192 | 77,181 | $ | 811,174 | ||||||||||
|
Reinvestment of distributions |
27,095 | 329,577 | 39,617 | 416,480 | ||||||||||||
|
Shares redeemed |
(22,585 | ) | (281,631 | ) | (99,309 | ) | (1,111,353 | ) | ||||||||
| 27,972 | 337,138 | 17,489 | 116,301 | |||||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
13,435 | 141,143 | 24,890 | 242,354 | ||||||||||||
|
Reinvestment of distributions |
8,140 | 83,942 | 11,501 | 104,102 | ||||||||||||
|
Shares redeemed |
(9,399 | ) | (98,874 | ) | (29,029 | ) | (273,208 | ) | ||||||||
| 12,176 | 126,211 | 7,362 | 73,248 | |||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
3,887 | 50,538 | 5,393 | 70,565 | ||||||||||||
|
Reinvestment of distributions |
2,684 | 35,557 | 10,036 | 114,070 | ||||||||||||
|
Shares redeemed |
(5,741 | ) | (76,535 | ) | (90,119 | ) | (1,051,675 | ) | ||||||||
| 830 | 9,560 | (74,690 | ) | (867,040 | ) | |||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
507 | 6,675 | 540 | 6,934 | ||||||||||||
|
Reinvestment of distributions |
315 | 4,078 | 465 | 5,174 | ||||||||||||
|
Shares redeemed |
(3,275 | ) | (44,326 | ) | (578 | ) | (7,047 | ) | ||||||||
| (2,453 | ) | (33,573 | ) | 427 | 5,061 | |||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
16,335 | 222,000 | 7,893 | 100,000 | ||||||||||||
|
Reinvestment of distributions |
49,025 | 648,521 | 81,854 | 930,190 | ||||||||||||
|
Shares redeemed |
(11,243 | ) | (150,137 | ) | (156,289 | ) | (1,800,671 | ) | ||||||||
| 54,117 | 720,384 | (66,542 | ) | (770,481 | ) | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
47 | 565 | 186 | 2,035 | ||||||||||||
|
Reinvestment of distributions |
200 | 2,314 | 394 | 3,964 | ||||||||||||
|
Shares redeemed |
(3 | ) | (32 | ) | (1,224 | ) | (14,060 | ) | ||||||||
| 244 | 2,847 | (644 | ) | (8,061 | ) | |||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
2,987 | 39,776 | 20,336 | 233,326 | ||||||||||||
|
Reinvestment of distributions |
944 | 12,477 | 94 | 1,068 | ||||||||||||
|
Shares redeemed |
(4,839 | ) | (64,549 | ) | (5,808 | ) | (70,317 | ) | ||||||||
| (908 | ) | (12,296 | ) | 14,622 | 164,077 | |||||||||||
|
NET INCREASE (DECREASE) |
91,978 | $ | 1,150,271 | (101,976 | ) | $ | (1,286,895 | ) | ||||||||
135
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Growth Opportunities Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
1,620,329 | $ | 25,014,121 | 4,197,760 | $ | 77,043,096 | ||||||||||
|
Reinvestment of distributions |
5,640,612 | 77,784,047 | 5,713,530 | 85,245,871 | ||||||||||||
|
Shares redeemed |
(3,839,460 | ) | (62,646,946 | ) | (9,644,304 | ) | (172,578,662 | ) | ||||||||
| 3,421,481 | 40,151,222 | 266,986 | (10,289,695 | ) | ||||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
603,905 | 3,632,843 | 792,120 | 7,102,051 | ||||||||||||
|
Reinvestment of distributions |
2,761,788 | 15,134,597 | 2,034,557 | 17,090,278 | ||||||||||||
|
Shares redeemed |
(1,562,005 | ) | (11,200,814 | ) | (3,723,562 | ) | (44,452,687 | ) | ||||||||
| 1,803,688 | 7,566,626 | (896,885 | ) | (20,260,358 | ) | |||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
2,915,823 | 62,400,704 | 6,094,848 | 130,504,754 | ||||||||||||
|
Reinvestment of distributions |
4,948,888 | 92,940,122 | 9,354,603 | 176,053,628 | ||||||||||||
|
Shares redeemed |
(8,705,781 | ) | (178,306,698 | ) | (36,427,298 | ) | (815,800,134 | ) | ||||||||
| (841,070 | ) | (22,965,872 | ) | (20,977,847 | ) | (509,241,752 | ) | |||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
102,564 | 1,434,089 | 324,629 | 5,025,423 | ||||||||||||
|
Reinvestment of distributions |
561,939 | 7,013,003 | 504,280 | 7,014,537 | ||||||||||||
|
Shares redeemed |
(427,059 | ) | (5,916,049 | ) | (759,817 | ) | (12,353,195 | ) | ||||||||
| 237,444 | 2,531,043 | 69,092 | (313,235 | ) | ||||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
515,001 | 8,779,583 | 2,140,187 | 38,600,959 | ||||||||||||
|
Reinvestment of distributions |
1,249,675 | 18,957,577 | 1,100,078 | 17,579,243 | ||||||||||||
|
Shares redeemed |
(1,086,584 | ) | (18,618,617 | ) | (3,101,761 | ) | (61,058,638 | ) | ||||||||
| 678,092 | 9,118,543 | 138,504 | (4,878,436 | ) | ||||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
10,856 | 217,295 | 89,688 | 1,894,904 | ||||||||||||
|
Reinvestment of distributions |
743,933 | 13,993,377 | 943,033 | 17,766,747 | ||||||||||||
|
Shares redeemed |
(669,206 | ) | (13,943,218 | ) | (1,405,191 | ) | (29,385,906 | ) | ||||||||
| 85,583 | 267,454 | (372,470 | ) | (9,724,255 | ) | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
249,658 | 3,673,127 | 487,349 | 7,975,654 | ||||||||||||
|
Reinvestment of distributions |
969,214 | 12,124,863 | 896,518 | 12,497,449 | ||||||||||||
|
Shares redeemed |
(538,710 | ) | (8,061,845 | ) | (1,158,232 | ) | (19,442,792 | ) | ||||||||
| 680,162 | 7,736,145 | 225,635 | 1,030,311 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
882,138 | 18,427,343 | 2,561,427 | 61,358,467 | ||||||||||||
|
Reinvestment of distributions |
1,839,234 | 34,577,596 | 2,500,146 | 47,077,755 | ||||||||||||
|
Shares redeemed |
(1,244,979 | ) | (25,869,708 | ) | (5,446,933 | ) | (112,980,883 | ) | ||||||||
| 1,476,393 | 27,135,231 | (385,360 | ) | (4,544,661 | ) | |||||||||||
|
NET INCREASE (DECREASE) |
7,541,773 | $ | 71,540,392 | (21,932,345 | ) | $ | (558,222,081 | ) | ||||||||
136
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Small Cap Growth Fund | ||||||||
|
|
|
|||||||
|
For the period
October 31, 2019* to February 29, 2020 (Unaudited) |
||||||||
|
|
|
|||||||
| Shares | Dollars | |||||||
|
|
|
|||||||
| Class A Shares | ||||||||
|
Shares sold |
5,962 | $ | 61,000 | |||||
|
Reinvestment of distributions |
8 | 82 | ||||||
| 5,970 | 61,082 | |||||||
| Class C Shares | ||||||||
|
Shares sold |
5,000 | 50,000 | ||||||
|
Reinvestment of distributions |
2 | 18 | ||||||
| 5,002 | 50,018 | |||||||
| Institutional Shares | ||||||||
|
Shares sold |
381,031 | 3,821,200 | ||||||
|
Reinvestment of distributions |
806 | 8,547 | ||||||
| 381,837 | 3,829,747 | |||||||
| Investor Shares | ||||||||
|
Shares sold |
5,000 | 50,000 | ||||||
|
Reinvestment of distributions |
10 | 104 | ||||||
| 5,010 | 50,104 | |||||||
| Class P Shares | ||||||||
|
Shares sold |
43,398 | 479,000 | ||||||
|
Reinvestment of distributions |
11 | 117 | ||||||
| 43,409 | 479,117 | |||||||
| Class R Shares | ||||||||
|
Shares sold |
5,000 | 50,000 | ||||||
|
Reinvestment of distributions |
6 | 61 | ||||||
| 5,006 | 50,061 | |||||||
| Class R6 Shares | ||||||||
|
Shares sold |
5,000 | 50,000 | ||||||
|
Reinvestment of distributions |
11 | 117 | ||||||
| 5,011 | 50,117 | |||||||
|
NET INCREASE |
451,245 | $ | 4,570,246 | |||||
137
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Small/Mid Cap Growth Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
1,129,061 | $ | 22,409,874 | 3,055,829 | $ | 61,196,109 | ||||||||||
|
Reinvestment of distributions |
1,906,385 | 35,840,022 | 2,664,057 | 44,942,631 | ||||||||||||
|
Shares redeemed |
(3,090,321 | ) | (62,388,036 | ) | (5,808,002 | ) | (113,164,610 | ) | ||||||||
| (54,875 | ) | (4,138,140 | ) | (88,116 | ) | (7,025,870 | ) | |||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
342,583 | 5,361,567 | 906,460 | 14,228,486 | ||||||||||||
|
Reinvestment of distributions |
1,697,651 | 25,311,985 | 2,471,157 | 34,522,065 | ||||||||||||
|
Shares redeemed |
(1,793,251 | ) | (28,749,335 | ) | (4,852,262 | ) | (78,782,495 | ) | ||||||||
| 246,983 | 1,924,217 | (1,474,645 | ) | (30,031,944 | ) | |||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
4,010,543 | 88,507,423 | 10,622,034 | 223,847,881 | ||||||||||||
|
Reinvestment of distributions |
4,259,079 | 88,461,069 | 6,539,687 | 119,937,857 | ||||||||||||
|
Shares redeemed |
(8,741,495 | ) | (192,065,939 | ) | (20,657,061 | ) | (419,534,065 | ) | ||||||||
| (471,873 | ) | (15,097,447 | ) | (3,495,340 | ) | (75,748,327 | ) | |||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
198,596 | 3,794,297 | 343,686 | 6,645,316 | ||||||||||||
|
Reinvestment of distributions |
130,447 | 2,354,561 | 148,708 | 2,426,917 | ||||||||||||
|
Shares redeemed |
(263,635 | ) | (5,033,474 | ) | (346,090 | ) | (6,647,588 | ) | ||||||||
| 65,408 | 1,115,384 | 146,304 | 2,424,645 | |||||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
1,689,674 | 35,654,667 | 3,456,356 | 71,558,500 | ||||||||||||
|
Reinvestment of distributions |
2,624,916 | 52,183,322 | 4,131,670 | 72,965,292 | ||||||||||||
|
Shares redeemed |
(4,161,075 | ) | (88,253,836 | ) | (9,904,520 | ) | (202,917,534 | ) | ||||||||
| 153,515 | (415,847 | ) | (2,316,494 | ) | (58,393,742 | ) | ||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
1,111,014 | 24,054,922 | 1,052,753 | 21,393,870 | ||||||||||||
|
Reinvestment of distributions |
1,155,623 | 24,025,405 | 1,858,301 | 34,099,828 | ||||||||||||
|
Shares redeemed |
(1,026,128 | ) | (23,105,942 | ) | (4,059,667 | ) | (80,815,222 | ) | ||||||||
| 1,240,509 | 24,974,385 | (1,148,613 | ) | (25,421,524 | ) | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
92,792 | 1,757,225 | 213,194 | 3,927,510 | ||||||||||||
|
Reinvestment of distributions |
103,777 | 1,845,169 | 162,654 | 2,621,986 | ||||||||||||
|
Shares redeemed |
(256,342 | ) | (4,882,557 | ) | (614,957 | ) | (11,692,367 | ) | ||||||||
| (59,773 | ) | (1,280,163 | ) | (239,109 | ) | (5,142,871 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
436,913 | 9,618,266 | 1,260,687 | 26,837,469 | ||||||||||||
|
Reinvestment of distributions |
354,195 | 7,363,714 | 342,894 | 6,292,101 | ||||||||||||
|
Shares redeemed |
(442,934 | ) | (9,746,220 | ) | (680,883 | ) | (14,655,919 | ) | ||||||||
| 348,174 | 7,235,760 | 922,698 | 18,473,651 | |||||||||||||
|
NET INCREASE (DECREASE) |
1,468,068 | $ | 14,318,149 | (7,693,315 | ) | $ | (180,865,982 | ) | ||||||||
138
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Strategic Growth Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
270,168 | $ | 2,418,905 | 692,799 | $ | 7,261,817 | ||||||||||
|
Reinvestment of distributions |
513,629 | 4,304,210 | 1,136,370 | 9,022,776 | ||||||||||||
|
Shares redeemed |
(479,909 | ) | (4,342,032 | ) | (950,994 | ) | (8,317,481 | ) | ||||||||
| 303,888 | 2,381,083 | 878,175 | 7,967,112 | |||||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
46,917 | 255,071 | 223,807 | 1,231,361 | ||||||||||||
|
Reinvestment of distributions |
188,776 | 938,217 | 359,395 | 1,890,416 | ||||||||||||
|
Shares redeemed |
(195,763 | ) | (1,060,496 | ) | (743,127 | ) | (5,981,094 | ) | ||||||||
| 39,930 | 132,792 | (159,925 | ) | (2,859,317 | ) | |||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
327,586 | 3,349,642 | 1,370,330 | 13,578,614 | ||||||||||||
|
Reinvestment of distributions |
762,714 | 7,331,386 | 2,171,746 | 19,362,035 | ||||||||||||
|
Shares redeemed |
(1,116,087 | ) | (11,441,233 | ) | (3,550,043 | ) | (35,503,248 | ) | ||||||||
| (25,787 | ) | (760,205 | ) | (7,967 | ) | (2,562,599 | ) | |||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
3,229 | 29,583 | 302,389 | 2,777,143 | ||||||||||||
|
Reinvestment of distributions |
12,248 | 100,315 | 23,135 | 180,451 | ||||||||||||
|
Shares redeemed |
(7,790 | ) | (69,432 | ) | (300,672 | ) | (2,701,615 | ) | ||||||||
| 7,687 | 60,466 | 24,852 | 255,979 | |||||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
25,157 | 260,150 | 149,935 | 2,034,023 | ||||||||||||
|
Reinvestment of distributions |
24,665 | 235,813 | 123,585 | 1,098,042 | ||||||||||||
|
Shares redeemed |
(19,258 | ) | (197,788 | ) | (298,341 | ) | (2,969,698 | ) | ||||||||
| 30,564 | 298,175 | (24,821 | ) | 162,367 | ||||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
93,433 | 953,975 | 179,672 | 1,723,950 | ||||||||||||
|
Reinvestment of distributions |
1,128,927 | 10,817,531 | 3,106,814 | 27,631,178 | ||||||||||||
|
Shares redeemed |
(1,027,533 | ) | (10,441,291 | ) | (3,242,428 | ) | (32,409,098 | ) | ||||||||
| 194,827 | 1,330,215 | 44,058 | (3,053,970 | ) | ||||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
14,160 | 115,124 | 21,942 | 193,470 | ||||||||||||
|
Reinvestment of distributions |
321 | 2,558 | 418 | 3,190 | ||||||||||||
|
Shares redeemed |
(37,572 | ) | (321,393 | ) | (8,392 | ) | (75,522 | ) | ||||||||
| (23,091 | ) | (203,711 | ) | 13,968 | 121,138 | |||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
2,006 | 20,590 | 48,598 | 438,055 | ||||||||||||
|
Reinvestment of distributions |
5,708 | 54,757 | 496 | 4,416 | ||||||||||||
|
Shares redeemed |
(28,492 | ) | (299,066 | ) | (4,053 | ) | (40,597 | ) | ||||||||
| (20,778 | ) | (223,719 | ) | 45,041 | 401,874 | |||||||||||
|
NET INCREASE |
507,240 | $ | 3,015,096 | 813,381 | $ | 432,584 | ||||||||||
139
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Technology Opportunities Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
1,156,490 | $ | 26,238,631 | 2,314,180 | $ | 56,262,003 | ||||||||||
|
Reinvestment of distributions |
2,085,572 | 43,609,325 | 2,856,623 | 55,275,661 | ||||||||||||
|
Shares redeemed |
(1,642,687 | ) | (37,612,457 | ) | (3,168,448 | ) | (69,310,443 | ) | ||||||||
| 1,599,375 | 32,235,499 | 2,002,355 | 42,227,221 | |||||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
135,864 | 2,248,547 | 222,819 | 3,771,879 | ||||||||||||
|
Reinvestment of distributions |
269,706 | 4,131,894 | 392,107 | 5,909,052 | ||||||||||||
|
Shares redeemed |
(288,123 | ) | (4,913,853 | ) | (1,706,037 | ) | (35,147,928 | ) | ||||||||
| 117,447 | 1,466,588 | (1,091,111 | ) | (25,466,997 | ) | |||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
611,508 | 16,115,326 | 695,071 | 17,458,982 | ||||||||||||
|
Reinvestment of distributions |
433,094 | 10,502,518 | 570,904 | 12,497,081 | ||||||||||||
|
Shares redeemed |
(419,693 | ) | (11,020,942 | ) | (1,265,917 | ) | (32,565,576 | ) | ||||||||
| 624,909 | 15,596,902 | 58 | (2,609,513 | ) | ||||||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
198,200 | 4,403,260 | 496,870 | 11,322,700 | ||||||||||||
|
Reinvestment of distributions |
218,520 | 4,425,035 | 317,847 | 5,994,587 | ||||||||||||
|
Shares redeemed |
(306,334 | ) | (6,711,471 | ) | (735,765 | ) | (16,076,331 | ) | ||||||||
| 110,386 | 2,116,824 | 78,952 | 1,240,956 | |||||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
61,804 | 1,615,979 | 146,004 | 3,698,019 | ||||||||||||
|
Reinvestment of distributions |
107,586 | 2,550,857 | 171,725 | 3,690,377 | ||||||||||||
|
Shares redeemed |
(152,305 | ) | (3,936,892 | ) | (315,097 | ) | (7,617,215 | ) | ||||||||
| 17,085 | 229,944 | 2,632 | (228,819 | ) | ||||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
269,073 | 7,096,902 | 279,069 | 7,708,280 | ||||||||||||
|
Reinvestment of distributions |
145,323 | 3,525,530 | 207,017 | 4,533,680 | ||||||||||||
|
Shares redeemed |
(99,076 | ) | (2,543,997 | ) | (368,575 | ) | (8,610,790 | ) | ||||||||
| 315,320 | 8,078,435 | 117,511 | 3,631,170 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
5,184 | 138,554 | 4,856 | 125,149 | ||||||||||||
|
Reinvestment of distributions |
1,342 | 32,559 | 92 | 2,018 | ||||||||||||
|
Shares redeemed |
(22 | ) | (578 | ) | (104 | ) | (2,726 | ) | ||||||||
| 6,504 | 170,535 | 4,844 | 124,441 | |||||||||||||
|
NET INCREASE |
2,791,026 | $ | 59,894,727 | 1,115,241 | $ | 18,918,459 | ||||||||||
140
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Liquidity Risk Management Program
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
141
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Funds to the extent such expenses exceed a specified percentage of each Funds’ net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing the trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
142
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P, Class R or Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher:
| Blue Chip Fund | Capital Growth Fund | Concentrated Growth Fund | Flexible Cap Fund | Growth Opportunities Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
|||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
$ | 1,000.00 | $ | 996.45 | $ | 5.21 | $ | 1,000.00 | $ | 1,013.51 | $ | 5.71 | $ | 1,000.00 | $ | 1,057.96 | $ | 5.94 | $ | 1,000.00 | $ | 1,010.48 | $ | 5.00 | $ | 1,000.00 | $ | 1,007.21 | $ | 6.04 | ||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,019.64 | + | 5.27 | 1,000.00 | 1,019.19 | + | 5.72 | 1,000.00 | 1,019.10 | + | 5.82 | 1,000.00 | 1,019.89 | + | 5.02 | 1,000.00 | 1,018.65 | + | 6.27 | ||||||||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 991.49 | 8.91 | 1,000.00 | 1,010.02 | 9.45 | 1,000.00 | 1,053.69 | 9.75 | 1,000.00 | 1,006.59 | 8.73 | 1,000.00 | 1,002.02 | 9.96 | |||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,015.91 | + | 9.02 | 1,000.00 | 1,015.47 | + | 9.47 | 1,000.00 | 1,015.37 | + | 9.57 | 1,000.00 | 1,016.16 | + | 8.77 | 1,000.00 | 1,014.92 | + | 10.02 | ||||||||||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 997.05 | 3.48 | 1,000.00 | 1,015.21 | 3.81 | 1,000.00 | 1,059.61 | 4.15 | 1,000.00 | 1,011.15 | 3.10 | 1,000.00 | 1,008.93 | 4.55 | |||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.38 | + | 3.52 | 1,000.00 | 1,021.08 | + | 3.82 | 1,000.00 | 1,020.84 | + | 4.07 | 1,000.00 | 1,021.78 | + | 3.12 | 1,000.00 | 1,020.34 | + | 4.57 | ||||||||||||||||||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
— | — | — | 1,000.00 | 1,013.12 | 6.31 | — | — | — | — | — | — | 1,000.00 | 1,005.77 | 7.03 | |||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
— | — | — | 1,000.00 | 1,018.60 | + | 6.32 | — | — | — | — | — | — | 1,000.00 | 1,017.85 | + | 7.07 | |||||||||||||||||||||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 997.47 | 4.12 | 1,000.00 | 1,014.94 | 4.46 | 1,000.00 | 1,059.30 | 4.66 | 1,000.00 | 1,011.10 | 3.75 | 1,000.00 | 1,007.91 | 4.99 | |||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.74 | + | 4.17 | 1,000.00 | 1,020.44 | + | 4.47 | 1,000.00 | 1,020.34 | + | 4.57 | 1,000.00 | 1,021.13 | + | 3.77 | 1,000.00 | 1,019.89 | + | 5.02 | ||||||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 997.18 | 3.43 | 1,000.00 | 1,015.74 | 3.76 | 1,000.00 | 1,059.85 | 4.10 | 1,000.00 | 1,011.31 | 3.05 | 1,000.00 | 1,008.92 | 4.50 | |||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.43 | + | 3.47 | 1,000.00 | 1,021.13 | + | 3.77 | 1,000.00 | 1,020.89 | + | 4.02 | 1,000.00 | 1,021.13 | + | 3.07 | 1,000.00 | 1,020.39 | + | 4.52 | ||||||||||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 994.57 | 6.45 | 1,000.00 | 1,012.04 | 6.95 | 1,000.00 | 1,056.17 | 7.21 | 1,000.00 | 1,008.70 | 6.24 | 1,000.00 | 1,005.78 | 7.48 | |||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,018.40 | + | 6.52 | 1,000.00 | 1,017.95 | + | 6.97 | 1,000.00 | 1,017.85 | + | 7.07 | 1,000.00 | 1,018.65 | + | 6.27 | 1,000.00 | 1,017.40 | + | 7.52 | ||||||||||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 997.90 | 3.43 | 1,000.00 | 1,015.28 | 5.71 | 1,000.00 | 1,059.81 | 4.10 | 1,000.00 | 1,012.14 | 3.05 | 1,000.00 | 1,008.92 | 4.50 | |||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.43 | + | 3.47 | 1,000.00 | 1,021.13 | + | 3.77 | 1,000.00 | 1,020.89 | + | 4.02 | 1,000.00 | 1,021.83 | + | 3.07 | 1,000.00 | 1,020.39 | + | 4.52 | ||||||||||||||||||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Service | Investor | Class P | Class R | Class R6 | ||||||||||||||||||||||||
|
Blue Chip |
1.05 | % | 1.80 | % | 0.70 | % | N/A | 0.83 | % | 0.69 | % | 1.30 | % | 0.69 | % | |||||||||||||||||
|
Capital Growth |
1.14 | 1.89 | 0.76 | 1.26 | % | 0.89 | 0.75 | 1.39 | 0.75 | |||||||||||||||||||||||
|
Concentrated Growth |
1.16 | 1.91 | 0.81 | N/A | 0.91 | 0.80 | 1.41 | 0.80 | ||||||||||||||||||||||||
|
Flexible Cap |
1.00 | 1.75 | 0.62 | N/A | 0.75 | 0.61 | 1.25 | 0.61 | ||||||||||||||||||||||||
|
Growth Opportunities |
1.25 | 2.00 | 0.91 | 1.14 | 1.00 | 0.90 | 1.50 | 0.90 | ||||||||||||||||||||||||
143
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
| Small Cap Growth Fund | Small/Mid Cap Growth Fund | Strategic Growth Fund | Technology Opportunities Fund | |||||||||||||||||||||||||||||||||||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
$ | 1,000.00 | $ | 1,017.58 | $ | 4.40 | $ | 1,000.00 | $ | 1,053.26 | $ | 6.33 | $ | 1,000.00 | $ | 1,054.00 | $ | 5.82 | $ | 1,000.00 | $ | 1,077.21 | $ | 5.10 | ||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,018.30 | + | 6.62 | 1,000.00 | 1,018.70 | + | 6.22 | 1,000.00 | 1,019.19 | + | 5.72 | 1,000.00 | 1,018.40 | + | 6.52 | ||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,014.34 | 6.89 | 1,000.00 | 1,049.60 | 10.19 | 1,000.00 | 1,050.56 | 9.64 | 1,000.00 | 1,073.80 | 10.62 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,014.57 | + | 10.37 | 1,000.00 | 1,014.92 | + | 10.02 | 1,000.00 | 1,015.47 | + | 9.47 | 1,000.00 | 1,014.62 | + | 10.32 | ||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,018.21 | 3.14 | 1,000.00 | 1,055.28 | 4.75 | 1,000.00 | 1,054.65 | 3.88 | 1,000.00 | 1,079.21 | 5.12 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.19 | + | 4.72 | 1,000.00 | 1,020.24 | + | 4.67 | 1,000.00 | 1,021.08 | + | 3.82 | 1,000.00 | 1,019.40 | + | 4.97 | ||||||||||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
— | — | — | 1,000.00 | 1,052.03 | 7.30 | 1,000.00 | 1,052.74 | 6.43 | 1,000.00 | 1,076.13 | 7.69 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
— | — | — | 1,000.00 | 1,017.75 | + | 7.17 | 1,000.00 | 1,018.60 | + | 6.32 | 1,000.00 | 1,017.45 | + | 7.47 | |||||||||||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,017.99 | 3.57 | 1,000.00 | 1,054.57 | 5.06 | 1,000.00 | 1,054.79 | 4.55 | 1,000.00 | 1,078.79 | 5.43 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,018.30 | + | 6.62 | 1,000.00 | 1,018.70 | + | 6.22 | 1,000.00 | 1,020.44 | + | 4.47 | 1,000.00 | 1,019.64 | + | 5.27 | ||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,018.23 | 3.04 | 1,000.00 | 1,055.23 | 4.70 | 1,000.00 | 1,055.96 | 3.83 | 1,000.00 | 1,079.17 | 5.07 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.34 | + | 4.57 | 1,000.00 | 1,020.29 | + | 4.62 | 1,000.00 | 1,021.13 | + | 3.77 | 1,000.00 | 1,019.99 | + | 4.92 | ||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,016.17 | 5.23 | 1,000.00 | 1,052.57 | 7.60 | 1,000.00 | 1,051.58 | 7.09 | — | — | — | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,017.06 | + | 7.87 | 1,000.00 | 1,017.45 | + | 7.47 | 1,000.00 | 1,017.95 | + | 6.97 | — | — | — | |||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 1,018.23 | 3.10 | 1,000.00 | 1,054.72 | 4.70 | 1,000.00 | 1,055.00 | 3.83 | 1,000.00 | 1,079.17 | 5.07 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.24 | + | 4.67 | 1,000.00 | 1,020.29 | + | 4.62 | 1,000.00 | 1,021.13 | + | 3.77 | 1,000.00 | 1,019.99 | + | 4.92 | ||||||||||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Service | Investor | Class P | Class R | Class R6 | ||||||||||||||||||||||||
|
Small Cap Growth |
1.32 | % | 2.07 | % | 0.94 | % | N/A | 1.07 | % | 0.91 | % | 1.57 | % | 0.93 | % | |||||||||||||||||
|
Small/Mid Cap Growth |
1.24 | 2.00 | 0.93 | 1.43 | % | 0.99 | 0.92 | 1.49 | 0.92 | |||||||||||||||||||||||
|
Strategic Growth |
1.14 | 1.89 | 0.76 | 1.26 | 0.89 | 0.75 | 1.39 | 0.75 | ||||||||||||||||||||||||
|
Technology Opportunities |
1.30 | 2.06 | 0.99 | 1.49 | 1.05 | 0.98 | N/A | 0.98 | ||||||||||||||||||||||||
144
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Small Cap Growth Fund (the “Fund”) is a newly-organized investment portfolio of Goldman Sachs Trust (the “Trust”) that commenced investment operations on October 31, 2019. At a meeting held on October 10-11, 2018 (the “Meeting”) in connection with the Fund’s organization, the Board of Trustees, including all of the Trustees present who are not parties to the Fund’s investment management agreement (the “Management Agreement”) or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”) approved the Management Agreement with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”).
At the Meeting, the Trustees reviewed the Management Agreement, including information regarding the terms of the Management Agreement; the nature, extent and quality of the Investment Adviser’s anticipated services; the fees and expenses to be paid by the Fund; a comparison of the Fund’s anticipated expenses with those paid by other similar mutual funds; the Investment Adviser’s proposal to waive and/or reimburse the Fund’s expenses (with certain customary exceptions, such as taxes, brokerage fees, and extraordinary expenses); and potential benefits to be derived by the Investment Adviser and its affiliates from their relationships with the Fund. Various information was also provided at a prior meeting at which the Fund was discussed.
In connection with the Meeting, the Trustees received written materials and oral presentations on the topics covered. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities under applicable law. In evaluating the Management Agreement at the Meeting, the Trustees relied upon information included in a presentation made by the Investment Adviser at the Meeting and information received at prior meetings of the Trustees, as well as on their knowledge of the Investment Adviser resulting from their meetings and other interactions over time.
Nature, Extent, and Quality of the Services to Be Provided under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services to be provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that would be provided to the Fund by the Investment Adviser and its affiliates. The Trustees also considered information about the Fund’s structure, investment objective, strategies, and other characteristics. The Trustees considered the experience and capabilities of the investment team and noted that the Fund’s portfolio manager was currently managing other series of the Trust. The Trustees concluded that the Investment Adviser would be able to commit substantial financial and other resources to the Fund. In this regard, the Trustees noted that, although the Fund was new (and therefore had no performance data to evaluate), the Investment Adviser had experience managing other funds and accounts that employ similar investment strategies. The Trustees concluded that the Investment Adviser’s management of the Fund likely would benefit the Fund and its shareholders.
Costs of Services to Be Provided and Profitability
The Trustees considered the contractual terms of the Management Agreement and the fee rates to be payable by the Fund thereunder. In this regard, the Trustees considered information on the services to be rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed information on the proposed management fees and the Fund’s projected total operating expense ratios (both gross and net of expense limitations), and those were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms, as well as the peer group and category medians. The comparisons of the Fund’s fee rates and total operating expense ratios were prepared by a third-party provider of mutual fund data. The Trustees believed that this information was useful in evaluating the reasonableness of the management fees and total expenses expected to be paid by the Fund.
The Trustees considered the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. In addition, the Trustees recognized that there was not yet profitability data to evaluate for the Fund, but considered the Investment Adviser’s representations that (i) such data would be provided after the Fund commenced operations, and (ii) the Fund was not expected to be profitable to the Investment Adviser and its affiliates initially.
The Trustees noted the competitive nature of the fund marketplace, and that many of the Fund’s shareholders would be investing in the Fund in part because of the Fund’s relationship with the Investment Adviser. They also noted that shareholders would be able to redeem their Fund shares if they believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
145
GOLDMAN SACHS FUNDAMENTAL EQUITY GROWTH FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the proposed breakpoints in the fee rates payable under the Management Agreement at the following annual percentage rates of the average daily net assets of the Fund:
| Average Daily Net Assets | Management Fee Annual Rate | |||
|
Next $2 billion |
0.85 | % | ||
|
Next $3 billion |
0.77 | |||
|
Next $3 billion |
0.73 | |||
|
Over $8 billion |
0.71 | |||
The Trustees noted that the breakpoints were meant to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the Fund’s projected asset levels and information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group, as well as the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits expected to be derived by the Investment Adviser and its affiliates from their relationship with the Fund, 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 Fund; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Fund; (d) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) 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 Fund; and (i) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be open to doing business with other areas of Goldman Sachs.
Conclusion
In connection with their consideration of the Management Agreement for the Fund at the Meeting, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fee that would be payable by the Fund was reasonable in light of the services to be provided to it by the Investment Adviser, the Investment Adviser’s anticipated costs and the Fund’s reasonably anticipated asset levels. The Trustees unanimously concluded that the Investment Adviser’s management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved with respect to the Fund.
146
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Municipal Income Completion Fund |
| ∎ |
Short Duration Tax-Free Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets Opportunities Fund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Alternative
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
|
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver |
OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
|
|
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
|
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Fund holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 200059-OTU-1180318 EQGRWSAR-20
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
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Fundamental Equity Value Funds |
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Equity Income |
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Focused Value |
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Large Cap Value |
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Mid Cap Value |
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Small Cap Value |
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Small/Mid Cap Value |
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It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Service, Class R6 and Class P shareholders or 800-526-7384 for all other shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Fundamental Equity Value Funds
| ∎ |
EQUITY INCOME |
| ∎ |
FOCUSED VALUE |
| ∎ |
LARGE CAP VALUE |
| ∎ |
MID CAP VALUE |
| ∎ |
SMALL CAP VALUE |
| ∎ |
SMALL/MID CAP VALUE |
|
Recent Market Events related to COVID-19 |
i | |||
| 1 | ||||
| 13 | ||||
| 29 | ||||
| 36 | ||||
| 44 | ||||
| 51 | ||||
| 59 | ||||
| 67 | ||||
| 75 | ||||
| 82 | ||||
| 102 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. A Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events or actions. The full extent of the impact of COVID-19 on a Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
i
FUND BASICS
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019, February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 1000®
Value Index2 |
||||||||
| Class A | -3.90 | % | -1.69 | % | ||||||
| Class C | -4.26 | -1.69 | ||||||||
| Institutional | -3.77 | -1.69 | ||||||||
| Service | -4.01 | -1.69 | ||||||||
| Investor | -3.81 | -1.69 | ||||||||
| Class P | -3.76 | -1.69 | ||||||||
| Class R | -4.05 | -1.69 | ||||||||
| Class R6 | -3.76 | -1.69 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The unmanaged Russell 1000 Value Index is a market capitalization weighted index of the 1,000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Value Index figures do not reflect any deduction of fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP 10 HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| JPMorgan Chase & Co. | 3.9 | % | Banks | United States | ||||||
| Johnson & Johnson | 3.7 | Pharmaceuticals | United States | |||||||
| Verizon Communications, Inc. | 3.1 | Diversified Telecommunication Services | United States | |||||||
| Bank of America Corp. | 3.0 | Banks | United States | |||||||
| Medtronic PLC | 3.0 | Health Care Equipment & Supplies | United States | |||||||
| Chevron Corp. | 2.9 | Oil, Gas & Consumable Fuels | United States | |||||||
| Procter & Gamble Co. (The) | 2.7 | Household Products | United States | |||||||
| Wells Fargo & Co. | 2.2 | Banks | United States | |||||||
| Walmart, Inc. | 2.0 | Food & Staples Retailing | United States | |||||||
| Walt Disney Co. (The) | 2.0 | Entertainment | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
1
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
2
FUND BASICS
Focused Value Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 1000®
Value Index2 |
||||||||
| Class A | -1.72 | % | -1.69 | % | ||||||
| Class C | -2.14 | -1.69 | ||||||||
| Institutional | -1.51 | -1.69 | ||||||||
| Investor | -1.61 | -1.69 | ||||||||
| Class P | -1.59 | -1.69 | ||||||||
| Class R | -1.87 | -1.69 | ||||||||
| Class R6 | -1.60 | -1.69 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The unmanaged Russell 1000 Value Index is a market capitalization weighted index of the 1,000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Value Index figures do not reflect any deduction of fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Alphabet, Inc., Class A | 6.0 | % | Interactive Media & Services | United States | ||||||
| Ameren Corp. | 5.0 | Multi-Utilities | United States | |||||||
| JPMorgan Chase & Co. | 4.6 | Banks | United States | |||||||
| Johnson & Johnson | 4.4 | Pharmaceuticals | United States | |||||||
| Honeywell International, Inc. | 3.8 | Industrial Conglomerates | United States | |||||||
| Wells Fargo & Co. | 3.7 | Banks | United States | |||||||
| Linde PLC | 3.4 | Chemicals | United Kingdom | |||||||
| Chevron Corp. | 3.3 | Oil, Gas & Consumable Fuels | United States | |||||||
| Morgan Stanley | 3.3 | Capital Markets | United States | |||||||
| Alexandria Real Estate Equities, Inc. REIT | 3.2 |
Equity Real Estate
Investment Trusts (REITs) |
United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
3
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
4
FUND BASICS
Large Cap Value Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019, February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 1000®
Value Index2 |
||||||||
| Class A | -2.42 | % | -1.69 | % | ||||||
| Class C | -2.88 | -1.69 | ||||||||
| Institutional | -2.31 | -1.69 | ||||||||
| Service | -2.53 | -1.69 | ||||||||
| Investor | -2.33 | -1.69 | ||||||||
| Class P | -2.31 | -1.69 | ||||||||
| Class R | -2.60 | -1.69 | ||||||||
| Class R6 | -2.31 | -1.69 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The unmanaged Russell 1000 Value Index is a market capitalization weighted index of the 1,000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Value Index figures do not reflect any deduction of fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/20203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Berkshire Hathaway, Inc., Class B | 4.1 | % | Diversified Financial Services | United States | ||||||
| JPMorgan Chase & Co. | 4.0 | Banks | United States | |||||||
| Johnson & Johnson | 3.1 | Pharmaceuticals | United States | |||||||
| Verizon Communications, Inc. | 2.6 | Diversified Telecommunication Services | United States | |||||||
| Wells Fargo & Co. | 2.5 | Banks | United States | |||||||
| Procter & Gamble Co. (The) | 2.3 | Household Products | United States | |||||||
| Walt Disney Co. (The) | 2.3 | Entertainment | United States | |||||||
| Chevron Corp. | 2.2 | Oil, Gas & Consumable Fuels | United States | |||||||
| NextEra Energy, Inc. | 2.2 | Electric Utilities | United States | |||||||
| Citigroup, Inc. | 2.0 | Banks | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
5
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
6
FUND BASICS
Mid Cap Value Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019, February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell Midcap®
Value Index2 |
||||||||
| Class A | -3.76 | % | -2.23 | % | ||||||
| Class C | -4.11 | -2.23 | ||||||||
| Institutional | -3.56 | -2.23 | ||||||||
| Service | -3.81 | -2.23 | ||||||||
| Investor | -3.63 | -2.23 | ||||||||
| Class P | -3.56 | -2.23 | ||||||||
| Class R | -3.86 | -2.23 | ||||||||
| Class R6 | -3.59 | -2.23 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell Midcap Value® Index is an unmanaged index of common stock prices that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap Value Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Zimmer Biomet Holdings, Inc. | 1.9 | % | Health Care Equipment & Supplies | United States | ||||||
| AvalonBay Communities, Inc. REIT | 1.8 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| Xcel Energy, Inc. | 1.8 | Electric Utilities | United States | |||||||
| Ameren Corp. | 1.8 | Multi-Utilities | United States | |||||||
| L3Harris Technologies, Inc. | 1.8 | Aerospace & Defense | United States | |||||||
| Sempra Energy | 1.7 | Multi-Utilities | United States | |||||||
| CMS Energy Corp. | 1.7 | Multi-Utilities | United States | |||||||
| ITT, Inc. | 1.5 | Machinery | United States | |||||||
| Stanley Black & Decker, Inc. | 1.5 | Machinery | United States | |||||||
| M&T Bank Corp. | 1.5 | Banks | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
7
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
8
FUND BASICS
Small Cap Value Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019, February 29, 2020 |
Fund Total Return (based on NAV)1 |
Russell 2000® Value Index2 |
||||||||
| Class A | -5.48 | % | -2.58 | % | ||||||
| Class C | -5.83 | -2.58 | ||||||||
| Institutional | -5.32 | -2.58 | ||||||||
| Service | -5.54 | -2.58 | ||||||||
| Investor | -5.36 | -2.58 | ||||||||
| Class P | -5.30 | -2.58 | ||||||||
| Class R | -5.61 | -2.58 | ||||||||
| Class R6 | -5.29 | -2.58 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 2000 Value Index is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Value Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Portland General Electric Co. | 1.3 | % | Electric Utilities | United States | ||||||
| Healthcare Realty Trust, Inc. REIT | 1.1 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| STAG Industrial, Inc. REIT | 1.0 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| Rexnord Corp. | 1.0 | Machinery | United States | |||||||
| Lumentum Holdings, Inc. | 1.0 | Communications Equipment | United States | |||||||
| KBR, Inc. | 1.0 | IT Services | United States | |||||||
| Glacier Bancorp, Inc. | 1.0 | Banks | United States | |||||||
| Independent Bank Corp. | 0.9 | Banks | United States | |||||||
| CyrusOne, Inc. REIT | 0.9 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| National Health Investors, Inc. REIT | 0.9 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
9
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
10
FUND BASICS
Small/Mid Cap Value Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019, February 29, 2020 |
Fund Total Return
(based on NAV)1 |
Russell 2500®
Value Index2 |
||||||||
| Class A | -3.32 | % | -2.52 | % | ||||||
| Class C | -3.77 | -2.52 | ||||||||
| Institutional | -3.18 | -2.52 | ||||||||
| Investor | -3.25 | -2.52 | ||||||||
| Class P | -3.18 | -2.52 | ||||||||
| Class R | -3.44 | -2.52 | ||||||||
| Class R6 | -3.18 | -2.52 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 2500 Value Index is composed of the smallest 2,500 of the 3,000 largest U.S. companies based on total market capitalization with lower price-to-book ratios and lower forecast growth values. It is calculated by Frank Russell Company, and reflects reinvestment of all dividends and capital gains. The Russell 2500 Value Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| TOP TEN HOLDINGS AS OF 2/29/203 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Alliant Energy Corp. | 1.3 | % | Electric Utilities | United States | ||||||
| Equity LifeStyle Properties, Inc. REIT | 1.2 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| Atmos Energy Corp. | 1.2 | Gas Utilities | United States | |||||||
| Camden Property Trust REIT | 1.2 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| Bio-Rad Laboratories, Inc., Class A | 1.1 | Life Sciences Tools & Services | United States | |||||||
| Old Dominion Freight Line, Inc. | 1.0 | Road & Rail | United States | |||||||
| Timken Co. (The) | 1.0 | Machinery | United States | |||||||
| Brown & Brown, Inc. | 1.0 | Insurance | United States | |||||||
| nVent Electric PLC | 1.0 | Electrical Equipment | United States | |||||||
| Healthcare Realty Trust, Inc. REIT | 1.0 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| 3 | The top 10 holdings may not be representative of the Fund’s future investments. |
11
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
| As of February 29, 2020 |
| 4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
12
GOLDMAN SACHS EQUITY INCOME FUND
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS EQUITY INCOME FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion of security is on loan. | |
|
(b) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
ADR |
—American Depositary Receipt |
|
|
LP |
—Limited Partnership |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FOCUSED VALUE FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS LARGE CAP VALUE FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS MID CAP VALUE FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MID CAP VALUE FUND
| The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS MID CAP VALUE FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
All or a portion of security is on loan. | |
|
(b) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
LP |
—Limited Partnership |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS SMALL CAP VALUE FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE FUND
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS SMALL CAP VALUE FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
All or a portion of security is on loan. | |
|
(b) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
LP |
—Limited Partnership |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| Shares |
Dividend
Rate |
Value | ||||||
| Investment Company – 3.5%(a) | ||||||||
|
|
Goldman Sachs Financial Square Government Fund –
|
|
||||||
| 3,944,021 | 1.507% | $ | 3,944,021 | |||||
| (Cost $3,944,021) | ||||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 99.7% | ||||||||
| (Cost $112,791,580) | $ | 113,417,268 | ||||||
|
|
|
|||||||
|
|
OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.3% |
389,648 | ||||||
|
|
|
|||||||
| NET ASSETS – 100.0% | $ | 113,806,916 | ||||||
|
|
|
|||||||
| 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) |
Represents an affiliated issuer. | |
|
|
||
|
Investment Abbreviations: |
||
|
LP |
—Limited Partnership |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Statements of Assets and Liabilities
February 29, 2020 (Unaudited)
|
Equity Income
Fund |
Focused
Value Fund |
Large Cap
Value Fund |
||||||||||||
| Assets: |
|
|||||||||||||
|
Investments in unaffiliated issuers, at value (cost $312,466,453, $9,073,093 and $387,462,709, respectively)(a) |
$ | 332,158,590 | $ | 8,782,349 | $ | 410,650,170 | ||||||||
|
Investments in affiliated issuers, at value (cost $1,548,719, $261,726 and $1,676,381, respectively) |
1,548,719 | 261,726 | 1,676,381 | |||||||||||
|
Investments in securities lending reinvestment vehicle, at value which equals cost |
5,564,734 | — | — | |||||||||||
|
Cash |
584,734 | 52,018 | 593,237 | |||||||||||
|
Receivables: |
||||||||||||||
|
Investments sold |
5,439,179 | — | 2,590,203 | |||||||||||
|
Dividends |
995,375 | 17,168 | 922,599 | |||||||||||
|
Fund shares sold |
184,271 | 4,650 | 107,546 | |||||||||||
|
Reimbursement from investment adviser |
46,640 | 28,123 | 61,220 | |||||||||||
|
Foreign tax reclaims |
36,636 | 194 | 53,159 | |||||||||||
|
Other assets |
70,601 | 57,343 | 77,513 | |||||||||||
| Total assets | 346,629,479 | 9,203,571 | 416,732,028 | |||||||||||
| Liabilities: | ||||||||||||||
|
Payables: |
||||||||||||||
|
Investments purchased |
5,844,193 | 106,496 | 1,998,609 | |||||||||||
|
Upon return of securities loaned |
5,564,734 | — | — | |||||||||||
|
Fund shares redeemed |
435,286 | — | 639,300 | |||||||||||
|
Management fees |
205,287 | 5,466 | 277,088 | |||||||||||
|
Distribution and Service fees and Transfer Agency fees |
117,444 | 318 | 64,779 | |||||||||||
|
Accrued expenses |
306,335 | 135,699 | 192,114 | |||||||||||
| Total liabilities | 12,473,279 | 247,979 | 3,171,890 | |||||||||||
| Net Assets: | ||||||||||||||
|
Paid-in capital |
312,562,741 | 9,101,815 | 378,774,794 | |||||||||||
|
Total distributable earnings (loss) |
21,593,459 | (146,223 | ) | 34,785,344 | ||||||||||
| NET ASSETS | $ | 334,156,200 | $ | 8,955,592 | $ | 413,560,138 | ||||||||
|
Net Assets: |
||||||||||||||
|
Class A |
$ | 286,567,873 | $ | 65,070 | $ | 78,058,037 | ||||||||
|
Class C |
7,223,504 | 29,644 | 19,041,394 | |||||||||||
|
Institutional |
19,400,438 | 770,121 | 138,373,117 | |||||||||||
|
Service |
150,574 | — | 858,452 | |||||||||||
|
Investor |
2,370,814 | 31,034 | 3,783,569 | |||||||||||
|
Class P |
11,632,019 | 7,998,149 | 168,210,775 | |||||||||||
|
Class R |
1,453,073 | 30,328 | 3,459,694 | |||||||||||
|
Class R6 |
5,357,905 | 31,246 | 1,775,100 | |||||||||||
|
Total Net Assets |
$ | 334,156,200 | $ | 8,955,592 | $ | 413,560,138 | ||||||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||||||
|
Class A |
8,016,148 | 6,277 | 5,861,476 | |||||||||||
|
Class C |
212,545 | 2,885 | 1,511,979 | |||||||||||
|
Institutional |
532,838 | 74,146 | 10,287,162 | |||||||||||
|
Service |
4,197 | — | 64,695 | |||||||||||
|
Investor |
66,425 | 2,995 | 284,335 | |||||||||||
|
Class P |
319,524 | 771,198 | 12,206,007 | |||||||||||
|
Class R |
40,886 | 2,934 | 268,157 | |||||||||||
|
Class R6 |
147,146 | 3,014 | 128,793 | |||||||||||
|
Net asset value, offering and redemption price per share:(b) |
||||||||||||||
|
Class A |
$35.75 | $10.37 | $13.32 | |||||||||||
|
Class C |
33.99 | 10.27 | 12.59 | |||||||||||
|
Institutional |
36.41 | 10.39 | 13.45 | |||||||||||
|
Service |
35.88 | — | 13.27 | |||||||||||
|
Investor |
35.69 | 10.36 | 13.31 | |||||||||||
|
Class P |
36.40 | 10.37 | 13.78 | |||||||||||
|
Class R |
35.54 | 10.34 | 12.90 | |||||||||||
|
Class R6 |
36.41 | 10.37 | 13.78 | |||||||||||
| (a) | Includes loaned securities having a market value of $5,474,072, $– and $– for Equity Income, Focused Value and Large Cap Value Funds, respectively. |
| (b) | Maximum public offering price per share for Class A Shares of the Equity Income, Focused Value and Large Cap Value Funds is $37.83, $10.97 and $14.10, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Statements of Assets and Liabilities (continued)
February 29, 2020 (Unaudited)
|
Mid Cap Value
Fund |
Small Cap Value
Fund |
Small/Mid Cap
Value Fund |
||||||||||||
| Assets: | ||||||||||||||
|
Investments in unaffiliated issuers, at value (cost $982,452,395, $4,573,624,412 and $108,847,559, respectively)(a) |
$ | 1,018,445,183 | $ | 4,924,864,812 | $ | 109,473,247 | ||||||||
|
Investments in affiliated issuers, at value (cost $19,821,549, $17,298,161 and $3,944,021, respectively) |
19,821,549 | 17,298,161 | 3,944,021 | |||||||||||
|
Investments in securities lending reinvestment vehicle, at value which equals cost |
9,494,760 | 10,021,266 | — | |||||||||||
|
Cash |
1,977,944 | 4,132,918 | 369,342 | |||||||||||
|
Receivables: |
||||||||||||||
|
Investments sold |
50,604,343 | 58,095,115 | 1,599,447 | |||||||||||
|
Fund shares sold |
1,524,675 | 6,110,855 | 255,596 | |||||||||||
|
Dividends |
918,870 | 4,515,827 | 132,378 | |||||||||||
|
Securities lending income |
90,070 | 6,865 | 88 | |||||||||||
|
Reimbursement from investment adviser |
10,610 | 117,027 | 27,411 | |||||||||||
|
Foreign tax reclaims |
6,591 | — | — | |||||||||||
|
Other assets |
58,093 | 89,202 | 28,116 | |||||||||||
| Total assets | 1,102,952,688 | 5,025,252,048 | 115,829,646 | |||||||||||
| Liabilities: | ||||||||||||||
|
Payables: |
||||||||||||||
|
Investments purchased |
56,257,190 | 46,473,648 | 1,818,966 | |||||||||||
|
Upon return of securities loaned |
9,494,760 | 10,021,266 | — | |||||||||||
|
Fund shares redeemed |
5,510,540 | 31,233,823 | 18,049 | |||||||||||
|
Management fees |
695,989 | 4,087,185 | 81,391 | |||||||||||
|
Distribution and Service fees and Transfer Agency fees |
246,133 | 415,096 | 4,992 | |||||||||||
|
Accrued expenses |
343,216 | 665,295 | 99,332 | |||||||||||
| Total liabilities | 72,547,828 | 92,896,313 | 2,022,730 | |||||||||||
| Net Assets: | ||||||||||||||
|
Paid-in capital |
965,581,572 | 4,595,290,099 | 114,756,227 | |||||||||||
|
Total distributable earnings (loss) |
64,823,288 | 337,065,636 | (949,311 | ) | ||||||||||
| NET ASSETS | $ | 1,030,404,860 | $ | 4,932,355,735 | $ | 113,806,916 | ||||||||
|
Net Assets: |
||||||||||||||
|
Class A |
$ | 453,331,243 | $ | 488,070,431 | $ | 1,304,065 | ||||||||
|
Class C |
21,573,956 | 5,968,281 | 950,067 | |||||||||||
|
Institutional |
285,429,031 | 2,708,575,675 | 6,171,089 | |||||||||||
|
Service |
35,349,719 | 44,067,692 | — | |||||||||||
|
Investor |
37,510,858 | 117,685,636 | 2,969,750 | |||||||||||
|
Class P |
129,108,372 | 214,330,345 | 47,826,115 | |||||||||||
|
Class R |
18,459,716 | 67,514,416 | 156,424 | |||||||||||
|
Class R6 |
49,641,965 | 1,286,143,259 | 54,429,406 | |||||||||||
|
Total Net Assets |
$ | 1,030,404,860 | $ | 4,932,355,735 | $ | 113,806,916 | ||||||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||||||
|
Class A |
15,022,017 | 11,454,587 | 113,124 | |||||||||||
|
Class C |
823,432 | 197,566 | 84,574 | |||||||||||
|
Institutional |
9,348,467 | 58,072,721 | 528,474 | |||||||||||
|
Service |
1,198,393 | 1,073,122 | — | |||||||||||
|
Investor |
1,276,424 | 2,788,585 | 255,934 | |||||||||||
|
Class P |
4,232,392 | 4,597,351 | 4,101,152 | |||||||||||
|
Class R |
633,814 | 1,627,374 | 13,596 | |||||||||||
|
Class R6 |
1,627,043 | 27,589,111 | 4,666,604 | |||||||||||
|
Net asset value, offering and redemption price per share:(b) |
||||||||||||||
|
Class A |
$30.18 | $42.61 | $11.53 | |||||||||||
|
Class C |
26.20 | 30.21 | 11.23 | |||||||||||
|
Institutional |
30.53 | 46.64 | 11.68 | |||||||||||
|
Service |
29.50 | 41.06 | – | |||||||||||
|
Investor |
29.39 | 42.20 | 11.60 | |||||||||||
|
Class P |
30.50 | 46.62 | 11.66 | |||||||||||
|
Class R |
29.12 | 41.49 | 11.50 | |||||||||||
|
Class R6 |
30.51 | 46.62 | 11.66 | |||||||||||
| (a) | Includes loaned securities having a market value of $8,898,881, $9,744,256 and $– for Mid Cap Value, Small Cap Value and Small/Mid Cap Value Funds, respectively. |
| (b) | Maximum public offering price per share for Class A Shares of the Mid Cap Value, Small Cap Value and Small/Mid Cap Value Funds is $31.94, $45.09 and $12.20, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Statements of Operations
For the Six Months Ended February 29, 2020 (Unaudited)
|
Equity Income
Fund |
Focused
Value Fund |
Large Cap
Value Fund |
||||||||||||
| Investment income: |
|
|||||||||||||
|
Dividends — unaffiliated issuers (net of foreign withholding taxes of $12,196, $– and $3,531, respectively) |
$ | 4,856,511 | $ | 64,724 | $ | 4,796,462 | ||||||||
|
Dividends — affiliated issuers |
8,668 | 1,183 | 32,567 | |||||||||||
|
Securities lending income — unaffiliated issuer |
2,067 | — | — | |||||||||||
| Total investment income | 4,867,246 | 65,907 | 4,829,029 | |||||||||||
| Expenses: |
|
|||||||||||||
|
Management fees |
1,285,273 | 27,565 | 1,754,574 | |||||||||||
|
Distribution and Service fees(a) |
445,664 | 329 | 228,443 | |||||||||||
|
Transfer Agency fees(a) |
289,975 | 1,358 | 160,314 | |||||||||||
|
Printing and mailing costs |
129,238 | 43,966 | 20,599 | |||||||||||
|
Registration fees |
54,702 | 47,007 | 56,806 | |||||||||||
|
Professional fees |
49,539 | 47,212 | 47,910 | |||||||||||
|
Custody, accounting and administrative services |
45,427 | 26,282 | 49,623 | |||||||||||
|
Shareholder meeting expense |
26,429 | 1,775 | 17,198 | |||||||||||
|
Trustee fees |
7,262 | 6,983 | 7,358 | |||||||||||
|
Service Share fees — Service Plan |
218 | — | 1,282 | |||||||||||
|
Service Share fees — Shareholder Administration Plan |
218 | — | 1,282 | |||||||||||
|
Other |
8,398 | 4,443 | 9,925 | |||||||||||
| Total expenses | 2,342,343 | 206,920 | 2,355,314 | |||||||||||
|
Less — expense reductions |
(355,438 | ) | (175,880 | ) | (277,495 | ) | ||||||||
| Net expenses | 1,986,905 | 31,040 | 2,077,819 | |||||||||||
| NET INVESTMENT INCOME | 2,880,341 | 34,867 | 2,751,210 | |||||||||||
| Realized and unrealized gain (loss): |
|
|||||||||||||
|
Net realized gain (loss) from: |
||||||||||||||
|
Investments |
775,346 | 150,842 | 20,799,385 | |||||||||||
|
Net change in unrealized gain (loss) on: |
||||||||||||||
|
Investments |
(16,516,921 | ) | (536,485 | ) | (30,984,898 | ) | ||||||||
| Net realized and unrealized loss | (15,741,575 | ) | (385,643 | ) | (10,185,513 | ) | ||||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (12,861,234 | ) | $ | (350,776 | ) | $ | (7,434,303 | ) | |||||
| (a) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
| Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||
|
Fund |
Class A |
Class C |
Class R |
Class A |
Class C |
Institutional |
Service |
Investor |
Class P |
Class R |
Class R6 |
|||||||||||||||||||||||||||||||||
|
Equity Income |
$ | 400,730 | $ | 40,958 | $ | 3,976 | $ | 272,495 | $ | 6,963 | $ | 4,233 | $ | 35 | $ | 2,151 | $ | 1,815 | $ | 1,352 | $ | 931 | ||||||||||||||||||||||
|
Focused Value |
86 | 161 | 82 | 58 | 28 | 166 | — | 29 | 1,044 | 28 | 5 | |||||||||||||||||||||||||||||||||
|
Large Cap Value |
109,005 | 109,441 | 9,997 | 74,123 | 18,605 | 31,823 | 205 | 3,595 | 28,250 | 3,399 | 314 | |||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Statements of Operations (continued)
For the Six Months Ended February 29, 2020 (Unaudited)
|
Mid Cap Value
Fund |
Small Cap Value
Fund |
Small/Mid Cap
Value Fund |
||||||||||||
| Investment income: | ||||||||||||||
|
Dividends — unaffiliated issuers (net of foreign withholding taxes of $15,130, $– and $–, respectively) |
$ | 9,574,729 | $ | 47,523,355 | $ | 999,198 | ||||||||
|
Dividends — affiliated issuers |
104,292 | 460,896 | 14,862 | |||||||||||
|
Securities lending income — unaffiliated issuer |
138,217 | 109,584 | 684 | |||||||||||
| Total investment income | 9,817,238 | 48,093,835 | 1,014,744 | |||||||||||
| Expenses: | ||||||||||||||
|
Management fees |
4,467,653 | 26,311,021 | 501,020 | |||||||||||
|
Distribution and Service fees(a) |
845,026 | 992,123 | 7,368 | |||||||||||
|
Transfer Agency fees(a) |
629,901 | 1,612,829 | 23,339 | |||||||||||
|
Custody, accounting and administrative services |
87,362 | 299,529 | 42,282 | |||||||||||
|
Registration fees |
70,823 | 91,286 | 47,917 | |||||||||||
|
Shareholder meeting expense |
69,446 | 126,329 | 5,846 | |||||||||||
|
Service Share fees — Service Plan |
54,644 | 81,286 | — | |||||||||||
|
Service Share fees — Shareholder Administration Plan |
54,644 | 81,286 | — | |||||||||||
|
Professional fees |
48,248 | 47,782 | 47,214 | |||||||||||
|
Printing and mailing costs |
39,680 | 87,151 | 14,671 | |||||||||||
|
Trustee fees |
7,928 | 11,449 | 7,073 | |||||||||||
|
Other |
18,266 | 44,083 | 6,500 | |||||||||||
| Total expenses | 6,393,621 | 29,786,154 | 703,230 | |||||||||||
|
Less — expense reductions |
(10,938 | ) | (510,220 | ) | (164,540 | ) | ||||||||
| Net expenses | 6,382,683 | 29,275,934 | 538,690 | |||||||||||
| NET INVESTMENT INCOME | 3,434,555 | 18,817,901 | 476,054 | |||||||||||
| Realized and unrealized gain (loss): | ||||||||||||||
|
Net realized gain (loss) from: |
||||||||||||||
|
Investments (including commission recapture of $—, $4,906 and $—) |
59,213,071 | 159,480,589 | 1,626,914 | |||||||||||
|
Net change in unrealized gain (loss) on: |
||||||||||||||
|
Investments |
(95,108,119 | ) | (432,449,592 | ) | (5,829,216 | ) | ||||||||
| Net realized and unrealized loss | (35,895,048 | ) | (272,969,003 | ) | (4,202,302 | ) | ||||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (32,460,493 | ) | $ | (254,151,102 | ) | $ | (3,726,248 | ) | |||||
| (a) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
| Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||
|
Fund |
Class A |
Class C |
Class R |
Class A |
Class C |
Institutional |
Service |
Investor |
Class P |
Class R |
Class R6 |
|||||||||||||||||||||||||||||||||
|
Mid Cap Value |
$ | 657,660 | $ | 132,082 | $ | 55,284 | $ | 447,207 | $ | 22,454 | $ | 67,431 | $ | 8,743 | $ | 36,298 | $ | 20,951 | $ | 18,796 | $ | 8,021 | ||||||||||||||||||||||
|
Small Cap Value |
744,375 | 39,923 | 207,825 | 506,173 | 6,787 | 646,276 | 13,006 | 120,054 | 36,415 | 70,660 | 213,458 | |||||||||||||||||||||||||||||||||
|
Small/Mid Cap Value |
1,737 | 5,203 | 428 | 1,181 | 885 | 1,318 | — | 2,914 | 7,781 | 146 | 9,114 | |||||||||||||||||||||||||||||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Statements of Changes in Net Assets
| Equity Income Fund | Focused Value Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 2,880,341 | $ | 6,505,656 | $ | 34,867 | $ | 57,240 | ||||||||||||||
|
Net realized gain |
775,346 | 21,615,772 | 150,842 | 290,733 | ||||||||||||||||||
|
Net change in unrealized loss |
(16,516,921 | ) | (12,467,840 | ) | (536,485 | ) | (297,586 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from operations | (12,861,234 | ) | 15,653,588 | (350,776 | ) | 50,387 | ||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class A Shares |
(14,756,320 | ) | (8,020,555 | ) | (896 | ) | (2,623 | ) | ||||||||||||||
|
Class C Shares |
(335,862 | ) | (152,273 | ) | (328 | ) | (1,396 | ) | ||||||||||||||
|
Institutional Shares |
(1,000,850 | ) | (638,330 | ) | (13,526 | ) | (36,446 | ) | ||||||||||||||
|
Service Shares |
(8,148 | ) | (2,837 | ) | — | — | ||||||||||||||||
|
Investor Shares |
(123,423 | ) | (72,187 | ) | (521 | ) | (1,721 | ) | ||||||||||||||
|
Class P Shares |
(567,904 | ) | (316,996 | ) | (141,442 | ) | (248,134 | ) | ||||||||||||||
|
Class R Shares |
(72,000 | ) | (34,098 | ) | (358 | ) | (1,556 | ) | ||||||||||||||
|
Class R6 Shares |
(294,347 | ) | (66,115 | ) | (557 | ) | (1,772 | ) | ||||||||||||||
| Total distributions to shareholders | (17,188,854 | ) | (9,303,391 | ) | (157,628 | ) | (293,648 | ) | ||||||||||||||
| From share transactions: |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
7,974,228 | 29,018,758 | 3,608,146 | 1,590,255 | ||||||||||||||||||
|
Reinvestment of distributions |
16,772,742 | 9,089,293 | 157,628 | 293,648 | ||||||||||||||||||
|
Cost of shares redeemed |
(22,204,624 | ) | (58,668,643 | ) | (4,053 | ) | (2,771,195 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | 2,542,346 | (20,560,592 | ) | 3,761,721 | (887,292 | ) | ||||||||||||||||
| TOTAL INCREASE (DECREASE) | (27,507,742 | ) | (14,210,395 | ) | 3,253,317 | (1,130,553 | ) | |||||||||||||||
| Net assets: |
|
|||||||||||||||||||||
|
Beginning of period |
361,663,942 | 375,874,337 | 5,702,275 | 6,832,828 | ||||||||||||||||||
|
End of period |
$ | 334,156,200 | $ | 361,663,942 | $ | 8,955,592 | $ | 5,702,275 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Statements of Changes in Net Assets (continued)
| Large Cap Value Fund |
|
Mid Cap Value Fund | ||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 2,751,210 | $ | 6,536,051 | $ | 3,434,555 | $ | 8,573,181 | ||||||||||||||
|
Net realized gain |
20,799,385 | 18,149,153 | 59,213,071 | 38,698,754 | ||||||||||||||||||
|
Net change in unrealized loss |
(30,984,898 | ) | (26,457,192 | ) | (95,108,119 | ) | (24,903,159 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from operations | (7,434,303 | ) | (1,771,988 | ) | (32,460,493 | ) | 22,368,776 | |||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class A Shares |
(4,777,394 | ) | (10,013,173 | ) | (16,191,749 | ) | (80,350,023 | ) | ||||||||||||||
|
Class C Shares |
(1,128,907 | ) | (2,416,782 | ) | (753,935 | ) | (5,982,773 | ) | ||||||||||||||
|
Institutional Shares |
(8,924,042 | ) | (17,040,940 | ) | (11,552,265 | ) | (65,676,202 | ) | ||||||||||||||
|
Service Shares |
(55,313 | ) | (105,614 | ) | (1,285,592 | ) | (8,245,430 | ) | ||||||||||||||
|
Investor Shares |
(239,744 | ) | (616,179 | ) | (1,454,149 | ) | (6,590,529 | ) | ||||||||||||||
|
Class P Shares |
(10,614,391 | ) | (24,947,700 | ) | (4,519,458 | ) | (21,987,888 | ) | ||||||||||||||
|
Class R Shares |
(208,225 | ) | (536,342 | ) | (665,389 | ) | (3,452,428 | ) | ||||||||||||||
|
Class R6 Shares |
(112,182 | ) | (106,537 | ) | (1,845,295 | ) | (3,562,454 | ) | ||||||||||||||
| Total distributions to shareholders | (26,060,198 | ) | (55,783,267 | ) | (38,267,832 | ) | (195,847,727 | ) | ||||||||||||||
| From share transactions: |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
12,076,828 | 88,531,579 | 90,519,821 | 210,398,630 | ||||||||||||||||||
|
Reinvestment of distributions |
25,541,836 | 54,109,142 | 35,333,367 | 179,466,797 | ||||||||||||||||||
|
Cost of shares redeemed |
(66,231,781 | ) | (176,283,453 | ) | (229,083,044 | ) | (634,399,636 | ) | ||||||||||||||
| Net decrease in net assets resulting from share transactions | (28,613,117 | ) | (33,642,732 | ) | (103,229,856 | ) | (244,534,209 | ) | ||||||||||||||
| TOTAL DECREASE | (62,107,618 | ) | (91,197,987 | ) | (173,958,181 | ) | (418,013,160 | ) | ||||||||||||||
| Net assets: |
|
|||||||||||||||||||||
|
Beginning of period |
475,667,756 | 566,865,743 | 1,204,363,041 | 1,622,376,201 | ||||||||||||||||||
|
End of period |
$ | 413,560,138 | $ | 475,667,756 | $ | 1,030,404,860 | $ | 1,204,363,041 | ||||||||||||||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Statements of Changes in Net Assets (continued)
| Small Cap Value Fund |
|
Small/Mid Cap Value Fund | ||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 18,817,901 | $ | 42,822,943 | $ | 476,054 | $ | 1,179,944 | ||||||||||||||
|
Net realized gain (loss) |
159,480,589 | 113,737,025 | 1,626,914 | (2,652,906 | ) | |||||||||||||||||
|
Net change in unrealized loss |
(432,449,592 | ) | (911,144,049 | ) | (5,829,216 | ) | (5,576,816 | ) | ||||||||||||||
| Net decrease in net assets resulting from operations | (254,151,102 | ) | (754,584,081 | ) | (3,726,248 | ) | (7,049,778 | ) | ||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class A Shares |
(27,617,788 | ) | (80,325,941 | ) | (7,146 | ) | (96,381 | ) | ||||||||||||||
|
Class C Shares |
(455,913 | ) | (2,159,452 | ) | — | (60,960 | ) | |||||||||||||||
|
Institutional Shares |
(150,441,897 | ) | (373,807,352 | ) | (64,934 | ) | (360,731 | ) | ||||||||||||||
|
Service Shares |
(2,760,504 | ) | (10,384,854 | ) | — | — | ||||||||||||||||
|
Investor Shares |
(7,064,182 | ) | (17,181,572 | ) | (29,922 | ) | (214,689 | ) | ||||||||||||||
|
Class P Shares |
(10,863,518 | ) | (29,152,639 | ) | (508,457 | ) | (3,324,027 | ) | ||||||||||||||
|
Class R Shares |
(3,705,297 | ) | (11,383,758 | ) | (584 | ) | (11,847 | ) | ||||||||||||||
|
Class R6 Shares |
(65,209,388 | ) | (117,489,659 | ) | (605,200 | ) | (3,632,477 | ) | ||||||||||||||
| Total distributions to shareholders | (268,118,487 | ) | (641,885,227 | ) | (1,216,243 | ) | (7,701,112 | ) | ||||||||||||||
| From share transactions: |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
579,699,806 | 1,302,962,484 | 9,117,960 | 18,504,369 | ||||||||||||||||||
|
Reinvestment of distributions |
258,783,478 | 614,744,607 | 1,215,127 | 7,693,950 | ||||||||||||||||||
|
Cost of shares redeemed |
(929,379,182 | ) | (1,991,289,192 | ) | (9,460,185 | ) | (23,414,629 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (90,895,898 | ) | (73,582,101 | ) | 872,902 | 2,783,690 | ||||||||||||||||
| TOTAL DECREASE | (613,165,487 | ) | (1,470,051,409 | ) | (4,069,589 | ) | (11,967,200 | ) | ||||||||||||||
| Net assets: | ||||||||||||||||||||||
|
Beginning of period |
5,545,521,222 | 7,015,572,631 | 117,876,505 | 129,843,705 | ||||||||||||||||||
|
End of period |
$ | 4,932,355,735 | $ | 5,545,521,222 | $ | 113,806,916 | $ | 117,876,505 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS EQUITY INCOME FUND
Selected Share Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Equity Income Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 37.12 | $ | 36.41 | $ | 33.50 | $ | 31.01 | $ | 29.08 | $ | 30.77 | ||||||||||||||
|
Net investment income(a) |
0.16 | 0.38 | 0.37 | 0.33 | 0.43 | 0.29 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.57 | ) | 0.96 | 2.98 | 2.48 | 1.93 | (1.72 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.41 | ) | 1.34 | 3.35 | 2.81 | 2.36 | (1.43 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.15 | ) | (0.33 | ) | (0.44 | ) | (0.32 | ) | (0.43 | ) | (0.26 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.57 | ) | (0.30 | ) | — | — | — | — | ||||||||||||||||||
|
Total distributions |
(1.72 | ) | (0.63 | ) | (0.44 | ) | (0.32 | ) | (0.43 | ) | (0.26 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 33.99 | $ | 37.12 | $ | 36.41 | $ | 33.50 | $ | 31.01 | $ | 29.08 | ||||||||||||||
| Total Return(b) | (4.26 | )% | 3.82 | % | 10.06 | % | 9.10 | % | 8.21 | % | (4.70 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 7,223 | $ | 8,116 | $ | 16,982 | $ | 18,460 | $ | 22,371 | $ | 23,534 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.83 | %(c) | 1.85 | % | 1.87 | % | 1.88 | % | 1.88 | % | 1.89 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.03 | %(c) | 2.00 | % | 2.02 | % | 1.99 | % | 2.01 | % | 1.97 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.85 | %(c) | 1.05 | % | 1.06 | % | 1.02 | % | 1.47 | % | 0.93 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 42 | % | 69 | % | 43 | % | 61 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS EQUITY INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Equity Income Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 39.66 | $ | 38.92 | $ | 35.77 | $ | 33.07 | $ | 30.96 | $ | 32.72 | ||||||||||||||
|
Net investment income(a) |
0.39 | 0.83 | 0.81 | 0.77 | 0.82 | 0.69 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.70 | ) | 1.01 | 3.18 | 2.64 | 2.06 | (1.83 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.31 | ) | 1.84 | 3.99 | 3.41 | 2.88 | (1.14 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.37 | ) | (0.80 | ) | (0.84 | ) | (0.71 | ) | (0.77 | ) | (0.62 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.57 | ) | (0.30 | ) | — | — | — | — | ||||||||||||||||||
|
Total distributions |
(1.94 | ) | (1.10 | ) | (0.84 | ) | (0.71 | ) | (0.77 | ) | (0.62 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 36.41 | $ | 39.66 | $ | 38.92 | $ | 35.77 | $ | 33.07 | $ | 30.96 | ||||||||||||||
| Total Return(b) | (3.77 | )% | 4.94 | % | 11.30 | % | 10.38 | % | 9.46 | % | (3.59 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 19,400 | $ | 19,906 | $ | 24,658 | $ | 37,415 | $ | 31,409 | $ | 29,243 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.74 | %(c) | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.74 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.90 | %(c) | 0.86 | % | 0.87 | % | 0.84 | % | 0.86 | % | 0.82 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.92 | %(c) | 2.17 | % | 2.17 | % | 2.19 | % | 2.61 | % | 2.09 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 42 | % | 69 | % | 43 | % | 61 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Equity Income Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 39.10 | $ | 38.39 | $ | 35.28 | $ | 32.53 | $ | 30.46 | $ | 32.20 | ||||||||||||||
|
Net investment income(a) |
0.28 | 0.61 | 0.63 | 0.57 | 0.65 | 0.51 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.67 | ) | 1.01 | 3.13 | 2.61 | 2.02 | (1.79 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.39 | ) | 1.62 | 3.76 | 3.18 | 2.67 | (1.28 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.26 | ) | (0.61 | ) | (0.65 | ) | (0.43 | ) | (0.60 | ) | (0.46 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.57 | ) | (0.30 | ) | — | — | — | — | ||||||||||||||||||
|
Total distributions |
(1.83 | ) | (0.91 | ) | (0.65 | ) | (0.43 | ) | (0.60 | ) | (0.46 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 35.88 | $ | 39.10 | $ | 38.39 | $ | 35.28 | $ | 32.53 | $ | 30.46 | ||||||||||||||
| Total Return(b) | (4.01 | )% | 4.40 | % | 10.77 | % | 9.84 | % | 8.88 | % | (4.06 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 151 | $ | 175 | $ | 84 | $ | 86 | $ | 324 | $ | 397 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.24 | %(c) | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | % | 1.24 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.40 | %(c) | 1.36 | % | 1.38 | % | 1.33 | % | 1.36 | % | 1.32 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.43 | %(c) | 1.60 | % | 1.70 | % | 1.66 | % | 2.11 | % | 1.58 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 42 | % | 69 | % | 43 | % | 61 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS EQUITY INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Equity Income Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 38.91 | $ | 38.20 | $ | 35.12 | $ | 32.49 | $ | 30.41 | $ | 32.15 | ||||||||||||||
|
Net investment income(a) |
0.36 | 0.76 | 0.76 | 0.75 | 0.76 | 0.62 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.66 | ) | 1.00 | 3.11 | 2.55 | 2.02 | (1.79 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.30 | ) | 1.76 | 3.87 | 3.30 | 2.78 | (1.17 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.35 | ) | (0.75 | ) | (0.79 | ) | (0.67 | ) | (0.70 | ) | (0.57 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.57 | ) | (0.30 | ) | — | — | — | — | ||||||||||||||||||
|
Total distributions |
(1.92 | ) | (1.05 | ) | (0.79 | ) | (0.67 | ) | (0.70 | ) | (0.57 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 35.69 | $ | 38.91 | $ | 38.20 | $ | 35.12 | $ | 32.49 | $ | 30.41 | ||||||||||||||
| Total Return(b) | (3.81 | )% | 4.82 | % | 11.15 | % | 10.21 | % | 9.27 | % | (3.74 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 2,371 | $ | 2,321 | $ | 2,851 | $ | 2,623 | $ | 743 | $ | 614 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.83 | %(c) | 0.85 | % | 0.87 | % | 0.88 | % | 0.88 | % | 0.89 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.03 | %(c) | 1.00 | % | 1.02 | % | 1.00 | % | 1.01 | % | 0.97 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.84 | %(c) | 2.04 | % | 2.07 | % | 2.17 | % | 2.47 | % | 1.90 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 42 | % | 69 | % | 43 | % | 61 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Equity Income Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 39.65 | $ | 38.92 | $ | 37.37 | ||||||||
|
Net investment income(b) |
0.39 | 0.82 | 0.31 | |||||||||||
|
Net realized and unrealized gain (loss) |
(1.70 | ) | 1.01 | 1.48 | ||||||||||
|
Total from investment operations |
(1.31 | ) | 1.83 | 1.79 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.37 | ) | (0.80 | ) | (0.24 | ) | ||||||||
|
Distributions to shareholders from net realized gains |
(1.57 | ) | (0.30 | ) | — | |||||||||
|
Total distributions |
(1.94 | ) | (1.10 | ) | (0.24 | ) | ||||||||
|
Net asset value, end of period |
$ | 36.40 | $ | 39.65 | $ | 38.92 | ||||||||
| Total Return(c) | (3.76 | )% | 4.92 | % | 4.84 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 11,632 | $ | 11,500 | $ | 10,835 | ||||||||
|
Ratio of net expenses to average net assets |
0.73 | %(d) | 0.72 | % | 0.72 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
0.89 | %(d) | 0.85 | % | 0.95 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
1.94 | %(d) | 2.16 | % | 2.20 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
19 | % | 42 | % | 69 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS EQUITY INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Equity Income Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 38.75 | $ | 38.05 | $ | 34.98 | $ | 32.35 | $ | 30.32 | $ | 32.05 | ||||||||||||||
|
Net investment income(a) |
0.26 | 0.57 | 0.57 | 0.53 | 0.60 | 0.46 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.65 | ) | 1.00 | 3.10 | 2.59 | 2.00 | (1.78 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.39 | ) | 1.57 | 3.67 | 3.12 | 2.60 | (1.32 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.25 | ) | (0.57 | ) | (0.60 | ) | (0.49 | ) | (0.57 | ) | (0.41 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.57 | ) | (0.30 | ) | — | — | — | — | ||||||||||||||||||
|
Total distributions |
(1.82 | ) | (0.87 | ) | (0.60 | ) | (0.49 | ) | (0.57 | ) | (0.41 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 35.54 | $ | 38.75 | $ | 38.05 | $ | 34.98 | $ | 32.35 | $ | 30.32 | ||||||||||||||
| Total Return(b) | (4.05 | )% | 4.29 | % | 10.59 | % | 9.68 | % | 8.71 | % | (4.19 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,453 | $ | 1,525 | $ | 1,492 | $ | 1,571 | $ | 1,477 | $ | 1,167 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.33 | %(c) | 1.34 | % | 1.37 | % | 1.38 | % | 1.38 | % | 1.39 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.53 | %(c) | 1.50 | % | 1.52 | % | 1.49 | % | 1.51 | % | 1.47 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.34 | %(c) | 1.54 | % | 1.55 | % | 1.54 | % | 1.96 | % | 1.44 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
19 | % | 42 | % | 69 | % | 43 | % | 61 | % | 47 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY INCOME FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Equity Income Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 39.66 | $ | 38.92 | $ | 35.76 | $ | 33.06 | $ | 30.97 | $ | 33.24 | ||||||||||||||
|
Net investment income(b) |
0.39 | 0.80 | 0.83 | 0.77 | 0.82 | 0.08 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.70 | ) | 1.04 | 3.17 | 2.64 | 2.04 | (2.35 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.31 | ) | 1.84 | 4.00 | 3.41 | 2.86 | (2.27 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.37 | ) | (0.80 | ) | (0.84 | ) | (0.71 | ) | (0.77 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(1.57 | ) | (0.30 | ) | — | — | — | — | ||||||||||||||||||
|
Total distributions |
(1.94 | ) | (1.10 | ) | (0.84 | ) | (0.71 | ) | (0.77 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 36.41 | $ | 39.66 | $ | 38.92 | $ | 35.76 | $ | 33.06 | $ | 30.97 | ||||||||||||||
| Total Return(c) | (3.76 | )% | 4.95 | % | 11.34 | % | 10.39 | % | 9.40 | % | (6.83 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 5,358 | $ | 5,973 | $ | 13 | $ | 11 | $ | 10 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.73 | %(d) | 0.72 | % | 0.72 | % | 0.73 | % | 0.73 | % | 0.69 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.89 | %(d) | 0.85 | % | 0.86 | % | 0.84 | % | 0.86 | % | 0.84 | %(d) | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.93 | %(d) | 2.08 | % | 2.22 | % | 2.20 | % | 2.62 | % | 2.79 | %(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
19 | % | 42 | % | 69 | % | 43 | % | 61 | % | 47 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS FOCUSED VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FOCUSED VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Focused Value Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.60 | $ | 11.03 | $ | 11.05 | $ | 9.84 | $ | 9.28 | $ | 10.00 | ||||||||||||||
|
Net investment income (loss)(b) |
(0.01 | ) | — | (0.03 | ) | 0.03 | 0.05 | — | (c) | |||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.21 | ) | 0.09 | 0.87 | 1.21 | 0.51 | (0.72 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.22 | ) | 0.09 | 0.84 | 1.24 | 0.56 | (0.72 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
— | (0.01 | ) | — | (0.03 | ) | — | (c) | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.11 | ) | (0.51 | ) | (0.86 | ) | — | — | — | |||||||||||||||||
|
Total distributions |
(0.11 | ) | (0.52 | ) | (0.86 | ) | (0.03 | ) | — | (c) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 10.27 | $ | 10.60 | $ | 11.03 | $ | 11.05 | $ | 9.84 | $ | 9.28 | ||||||||||||||
| Total Return(d) | (2.14 | )% | 1.27 | % | 7.87 | % | 12.64 | % | 6.06 | % | (7.20 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 30 | $ | 30 | $ | 30 | $ | 48 | $ | 25 | $ | 23 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.85 | %(e) | 1.85 | % | 1.87 | % | 1.88 | % | 1.88 | % | 1.89 | %(e) | ||||||||||||||
|
Ratio of total expenses to average net assets |
6.53 | %(e) | 8.79 | % | 5.77 | % | 8.66 | % | 15.30 | % | 26.30 | %(e) | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.21 | )%(e) | 0.05 | % | (0.24 | )% | 0.25 | % | 0.58 | % | 0.21 | %(e) | ||||||||||||||
|
Portfolio turnover rate(f) |
46 | % | 122 | % | 204 | % | 126 | % | 161 | % | 2 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (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. 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. | 45 |
GOLDMAN SACHS FOCUSED VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Focused Value Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.72 | $ | 11.13 | $ | 11.14 | $ | 9.92 | $ | 9.29 | $ | 10.00 | ||||||||||||||
|
Net investment income(b) |
0.05 | 0.12 | 0.09 | 0.15 | 0.16 | 0.01 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.20 | ) | 0.08 | 0.88 | 1.21 | 0.52 | (0.72 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.15 | ) | 0.20 | 0.97 | 1.36 | 0.68 | (0.71 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.07 | ) | (0.10 | ) | (0.12 | ) | (0.14 | ) | (0.05 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.11 | ) | (0.51 | ) | (0.86 | ) | — | — | — | |||||||||||||||||
|
Total distributions |
(0.18 | ) | (0.61 | ) | (0.98 | ) | (0.14 | ) | (0.05 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 10.39 | $ | 10.72 | $ | 11.13 | $ | 11.14 | $ | 9.92 | $ | 9.29 | ||||||||||||||
| Total Return(c) | (1.51 | )% | 2.47 | % | 9.06 | % | 13.79 | % | 7.33 | % | (7.10 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 770 | $ | 776 | $ | 1,007 | $ | 4,802 | $ | 3,206 | $ | 1,741 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.76 | %(d) | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.74 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.39 | %(d) | 7.57 | % | 4.40 | % | 7.40 | % | 13.52 | % | 25.15 | %(d) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.88 | %(d) | 1.16 | % | 0.86 | % | 1.39 | % | 1.73 | % | 1.37 | %(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
46 | % | 122 | % | 204 | % | 126 | % | 161 | % | 2 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FOCUSED VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Focused Value Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.69 | $ | 11.13 | $ | 11.13 | $ | 9.91 | $ | 9.29 | $ | 10.00 | ||||||||||||||
|
Net investment income(b) |
0.04 | 0.11 | 0.08 | 0.13 | 0.15 | 0.01 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.20 | ) | 0.07 | 0.88 | 1.22 | 0.51 | (0.72 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.16 | ) | 0.18 | 0.96 | 1.35 | 0.66 | (0.71 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.06 | ) | (0.11 | ) | (0.10 | ) | (0.13 | ) | (0.04 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.11 | ) | (0.51 | ) | (0.86 | ) | — | — | — | |||||||||||||||||
|
Total distributions |
(0.17 | ) | (0.62 | ) | (0.96 | ) | (0.13 | ) | (0.04 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 10.36 | $ | 10.69 | $ | 11.13 | $ | 11.13 | $ | 9.91 | $ | 9.29 | ||||||||||||||
| Total Return(c) | (1.61 | )% | 2.26 | % | 9.01 | % | 13.65 | % | 7.26 | % | (7.20 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 31 | $ | 32 | $ | 31 | $ | 28 | $ | 25 | $ | 23 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.85 | %(d) | 0.85 | % | 0.87 | % | 0.88 | % | 0.88 | % | 0.89 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.53 | %(d) | 7.79 | % | 4.77 | % | 7.61 | % | 14.28 | % | 25.30 | %(d) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.79 | %(d) | 1.05 | % | 0.72 | % | 1.20 | % | 1.58 | % | 1.21 | %(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
46 | % | 122 | % | 204 | % | 126 | % | 161 | % | 2 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS FOCUSED VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Focused Value Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 10.71 | $ | 11.15 | $ | 10.54 | ||||||||
|
Net investment income(b) |
0.05 | 0.12 | 0.04 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.21 | ) | 0.08 | 0.57 | ||||||||||
|
Total from investment operations |
(0.16 | ) | 0.20 | 0.61 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.07 | ) | (0.13 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.11 | ) | (0.51 | ) | — | |||||||||
|
Total distributions |
(0.18 | ) | (0.64 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 10.37 | $ | 10.71 | $ | 11.15 | ||||||||
| Total Return(c) | (1.59 | )% | 2.44 | % | 5.79 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 7,998 | $ | 4,739 | $ | 5,652 | ||||||||
|
Ratio of net expenses to average net assets |
0.74 | %(d) | 0.72 | % | 0.72 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
5.12 | %(d) | 7.47 | % | 5.91 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.90 | %(d) | 1.16 | % | 0.89 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
46 | % | 122 | % | 204 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FOCUSED VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Focused Value Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.65 | $ | 11.07 | $ | 11.09 | $ | 9.88 | $ | 9.28 | $ | 10.00 | ||||||||||||||
|
Net investment income(b) |
0.02 | 0.06 | 0.02 | 0.07 | 0.10 | 0.01 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.21 | ) | 0.09 | 0.87 | 1.22 | 0.52 | (0.73 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.19 | ) | 0.15 | 0.89 | 1.29 | 0.62 | (0.72 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.01 | ) | (0.06 | ) | (0.05 | ) | (0.08 | ) | (0.02 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.11 | ) | (0.51 | ) | (0.86 | ) | — | — | — | |||||||||||||||||
|
Total distributions |
(0.12 | ) | (0.57 | ) | (0.91 | ) | (0.08 | ) | (0.02 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 10.34 | $ | 10.65 | $ | 11.07 | $ | 11.09 | $ | 9.88 | $ | 9.28 | ||||||||||||||
| Total Return(c) | (1.87 | )% | 1.91 | % | 8.35 | % | 13.08 | % | 6.60 | % | (7.10 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 31 | $ | 31 | $ | 30 | $ | 28 | $ | 25 | $ | 23 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.35 | %(d) | 1.35 | % | 1.37 | % | 1.38 | % | 1.38 | % | 1.39 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
6.03 | %(d) | 8.29 | % | 5.27 | % | 8.12 | % | 14.79 | % | 25.80 | %(d) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.29 | %(d) | 0.54 | % | 0.22 | % | 0.70 | % | 1.08 | % | 0.71 | %(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
46 | % | 122 | % | 204 | % | 126 | % | 161 | % | 2 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS FOCUSED VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Focused Value Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 10.71 | $ | 11.14 | $ | 11.15 | $ | 9.92 | $ | 9.29 | $ | 10.00 | ||||||||||||||
|
Net investment income(b) |
0.05 | 0.12 | 0.10 | 0.15 | 0.16 | 0.01 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.21 | ) | 0.09 | 0.87 | 1.22 | 0.52 | (0.72 | ) | ||||||||||||||||||
|
Total from investment operations |
(0.16 | ) | 0.21 | 0.97 | 1.37 | 0.68 | (0.71 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.07 | ) | (0.13 | ) | (0.12 | ) | (0.14 | ) | (0.05 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.11 | ) | (0.51 | ) | (0.86 | ) | — | — | — | |||||||||||||||||
|
Total distributions |
(0.18 | ) | (0.64 | ) | (0.98 | ) | (0.14 | ) | (0.05 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 10.37 | $ | 10.71 | $ | 11.14 | $ | 11.15 | $ | 9.92 | $ | 9.29 | ||||||||||||||
| Total Return(c) | (1.60 | )% | 2.52 | % | 9.06 | % | 13.91 | % | 7.34 | % | (7.10 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 31 | $ | 32 | $ | 31 | $ | 28 | $ | 25 | $ | 23 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.75 | %(d) | 0.72 | % | 0.72 | % | 0.71 | % | 0.71 | % | 0.72 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
5.38 | %(d) | 7.64 | % | 4.64 | % | 7.46 | % | 14.11 | % | 25.14 | %(d) | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.89 | %(d) | 1.16 | % | 0.87 | % | 1.37 | % | 1.75 | % | 1.39 | %(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
46 | % | 122 | % | 204 | % | 126 | % | 161 | % | 2 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.64 | $ | 15.32 | $ | 16.51 | $ | 15.43 | $ | 15.83 | $ | 17.86 | ||||||||||||||
|
Net investment income(a) |
0.02 | 0.05 | 0.01 | 0.07 | 0.12 | 0.03 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.33 | ) | (0.22 | ) | 1.29 | 1.19 | 0.93 | (1.08 | ) | |||||||||||||||||
|
Total from investment operations |
(0.31 | ) | (0.17 | ) | 1.30 | 1.26 | 1.05 | (1.05 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.07 | ) | — | (0.13 | ) | (0.18 | ) | (0.01 | ) | (0.02 | ) | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.67 | ) | (1.51 | ) | (2.36 | ) | — | (1.44 | ) | (0.96 | ) | |||||||||||||||
|
Total distributions |
(0.74 | ) | (1.51 | ) | (2.49 | ) | (0.18 | ) | (1.45 | ) | (0.98 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.59 | $ | 13.64 | $ | 15.32 | $ | 16.51 | $ | 15.43 | $ | 15.83 | ||||||||||||||
| Total Return(b) | (2.88 | )% | (0.28 | )% | 8.46 | % | 8.18 | % | 7.01 | % | (6.28 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 19,041 | $ | 21,481 | $ | 36,819 | $ | 39,403 | $ | 41,587 | $ | 42,221 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.84 | %(c) | 1.86 | % | 1.86 | % | 1.89 | % | 1.93 | % | 1.92 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.01 | %(c) | 2.03 | % | 1.99 | % | 1.97 | % | 1.97 | % | 1.95 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.25 | %(c) | 0.35 | % | 0.06 | % | 0.41 | % | 0.79 | % | 0.16 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
30 | % | 62 | % | 171 | % | 124 | % | 116 | % | 67 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 14.58 | $ | 16.32 | $ | 17.42 | $ | 16.25 | $ | 16.61 | $ | 18.67 | ||||||||||||||
|
Net investment income(a) |
0.10 | 0.21 | 0.19 | 0.25 | 0.30 | 0.24 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.34 | ) | (0.26 | ) | 1.36 | 1.27 | 0.97 | (1.12 | ) | |||||||||||||||||
|
Total from investment operations |
(0.24 | ) | (0.05 | ) | 1.55 | 1.52 | 1.27 | (0.88 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.22 | ) | (0.18 | ) | (0.28 | ) | (0.35 | ) | (0.19 | ) | (0.22 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.67 | ) | (1.51 | ) | (2.37 | ) | — | (1.44 | ) | (0.96 | ) | |||||||||||||||
|
Total distributions |
(0.89 | ) | (1.69 | ) | (2.65 | ) | (0.35 | ) | (1.63 | ) | (1.18 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.45 | $ | 14.58 | $ | 16.32 | $ | 17.42 | $ | 16.25 | $ | 16.61 | ||||||||||||||
| Total Return(b) | (2.31 | )% | 0.69 | % | 9.65 | % | 9.41 | % | 8.17 | % | (5.13 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 138,373 | $ | 177,613 | $ | 174,803 | $ | 645,552 | $ | 905,400 | $ | 1,037,653 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.78 | %(c) | 0.79 | % | 0.79 | % | 0.78 | % | 0.78 | % | 0.77 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.88 | %(c) | 0.89 | % | 0.85 | % | 0.82 | % | 0.82 | % | 0.80 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.30 | %(c) | 1.42 | % | 1.13 | % | 1.46 | % | 1.93 | % | 1.31 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
30 | % | 62 | % | 171 | % | 124 | % | 116 | % | 79 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 14.36 | $ | 16.03 | $ | 17.14 | $ | 15.99 | $ | 16.36 | $ | 18.42 | ||||||||||||||
|
Net investment income(a) |
0.06 | 0.13 | 0.10 | 0.17 | 0.22 | 0.15 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.33 | ) | (0.24 | ) | 1.35 | 1.23 | 0.96 | (1.11 | ) | |||||||||||||||||
|
Total from investment operations |
(0.27 | ) | (0.11 | ) | 1.45 | 1.40 | 1.18 | (0.96 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.15 | ) | (0.05 | ) | (0.20 | ) | (0.25 | ) | (0.11 | ) | (0.14 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.67 | ) | (1.51 | ) | (2.36 | ) | — | (1.44 | ) | (0.96 | ) | |||||||||||||||
|
Total distributions |
(0.82 | ) | (1.56 | ) | (2.56 | ) | (0.25 | ) | (1.55 | ) | (1.10 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.27 | $ | 14.36 | $ | 16.03 | $ | 17.14 | $ | 15.99 | $ | 16.36 | ||||||||||||||
| Total Return(b) | (2.53 | )% | 0.20 | % | 9.15 | % | 8.80 | % | 7.67 | % | (5.63 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 858 | $ | 1,004 | $ | 1,201 | $ | 2,914 | $ | 3,549 | $ | 4,294 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.28 | %(c) | 1.29 | % | 1.29 | % | 1.28 | % | 1.28 | % | 1.27 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.38 | %(c) | 1.39 | % | 1.35 | % | 1.32 | % | 1.32 | % | 1.30 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.81 | %(c) | 0.91 | % | 0.64 | % | 1.01 | % | 1.45 | % | 0.84 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
30 | % | 62 | % | 171 | % | 124 | % | 116 | % | 79 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 14.43 | $ | 16.17 | $ | 17.28 | $ | 16.11 | $ | 16.47 | $ | 18.34 | ||||||||||||||
|
Net investment income(a) |
0.09 | 0.20 | 0.17 | 0.25 | 0.27 | 0.21 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.33 | ) | (0.26 | ) | 1.36 | 1.23 | 0.97 | (1.12 | ) | |||||||||||||||||
|
Total from investment operations |
(0.24 | ) | (0.06 | ) | 1.53 | 1.48 | 1.24 | (0.91 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.21 | ) | (0.17 | ) | (0.27 | ) | (0.31 | ) | (0.16 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.67 | ) | (1.51 | ) | (2.37 | ) | — | (1.44 | ) | (0.96 | ) | |||||||||||||||
|
Total distributions |
(0.88 | ) | (1.68 | ) | (2.64 | ) | (0.31 | ) | (1.60 | ) | (0.96 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 13.31 | $ | 14.43 | $ | 16.17 | $ | 17.28 | $ | 16.11 | $ | 16.47 | ||||||||||||||
| Total Return(b) | (2.33 | )% | 0.64 | % | 9.61 | % | 9.26 | % | 8.05 | % | (5.29 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 3,784 | $ | 4,191 | $ | 7,447 | $ | 6,516 | $ | 3,654 | $ | 6,878 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.84 | %(c) | 0.86 | % | 0.86 | % | 0.88 | % | 0.93 | % | 0.92 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.01 | %(c) | 1.03 | % | 0.99 | % | 0.97 | % | 0.97 | % | 0.95 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.25 | %(c) | 1.35 | % | 1.06 | % | 1.47 | % | 1.77 | % | 1.17 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
30 | % | 62 | % | 171 | % | 124 | % | 116 | % | 67 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Large Cap Value Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 14.92 | $ | 16.66 | $ | 15.81 | ||||||||
|
Net investment income(b) |
0.10 | 0.21 | 0.08 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.35 | ) | (0.25 | ) | 0.77 | |||||||||
|
Total from investment operations |
(0.25 | ) | (0.04 | ) | 0.85 | |||||||||
|
Distributions to shareholders from net investment income |
(0.22 | ) | (0.19 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.67 | ) | (1.51 | ) | — | |||||||||
|
Total distributions |
(0.89 | ) | (1.70 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 13.78 | $ | 14.92 | $ | 16.66 | ||||||||
| Total Return(c) | (2.31 | )% | 0.74 | % | 5.38 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 168,211 | $ | 180,475 | $ | 248,012 | ||||||||
|
Ratio of net expenses to average net assets |
0.77 | %(d) | 0.78 | % | 0.78 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
0.87 | %(d) | 0.88 | % | 0.85 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
1.32 | %(d) | 1.43 | % | 1.26 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
30 | % | 62 | % | 171 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 13.97 | $ | 15.71 | $ | 16.86 | $ | 15.73 | $ | 16.12 | $ | 18.17 | ||||||||||||||
|
Net investment income(a) |
0.05 | 0.12 | 0.09 | 0.15 | 0.20 | 0.12 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.33 | ) | (0.25 | ) | 1.32 | 1.22 | 0.94 | (1.09 | ) | |||||||||||||||||
|
Total from investment operations |
(0.28 | ) | (0.13 | ) | 1.41 | 1.37 | 1.14 | (0.97 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.12 | ) | (0.10 | ) | (0.20 | ) | (0.24 | ) | (0.09 | ) | (0.12 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.67 | ) | (1.51 | ) | (2.36 | ) | — | (1.44 | ) | (0.96 | ) | |||||||||||||||
|
Total distributions |
(0.79 | ) | (1.61 | ) | (2.56 | ) | (0.24 | ) | (1.53 | ) | (1.08 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 12.90 | $ | 13.97 | $ | 15.71 | $ | 16.86 | $ | 15.73 | $ | 16.12 | ||||||||||||||
| Total Return(b) | (2.60 | )% | 0.12 | % | 9.05 | % | 8.73 | % | 7.51 | % | (5.77 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 3,460 | $ | 4,008 | $ | 5,252 | $ | 6,204 | $ | 7,130 | $ | 7,710 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.34 | %(c) | 1.36 | % | 1.36 | % | 1.39 | % | 1.43 | % | 1.42 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.51 | %(c) | 1.53 | % | 1.49 | % | 1.47 | % | 1.47 | % | 1.45 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.74 | %(c) | 0.85 | % | 0.56 | % | 0.90 | % | 1.30 | % | 0.66 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
30 | % | 62 | % | 171 | % | 124 | % | 116 | % | 79 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 14.92 | $ | 16.66 | $ | 17.45 | $ | 16.25 | $ | 16.61 | $ | 17.88 | ||||||||||||||
|
Net investment income(b) |
0.10 | 0.22 | 0.18 | 0.21 | 0.31 | 0.03 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.35 | ) | (0.26 | ) | 1.39 | 1.34 | 0.96 | (1.30 | ) | |||||||||||||||||
|
Total from investment operations |
(0.25 | ) | (0.04 | ) | 1.57 | 1.55 | 1.27 | (1.27 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.22 | ) | (0.19 | ) | — | (0.35 | ) | (0.19 | ) | — | ||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.67 | ) | (1.51 | ) | (2.36 | ) | — | (1.44 | ) | — | ||||||||||||||||
|
Total distributions |
(0.89 | ) | (1.70 | ) | (2.36 | ) | (0.35 | ) | (1.63 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 13.78 | $ | 14.92 | $ | 16.66 | $ | 17.45 | $ | 16.25 | $ | 16.61 | ||||||||||||||
| Total Return(c) | (2.31 | )% | 0.73 | % | 9.67 | % | 9.63 | % | 8.21 | % | (7.10 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,775 | $ | 2,172 | $ | 1,106 | $ | 11 | $ | 121,773 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.77 | %(d) | 0.78 | % | 0.78 | % | 0.76 | % | 0.76 | % | 0.77 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.87 | %(d) | 0.89 | % | 0.85 | % | 0.79 | % | 0.80 | % | 0.81 | %(d) | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.32 | %(d) | 1.44 | % | 1.12 | % | 1.27 | % | 2.05 | % | 2.01 | %(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
30 | % | 62 | % | 171 | % | 124 | % | 116 | % | 79 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 28.10 | $ | 32.59 | $ | 34.68 | $ | 32.00 | $ | 35.80 | $ | 46.05 | ||||||||||||||
|
Net investment income (loss)(a) |
(0.02 | ) | (0.07 | ) | (0.17 | ) | (0.09 | ) | 0.05 | (0.19 | ) | |||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.04 | ) | 0.29 | 3.33 | 2.92 | 0.49 | (1.59 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.06 | ) | 0.22 | 3.16 | 2.83 | 0.54 | (1.78 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
— | — | — | (0.15 | ) | — | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.84 | ) | (4.71 | ) | (5.25 | ) | — | (4.34 | ) | (8.47 | ) | |||||||||||||||
|
Total distributions |
(0.84 | ) | (4.71 | ) | (5.25 | ) | (0.15 | ) | (4.34 | ) | (8.47 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 26.20 | $ | 28.10 | $ | 32.59 | $ | 34.68 | $ | 32.00 | $ | 35.80 | ||||||||||||||
| Total Return(c) | (4.11 | )% | 2.58 | % | 9.86 | % | 8.86 | % | 2.20 | % | (4.91 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 21,574 | $ | 28,175 | $ | 78,897 | $ | 102,928 | $ | 141,081 | $ | 180,780 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.97 | %(d) | 1.98 | % | 1.97 | % | 1.92 | % | 1.90 | % | 1.89 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.98 | %(d) | 1.98 | % | 1.97 | % | 1.92 | % | 1.90 | % | 1.89 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.15 | )%(d) | (0.24 | )% | (0.53 | )% | (0.25 | )% | 0.16 | % | (0.47 | )% | ||||||||||||||
|
Portfolio turnover rate(e) |
44 | % | 82 | % | 137 | % | 124 | % | 111 | % | 95 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 32.76 | $ | 37.06 | $ | 38.68 | $ | 35.64 | $ | 39.22 | $ | 49.55 | ||||||||||||||
|
Net investment income(a) |
0.14 | 0.29 | 0.21 | 0.34 | 0.46 | 0.29 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.19 | ) | 0.39 | 3.77 | 3.25 | 0.56 | (1.75 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.05 | ) | 0.68 | 3.98 | 3.59 | 1.02 | (1.46 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.34 | ) | (0.27 | ) | (0.26 | ) | (0.55 | ) | (0.26 | ) | (0.40 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.84 | ) | (4.71 | ) | (5.34 | ) | — | (4.34 | ) | (8.47 | ) | |||||||||||||||
|
Total distributions |
(1.18 | ) | (4.98 | ) | (5.60 | ) | (0.55 | ) | (4.60 | ) | (8.87 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 30.53 | $ | 32.76 | $ | 37.06 | $ | 38.68 | $ | 35.64 | $ | 39.22 | ||||||||||||||
| Total Return(b) | (3.56 | )% | 3.78 | % | 11.13 | % | 10.12 | % | 3.39 | % | (3.82 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 285,429 | $ | 346,004 | $ | 555,930 | $ | 1,424,886 | $ | 3,687,681 | $ | 5,868,055 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.84 | %(c) | 0.84 | % | 0.83 | % | 0.77 | % | 0.75 | % | 0.74 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.84 | %(c) | 0.84 | % | 0.83 | % | 0.77 | % | 0.75 | % | 0.74 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.85 | %(c) | 0.89 | % | 0.58 | % | 0.91 | % | 1.31 | % | 0.68 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
44 | % | 82 | % | 137 | % | 124 | % | 111 | % | 95 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 31.58 | $ | 35.89 | $ | 37.61 | $ | 34.63 | $ | 38.21 | $ | 48.40 | ||||||||||||||
|
Net investment income(a) |
0.06 | 0.12 | 0.04 | 0.15 | 0.28 | 0.08 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.16 | ) | 0.38 | 3.65 | 3.15 | 0.54 | (1.71 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.10 | ) | 0.50 | 3.69 | 3.30 | 0.82 | (1.63 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.14 | ) | (0.10 | ) | (0.12 | ) | (0.32 | ) | (0.06 | ) | (0.09 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.84 | ) | (4.71 | ) | (5.29 | ) | — | (4.34 | ) | (8.47 | ) | |||||||||||||||
|
Total distributions |
(0.98 | ) | (4.81 | ) | (5.41 | ) | (0.32 | ) | (4.40 | ) | (8.56 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 29.50 | $ | 31.58 | $ | 35.89 | $ | 37.61 | $ | 34.63 | $ | 38.21 | ||||||||||||||
| Total Return(b) | (3.81 | )% | 3.25 | % | 10.58 | % | 9.56 | % | 2.87 | % | (4.30 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 35,350 | $ | 47,597 | $ | 65,727 | $ | 87,438 | $ | 139,677 | $ | 222,149 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.34 | %(c) | 1.34 | % | 1.33 | % | 1.27 | % | 1.25 | % | 1.24 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.34 | %(c) | 1.34 | % | 1.33 | % | 1.28 | % | 1.25 | % | 1.24 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.41 | %(c) | 0.38 | % | 0.11 | % | 0.40 | % | 0.84 | % | 0.19 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
44 | % | 82 | % | 137 | % | 124 | % | 111 | % | 95 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 31.55 | $ | 35.89 | $ | 37.57 | $ | 34.63 | $ | 38.23 | $ | 48.52 | ||||||||||||||
|
Net investment income(a) |
0.11 | 0.23 | 0.17 | 0.27 | 0.39 | 0.22 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.13 | ) | 0.37 | 3.63 | 3.17 | 0.55 | (1.70 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.02 | ) | 0.60 | 3.80 | 3.44 | 0.94 | (1.48 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.30 | ) | (0.23 | ) | (0.18 | ) | (0.50 | ) | (0.20 | ) | (0.34 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.84 | ) | (4.71 | ) | (5.30 | ) | — | (4.34 | ) | (8.47 | ) | |||||||||||||||
|
Total distributions |
(1.14 | ) | (4.94 | ) | (5.48 | ) | (0.50 | ) | (4.54 | ) | (8.81 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 29.39 | $ | 31.55 | $ | 35.89 | $ | 37.57 | $ | 34.63 | $ | 38.23 | ||||||||||||||
| Total Return(b) | (3.63 | )% | 3.63 | % | 10.98 | % | 9.94 | % | 3.24 | % | (3.96 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 37,511 | $ | 41,809 | $ | 51,375 | $ | 77,446 | $ | 220,429 | $ | 304,390 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.97 | %(c) | 0.97 | % | 0.97 | % | 0.92 | % | 0.90 | % | 0.89 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.97 | %(c) | 0.98 | % | 0.97 | % | 0.92 | % | 0.90 | % | 0.89 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.73 | %(c) | 0.74 | % | 0.47 | % | 0.73 | % | 1.16 | % | 0.52 | % | ||||||||||||||
|
Portfolio turnover rate(d) |
44 | % | 82 | % | 137 | % | 124 | % | 111 | % | 95 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
| (c) | Annualized. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Mid Cap Value Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 32.73 | $ | 37.04 | $ | 35.64 | ||||||||
|
Net investment income(b) |
0.14 | 0.29 | 0.13 | |||||||||||
|
Net realized and unrealized gain (loss) |
(1.19 | ) | 0.39 | 1.27 | ||||||||||
|
Total from investment operations |
(1.05 | ) | 0.68 | 1.40 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.34 | ) | (0.28 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.84 | ) | (4.71 | ) | — | |||||||||
|
Total distributions |
(1.18 | ) | (4.99 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 30.50 | $ | 32.73 | $ | 37.04 | ||||||||
| Total Return(c) | (3.56 | )% | 3.80 | % | 3.93 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 129,108 | $ | 141,460 | $ | 172,003 | ||||||||
|
Ratio of net expenses to average net assets |
0.83 | %(d) | 0.83 | % | 0.86 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
0.83 | %(d) | 0.83 | % | 0.86 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.85 | %(d) | 0.89 | % | 0.94 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
44 | % | 82 | % | 137 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 31.20 | $ | 35.52 | $ | 37.28 | $ | 34.38 | $ | 38.00 | $ | 48.28 | ||||||||||||||
|
Net investment income (loss)(a) |
0.04 | 0.08 | (0.01 | ) | 0.09 | 0.22 | — | (b) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.15 | ) | 0.37 | 3.61 | 3.13 | 0.55 | (1.69 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.11 | ) | 0.45 | 3.60 | 3.22 | 0.77 | (1.69 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | (0.06 | ) | (0.09 | ) | (0.32 | ) | (0.05 | ) | (0.12 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.84 | ) | (4.71 | ) | (5.27 | ) | — | (4.34 | ) | (8.47 | ) | |||||||||||||||
|
Total distributions |
(0.97 | ) | (4.77 | ) | (5.36 | ) | (0.32 | ) | (4.39 | ) | (8.59 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 29.12 | $ | 31.20 | $ | 35.52 | $ | 37.28 | $ | 34.38 | $ | 38.00 | ||||||||||||||
| Total Return(c) | (3.86 | )% | 3.10 | % | 10.43 | % | 9.40 | % | 2.72 | % | (4.45 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 18,460 | $ | 21,916 | $ | 28,103 | $ | 34,193 | $ | 40,111 | $ | 42,277 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.47 | %(d) | 1.47 | % | 1.47 | % | 1.42 | % | 1.40 | % | 1.39 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.47 | %(d) | 1.48 | % | 1.47 | % | 1.43 | % | 1.40 | % | 1.39 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.29 | %(d) | 0.25 | % | (0.03 | )% | 0.25 | % | 0.66 | % | 0.01 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
44 | % | 82 | % | 137 | % | 124 | % | 111 | % | 95 | % | ||||||||||||||
| (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 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 32.74 | $ | 37.04 | $ | 38.66 | $ | 35.64 | $ | 39.23 | $ | 41.24 | ||||||||||||||
|
Net investment income (loss)(b) |
0.14 | 0.27 | 0.22 | 0.36 | 0.47 | (0.02 | ) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.18 | ) | 0.41 | 3.76 | 3.22 | 0.56 | (1.99 | ) | ||||||||||||||||||
|
Total from investment operations |
(1.04 | ) | 0.68 | 3.98 | 3.58 | 1.03 | (2.01 | ) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.35 | ) | (0.27 | ) | (0.27 | ) | (0.56 | ) | (0.28 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.84 | ) | (4.71 | ) | (5.33 | ) | — | (4.34 | ) | — | ||||||||||||||||
|
Total distributions |
(1.19 | ) | (4.98 | ) | (5.60 | ) | (0.56 | ) | (4.62 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 30.51 | $ | 32.74 | $ | 37.04 | $ | 38.66 | $ | 35.64 | $ | 39.23 | ||||||||||||||
| Total Return(c) | (3.59 | )% | 3.79 | % | 11.10 | % | 10.13 | % | 3.41 | % | (4.87 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 49,642 | $ | 50,538 | $ | 39,520 | $ | 73,505 | $ | 372,313 | $ | 10 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.83 | %(d) | 0.82 | % | 0.82 | % | 0.75 | % | 0.73 | % | 0.73 | %(d) | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.83 | %(d) | 0.83 | % | 0.82 | % | 0.75 | % | 0.73 | % | 0.73 | %(d) | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.85 | %(d) | 0.85 | % | 0.60 | % | 0.97 | % | 1.39 | % | (0.62 | )%(d) | ||||||||||||||
|
Portfolio turnover rate(e) |
44 | % | 82 | % | 137 | % | 124 | % | 111 | % | 95 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.10 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small Cap Value Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 33.97 | $ | 45.37 | $ | 44.50 | $ | 41.75 | $ | 40.23 | $ | 45.84 | ||||||||||||||
|
Net investment loss(a) |
(0.02 | ) | (0.13 | ) | (0.31 | ) | (0.20 | ) | (0.13 | ) | (0.19 | )(b) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
(1.68 | ) | (5.43 | ) | 7.49 | 4.70 | 4.06 | (1.06 | ) | |||||||||||||||||
|
Total from investment operations |
(1.70 | ) | (5.56 | ) | 7.18 | 4.50 | 3.93 | (1.25 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
— | — | — | — | — | (c) | — | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
(2.06 | ) | (5.84 | ) | (6.31 | ) | (1.75 | ) | (2.41 | ) | (4.36 | ) | ||||||||||||||
|
Total distributions |
(2.06 | ) | (5.84 | ) | (6.31 | ) | (1.75 | ) | (2.41 | ) | (4.36 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 30.21 | $ | 33.97 | $ | 45.37 | $ | 44.50 | $ | 41.75 | $ | 40.23 | ||||||||||||||
| Total Return(d) | (5.83 | )% | (11.83 | )% | 17.26 | % | 10.72 | % | 10.40 | % | (3.04 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 5,968 | $ | 8,867 | $ | 37,157 | $ | 37,357 | $ | 47,925 | $ | 59,341 | ||||||||||||||
|
Ratio of net expenses to average net assets |
2.09 | %(e) | 2.09 | % | 2.08 | % | 2.09 | % | 2.10 | % | 2.09 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.11 | %(e) | 2.11 | % | 2.11 | % | 2.13 | % | 2.14 | % | 2.14 | % | ||||||||||||||
|
Ratio of net investment loss to average net assets |
(0.10 | )%(e) | (0.36 | )% | (0.69 | )% | (0.45 | )% | (0.33 | )% | (0.45 | )%(b) | ||||||||||||||
|
Portfolio turnover rate(f) |
29 | % | 47 | % | 55 | % | 68 | % | 46 | % | 49 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.10 per share and 0.18% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small Cap Value Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 51.56 | $ | 64.90 | $ | 60.78 | $ | 56.20 | $ | 53.10 | $ | 58.80 | ||||||||||||||
|
Net investment income(a) |
0.23 | 0.43 | 0.28 | 0.41 | 0.42 | 0.39 | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(2.63 | ) | (7.71 | ) | 10.46 | 6.34 | 5.45 | (1.40 | ) | |||||||||||||||||
|
Total from investment operations |
(2.40 | ) | (7.28 | ) | 10.74 | 6.75 | 5.87 | (1.01 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.46 | ) | (0.22 | ) | (0.31 | ) | (0.42 | ) | (0.36 | ) | (0.33 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(2.06 | ) | (5.84 | ) | (6.31 | ) | (1.75 | ) | (2.41 | ) | (4.36 | ) | ||||||||||||||
|
Total distributions |
(2.52 | ) | (6.06 | ) | (6.62 | ) | (2.17 | ) | (2.77 | ) | (4.69 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 46.64 | $ | 51.56 | $ | 64.90 | $ | 60.78 | $ | 56.20 | $ | 53.10 | ||||||||||||||
| Total Return(c) | (5.32 | )% | (10.81 | )% | 18.62 | % | 12.00 | % | 11.66 | % | (1.92 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 2,708,576 | $ | 3,114,853 | $ | 4,304,041 | $ | 4,393,986 | $ | 4,476,848 | $ | 4,503,821 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.96 | %(d) | 0.95 | % | 0.94 | % | 0.94 | % | 0.95 | % | 0.94 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.97 | %(d) | 0.97 | % | 0.97 | % | 0.98 | % | 0.99 | % | 0.99 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.86 | %(d) | 0.78 | % | 0.45 | % | 0.69 | % | 0.82 | % | 0.70 | %(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
29 | % | 47 | % | 55 | % | 68 | % | 46 | % | 49 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.10 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small Cap Value Fund | ||||||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 45.50 | $ | 58.10 | $ | 55.04 | $ | 51.10 | $ | 48.50 | $ | 54.08 | ||||||||||||||
|
Net investment income (loss)(a) |
0.09 | 0.14 | (0.03 | ) | 0.09 | 0.15 | 0.11 | (b) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(2.32 | ) | (6.90 | ) | 9.42 | 5.77 | 4.96 | (1.29 | ) | |||||||||||||||||
|
Total from investment operations |
(2.23 | ) | (6.76 | ) | 9.39 | 5.86 | 5.11 | (1.18 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.15 | ) | — | (0.02 | ) | (0.17 | ) | (0.10 | ) | (0.04 | ) | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(2.06 | ) | (5.84 | ) | (6.31 | ) | (1.75 | ) | (2.41 | ) | (4.36 | ) | ||||||||||||||
|
Total distributions |
(2.21 | ) | (5.84 | ) | (6.33 | ) | (1.92 | ) | (2.51 | ) | (4.40 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 41.06 | $ | 45.50 | $ | 58.10 | $ | 55.04 | $ | 51.10 | $ | 48.50 | ||||||||||||||
| Total Return(c) | (5.54 | )% | (11.26 | )% | 18.02 | % | 11.44 | % | 11.11 | % | (2.41 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 44,068 | $ | 75,860 | $ | 110,636 | $ | 145,996 | $ | 119,315 | $ | 134,195 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.46 | %(d) | 1.45 | % | 1.44 | % | 1.44 | % | 1.45 | % | 1.44 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.47 | %(d) | 1.47 | % | 1.47 | % | 1.48 | % | 1.49 | % | 1.49 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.44 | %(d) | 0.29 | % | (0.06 | )% | 0.17 | % | 0.32 | % | 0.21 | %(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
29 | % | 47 | % | 55 | % | 68 | % | 46 | % | 49 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.10 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small Cap Value Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 46.84 | $ | 59.60 | $ | 56.32 | $ | 52.23 | $ | 49.55 | $ | 55.18 | ||||||||||||||
|
Net investment income(a) |
0.18 | 0.32 | 0.18 | 0.29 | 0.32 | 0.28 | (b) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(2.36 | ) | (7.09 | ) | 9.64 | 5.90 | 5.07 | (1.30 | ) | |||||||||||||||||
|
Total from investment operations |
(2.18 | ) | (6.77 | ) | 9.82 | 6.19 | 5.39 | (1.02 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.40 | ) | (0.15 | ) | (0.23 | ) | (0.35 | ) | (0.30 | ) | (0.25 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(2.06 | ) | (5.84 | ) | (6.31 | ) | (1.75 | ) | (2.41 | ) | (4.36 | ) | ||||||||||||||
|
Total distributions |
(2.46 | ) | (5.99 | ) | (6.54 | ) | (2.10 | ) | (2.71 | ) | (4.61 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 42.20 | $ | 46.84 | $ | 59.60 | $ | 56.32 | $ | 52.23 | $ | 49.55 | ||||||||||||||
| Total Return(c) | (5.36 | )% | (10.94 | )% | 18.44 | % | 11.84 | % | 11.50 | % | (2.07 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 117,686 | $ | 132,434 | $ | 173,176 | $ | 168,986 | $ | 162,661 | $ | 128,838 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.09 | %(d) | 1.09 | % | 1.08 | % | 1.09 | % | 1.10 | % | 1.09 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.10 | %(d) | 1.11 | % | 1.11 | % | 1.13 | % | 1.14 | % | 1.14 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.75 | %(d) | 0.64 | % | 0.31 | % | 0.53 | % | 0.67 | % | 0.54 | %(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
29 | % | 47 | % | 55 | % | 68 | % | 46 | % | 49 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.10 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small Cap Value Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 51.53 | $ | 64.88 | $ | 60.80 | ||||||||
|
Net investment income(b) |
0.23 | 0.43 | 0.11 | |||||||||||
|
Net realized and unrealized gain (loss) |
(2.62 | ) | (7.71 | ) | 3.97 | |||||||||
|
Total from investment operations |
(2.39 | ) | (7.28 | ) | 4.08 | |||||||||
|
Distributions to shareholders from net investment income |
(0.46 | ) | (0.23 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(2.06 | ) | (5.84 | ) | — | |||||||||
|
Total distributions |
(2.52 | ) | (6.07 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 46.62 | $ | 51.53 | $ | 64.88 | ||||||||
| Total Return(c) | (5.30 | )% | (10.80 | )% | 6.71 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 214,330 | $ | 231,930 | $ | 317,224 | ||||||||
|
Ratio of net expenses to average net assets |
0.95 | %(d) | 0.94 | % | 0.93 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
0.96 | %(d) | 0.96 | % | 0.97 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.86 | %(d) | 0.79 | % | 0.46 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
29 | % | 47 | % | 55 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small Cap Value Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 45.96 | $ | 58.69 | $ | 55.60 | $ | 51.62 | $ | 48.95 | $ | 54.58 | ||||||||||||||
|
Net investment income (loss)(a) |
0.08 | 0.07 | (0.11 | ) | 0.02 | 0.08 | 0.03 | (b) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(2.36 | ) | (6.96 | ) | 9.51 | 5.82 | 5.03 | (1.30 | ) | |||||||||||||||||
|
Total from investment operations |
(2.28 | ) | (6.89 | ) | 9.40 | 5.84 | 5.11 | (1.27 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | — | — | (0.11 | ) | (0.03 | ) | — | |||||||||||||||||
|
Distributions to shareholders from net realized gains |
(2.06 | ) | (5.84 | ) | (6.31 | ) | (1.75 | ) | (2.41 | ) | (4.36 | ) | ||||||||||||||
|
Total distributions |
(2.19 | ) | (5.84 | ) | (6.31 | ) | (1.86 | ) | (2.44 | ) | (4.36 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 41.49 | $ | 45.96 | $ | 58.69 | $ | 55.60 | $ | 51.62 | $ | 48.95 | ||||||||||||||
| Total Return(c) | (5.61 | )% | 11.37 | % | 17.85 | % | 11.28 | % | 10.96 | % | (2.56 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 67,514 | $ | 84,684 | $ | 123,288 | $ | 124,039 | $ | 122,526 | $ | 136,644 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.59 | %(d) | 1.59 | % | 1.58 | % | 1.59 | % | 1.60 | % | 1.59 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.60 | %(d) | 1.61 | % | 1.61 | % | 1.63 | % | 1.64 | % | 1.64 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.33 | %(d) | 0.15 | % | (0.19 | )% | 0.04 | % | 0.18 | % | 0.05 | %(b) | ||||||||||||||
|
Portfolio turnover rate(e) |
29 | % | 47 | % | 55 | % | 68 | % | 46 | % | 49 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.10 per share and 0.18% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS SMALL CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small Cap Value Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 51.53 | $ | 64.88 | $ | 60.77 | $ | 56.19 | $ | 53.10 | $ | 56.15 | ||||||||||||||
|
Net investment income (loss)(b) |
0.23 | 0.42 | 0.27 | 0.38 | 0.37 | (0.03 | )(c) | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(2.61 | ) | (7.70 | ) | 10.47 | 6.39 | 5.51 | (3.02 | ) | |||||||||||||||||
|
Total from investment operations |
(2.38 | ) | (7.28 | ) | 10.74 | 6.77 | 5.88 | (3.05 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.47 | ) | (0.23 | ) | (0.32 | ) | (0.44 | ) | (0.38 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(2.06 | ) | (5.84 | ) | (6.31 | ) | (1.75 | ) | (2.41 | ) | — | |||||||||||||||
|
Total distributions |
(2.53 | ) | (6.07 | ) | (6.63 | ) | (2.19 | ) | (2.79 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 46.62 | $ | 51.53 | $ | 64.88 | $ | 60.77 | $ | 56.19 | $ | 53.10 | ||||||||||||||
| Total Return(d) | (5.29 | )% | (10.81 | )% | 18.63 | % | 12.03 | % | 11.68 | % | (5.43 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,286,143 | $ | 1,302,069 | $ | 1,146,132 | $ | 759,095 | $ | 317,289 | $ | 26,847 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.95 | %(e) | 0.94 | % | 0.93 | % | 0.92 | % | 0.93 | % | 0.93 | %(e) | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.96 | %(e) | 0.96 | % | 0.96 | % | 0.96 | % | 0.98 | % | 1.00 | %(e) | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.87 | %(e) | 0.77 | % | 0.44 | % | 0.63 | % | 0.71 | % | (0.62 | )%(c)(e) | ||||||||||||||
|
Portfolio turnover rate(f) |
29 | % | 47 | % | 55 | % | 68 | % | 46 | % | 49 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Reflects income recognized from special dividends which amounted to $0.10 per share and 0.18% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 74 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.29% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Value Fund | ||||||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 11.67 | $ | 13.30 | $ | 12.14 | $ | 11.01 | $ | 10.37 | $ | 10.97 | ||||||||||||||
|
Net investment loss(a) |
(0.01 | ) | (0.02 | ) | (0.06 | ) | (0.02 | ) | — | (b)(c) | (0.07 | ) | ||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.43 | ) | (0.85 | ) | 1.69 | 1.17 | 0.69 | (0.37 | ) | |||||||||||||||||
|
Total from investment operations |
(0.44 | ) | (0.87 | ) | 1.63 | 1.15 | 0.69 | (0.44 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
— | — | — | (0.02 | ) | — | — | |||||||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (0.76 | ) | (0.47 | ) | — | (0.05 | ) | (0.16 | ) | ||||||||||||||||
|
Total distributions |
— | (0.76 | ) | (0.47 | ) | (0.02 | ) | (0.05 | ) | (0.16 | ) | |||||||||||||||
|
Net asset value, end of period |
$ | 11.23 | $ | 11.67 | $ | 13.30 | $ | 12.14 | $ | 11.01 | $ | 10.37 | ||||||||||||||
| Total Return(d) | (3.77 | )% | (6.07 | )% | 13.63 | % | 10.48 | % | 6.71 | % | (4.02 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 950 | $ | 994 | $ | 1,140 | $ | 1,126 | $ | 618 | $ | 321 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.98 | %(e) | 1.98 | % | 1.98 | % | 1.99 | % | 2.01 | % | 2.09 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
2.24 | %(e) | 2.31 | % | 2.22 | % | 2.47 | % | 2.99 | % | 5.25 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
(0.08 | )%(e) | (0.15 | )% | (0.44 | )% | (0.17 | )% | 0.04 | %(c) | (0.61 | )% | ||||||||||||||
|
Portfolio turnover rate(f) |
34 | % | 73 | % | 105 | % | 108 | % | 109 | % | 122 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.005 per share. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.29% of average net assets. |
| (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 76 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Value Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 12.18 | $ | 13.74 | $ | 12.50 | $ | 11.29 | $ | 10.53 | $ | 11.04 | ||||||||||||||
|
Net investment income(a) |
0.06 | 0.12 | 0.08 | 0.12 | 0.12 | (b) | 0.06 | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.43 | ) | (0.88 | ) | 1.75 | 1.20 | 0.71 | (0.36 | ) | |||||||||||||||||
|
Total from investment operations |
(0.37 | ) | (0.76 | ) | 1.83 | 1.32 | 0.83 | (0.30 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | (0.04 | ) | (0.12 | ) | (0.11 | ) | (0.02 | ) | (0.05 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (0.76 | ) | (0.47 | ) | — | (0.05 | ) | (0.16 | ) | ||||||||||||||||
|
Total distributions |
(0.13 | ) | (0.80 | ) | (0.59 | ) | (0.11 | ) | (0.07 | ) | (0.21 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 11.68 | $ | 12.18 | $ | 13.74 | $ | 12.50 | $ | 11.29 | $ | 10.53 | ||||||||||||||
| Total Return(c) | (3.18 | )% | (5.00 | )% | 14.93 | % | 11.71 | % | 7.96 | % | (2.79 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 6,171 | $ | 6,223 | $ | 5,666 | $ | 42,085 | $ | 39,176 | $ | 25,756 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.85 | %(d) | 0.84 | % | 0.84 | % | 0.84 | % | 0.87 | % | 0.93 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.11 | %(d) | 1.17 | % | 1.08 | % | 1.35 | % | 1.84 | % | 3.41 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.92 | %(d) | 0.99 | % | 0.58 | % | 0.97 | % | 1.18 | %(b) | 0.51 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
34 | % | 73 | % | 105 | % | 108 | % | 109 | % | 122 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.29% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 77 |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Value Fund | ||||||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 12.09 | $ | 13.67 | $ | 12.44 | $ | 11.23 | $ | 10.49 | $ | 11.03 | ||||||||||||||
|
Net investment income(a) |
0.05 | 0.10 | 0.08 | 0.10 | 0.11 | (b) | 0.05 | |||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.43 | ) | (0.88 | ) | 1.73 | 1.19 | 0.71 | (0.39 | ) | |||||||||||||||||
|
Total from investment operations |
(0.38 | ) | (0.78 | ) | 1.81 | 1.29 | 0.82 | (0.34 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.11 | ) | (0.04 | ) | (0.11 | ) | (0.08 | ) | (0.03 | ) | (0.04 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (0.76 | ) | (0.47 | ) | — | (0.05 | ) | (0.16 | ) | ||||||||||||||||
|
Total distributions |
(0.11 | ) | (0.80 | ) | (0.58 | ) | (0.08 | ) | (0.08 | ) | (0.20 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 11.60 | $ | 12.09 | $ | 13.67 | $ | 12.44 | $ | 11.23 | $ | 10.49 | ||||||||||||||
| Total Return(c) | (3.25 | )% | (5.19 | )% | 14.82 | % | 11.52 | % | 7.81 | % | (3.11 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 2,970 | $ | 3,253 | $ | 5,541 | $ | 3,250 | $ | 2,846 | $ | 119 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.98 | %(d) | 0.98 | % | 0.98 | % | 0.99 | % | 1.01 | % | 1.09 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.24 | %(d) | 1.30 | % | 1.22 | % | 1.48 | % | 2.03 | % | 4.00 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.80 | %(d) | 0.85 | % | 0.61 | % | 0.82 | % | 1.08 | %(b) | 0.43 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
34 | % | 73 | % | 105 | % | 108 | % | 109 | % | 122 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.29% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Value Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 12.16 | $ | 13.75 | $ | 13.26 | ||||||||
|
Net investment income(b) |
0.06 | 0.12 | 0.05 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.43 | ) | (0.89 | ) | 0.44 | |||||||||
|
Total from investment operations |
(0.37 | ) | (0.77 | ) | 0.49 | |||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | (0.06 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
— | (0.76 | ) | — | ||||||||||
|
Total distributions |
(0.13 | ) | (0.82 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 11.66 | $ | 12.16 | $ | 13.75 | ||||||||
| Total Return(c) | (3.18 | )% | (5.05 | )% | 3.70 | % | ||||||||
|
Net assets, end of period (in 000’s) |
$ | 47,826 | $ | 48,725 | $ | 54,660 | ||||||||
|
Ratio of net expenses to average net assets |
0.84 | %(d) | 0.83 | % | 0.83 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
1.10 | %(d) | 1.16 | % | 1.09 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.93 | %(d) | 1.00 | % | 0.99 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
34 | % | 73 | % | 105 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 79 |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Value Fund | ||||||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 11.96 | $ | 13.56 | $ | 12.35 | $ | 11.15 | $ | 10.45 | $ | 11.00 | ||||||||||||||
|
Net investment income (loss)(a) |
0.03 | 0.04 | 0.01 | 0.04 | 0.05 | (b) | (0.02 | ) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.45 | ) | (0.87 | ) | 1.72 | 1.19 | 0.70 | (0.37 | ) | |||||||||||||||||
|
Total from investment operations |
(0.42 | ) | (0.83 | ) | 1.73 | 1.23 | 0.75 | (0.39 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.04 | ) | (0.01 | ) | (0.05 | ) | (0.03 | ) | — | — | ||||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (0.76 | ) | (0.47 | ) | — | (0.05 | ) | (0.16 | ) | ||||||||||||||||
|
Total distributions |
(0.04 | ) | (0.77 | ) | (0.52 | ) | (0.03 | ) | (0.05 | ) | (0.16 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 11.50 | $ | 11.96 | $ | 13.56 | $ | 12.35 | $ | 11.15 | $ | 10.45 | ||||||||||||||
| Total Return(c) | (3.44 | )% | (5.65 | )% | 14.20 | % | 11.06 | % | 7.24 | % | (3.55 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 156 | $ | 160 | $ | 207 | $ | 131 | $ | 132 | $ | 130 | ||||||||||||||
|
Ratio of net expenses to average net assets |
1.48 | %(d) | 1.48 | % | 1.48 | % | 1.49 | % | 1.52 | % | 1.59 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.74 | %(d) | 1.81 | % | 1.72 | % | 2.00 | % | 2.50 | % | 3.81 | % | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.36 | %(d) | 0.36 | % | 0.09 | % | 0.32 | % | 0.49 | %(b) | (0.19 | )% | ||||||||||||||
|
Portfolio turnover rate(e) |
34 | % | 73 | % | 105 | % | 108 | % | 109 | % | 122 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.29% of average net assets. |
| (c) | 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. |
| (d) | Annualized. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 80 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL/MID CAP VALUE FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Small/Mid Cap Value Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2015(a) |
||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 12.16 | $ | 13.75 | $ | 12.51 | $ | 11.29 | $ | 10.53 | $ | 11.14 | ||||||||||||||
|
Net investment income(b) |
0.06 | 0.12 | 0.10 | 0.12 | 0.12 | (c) | — | (d) | ||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.43 | ) | (0.89 | ) | 1.73 | 1.21 | 0.72 | (0.61 | ) | |||||||||||||||||
|
Total from investment operations |
(0.37 | ) | (0.77 | ) | 1.83 | 1.33 | 0.84 | (0.61 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.13 | ) | (0.06 | ) | (0.12 | ) | (0.11 | ) | (0.03 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
— | (0.76 | ) | (0.47 | ) | — | (0.05 | ) | — | |||||||||||||||||
|
Total distributions |
(0.13 | ) | (0.82 | ) | (0.59 | ) | (0.11 | ) | (0.08 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 11.66 | $ | 12.16 | $ | 13.75 | $ | 12.51 | $ | 11.29 | $ | 10.53 | ||||||||||||||
| Total Return(e) | (3.18 | )% | (5.06 | )% | 14.94 | % | 11.80 | % | 7.98 | % | (5.48 | )% | ||||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 54,429 | $ | 57,055 | $ | 60,931 | $ | 61,251 | $ | 10 | $ | 9 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.84 | %(f) | 0.83 | % | 0.83 | % | 0.83 | % | 0.88 | % | 0.94 | %(f) | ||||||||||||||
|
Ratio of total expenses to average net assets |
1.10 | %(f) | 1.16 | % | 1.07 | % | 1.08 | % | 1.90 | % | 4.88 | %(f) | ||||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.93 | %(f) | 1.00 | % | 0.75 | % | 0.97 | % | 1.14 | %(c) | (0.43 | )%(f) | ||||||||||||||
|
Portfolio turnover rate(g) |
34 | % | 73 | % | 105 | % | 108 | % | 109 | % | 122 | % | ||||||||||||||
| (a) | Commenced operations on July 31, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.29% of average net assets. |
| (d) | Amount is less than $0.005 per share. |
| (e) | 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. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 81 |
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered |
Diversified/
Non-diversified |
||
|
Focused Value |
A, C, Institutional, Investor, P, R and R6 |
Non-diversified | ||
|
Equity Income, Large Cap Value, Mid Cap Value, Small Cap Value |
A, C, Institutional, Service, Investor, P, R and R6 |
Diversified | ||
|
Small/Mid Cap Value |
A, C, Institutional, Investor, P, R and R6 |
Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class P, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. 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 recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/ or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
82
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies 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 according to the following schedule:
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 Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to a Fund as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
83
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. 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 Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. 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 February 29, 2020:
| EQUITY INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Asia |
$ | 3,679,901 | $ | — | $ | — | ||||||
|
Europe |
45,457,195 | — | — | |||||||||
|
North America |
283,021,494 | — | — | |||||||||
|
Investment Company |
1,548,719 | — | — | |||||||||
|
Securities Lending Reinvestment Vehicle |
5,564,734 | — | — | |||||||||
| Total | $ | 339,272,043 | $ | — | $ | — | ||||||
84
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| FOCUSED VALUE | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 626,128 | $ | — | $ | — | ||||||
|
North America |
8,156,221 | — | — | |||||||||
|
Investment Company |
261,726 | — | — | |||||||||
| Total | $ | 9,044,075 | $ | — | $ | — | ||||||
| LARGE CAP VALUE | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 21,633,580 | $ | — | $ | — | ||||||
|
North America |
389,016,590 | — | — | |||||||||
|
Investment Company |
1,676,381 | — | — | |||||||||
| Total | $ | 412,326,551 | $ | — | $ | — | ||||||
| MID CAP VALUE | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 37,864,971 | $ | — | $ | — | ||||||
|
North America |
980,580,212 | — | — | |||||||||
|
Investment Company |
19,821,549 | — | — | |||||||||
|
Securities Lending Reinvestment Vehicle |
9,494,760 | — | — | |||||||||
| Total | $ | 1,047,761,492 | $ | — | $ | — | ||||||
| SMALL CAP VALUE | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 153,952,349 | $ | — | $ | — | ||||||
|
North America |
4,770,912,463 | — | — | |||||||||
|
Investment Company |
17,298,161 | — | — | |||||||||
|
Securities Lending Reinvestment Vehicle |
10,021,266 | — | — | |||||||||
| Total | $ | 4,952,184,239 | $ | — | $ | — | ||||||
85
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| SMALL/MID CAP VALUE | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Europe |
$ | 3,335,183 | $ | — | $ | — | ||||||
|
North America |
106,138,064 | — | — | |||||||||
|
Investment Company |
3,944,021 | — | — | |||||||||
| Total | $ | 113,417,268 | $ | — | $ | — | ||||||
| (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. |
For further information regarding security characteristics, see the Schedules of Investments.
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended February 29, 2020, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate |
Effective Net
Management Rate# |
|||||||||||||||||||||||||||||
| Fund |
First $1 Billion |
Next $1 Billion |
Next $3 Billion |
Next $3 Billion |
Over $8 Billion |
Effective Rate |
||||||||||||||||||||||||
|
Equity Income |
0.69 | % | 0.62 | % | 0.59 | % | 0.58 | % | 0.57 | % | 0.69 | % | 0.69 | % | ||||||||||||||||
|
Focused Value |
0.69 | 0.62 | 0.59 | 0.58 | 0.57 | 0.69 | 0.69 | |||||||||||||||||||||||
|
Large Cap Value |
0.75 | 0.68 | 0.65 | 0.64 | 0.63 | 0.75 | 0.73 | * | ||||||||||||||||||||||
|
Mid Cap Value |
0.75 | 0.75 | 0.68 | 0.65 | 0.64 | 0.75 | 0.75 | |||||||||||||||||||||||
|
Small Cap Value |
0.98 | 0.98 | 0.88 | 0.84 | 0.82 | 0.91 | 0.91 | |||||||||||||||||||||||
|
Small/Mid Cap Value |
0.80 | 0.80 | 0.72 | 0.68 | 0.67 | 0.80 | 0.80 | |||||||||||||||||||||||
| # | The Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
| * | Effective December 27, 2019, GSAM agreed to waive a portion of its management fee with respect to the Large Cap Value Fund in order to achieve an effective net management fee rate of 0.69% as an annual percentage of the Fund’s average daily net assets. This arrangement will remain in effect through at least December 27, 2020, and prior to such date, GSAM may not terminate the arrangement without the approval of the Board of Trustees. |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”) which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Government Money Market Fund. For the six months ended February 29, 2020, the management fee waived by GSAM for each Fund was as follows:
86
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Fund |
Management Fee Waived |
|||||
|
Equity Income |
$ | 824 | ||||
|
Focused Value |
112 | |||||
|
Large Cap Value |
3,161 | |||||
|
Mid Cap Value |
10,038 | |||||
|
Small Cap Value |
43,540 | |||||
|
Small/Mid Cap Value |
1,379 | |||||
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as set forth below.
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.
The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.
| Distribution and/or Service Plan Rates | ||||||||||||||||
| Class A* | Class C | Class R* | Service | |||||||||||||
|
Distribution and/or Service Plan |
0.25 | % | 0.75 | % | 0.50 | % | 0.25 | % | ||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended February 29, 2020, Goldman Sachs retained the following amounts:
|
Front End
Sales Charge |
Contingent Deferred
Sales Charge |
|||||||||
| Fund | Class A | Class C | ||||||||
|
Equity Income |
$ | 6,414 | $ | 100 | ||||||
|
Large Cap Value |
5,753 | 38 | ||||||||
|
Mid Cap Value |
10,331 | 13 | ||||||||
|
Small Cap Value |
1,229 | — | ||||||||
|
Small/Mid Cap Value |
899 | — | ||||||||
87
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C and Service Shares of the Funds, respectively.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.17% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.07% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Large Cap Value Fund. This arrangement will remain in effect through at least December 27, 2020, and prior to such date, the Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.
Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.04% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Equity Income Fund and Focused Value Fund. This arrangement will remain in effect through at least December 27, 2020, and prior to such date, the Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.
F. 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 each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for Equity Income, Focused Value, Large Cap Value, Small Cap Value and Small/Mid Cap Value Funds is 0.004% and for Mid Cap Value Fund is 0.104% . These Other Expense limitations will remain in place through at least December 27, 2020, 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.
Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan, Service Plan and Shareholder Administration Plan, and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
For the six months ended February 29, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
|
Fund |
Management Fee Waiver |
Transfer Agency Fee Waiver/ Credits |
Other Expense Reimbursements |
Total
Expense Reductions |
||||||||||||||
|
Equity Income |
$ | 824 | $ | 67,499 | $ | 287,115 | $ | 355,438 | ||||||||||
|
Focused Value |
112 | 34 | 175,734 | 175,880 | ||||||||||||||
|
Large Cap Value |
53,311 | 41,320 | 182,864 | 277,495 | ||||||||||||||
|
Mid Cap Value |
10,038 | 900 | — | 10,938 | ||||||||||||||
|
Small Cap Value |
43,540 | 1,201 | 465,479 | 510,220 | ||||||||||||||
|
Small/Mid Cap Value |
1,379 | 9 | 163,152 | 164,540 | ||||||||||||||
88
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
G. Line of Credit Facility — As of February 29, 2020, the Funds participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — The table below shows the transactions in and earnings from the investments by the Funds in the Government Money Market Fund for the six months ended February 29, 2020:
| Fund |
Beginning
value as of
|
Purchases at Cost |
Proceeds from Sales |
Ending
value as of
|
Shares as of
February 29, 2020 |
Dividend Income |
||||||||||||||||||||
|
Equity Income Fund |
$ | 2,313,684 | $ | 14,079,521 | $ | (14,844,486 | ) | $ | 1,548,719 | $ | 1,548,719 | $ | 8,668 | |||||||||||||
|
Focused Value Fund |
123,228 | 1,299,187 | (1,160,689 | ) | 261,726 | 261,726 | 1,183 | |||||||||||||||||||
|
Large Cap Value Fund |
1,287,426 | 47,133,456 | (46,744,501 | ) | 1,676,381 | 1,676,381 | 32,567 | |||||||||||||||||||
|
Mid Cap Value Fund |
11,441,679 | 204,167,654 | (195,787,784 | ) | 19,821,549 | 19,821,549 | 104,292 | |||||||||||||||||||
|
Small Cap Value Fund |
28,510,352 | 428,100,076 | (439,312,267 | ) | 17,298,161 | 17,298,161 | 460,896 | |||||||||||||||||||
|
Small/Mid Cap Value Fund |
1,276,729 | 14,012,556 | (11,345,264 | ) | 3,944,021 | 3,944,021 | 14,862 | |||||||||||||||||||
As of February 29, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of total outstanding shares of the following funds:
| Fund | Class A | Class C | Institutional | Investor | Class R | Class R6 | ||||||||||||||||||||
|
Focused Value |
49 | % | 100 | % | 87 | % | 100 | % | 100 | % | 100 | % | ||||||||||||||
|
Small/Mid Cap Value |
— | — | — | — | 7 | — | ||||||||||||||||||||
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 29, 2020, were as follows:
| Fund | Purchases |
Sales and
Maturities |
||||||||
|
Equity Income |
$ | 69,557,211 | $ | 79,800,886 | ||||||
|
Focused Value |
7,083,278 | 3,444,419 | ||||||||
|
Large Cap Value |
137,837,527 | 190,587,796 | ||||||||
|
Mid Cap Value |
511,775,379 | 649,152,526 | ||||||||
|
Small Cap Value |
1,648,803,110 | 1,958,827,571 | ||||||||
|
Small/Mid Cap Value |
40,824,202 | 42,681,270 | ||||||||
89
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 6. SECURITIES LENDING |
The Funds 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 Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% 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 February 29, 2020, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
Each of the Funds and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended February 29, 2020, are reported under Investment Income on the Statements of Operations.
The following table provides information about the Funds’ investments in the Government Money Market Fund for the six months ended February 29, 2020:
| Fund |
Beginning
value as of
|
Purchase at Cost |
Proceeds from Sales |
Ending
value as of
|
||||||||||||||
|
Equity Income Fund |
$ | — | $ | 5,564,734 | $ | — | $ | 5,564,734 | ||||||||||
|
Mid Cap Value Fund |
— | 51,941,299 | (42,446,539 | ) | 9,494,760 | |||||||||||||
|
Small Cap Value Fund |
— | 165,446,203 | (155,424,937 | ) | 10,021,266 | |||||||||||||
90
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, August 31, 2019, the Funds’ capital loss carryforward and certain timing differences on a tax basis were as follows:
|
Equity Income |
Focused Value |
Large Cap Value |
Mid Cap Value |
Small Cap Value |
Small/Mid Cap Value |
|||||||||||||||||||
|
Capital loss carryforwards: |
||||||||||||||||||||||||
|
Perpetual Short-Term |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,331,200 | ) | |||||||||||
|
Timing differences (Qualified Late Year Loss Deferral and Post October Losses) |
$ | — | $ | — | $ | (7,447,550 | ) | $ | — | $ | (131,489,710 | ) | $ | (1,017,369 | ) | |||||||||
As of February 29, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S federal income tax purposes were as follows:
|
Equity Income |
Focused Value |
Large Cap Value |
Mid Cap Value |
Small Cap Value |
Small/Mid Cap Value |
|||||||||||||||||||
|
Tax Cost |
$ | 319,591,855 | $ | 9,354,878 | $ | 390,638,122 | $ | 1,020,930,002 | $ | 4,637,037,949 | $ | 113,871,644 | ||||||||||||
|
Gross unrealized gain |
40,548,880 | 286,519 | 49,130,645 | 100,157,351 | 833,887,220 | 10,681,791 | ||||||||||||||||||
|
Gross unrealized loss |
(20,868,692 | ) | (597,322 | ) | (27,442,216 | ) | (73,325,861 | ) | (518,740,930 | ) | (11,136,167 | ) | ||||||||||||
|
Net unrealized security gain (loss) |
$ | 19,680,188 | $ | (310,803 | )) | $ | 21,688,429 | $ | 26,831,490 | $ | 315,146,290 | $ | (454,376 | ) | ||||||||||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, and differences related to the tax treatment of underlying fund investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time.
Foreign Custody Risk — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market
91
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 8. OTHER RISKS (continued) |
countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments.
Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Non-Diversification Risk — The Focused Value Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
92
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
93
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Equity Income Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
91,840 | $ | 3,685,166 | 445,813 | $ | 16,709,526 | ||||||||||
|
Reinvestment of distributions |
363,553 | 14,460,069 | 214,501 | 7,867,108 | ||||||||||||
|
Shares redeemed |
(450,236 | ) | (18,014,086 | ) | (986,154 | ) | (36,811,248 | ) | ||||||||
| 5,157 | 131,149 | (325,840 | ) | (12,234,614 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
11,362 | 431,956 | 44,697 | 1,530,794 | ||||||||||||
|
Reinvestment of distributions |
8,161 | 308,625 | 3,662 | 127,311 | ||||||||||||
|
Shares redeemed |
(25,615 | ) | (963,381 | ) | (296,114 | ) | (10,719,219 | ) | ||||||||
| (6,092 | ) | (222,800 | ) | (247,755 | ) | (9,061,114 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
45,663 | 1,848,823 | 70,964 | 2,716,328 | ||||||||||||
|
Reinvestment of distributions |
23,679 | 959,123 | 16,445 | 612,002 | ||||||||||||
|
Shares redeemed |
(38,461 | ) | (1,563,963 | ) | (218,980 | ) | (7,933,165 | ) | ||||||||
| 30,881 | 1,243,982 | (131,571 | ) | (4,604,835 | ) | |||||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
3 | 100 | 2,684 | 104,933 | ||||||||||||
|
Reinvestment of distributions |
176 | 7,032 | 70 | 2,598 | ||||||||||||
|
Shares redeemed |
(446 | ) | (17,790 | ) | (481 | ) | (18,017 | ) | ||||||||
| (267 | ) | (10,658 | ) | 2,273 | 89,514 | |||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
11,146 | 445,681 | 8,541 | 313,789 | ||||||||||||
|
Reinvestment of distributions |
3,108 | 123,422 | 1,971 | 72,161 | ||||||||||||
|
Shares redeemed |
(7,479 | ) | (300,106 | ) | (25,479 | ) | (953,281 | ) | ||||||||
| 6,775 | 268,997 | (14,967 | ) | (567,331 | ) | |||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
27,238 | 1,112,619 | 40,726 | 1,566,462 | ||||||||||||
|
Reinvestment of distributions |
14,024 | 567,904 | 8,496 | 316,996 | ||||||||||||
|
Shares redeemed |
(11,779 | ) | (482,771 | ) | (37,610 | ) | (1,414,030 | ) | ||||||||
| 29,483 | 1,197,752 | 11,612 | 469,428 | |||||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
1,872 | 74,736 | 3,903 | 145,465 | ||||||||||||
|
Reinvestment of distributions |
1,321 | 52,220 | 686 | 25,002 | ||||||||||||
|
Shares redeemed |
(1,659 | ) | (66,005 | ) | (4,443 | ) | (164,282 | ) | ||||||||
| 1,534 | 60,951 | 146 | 6,185 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
9,238 | 375,147 | 165,413 | 5,931,461 | ||||||||||||
|
Reinvestment of distributions |
7,267 | 294,347 | 1,706 | 66,115 | ||||||||||||
|
Shares redeemed |
(19,972 | ) | (796,522 | ) | (16,828 | ) | (655,401 | ) | ||||||||
| (3,467 | ) | (127,028 | ) | 150,291 | 6,342,175 | |||||||||||
|
NET INCREASE (DECREASE) |
64,004 | $ | 2,542,346 | (555,811 | ) | $ | (20,560,592 | ) | ||||||||
94
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Focused Value Fund | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
278 | $ | 3,237 | 985 | $ | 10,181 | ||||||||||
|
Reinvestment of distributions |
77 | 896 | 273 | 2,623 | ||||||||||||
|
Shares redeemed |
— | — | (18 | ) | (196 | ) | ||||||||||
| 355 | 4,133 | 1,240 | 12,608 | |||||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
— | — | 146 | 1,396 | ||||||||||||
|
Reinvestment of distributions |
28 | 328 | — | — | ||||||||||||
| 28 | 328 | 146 | 1,396 | |||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
648 | 7,500 | 9,260 | 100,006 | ||||||||||||
|
Reinvestment of distributions |
1,167 | 13,526 | 3,789 | 36,446 | ||||||||||||
|
Shares redeemed |
— | — | (31,167 | ) | (350,006 | ) | ||||||||||
| 1,815 | 21,026 | (18,118 | ) | (213,554 | ) | |||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
— | — | 179 | 1,721 | ||||||||||||
|
Reinvestment of distributions |
45 | 521 | — | — | ||||||||||||
| 45 | 521 | 179 | 1,721 | |||||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
316,873 | 3,597,409 | 140,087 | 1,480,068 | ||||||||||||
|
Reinvestment of distributions |
12,220 | 141,442 | 25,771 | 248,134 | ||||||||||||
|
Shares redeemed |
(349 | ) | (4,053 | ) | (230,408 | ) | (2,420,993 | ) | ||||||||
| 328,744 | 3,734,798 | (64,550 | ) | (692,791 | ) | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
— | — | 162 | 1,556 | ||||||||||||
|
Reinvestment of distributions |
31 | 358 | — | — | ||||||||||||
| 31 | 358 | 162 | 1,556 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
— | — | 184 | 1,772 | ||||||||||||
|
Reinvestment of distributions |
49 | 557 | — | — | ||||||||||||
| 49 | 557 | 184 | 1,772 | |||||||||||||
|
NET INCREASE (DECREASE) |
331,067 | $ | 3,761,721 | (80,757 | ) | $ | (887,292 | ) | ||||||||
95
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Large Cap Value Fund | ||||||||||||||||
|
|
||||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
||||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
||||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
187,074 | $ | 2,808,464 | 1,156,233 | $ | 17,800,681 | ||||||||||
|
Reinvestment of distributions |
298,924 | 4,482,804 | 706,075 | 9,409,667 | ||||||||||||
|
Shares redeemed |
(498,149 | ) | (7,449,003 | ) | (1,695,249 | ) | (24,448,465 | ) | ||||||||
| (12,151 | ) | (157,735 | ) | 167,059 | 2,761,883 | |||||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
12,312 | 174,345 | 161,902 | 2,166,686 | ||||||||||||
|
Reinvestment of distributions |
76,995 | 1,087,870 | 184,223 | 2,321,210 | ||||||||||||
|
Shares redeemed |
(152,516 | ) | (2,141,626 | ) | (1,173,580 | ) | (17,332,904 | ) | ||||||||
| (63,209 | ) | (879,411 | ) | (827,455 | ) | (12,845,008 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
361,750 | 5,481,897 | 4,137,664 | 58,999,092 | ||||||||||||
|
Reinvestment of distributions |
579,508 | 8,786,383 | 1,200,415 | 16,163,241 | ||||||||||||
|
Shares redeemed |
(2,834,309 | ) | (42,796,685 | ) | (3,870,176 | ) | (55,213,329 | ) | ||||||||
| (1,893,051 | ) | (28,257,405 | ) | 1,467,903 | 19,949,004 | |||||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
4,005 | 60,063 | 13,920 | 197,835 | ||||||||||||
|
Reinvestment of distributions |
1,053 | 15,722 | 3,114 | 41,241 | ||||||||||||
|
Shares redeemed |
(10,297 | ) | (145,040 | ) | (22,033 | ) | (322,975 | ) | ||||||||
| (5,239 | ) | (69,255 | ) | (4,999 | ) | (83,899 | ) | |||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
28,879 | 435,390 | 115,895 | 1,663,323 | ||||||||||||
|
Reinvestment of distributions |
15,987 | 239,744 | 46,233 | 616,179 | ||||||||||||
|
Shares redeemed |
(50,976 | ) | (761,599 | ) | (332,305 | ) | (4,890,057 | ) | ||||||||
| (6,110 | ) | (86,465 | ) | (170,177 | ) | (2,610,555 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
186,766 | 2,904,740 | 358,585 | 5,316,225 | ||||||||||||
|
Reinvestment of distributions |
683,416 | 10,614,391 | 1,811,077 | 24,947,700 | ||||||||||||
|
Shares redeemed |
(759,418 | ) | (11,871,382 | ) | (4,957,360 | ) | (71,436,139 | ) | ||||||||
| 110,764 | 1,647,749 | (2,787,698 | ) | (41,172,214 | ) | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
9,834 | 143,124 | 60,801 | 825,836 | ||||||||||||
|
Reinvestment of distributions |
14,096 | 204,395 | 39,199 | 506,341 | ||||||||||||
|
Shares redeemed |
(42,628 | ) | (621,733 | ) | (147,471 | ) | (2,058,916 | ) | ||||||||
| (18,698 | ) | (274,214 | ) | (47,471 | ) | (726,739 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
4,338 | 67,805 | 110,547 | 1,561,901 | ||||||||||||
|
Reinvestment of distributions |
7,117 | 110,527 | 7,519 | 103,563 | ||||||||||||
|
Shares redeemed |
(28,179 | ) | (444,713 | ) | (38,909 | ) | (580,668 | ) | ||||||||
| (16,724 | ) | (266,381 | ) | 79,157 | 1,084,796 | |||||||||||
|
NET DECREASE |
(1,904,418 | ) | $ | (28,613,117 | ) | (2,123,681 | ) | $ | (33,642,732 | ) | ||||||
96
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Mid Cap Value Fund | ||||||||||||||||
|
|
||||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
||||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
||||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
747,014 | $ | 25,090,289 | 2,347,108 | $ | 77,283,483 | ||||||||||
|
Reinvestment of distributions |
448,655 | 15,125,065 | 2,582,868 | 73,645,934 | ||||||||||||
|
Shares redeemed |
(2,471,262 | ) | (82,913,806 | ) | (5,857,369 | ) | (184,856,125 | ) | ||||||||
| (1,275,593 | ) | (42,698,452 | ) | (927,393 | ) | (33,926,708 | ) | |||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
29,616 | 869,202 | 137,419 | 3,615,648 | ||||||||||||
|
Reinvestment of distributions |
21,940 | 639,105 | 201,798 | 5,012,677 | ||||||||||||
|
Shares redeemed |
(230,652 | ) | (6,758,209 | ) | (1,757,586 | ) | (53,441,636 | ) | ||||||||
| (179,096 | ) | (5,249,902 | ) | (1,418,369 | ) | (44,813,311 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
730,717 | 24,847,194 | 1,995,556 | 62,747,101 | ||||||||||||
|
Reinvestment of distributions |
297,359 | 10,160,261 | 2,038,582 | 58,898,123 | ||||||||||||
|
Shares redeemed |
(2,242,770 | ) | (76,441,806 | ) | (8,473,134 | ) | (267,235,490 | ) | ||||||||
| (1,214,694 | ) | (41,434,351 | ) | (4,438,996 | ) | (145,590,266 | ) | |||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
55,778 | 1,838,103 | 169,407 | 5,129,023 | ||||||||||||
|
Reinvestment of distributions |
35,593 | 1,171,369 | 267,972 | 7,463,360 | ||||||||||||
|
Shares redeemed |
(400,245 | ) | (13,131,852 | ) | (761,701 | ) | (23,407,542 | ) | ||||||||
| (308,874 | ) | (10,122,380 | ) | (324,328 | ) | (10,815,159 | ) | |||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
99,978 | 3,274,134 | 228,893 | 7,034,565 | ||||||||||||
|
Reinvestment of distributions |
44,223 | 1,454,013 | 236,814 | 6,590,455 | ||||||||||||
|
Shares redeemed |
(192,990 | ) | (6,345,155 | ) | (572,052 | ) | (17,631,098 | ) | ||||||||
| (48,789 | ) | (1,617,008 | ) | (106,345 | ) | (4,006,078 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
668,496 | 23,172,268 | 191,340 | 6,180,713 | ||||||||||||
|
Reinvestment of distributions |
132,360 | 4,519,458 | 761,603 | 21,987,888 | ||||||||||||
|
Shares redeemed |
(890,708 | ) | (30,393,516 | ) | (1,274,020 | ) | (40,025,500 | ) | ||||||||
| (89,852 | ) | (2,701,790 | ) | (321,077 | ) | (11,856,899 | ) | |||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
52,719 | 1,693,991 | 169,859 | 5,110,464 | ||||||||||||
|
Reinvestment of distributions |
18,303 | 594,695 | 99,833 | 2,747,197 | ||||||||||||
|
Shares redeemed |
(139,063 | ) | (4,502,462 | ) | (358,571 | ) | (11,016,253 | ) | ||||||||
| (68,581 | ) | (2,213,776 | ) | (88,879 | ) | (3,158,592 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
286,755 | 9,734,640 | 1,484,361 | 43,297,633 | ||||||||||||
|
Reinvestment of distributions |
48,892 | 1,669,401 | 108,107 | 3,121,163 | ||||||||||||
|
Shares redeemed |
(252,411 | ) | (8,596,238 | ) | (1,115,618 | ) | (36,785,992 | ) | ||||||||
| 83,239 | 2,807,803 | 476,850 | 9,632,804 | |||||||||||||
|
NET DECREASE |
(3,102,243 | ) | $ | (103,229,856 | ) | (7,148,537 | ) | $ | (244,534,209 | ) | ||||||
97
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Small Cap Value Fund | ||||||||||||||||
|
|
||||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
||||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
||||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
616,665 | $ | 30,424,039 | 2,738,206 | $ | 144,074,231 | ||||||||||
|
Reinvestment of distributions |
489,214 | 24,251,852 | 1,521,374 | 69,208,229 | ||||||||||||
|
Shares redeemed |
(2,252,668 | ) | (110,796,712 | ) | (5,061,447 | ) | (249,775,748 | ) | ||||||||
| (1,146,789 | ) | (56,120,821 | ) | (801,867 | ) | (36,493,288 | ) | |||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
11,211 | 393,537 | 30,395 | 1,052,387 | ||||||||||||
|
Reinvestment of distributions |
9,946 | 348,108 | 52,489 | 1,727,412 | ||||||||||||
|
Shares redeemed |
(84,596 | ) | (2,979,392 | ) | (640,886 | ) | (26,603,157 | ) | ||||||||
| (63,439 | ) | (2,237,747 | ) | (558,002 | ) | (23,823,358 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
4,796,074 | 256,059,391 | 10,165,385 | 538,438,903 | ||||||||||||
|
Reinvestment of distributions |
2,681,940 | 145,860,418 | 7,284,890 | 361,589,851 | ||||||||||||
|
Shares redeemed |
(9,822,407 | ) | (527,616,682 | ) | (23,355,416 | ) | (1,258,950,523 | ) | ||||||||
| (2,344,393 | ) | (125,696,873 | ) | (5,905,141 | ) | (358,921,769 | ) | |||||||||
| Service Shares | ||||||||||||||||
|
Shares sold |
78,610 | 3,725,754 | 423,336 | 19,570,763 | ||||||||||||
|
Reinvestment of distributions |
55,828 | 2,662,203 | 226,267 | 9,928,596 | ||||||||||||
|
Shares redeemed |
(728,614 | ) | (34,336,650 | ) | (886,608 | ) | (41,707,820 | ) | ||||||||
| (594,176 | ) | (27,948,693 | ) | (237,005 | ) | (12,208,461 | ) | |||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
436,317 | 21,322,250 | 702,528 | 34,042,653 | ||||||||||||
|
Reinvestment of distributions |
143,535 | 7,062,623 | 380,668 | 17,177,765 | ||||||||||||
|
Shares redeemed |
(618,574 | ) | (30,274,035 | ) | (1,161,528 | ) | (56,411,723 | ) | ||||||||
| (38,722 | ) | (1,889,162 | ) | (78,332 | ) | (5,191,305 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
406,459 | 21,999,445 | 271,668 | 14,216,977 | ||||||||||||
|
Reinvestment of distributions |
199,821 | 10,863,518 | 587,525 | 29,152,639 | ||||||||||||
|
Shares redeemed |
(509,569 | ) | (27,792,102 | ) | (1,247,774 | ) | (64,442,244 | ) | ||||||||
| 96,711 | 5,070,861 | (388,581 | ) | (21,072,628 | ) | |||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
96,737 | 4,560,373 | 289,442 | 13,741,898 | ||||||||||||
|
Reinvestment of distributions |
73,604 | 3,545,103 | 237,161 | 10,520,466 | ||||||||||||
|
Shares redeemed |
(385,710 | ) | (18,443,978 | ) | (784,599 | ) | (38,015,801 | ) | ||||||||
| (215,369 | ) | (10,338,502 | ) | (257,996 | ) | (13,753,437 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
4,452,387 | 241,215,017 | 10,027,359 | 537,824,672 | ||||||||||||
|
Reinvestment of distributions |
1,180,723 | 64,189,653 | 2,326,545 | 115,439,649 | ||||||||||||
|
Shares redeemed |
(3,310,332 | ) | (177,136,631 | ) | (4,754,026 | ) | (255,382,176 | ) | ||||||||
| 2,322,778 | 128,265,039 | 7,599,878 | 397,882,145 | |||||||||||||
|
NET DECREASE |
(1,983,399 | ) | $ | (90,895,898 | ) | (627,046 | ) | $ | (73,582,101 | ) | ||||||
98
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Small/Mid Cap Value Fund | ||||||||||||||||
|
|
||||||||||||||||
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
||||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
||||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
19,884 | $ | 258,042 | 24,840 | $ | 293,849 | ||||||||||
|
Reinvestment of distributions |
550 | 7,145 | 8,738 | 96,381 | ||||||||||||
|
Shares redeemed |
(29,647 | ) | (373,920 | ) | (36,280 | ) | (438,451 | ) | ||||||||
| (9,213 | ) | (108,733 | ) | (2,702 | ) | (48,221 | ) | |||||||||
| Class C Shares | ||||||||||||||||
|
Shares sold |
7,282 | 90,442 | 23,418 | 274,542 | ||||||||||||
|
Reinvestment of distributions |
— | — | 5,617 | 60,556 | ||||||||||||
|
Shares redeemed |
(7,867 | ) | (95,713 | ) | (29,599 | ) | (357,347 | ) | ||||||||
| (585 | ) | (5,271 | ) | (564 | ) | (22,249 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
40,236 | 503,728 | 162,178 | 1,996,323 | ||||||||||||
|
Reinvestment of distributions |
4,849 | 63,819 | 31,723 | 353,973 | ||||||||||||
|
Shares redeemed |
(27,677 | ) | (359,232 | ) | (95,160 | ) | (1,170,056 | ) | ||||||||
| 17,408 | 208,315 | 98,741 | 1,180,240 | |||||||||||||
| Investor Shares | ||||||||||||||||
|
Shares sold |
13,416 | 173,266 | 32,717 | 395,391 | ||||||||||||
|
Reinvestment of distributions |
2,288 | 29,922 | 19,341 | 214,689 | ||||||||||||
|
Shares redeemed |
(28,729 | ) | (376,349 | ) | (188,413 | ) | (2,274,232 | ) | ||||||||
| (13,025 | ) | (173,161 | ) | (136,355 | ) | (1,664,152 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
147,792 | 1,938,505 | 505,492 | 5,992,730 | ||||||||||||
|
Reinvestment of distributions |
38,695 | 508,457 | 298,105 | 3,324,027 | ||||||||||||
|
Shares redeemed |
(91,974 | ) | (1,186,659 | ) | (773,007 | ) | (8,854,468 | ) | ||||||||
| 94,513 | 1,260,303 | 30,590 | 462,289 | |||||||||||||
| Class R Shares | ||||||||||||||||
|
Shares sold |
291 | 3,686 | 1,292 | 15,399 | ||||||||||||
|
Reinvestment of distributions |
45 | 584 | 1,077 | 11,847 | ||||||||||||
|
Shares redeemed |
(133 | ) | (1,700 | ) | (4,229 | ) | (51,104 | ) | ||||||||
| 203 | 2,570 | (1,860 | ) | (23,858 | ) | |||||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
479,898 | 6,150,291 | 784,558 | 9,536,135 | ||||||||||||
|
Reinvestment of distributions |
46,058 | 605,200 | 325,719 | 3,632,477 | ||||||||||||
|
Shares redeemed |
(550,020 | ) | (7,066,612 | ) | (851,687 | ) | (10,268,971 | ) | ||||||||
| (24,064 | ) | (311,121 | ) | 258,590 | 2,899,641 | |||||||||||
|
NET INCREASE |
65,237 | $ | 872,902 | 246,440 | $ | 2,783,690 | ||||||||||
99
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Funds to the extent such expenses exceed a specified percentage of each Funds’ net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing the trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
|
Proposal 2.
To
approve a change to the Fund’s sub-classification under
|
For | Against | Abstained | Broker Non-Votes | ||||||||||||
|
Large Cap Growth Insights Fund |
23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
100
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Liquidity Risk Management Program
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
101
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher:
| Equity Income Fund | Focused Value Fund | Large Cap Value Fund | ||||||||||||||||||||||||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
|||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||
|
Actual |
$ | 1,000.00 | $ | 960.95 | $ | 5.27 | $ | 1,000.00 | $ | 982.77 | $ | 5.42 | $ | 1,000.00 | $ | 975.83 | $ | 5.35 | ||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,019.49 | + | 5.42 | 1,000.00 | 1,019.39 | + | 5.52 | 1,000.00 | 1,019.44 | + | 5.47 | ||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 957.37 | 8.91 | 1,000.00 | 978.60 | 9.10 | 1,000.00 | 971.21 | 9.02 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,015.76 | + | 9.17 | 1,000.00 | 1,015.66 | + | 9.27 | 1,000.00 | 1,015.71 | + | 9.22 | ||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 962.32 | 3.61 | 1,000.00 | 984.86 | 3.75 | 1,000.00 | 976.95 | 3.83 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.18 | + | 3.72 | 1,000.00 | 1,021.08 | + | 3.82 | 1,000.00 | 1,020.98 | + | 3.92 | ||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 959.93 | 6.04 | — | — | — | 1,000.00 | 974.68 | 6.28 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,018.70 | + | 6.22 | — | — | — | 1,000.00 | 1,018.50 | + | 6.42 | |||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 961.92 | 4.05 | 1,000.00 | 983.95 | 4.19 | 1,000.00 | 976.73 | 4.13 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.74 | + | 4.17 | 1,000.00 | 1,020.64 | + | 4.27 | 1,000.00 | 1,020.69 | + | 4.22 | ||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 962.36 | 3.56 | 1,000.00 | 984.09 | 3.65 | 1,000.00 | 976.89 | 3.78 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.23 | + | 3.67 | 1,000.00 | 1,021.18 | + | 3.72 | 1,000.00 | 1,021.03 | + | 3.87 | ||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 959.52 | 6.48 | 1,000.00 | 981.31 | 6.65 | 1,000.00 | 974.05 | 6.58 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,018.25 | + | 6.67 | 1,000.00 | 1,018.15 | + | 6.77 | 1,000.00 | 1,018.20 | + | 6.72 | ||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 962.37 | 3.56 | 1,000.00 | 983.97 | 3.70 | 1,000.00 | 976.89 | 3.78 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.23 | + | 3.67 | 1,000.00 | 1,021.13 | + | 3.77 | 1,000.00 | 1,021.03 | + | 3.87 | ||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund |
Class A
Shares |
Class C
Shares |
Institutional
Shares |
Service
Shares |
Investor
Shares |
Class P
Shares |
Class R
Shares |
Class R6
Shares |
||||||||||||||||||||||||
|
Equity Income Fund |
1.08 | % | 1.83 | % | 0.74 | % | 1.24 | % | 0.83 | % | 0.73 | % | 1.33 | % | 0.73 | % | ||||||||||||||||
|
Focused Value Fund |
1.10 | 1.85 | 0.76 | N/A | 0.85 | 0.74 | 1.35 | 0.75 | ||||||||||||||||||||||||
|
Large Cap Value Fund |
1.09 | 1.84 | 0.78 | 1.28 | 0.84 | 0.77 | 1.34 | 0.77 | ||||||||||||||||||||||||
102
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Fund Expenses — Six Month Period Ended August 31, 2019 (Unaudited) (continued)
| Mid Cap Value Fund | Small Cap Value Fund | Small/Mid Cap Value Fund | ||||||||||||||||||||||||||||||||||
| Share Class |
Beginning
9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the
|
Beginning
9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
Beginning
9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/2020* |
|||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||
|
Actual |
$ | 1,000.00 | $ | 962.41 | $ | 5.95 | $ | 1,000.00 | $ | 945.17 | $ | 6.48 | $ | 1,000.00 | $ | 966.81 | $ | 6.01 | ||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,018.80 | + | 6.12 | 1,000.00 | 1,018.20 | + | 6.72 | 1,000.00 | 1,018.75 | + | 6.17 | ||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 958.91 | 9.59 | 1,000.00 | 941.67 | 10.09 | 1,000.00 | 962.30 | 9.66 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,015.07 | + | 9.87 | 1,000.00 | 1,014.47 | + | 10.47 | 1,000.00 | 1,015.02 | + | 9.92 | ||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 964.36 | 4.10 | 1,000.00 | 946.78 | 4.65 | 1,000.00 | 968.16 | 4.16 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.69 | + | 4.22 | 1,000.00 | 1,020.09 | + | 4.82 | 1,000.00 | 1,020.64 | + | 4.27 | ||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 961.86 | 6.54 | 1,000.00 | 944.61 | 7.06 | — | — | — | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,018.20 | + | 6.72 | 1,000.00 | 1,017.60 | + | 7.32 | — | — | — | |||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 963.65 | 4.74 | 1,000.00 | 946.43 | 5.28 | 1,000.00 | 967.53 | 4.79 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.04 | + | 4.87 | 1,000.00 | 1,019.44 | + | 5.47 | 1,000.00 | 1,019.99 | + | 4.92 | ||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 964.41 | 4.05 | 1,000.00 | 947.02 | 4.60 | 1,000.00 | 968.18 | 4.11 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.74 | + | 4.17 | 1,000.00 | 1,020.14 | + | 4.77 | 1,000.00 | 1,020.69 | + | 4.22 | ||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 961.44 | 7.17 | 1,000.00 | 943.89 | 7.68 | 1,000.00 | 965.57 | 7.23 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,017.55 | + | 7.37 | 1,000.00 | 1,016.96 | + | 7.97 | 1,000.00 | 1,017.50 | + | 7.42 | ||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||
|
Actual |
1,000.00 | 964.15 | 4.05 | 1,000.00 | 947.05 | 4.60 | 1,000.00 | 968.19 | 4.11 | |||||||||||||||||||||||||||
|
Hypothetical 5% return |
1,000.00 | 1,020.74 | + | 4.17 | 1,000.00 | 1,020.14 | + | 4.77 | 1,000.00 | 1,020.69 | + | 4.22 | ||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund |
Class A
Shares |
Class C
Shares |
Institutional
Shares |
Service
Shares |
Investor
Shares |
Class P
Shares |
Class R
Shares |
Class R6
Shares |
||||||||||||||||||||||||
|
Mid Cap Value Fund |
1.22 | 1.97 | 0.84 | 1.34 | 0.97 | 0.83 | 1.47 | 0.83 | ||||||||||||||||||||||||
|
Small Cap Value Fund |
1.34 | 2.09 | 0.96 | 1.46 | 1.09 | 0.95 | 1.59 | 0.95 | ||||||||||||||||||||||||
|
Small/Mid Cap Value Fund |
1.23 | 1.98 | 0.85 | N/A | 0.98 | 0.84 | 1.80 | 0.84 | ||||||||||||||||||||||||
103
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Municipal Income Completion Fund |
| ∎ |
Short Duration Tax-Free Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets Opportunities Fund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Alternative
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6Effective | December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. |
| Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
*This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.
|
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver |
OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
|
|
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
|
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L .P. 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Fund holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your Authorized Institution or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 200060-OTU-1182013 EQVALSAR-20
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
|||
|
Global Managed Beta Fund |
||||
It is our intention that beginning on January 1, 2021, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the Fund electronically by calling the toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550. If you hold shares of the Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Fund’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs Global Managed Beta Fund
| i | ||||
| 1 | ||||
| 3 | ||||
| 22 | ||||
| 25 | ||||
| 26 | ||||
| 36 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29, 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
i
FUND BASICS
Global Managed Beta Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)1 |
MSCI All Country World Index
Investable Market Index2 |
||||||||
| Institutional Shares | 1.81 | % | 1.03 | % | ||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The MSCI All Country World Index Investable Market Index (Net, USD, 50% Non-US Developed Hedged to USD) captures large, mid and small cap representation across 23 developed markets and 26 emerging markets. With 8,976 constituents, the MSCI ACWI IMI is comprehensive, covering approximately 99% of the global equity investment opportunity set. As of February 29, 2020, the 23 developed markets in the MSCI ACWI IMI include Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the U.K. and the U.S. The 26 emerging markets include Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
1
FUND BASICS
| FUND COMPOSITION (%)3 |
| 3 | Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 0.0% of the Fund’s net assets as of February 29, 2020. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
2
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 3 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| Shares | Rate | Value | ||||||
| Preferred Stocks – 0.0% | ||||||||
| Automobiles – 0.0% | ||||||||
|
Bayerische Motoren Werke AG |
|
|||||||
| EUR 291 | 9.960 | % | $ | 15,088 | ||||
|
Volkswagen AG |
|
|||||||
| 211 | 4.300 | 35,027 | ||||||
|
|
|
|||||||
| 50,115 | ||||||||
|
|
||||||||
| Chemicals – 0.0% | ||||||||
|
FUCHS PETROLUB SE |
|
|||||||
| 3,146 | 3.220 | 120,430 | ||||||
|
|
||||||||
| Health Care Equipment & Supplies – 0.0% | ||||||||
|
Sartorius AG |
|
|||||||
| 310 | 0.340 | 72,469 | ||||||
|
|
||||||||
| TOTAL PREFERRED STOCKS |
|
|||||||
| (Cost $267,534) |
|
$ | 243,014 | |||||
|
|
||||||||
| Shares | Description | Value | ||||||
| Exchange Traded Funds – 73.2% | ||||||||
| 574,773 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(b) | $ | 17,823,711 | |||||
| 3,203,305 | iShares Core MSCI Emerging Markets ETF | 156,032,987 | ||||||
|
|
|
|||||||
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
* |
Non-income producing security. | |
|
(a) |
Exempt from registration under Rule 144A of the Securities Act of 1933. | |
|
(b) |
Represents an affiliated fund. | |
|
|
||
|
Currency Abbreviations: |
||
|
AUD |
—Australian Dollar |
|
|
CAD |
—Canadian Dollar |
|
|
CHF |
—Swiss Franc |
|
|
DKK |
—Danish 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 |
|
|
Investment Abbreviations: |
||
|
ADR |
—American Depositary Receipt |
|
|
ETF |
—Exchange Traded Fund |
|
|
PLC |
—Public Limited Company |
|
|
REIT |
—Real Estate Investment Trust |
|
|
|
||
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At February 29, 2020, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty |
Currency
Purchased |
Currency
Sold |
Settlement
Date |
Unrealized
Gain |
||||||||||||||||
|
MS & Co. Int. PLC |
JPY | 18,000,000 | USD | 165,487 | 03/18/20 | $ | 1,566 | |||||||||||||
| USD | 20,333,229 | AUD | 29,650,000 | 03/18/20 | 1,008,918 | |||||||||||||||
| USD | 5,113,208 | DKK | 34,170,000 | 03/18/20 | 59,104 | |||||||||||||||
| USD | 91,478,465 | EUR | 81,880,000 | 03/18/20 | 982,305 | |||||||||||||||
| USD | 47,794,195 | GBP | 36,345,000 | 03/18/20 | 1,169,889 | |||||||||||||||
| USD | 1,008,408 | ILS | 3,480,000 | 03/18/20 | 4,130 | |||||||||||||||
| USD | 1,813,249 | NOK | 16,600,000 | 03/18/20 | 48,727 | |||||||||||||||
| USD | 804,841 | NZD | 1,230,000 | 03/18/20 | 35,879 | |||||||||||||||
| USD | 7,780,792 | SEK | 73,500,000 | 03/18/20 | 125,004 | |||||||||||||||
| USD | 3,666,384 | SGD | 4,990,000 | 03/18/20 | 83,479 | |||||||||||||||
| TOTAL | $ | 3,519,001 | ||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty |
Currency
Purchased |
Currency
Sold |
Settlement
Date |
Unrealized
Loss |
||||||||||||||||
|
MS & Co. Int. PLC |
CAD | 17,210,000 | USD | 13,009,569 | 03/18/20 | $ | (187,487 | ) | ||||||||||||
| GBP | 250,000 | USD | 325,854 | 03/18/20 | (5,148 | ) | ||||||||||||||
| HKD | 220,000 | USD | 28,287 | 03/18/20 | (61 | ) | ||||||||||||||
| ILS | 120,000 | USD | 34,888 | 03/18/20 | (257 | ) | ||||||||||||||
| NOK | 700,000 | USD | 76,407 | 03/18/20 | (1,999 | ) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 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) |
SGD | 10,000 | USD | 7,353 | 03/18/20 | $ | (172 | ) | ||||||||||||
| USD | 27,449,821 | CHF | 26,910,000 | 03/18/20 | (479,136 | ) | ||||||||||||||
| USD | 385,593 | DKK | 2,610,000 | 03/18/20 | (453 | ) | ||||||||||||||
| USD | 1,048,493 | EUR | 950,000 | 03/18/20 | (1,475 | ) | ||||||||||||||
| USD | 9,485,244 | HKD | 74,300,000 | 03/18/20 | (47,377 | ) | ||||||||||||||
| USD | 71,306,591 | JPY | 7,708,000,000 | 03/18/20 | (229,362 | ) | ||||||||||||||
| USD | 62,447 | SEK | 600,000 | 03/18/20 | (50 | ) | ||||||||||||||
| TOTAL | $ | (952,977 | ) | |||||||||||||||||
FUTURES CONTRACTS — At February 29, 2020, the Fund had the following futures contracts:
| Description |
Number of
Contracts |
Expiration
Date |
Notional
Amount |
Unrealized
Appreciation/ (Depreciation) |
||||||||||
|
E-mini Russell 2000 Index |
978 | 03/20/20 | $ | 72,122,610 | $ | (8,539,997 | ) | |||||||
|
S&P Toronto Stock Exchange 60 Index |
272 | 03/19/20 | 39,361,728 | (1,644,324 | ) | |||||||||
|
S&P 500 E-Mini Index |
456 | 03/20/20 | 67,285,080 | (5,362,052 | ) | |||||||||
| TOTAL FUTURES CONTRACTS | $ | (15,546,373 | ) | |||||||||||
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At February 29, 2020, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS
| Description |
Exercise
Price |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums
Paid (Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
|||||||||||||||||||
|
Written option contracts |
||||||||||||||||||||||||||
|
Calls |
||||||||||||||||||||||||||
|
Euro Stoxx 50 Index |
3,600.00 | 04/17/2020 | (15 | ) | $ | (150 | ) | $ | (3,709 | ) | $ | (3,876 | ) | $ | 167 | |||||||||||
|
Euro Stoxx 50 Index |
3,800.00 | 04/17/2020 | (9 | ) | (90 | ) | (109 | ) | (2,445 | ) | 2,336 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,850.00 | 04/17/2020 | (3 | ) | (30 | ) | (20 | ) | (1,370 | ) | 1,350 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,900.00 | 04/17/2020 | (15 | ) | (150 | ) | (66 | ) | (3,861 | ) | 3,795 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,925.00 | 04/17/2020 | (21 | ) | (210 | ) | (70 | ) | (4,123 | ) | 4,053 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,950.00 | 04/17/2020 | (19 | ) | (190 | ) | (63 | ) | (4,249 | ) | 4,186 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,775.00 | 03/20/2020 | (14 | ) | (140 | ) | (62 | ) | (3,416 | ) | 3,354 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,825.00 | 03/20/2020 | (21 | ) | (210 | ) | (70 | ) | (9,290 | ) | 9,220 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,875.00 | 03/20/2020 | (27 | ) | (270 | ) | (60 | ) | (8,561 | ) | 8,501 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,900.00 | 03/20/2020 | (27 | ) | (270 | ) | (60 | ) | (7,657 | ) | 7,597 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,925.00 | 03/20/2020 | (4 | ) | (40 | ) | (9 | ) | (657 | ) | 648 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,575.00 | 05/15/2020 | (9 | ) | (90 | ) | (2,871 | ) | (2,957 | ) | 86 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,900.00 | 05/15/2020 | (2 | ) | (20 | ) | (13 | ) | (533 | ) | 520 | |||||||||||||||
|
FTSE 100 Index |
7,025.00 | 04/17/2020 | (3 | ) | (30 | ) | (2,635 | ) | (2,943 | ) | 308 | |||||||||||||||
|
FTSE 100 Index |
7,525.00 | 04/17/2020 | (2 | ) | (20 | ) | (141 | ) | (1,175 | ) | 1,034 | |||||||||||||||
|
FTSE 100 Index |
7,550.00 | 04/17/2020 | (5 | ) | (50 | ) | (321 | ) | (2,789 | ) | 2,468 | |||||||||||||||
|
FTSE 100 Index |
7,575.00 | 04/17/2020 | (4 | ) | (40 | ) | (231 | ) | (1,879 | ) | 1,648 | |||||||||||||||
|
FTSE 100 Index |
7,600.00 | 04/17/2020 | (3 | ) | (30 | ) | (154 | ) | (1,720 | ) | 1,566 | |||||||||||||||
|
FTSE 100 Index |
7,650.00 | 04/17/2020 | (1 | ) | (10 | ) | (45 | ) | (1,138 | ) | 1,093 | |||||||||||||||
|
FTSE 100 Index |
7,525.00 | 03/20/2020 | (3 | ) | (30 | ) | (38 | ) | (1,188 | ) | 1,150 | |||||||||||||||
|
FTSE 100 Index |
7,550.00 | 03/20/2020 | (1 | ) | (10 | ) | (6 | ) | (332 | ) | 326 | |||||||||||||||
| 18 | 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 EQUITIES CONTRACTS (continued)
| Description |
Exercise
Price |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums
Paid (Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
|||||||||||||||||||
|
Calls (continued) |
||||||||||||||||||||||||||
|
FTSE 100 Index |
7,600.00 | 03/20/2020 | (2 | ) | $ | (20 | ) | $ | (13 | ) | $ | (677 | ) | $ | 664 | |||||||||||
|
FTSE 100 Index |
7,625.00 | 03/20/2020 | (4 | ) | (40 | ) | (26 | ) | (4,263 | ) | 4,237 | |||||||||||||||
|
FTSE 100 Index |
7,750.00 | 03/20/2020 | (7 | ) | (70 | ) | (45 | ) | (4,996 | ) | 4,951 | |||||||||||||||
|
FTSE 100 Index |
7,775.00 | 03/20/2020 | (2 | ) | (20 | ) | (13 | ) | (1,390 | ) | 1,377 | |||||||||||||||
|
FTSE 100 Index |
7,800.00 | 03/20/2020 | (1 | ) | (10 | ) | (6 | ) | (694 | ) | 688 | |||||||||||||||
|
FTSE 100 Index |
7,025.00 | 05/15/2020 | (2 | ) | (20 | ) | (2,026 | ) | (1,945 | ) | (81 | ) | ||||||||||||||
|
FTSE 100 Index |
7,550.00 | 05/15/2020 | (1 | ) | (10 | ) | (83 | ) | (738 | ) | 655 | |||||||||||||||
|
Nikkei 225 Index |
23,875.00 | 04/10/2020 | (2 | ) | (2,000 | ) | (742 | ) | (4,077 | ) | 3,335 | |||||||||||||||
|
Nikkei 225 Index |
24,000.00 | 04/10/2020 | (5 | ) | (5,000 | ) | (1,854 | ) | (12,465 | ) | 10,611 | |||||||||||||||
|
Nikkei 225 Index |
24,500.00 | 04/10/2020 | (3 | ) | (3,000 | ) | (556 | ) | (2,565 | ) | 2,009 | |||||||||||||||
|
Nikkei 225 Index |
24,750.00 | 04/10/2020 | (2 | ) | (2,000 | ) | (278 | ) | (2,939 | ) | 2,661 | |||||||||||||||
|
Nikkei 225 Index |
23,875.00 | 03/13/2020 | (1 | ) | (1,000 | ) | (83 | ) | (3,234 | ) | 3,151 | |||||||||||||||
|
Nikkei 225 Index |
24,000.00 | 03/13/2020 | (5 | ) | (5,000 | ) | (324 | ) | (13,117 | ) | 12,793 | |||||||||||||||
|
Nikkei 225 Index |
24,750.00 | 03/13/2020 | (8 | ) | (8,000 | ) | (74 | ) | (8,922 | ) | 8,848 | |||||||||||||||
|
Nikkei 225 Index |
24,875.00 | 03/13/2020 | (2 | ) | (2,000 | ) | (37 | ) | (3,070 | ) | 3,033 | |||||||||||||||
|
Nikkei 225 Index |
24,125.00 | 05/08/2020 | (2 | ) | (2,000 | ) | (1,113 | ) | (4,360 | ) | 3,247 | |||||||||||||||
|
S&P 500 Index |
3,275.00 | 04/30/2020 | (4 | ) | (400 | ) | (5,800 | ) | (19,505 | ) | 13,705 | |||||||||||||||
|
S&P 500 Index |
3,410.00 | 04/30/2020 | (1 | ) | (100 | ) | (325 | ) | (3,790 | ) | 3,465 | |||||||||||||||
|
S&P 500 Index |
3,465.00 | 04/30/2020 | (2 | ) | (200 | ) | (395 | ) | (6,208 | ) | 5,813 | |||||||||||||||
|
S&P 500 Index |
3,470.00 | 04/30/2020 | (3 | ) | (300 | ) | (570 | ) | (9,840 | ) | 9,270 | |||||||||||||||
|
S&P 500 Index |
3,115.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (58,020 | ) | (40,851 | ) | (17,169 | ) | ||||||||||||||
|
S&P 500 Index |
3,120.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (55,380 | ) | (38,744 | ) | (16,636 | ) | ||||||||||||||
|
S&P 500 Index |
3,125.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (52,740 | ) | (36,095 | ) | (16,645 | ) | ||||||||||||||
|
S&P 500 Index |
3,130.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (50,340 | ) | (33,330 | ) | (17,010 | ) | ||||||||||||||
|
S&P 500 Index |
3,135.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (47,640 | ) | (32,525 | ) | (15,115 | ) | ||||||||||||||
|
S&P 500 Index |
3,240.00 | 03/25/2020 | (15 | ) | (1,500 | ) | (13,800 | ) | (54,661 | ) | 40,861 | |||||||||||||||
|
S&P 500 Index |
3,245.00 | 03/31/2020 | (1 | ) | (100 | ) | (1,050 | ) | (4,213 | ) | 3,163 | |||||||||||||||
|
S&P 500 Index |
3,345.00 | 03/31/2020 | (1 | ) | (100 | ) | (290 | ) | (3,176 | ) | 2,886 | |||||||||||||||
|
S&P 500 Index |
3,365.00 | 03/04/2020 | (14 | ) | (1,400 | ) | (420 | ) | (35,718 | ) | 35,298 | |||||||||||||||
|
S&P 500 Index |
3,375.00 | 03/31/2020 | (4 | ) | (400 | ) | (810 | ) | (10,880 | ) | 10,070 | |||||||||||||||
|
S&P 500 Index |
3,380.00 | 03/31/2020 | (2 | ) | (200 | ) | (385 | ) | (5,160 | ) | 4,775 | |||||||||||||||
|
S&P 500 Index |
3,385.00 | 03/31/2020 | (4 | ) | (400 | ) | (720 | ) | (12,920 | ) | 12,200 | |||||||||||||||
|
S&P 500 Index |
3,410.00 | 03/31/2020 | (3 | ) | (300 | ) | (413 | ) | (8,041 | ) | 7,628 | |||||||||||||||
|
S&P 500 Index |
3,420.00 | 03/11/2020 | (14 | ) | (1,400 | ) | (596 | ) | (25,607 | ) | 25,011 | |||||||||||||||
|
S&P 500 Index |
3,430.00 | 03/18/2020 | (14 | ) | (1,400 | ) | (700 | ) | (29,876 | ) | 29,176 | |||||||||||||||
|
S&P 500 Index |
3,435.00 | 03/31/2020 | (3 | ) | (300 | ) | (300 | ) | (7,500 | ) | 7,200 | |||||||||||||||
|
S&P 500 Index |
3,440.00 | 03/31/2020 | (2 | ) | (200 | ) | (190 | ) | (5,099 | ) | 4,909 | |||||||||||||||
| (404 | ) | $ | (46,970 | ) | $ | (308,910 | ) | $ | (559,350 | ) | $ | 250,440 | ||||||||||||||
|
Puts |
||||||||||||||||||||||||||
|
Euro Stoxx 50 Index |
3,275.00 | 04/17/2020 | (15 | ) | (150 | ) | (23,961 | ) | (25,253 | ) | 1,292 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,550.00 | 04/17/2020 | (9 | ) | (90 | ) | (28,108 | ) | (6,808 | ) | (21,300 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,625.00 | 04/17/2020 | (3 | ) | (30 | ) | (11,237 | ) | (1,475 | ) | (9,762 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,700.00 | 04/17/2020 | (15 | ) | (150 | ) | (66,833 | ) | (8,852 | ) | (57,981 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,725.00 | 04/17/2020 | (21 | ) | (210 | ) | (98,875 | ) | (14,308 | ) | (84,567 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,750.00 | 04/17/2020 | (19 | ) | (190 | ) | (94,388 | ) | (10,069 | ) | (84,319 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,600.00 | 03/20/2020 | (14 | ) | (140 | ) | (45,887 | ) | (9,704 | ) | (36,183 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,650.00 | 03/20/2020 | (21 | ) | (210 | ) | (79,077 | ) | (7,418 | ) | (71,659 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,675.00 | 03/20/2020 | (24 | ) | (240 | ) | (96,494 | ) | (10,268 | ) | (86,226 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,700.00 | 03/20/2020 | (22 | ) | (220 | ) | (94,233 | ) | (14,046 | ) | (80,187 | ) | ||||||||||||||
|
Euro Stoxx 50 Index |
3,725.00 | 03/20/2020 | (8 | ) | (80 | ) | (36,404 | ) | (3,470 | ) | (32,934 | ) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS (continued)
| Description |
Exercise
Price |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums
Paid (Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
|||||||||||||||||||
|
Puts (continued) |
||||||||||||||||||||||||||
|
Euro Stoxx 50 Index |
3,775.00 | 03/20/2020 | (4 | ) | $ | (40 | ) | $ | (20,379 | ) | $ | (1,457 | ) | $ | (18,922 | ) | ||||||||||
|
Euro Stoxx 50 Index |
3,225.00 | 05/15/2020 | (9 | ) | (90 | ) | (15,957 | ) | (16,817 | ) | 860 | |||||||||||||||
|
Euro Stoxx 50 Index |
3,675.00 | 05/15/2020 | (2 | ) | (20 | ) | (9,551 | ) | (1,755 | ) | (7,796 | ) | ||||||||||||||
|
FTSE 100 Index |
6,400.00 | 04/17/2020 | (3 | ) | (30 | ) | (10,501 | ) | (8,378 | ) | (2,123 | ) | ||||||||||||||
|
FTSE 100 Index |
7,100.00 | 04/17/2020 | (2 | ) | (20 | ) | (16,565 | ) | (3,525 | ) | (13,040 | ) | ||||||||||||||
|
FTSE 100 Index |
7,225.00 | 04/17/2020 | (10 | ) | (100 | ) | (95,905 | ) | (13,115 | ) | (82,790 | ) | ||||||||||||||
|
FTSE 100 Index |
7,250.00 | 04/17/2020 | (4 | ) | (40 | ) | (39,490 | ) | (4,973 | ) | (34,517 | ) | ||||||||||||||
|
FTSE 100 Index |
7,150.00 | 03/20/2020 | (3 | ) | (30 | ) | (24,521 | ) | (4,496 | ) | (20,025 | ) | ||||||||||||||
|
FTSE 100 Index |
7,275.00 | 03/20/2020 | (1 | ) | (10 | ) | (9,642 | ) | (979 | ) | (8,663 | ) | ||||||||||||||
|
FTSE 100 Index |
7,300.00 | 03/20/2020 | (7 | ) | (70 | ) | (69,646 | ) | (5,618 | ) | (64,028 | ) | ||||||||||||||
|
FTSE 100 Index |
7,400.00 | 03/20/2020 | (5 | ) | (50 | ) | (55,966 | ) | (6,119 | ) | (49,847 | ) | ||||||||||||||
|
FTSE 100 Index |
7,425.00 | 03/20/2020 | (6 | ) | (60 | ) | (69,044 | ) | (5,515 | ) | (63,529 | ) | ||||||||||||||
|
FTSE 100 Index |
6,400.00 | 05/15/2020 | (2 | ) | (20 | ) | (8,116 | ) | (7,958 | ) | (158 | ) | ||||||||||||||
|
FTSE 100 Index |
7,150.00 | 05/15/2020 | (1 | ) | (10 | ) | (9,417 | ) | (1,620 | ) | (7,797 | ) | ||||||||||||||
|
Nikkei 225 Index |
22,375.00 | 04/10/2020 | (3 | ) | (3,000 | ) | (53,959 | ) | (6,561 | ) | (47,398 | ) | ||||||||||||||
|
Nikkei 225 Index |
22,500.00 | 04/10/2020 | (2 | ) | (2,000 | ) | (35,231 | ) | (11,134 | ) | (24,097 | ) | ||||||||||||||
|
Nikkei 225 Index |
22,625.00 | 04/10/2020 | (2 | ) | (2,000 | ) | (39,125 | ) | (7,356 | ) | (31,769 | ) | ||||||||||||||
|
Nikkei 225 Index |
23,125.00 | 04/10/2020 | (4 | ) | (4,000 | ) | (91,971 | ) | (15,647 | ) | (76,324 | ) | ||||||||||||||
|
Nikkei 225 Index |
23,250.00 | 04/10/2020 | (1 | ) | (1,000 | ) | (24,198 | ) | (4,041 | ) | (20,157 | ) | ||||||||||||||
|
Nikkei 225 Index |
22,500.00 | 03/13/2020 | (3 | ) | (3,000 | ) | (43,111 | ) | (5,183 | ) | (37,928 | ) | ||||||||||||||
|
Nikkei 225 Index |
22,750.00 | 03/13/2020 | (2 | ) | (2,000 | ) | (33,006 | ) | (9,478 | ) | (23,528 | ) | ||||||||||||||
|
Nikkei 225 Index |
23,250.00 | 03/13/2020 | (4 | ) | (4,000 | ) | (85,296 | ) | (18,941 | ) | (66,355 | ) | ||||||||||||||
|
Nikkei 225 Index |
23,375.00 | 03/13/2020 | (3 | ) | (3,000 | ) | (64,528 | ) | (7,080 | ) | (57,448 | ) | ||||||||||||||
|
Nikkei 225 Index |
23,500.00 | 03/13/2020 | (3 | ) | (3,000 | ) | (68,144 | ) | (9,230 | ) | (58,914 | ) | ||||||||||||||
|
Nikkei 225 Index |
22,500.00 | 05/08/2020 | (2 | ) | (2,000 | ) | (38,383 | ) | (8,536 | ) | (29,847 | ) | ||||||||||||||
|
S&P 500 Index |
2,990.00 | 04/30/2020 | (4 | ) | (400 | ) | (61,480 | ) | (21,012 | ) | (40,468 | ) | ||||||||||||||
|
S&P 500 Index |
3,195.00 | 04/30/2020 | (1 | ) | (100 | ) | (25,845 | ) | (4,790 | ) | (21,055 | ) | ||||||||||||||
|
S&P 500 Index |
3,265.00 | 04/30/2020 | (2 | ) | (200 | ) | (61,920 | ) | (9,288 | ) | (52,632 | ) | ||||||||||||||
|
S&P 500 Index |
3,285.00 | 04/30/2020 | (3 | ) | (300 | ) | (98,610 | ) | (12,870 | ) | (85,740 | ) | ||||||||||||||
|
S&P 500 Index |
2,830.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (96,600 | ) | (139,760 | ) | 43,160 | |||||||||||||||
|
S&P 500 Index |
2,835.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (98,219 | ) | (144,267 | ) | 46,048 | |||||||||||||||
|
S&P 500 Index |
2,840.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (102,300 | ) | (142,928 | ) | 40,628 | |||||||||||||||
|
S&P 500 Index |
2,845.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (101,580 | ) | (147,029 | ) | 45,449 | |||||||||||||||
|
S&P 500 Index |
2,850.00 | 03/31/2020 | (12 | ) | (1,200 | ) | (105,540 | ) | (146,741 | ) | 41,201 | |||||||||||||||
|
S&P 500 Index |
3,015.00 | 03/31/2020 | (1 | ) | (100 | ) | (14,380 | ) | (3,850 | ) | (10,530 | ) | ||||||||||||||
|
S&P 500 Index |
3,020.00 | 03/25/2020 | (15 | ) | (1,500 | ) | (210,975 | ) | (57,167 | ) | (153,808 | ) | ||||||||||||||
|
S&P 500 Index |
3,140.00 | 03/31/2020 | (1 | ) | (100 | ) | (20,820 | ) | (4,534 | ) | (16,286 | ) | ||||||||||||||
|
S&P 500 Index |
3,180.00 | 03/31/2020 | (4 | ) | (400 | ) | (93,840 | ) | (18,120 | ) | (75,720 | ) | ||||||||||||||
|
S&P 500 Index |
3,200.00 | 03/31/2020 | (2 | ) | (200 | ) | (49,910 | ) | (8,760 | ) | (41,150 | ) | ||||||||||||||
|
S&P 500 Index |
3,210.00 | 03/31/2020 | (4 | ) | (400 | ) | (102,420 | ) | (14,360 | ) | (88,060 | ) | ||||||||||||||
|
S&P 500 Index |
3,235.00 | 03/04/2020 | (14 | ) | (1,400 | ) | (373,590 | ) | (34,175 | ) | (339,415 | ) | ||||||||||||||
|
S&P 500 Index |
3,240.00 | 03/31/2020 | (3 | ) | (300 | ) | (84,134 | ) | (12,359 | ) | (71,775 | ) | ||||||||||||||
|
S&P 500 Index |
3,285.00 | 03/31/2020 | (3 | ) | (300 | ) | (95,790 | ) | (10,140 | ) | (85,650 | ) | ||||||||||||||
|
S&P 500 Index |
3,300.00 | 03/11/2020 | (14 | ) | (1,400 | ) | (463,400 | ) | (44,334 | ) | (419,066 | ) | ||||||||||||||
|
S&P 500 Index |
3,305.00 | 03/31/2020 | (2 | ) | (200 | ) | (68,040 | ) | (5,934 | ) | (62,106 | ) | ||||||||||||||
|
S&P 500 Index |
3,315.00 | 03/18/2020 | (14 | ) | (1,400 | ) | (490,280 | ) | (32,327 | ) | (457,953 | ) | ||||||||||||||
| (406 | ) | $ | (46,000 | ) | $ | (4,526,822 | ) | $ | (1,311,928 | ) | $ | (3,214,894 | ) | |||||||||||||
| TOTAL | (810 | ) | $ | (92,970 | ) | $ | (4,835,732 | ) | $ | (1,871,278 | ) | $ | (2,964,454 | ) | ||||||||||||
| 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 FUTURES
| Description |
Exercise
Price |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums
Paid (Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
|||||||||||||||||||
|
Purchased option contracts |
||||||||||||||||||||||||||
|
Calls |
||||||||||||||||||||||||||
|
Eurodollar Futures |
97.00 | 06/14/2021 | 462 | $ | 1,155,000 | $ | 2,564,102 | $ | 1,037,297 | $ | 1,526,805 | |||||||||||||||
|
Eurodollar Futures |
97.00 | 03/15/2021 | 473 | 1,182,500 | 2,607,413 | 1,045,235 | 1,562,178 | |||||||||||||||||||
|
Eurodollar Futures |
97.00 | 09/13/2021 | 453 | 1,132,500 | 2,519,812 | 1,129,087 | 1,390,725 | |||||||||||||||||||
|
Eurodollar Futures |
98.00 | 03/15/2021 | 260 | 650,000 | 783,250 | 221,603 | 561,647 | |||||||||||||||||||
|
Eurodollar Futures |
98.25 | 09/13/2021 | 2,604 | 6,510,000 | 6,461,175 | 3,112,629 | 3,348,546 | |||||||||||||||||||
|
Eurodollar Futures |
97.75 | 12/14/2020 | 218 | 545,000 | 733,025 | 371,106 | 361,919 | |||||||||||||||||||
|
Eurodollar Futures |
97.88 | 03/15/2021 | 470 | 1,175,000 | 1,562,750 | 734,428 | 828,322 | |||||||||||||||||||
|
Eurodollar Futures |
97.88 | 09/13/2021 | 446 | 1,115,000 | 1,510,825 | 748,085 | 762,740 | |||||||||||||||||||
|
Eurodollar Futures |
97.88 | 06/14/2021 | 457 | 1,142,500 | 1,536,663 | 743,473 | 793,190 | |||||||||||||||||||
|
Eurodollar Futures |
97.88 | 03/14/2022 | 345 | 862,500 | 1,132,031 | 595,925 | 536,106 | |||||||||||||||||||
|
Eurodollar Futures |
98.25 | 03/15/2021 | 3,051 | 7,627,500 | 7,322,399 | 3,532,291 | 3,790,108 | |||||||||||||||||||
|
Eurodollar Futures |
98.50 | 06/15/2020 | 312 | 780,000 | 376,350 | 156,724 | 219,626 | |||||||||||||||||||
|
Eurodollar Futures |
98.00 | 09/14/2020 | 93 | 232,500 | 252,263 | 137,391 | 114,872 | |||||||||||||||||||
|
Eurodollar Futures |
98.00 | 12/14/2020 | 574 | 1,435,000 | 1,571,325 | 1,120,569 | 450,756 | |||||||||||||||||||
|
Eurodollar Futures |
98.50 | 12/13/2021 | 1,570 | 3,925,000 | 3,032,062 | 1,552,667 | 1,479,395 | |||||||||||||||||||
|
Eurodollar Futures |
98.13 | 12/13/2021 | 47 | 117,500 | 129,250 | 78,247 | 51,003 | |||||||||||||||||||
|
Eurodollar Futures |
98.25 | 06/14/2021 | 2,668 | 6,670,000 | 6,536,599 | 3,271,490 | 3,265,109 | |||||||||||||||||||
|
Eurodollar Futures |
97.88 | 12/13/2021 | 312 | 780,000 | 1,043,250 | 523,324 | 519,926 | |||||||||||||||||||
|
Eurodollar Futures |
98.50 | 03/16/2020 | 476 | 1,190,000 | 196,350 | 161,754 | 34,596 | |||||||||||||||||||
|
Eurodollar Futures |
97.50 | 12/14/2020 | 335 | 837,500 | 1,335,812 | 372,982 | 962,830 | |||||||||||||||||||
|
Eurodollar Futures |
97.50 | 09/14/2020 | 377 | 942,500 | 1,493,863 | 449,883 | 1,043,980 | |||||||||||||||||||
| TOTAL | 16,003 | $ | 40,007,500 | $ | 44,700,569 | $ | 21,096,190 | $ | 23,604,379 | |||||||||||||||||
OVER-THE-COUNTER OPTIONS ON EQUITIES
| Description | Counterparty |
Exercise
Price |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums
Paid (Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
||||||||||||||||||||||
|
Purchased option contracts |
||||||||||||||||||||||||||||||
|
Calls |
||||||||||||||||||||||||||||||
|
SPX Index |
MS & Co. Int. PLC | 3,196.47 | 03/18/2020 | 8,771 | $ | 8,771 | $ | 61,397 | $ | 61,397 | $ | — | ||||||||||||||||||
|
Written option contracts |
||||||||||||||||||||||||||||||
|
Calls |
||||||||||||||||||||||||||||||
|
SPX Index |
MS & Co. Int. PLC | 3,078.30 | 03/18/2020 | (8,771 | ) | (8,771 | ) | (385,310 | ) | (385,310 | ) | — | ||||||||||||||||||
| TOTAL | — | $ | — | $ | (323,913 | ) | $ | (323,913 | ) | $ | — | |||||||||||||||||||
|
|
||
|
Abbreviations: |
||
|
MS & Co. Int. PLC |
—Morgan Stanley & Co. International PLC |
|
|
|
||
| The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Assets and Liabilities
February 29, 2020 (Unaudited)
|
|
||||||
| Assets: | ||||||
|
Investments of unaffiliated issuers, at value (cost $989,488,486) |
$ | 1,071,585,988 | ||||
|
Investments of affiliated issuers, at value (cost $88,700,252) |
87,289,636 | |||||
|
Purchased options (premium paid $21,157,587) |
44,761,966 | |||||
|
Cash |
17,828,145 | |||||
|
Foreign currencies, at value (cost $731,804) |
750,180 | |||||
|
Unrealized gain on forward foreign currency exchange contracts |
3,519,001 | |||||
|
Receivables: |
||||||
|
Fund shares sold |
36,740,000 | |||||
|
Collateral on certain derivative contracts(a) |
22,036,441 | |||||
|
Investments sold |
1,357,531 | |||||
|
Dividends |
364,950 | |||||
|
Foreign tax reclaims |
124,415 | |||||
|
Reimbursement from investment adviser |
16,843 | |||||
|
Other assets |
21,118 | |||||
| Total assets | 1,286,396,214 | |||||
| Liabilities: | ||||||
|
Unrealized loss on forward foreign currency exchange contracts |
952,977 | |||||
|
Variation margin on futures |
1,520,859 | |||||
|
Written options (premium received $2,256,588) |
5,221,042 | |||||
|
Payables: |
||||||
|
Investments purchased |
2,550,275 | |||||
|
Fund shares redeemed |
1,450,000 | |||||
|
Transfer Agency fees |
21,461 | |||||
|
Accrued expenses |
231,324 | |||||
| Total liabilities | 11,947,938 | |||||
| Net Assets: | ||||||
|
Paid-in capital |
1,191,445,377 | |||||
|
Total distributable earnings |
83,002,899 | |||||
| NET ASSETS | $ | 1,274,448,276 | ||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
109,684,263 | |||||
|
Institutional |
$11.62 | |||||
| (a) | Includes amount segregated for initial margin and/or collateral on futures contracts, option contracts and forward foreign currency exchange contracts of $1,415,609, $18,790,832 and $1,830,000, respectively. |
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Operations
For the Six Months Ended February 29, 2020 (Unaudited)
|
|
||||||
| Investment income: | ||||||
|
Dividends — unaffiliated issuers (net of foreign withholding taxes of $49,483) |
$ | 13,553,986 | ||||
|
Dividends — affiliated issuers |
943,450 | |||||
|
Interest |
10,054 | |||||
|
Securities lending income —unaffiliated issuers |
1,057 | |||||
| Total investment income | 14,508,547 | |||||
| Expenses: |
|
|||||
|
Management fees |
1,874,979 | |||||
|
Transfer Agency fees |
124,999 | |||||
|
Custody, accounting and administrative services |
101,832 | |||||
|
Professional fees |
48,296 | |||||
|
Printing and mailing costs |
16,284 | |||||
|
Registration fees |
13,258 | |||||
|
Trustee fees |
7,994 | |||||
|
Shareholder meeting expense |
4,815 | |||||
|
Prime Broker Fees |
2,994 | |||||
|
Other |
15,265 | |||||
| Total expenses | 2,210,716 | |||||
|
Less — expense reductions |
(1,966,580 | ) | ||||
| Net expenses | 244,136 | |||||
| NET INVESTMENT INCOME | 14,264,411 | |||||
| Realized and unrealized gain (loss): | ||||||
|
Net realized gain (loss) from: |
||||||
|
Investments — unaffiliated issuers |
(228,240 | ) | ||||
|
Purchased options |
894,438 | |||||
|
Futures contracts |
11,958,963 | |||||
|
Written options |
(647,127 | ) | ||||
|
Forward foreign currency exchange contracts |
3,157,492 | |||||
|
Foreign currency transactions |
14,160 | |||||
|
Net change in unrealized gain (loss) on: |
||||||
|
Investments — unaffiliated issuers |
(6,154,765 | ) | ||||
|
Investments — affiliated issuers |
(74,720 | ) | ||||
|
Purchased options |
10,636,695 | |||||
|
Futures contracts |
(13,698,186 | ) | ||||
|
Written options |
(2,964,454 | ) | ||||
|
Forward foreign currency exchange contracts |
(2,208,830 | ) | ||||
|
Foreign currency translation |
13,177 | |||||
| Net realized and unrealized gain | 698,603 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 14,963,014 | ||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statements of Changes in Net Assets
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the
Fiscal Year Ended August 31, 2019 |
|||||||||
| From operations: | ||||||||||
|
Net investment income |
$ | 14,264,411 | $ | 29,018,949 | ||||||
|
Net realized gain |
15,149,686 | 3,319,800 | ||||||||
|
Net change in unrealized gain (loss) |
(14,451,083 | ) | 3,788,919 | |||||||
| Net increase in net assets resulting from operations | 14,963,014 | 36,127,668 | ||||||||
| Distributions to shareholders: | ||||||||||
|
From distributable earnings: |
(47,547,059 | ) | (39,877,290 | ) | ||||||
| From share transactions: | ||||||||||
|
Proceeds from sales of shares |
184,612,800 | 533,870,001 | ||||||||
|
Reinvestment of distributions |
47,547,059 | 39,877,290 | ||||||||
|
Cost of shares redeemed |
(76,505,658 | ) | (602,895,935 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | 155,654,201 | (29,148,644 | ) | |||||||
| TOTAL INCREASE (DECREASE) | 123,070,156 | (32,898,266 | ) | |||||||
| Net assets: | ||||||||||
|
Beginning of period |
1,151,378,120 | 1,184,276,386 | ||||||||
|
End of period |
$ | 1,274,448,276 | $ | 1,151,378,120 | ||||||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Selected Share Data for a Share Outstanding Throughout Each Period
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period
November 1, 2016 – August 31, 2017* |
Year Ended
October 31, 2016 |
Period Ended
October 31, 2015(a) |
||||||||||||||||||||||
| 2019 | 2018 | |||||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 11.86 | $ | 12.23 | $ | 11.33 | $ | 9.84 | $ | 9.68 | $ | 10.00 | ||||||||||||||
|
Net investment income(b) |
0.14 | 0.29 | 0.25 | 0.15 | 0.18 | 0.05 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
0.11 | (0.25 | ) | 1.00 | 1.54 | 0.11 | (0.37 | ) | ||||||||||||||||||
|
Total from investment operations |
0.25 | 0.04 | 1.25 | 1.69 | 0.29 | (0.32 | ) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.38 | ) | (0.29 | ) | (0.14 | ) | (0.20 | ) | (0.11 | ) | — | |||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.11 | ) | (0.12 | ) | (0.21 | ) | — | (0.02 | ) | — | ||||||||||||||||
|
Total distributions |
(0.49 | ) | (0.41 | ) | (0.35 | ) | (0.20 | ) | (0.13 | ) | — | |||||||||||||||
|
Net asset value, end of period |
$ | 11.62 | $ | 11.86 | $ | 12.23 | $ | 11.33 | $ | 9.84 | $ | 9.68 | ||||||||||||||
| Total return(c) | 1.81 | % | 0.78 | % | 11.18 | % | 17.43 | % | 3.08 | % | (3.20 | )% | ||||||||||||||
|
Net assets, end of period (in 000s) |
$ | 1,274,448 | $ | 1,151,378 | $ | 1,184,276 | $ | 442,071 | $ | 144,246 | $ | 136,984 | ||||||||||||||
|
Ratio of net expenses to average net assets(d) |
0.04 | %(e) | 0.05 | % | 0.07 | % | 0.10 | %(e) | 0.17 | % | 0.37 | %(e) | ||||||||||||||
|
Ratio of total expenses to average net assets(d) |
0.35 | %(e) | 0.37 | % | 0.39 | % | 0.42 | %(e) | 0.48 | % | 0.68 | %(e) | ||||||||||||||
|
Ratio of net investment income to average net assets |
2.28 | %(e) | 2.49 | % | 2.07 | % | 1.71 | %(e) | 1.90 | % | 1.04 | %(e) | ||||||||||||||
|
Portfolio turnover rate(f) |
4 | % | 56 | % | 18 | % | 44 | % | 37 | % | — | %(g) | ||||||||||||||
| * | The Fund changed its fiscal year end from October 31 to August 31. |
| (a) | Commenced operations April 30, 2015. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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. |
| (d) | Expense ratios exclude the expenses of the Underlying Fund in which the Portfolio invests. |
| (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) | Portfolio Turnover rounds to less than 0.5%. |
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Global Managed Beta Fund (the “Fund”) is a diversified fund that currently offers one class of shares — Institutional Shares. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. 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 recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain 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.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Expenses — 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.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the 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 reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign
26
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
exchange rates are included in the Statement of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments —The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. 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 Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
27
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit default swap contracts.
28
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. 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 Fund’s investments and derivatives classified in the fair value hierarchy as of February 29, 2020:
| GLOBAL MANAGED BETA | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Common Stock and/or Other Equity Investments(a) |
||||||||||||
|
Asia |
$ | 556,077 | $ | 14,830,706 | $ | — | ||||||
|
Australia and Oceania |
— | 3,904,055 | — | |||||||||
|
Europe |
3,250,236 | 32,363,156 | — | |||||||||
|
North America |
101,537,167 | — | — | |||||||||
|
Exchange Traded Funds |
932,968,302 | — | — | |||||||||
|
Investment Company |
69,465,925 | — | — | |||||||||
| Total | $ | 1,107,777,707 | $ | 51,097,917 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
|
Forward Foreign Currency Exchange Contracts(b) |
$ | — | $ | 3,519,001 | $ | — | ||||||
|
Options Purchased |
44,700,569 | 61,397 | — | |||||||||
| Total | $ | 44,700,569 | $ | 3,580,398 | $ | — | ||||||
| Liabilities | ||||||||||||
|
Forward Foreign Currency Exchange Contracts(b) |
$ | — | $ | (952,977 | ) | $ | — | |||||
|
Futures Contracts(b) |
(15,546,373 | ) | — | — | ||||||||
|
Written option contracts |
(4,835,732 | ) | (385,310 | ) | — | |||||||
| Total | $ | (20,382,105 | ) | $ | (1,338,287 | ) | $ | — | ||||
| (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. |
For further information regarding security characteristics, see the Schedule of Investments.
29
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of February 29, 2020. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
|
Interest |
Purchased options, at value | $ | 44,700,569 | — | $ | — | ||||||
|
Currency |
Receivable for unrealized gain on forward foreign currency exchange contracts | 3,519,001 | Payable for unrealized loss on forward foreign currency exchange contracts | (952,977) | ||||||||
|
Equity |
Purchased options, at value | 61,397 | Variation margin on future contracts; Written options, at value | (20,767,415) | (a) | |||||||
| Total | $ | 48,280,967 | $ | (21,720,392) | ||||||||
| (a) | Represents unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended February 29, 2020. 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 of Operations:
| Risk | Statement of Operations |
Net Realized
Gain |
Net Change in
Unrealized Gain (Loss) |
Average
Number of Contracts(a) |
||||||||||
| Interest | Net realized gain on futures contracts and purchased option contracts/ Net change in unrealized gain on purchased option contracts | $ | 2,427,688 | $ | 10,509,752 | 20 | ||||||||
| Currency | Net realized gain on forward foreign currency exchange contracts/Net change in unrealized (loss) on forward foreign currency exchange contracts | 3,157,492 | (2,208,830 | ) | 21 | |||||||||
| Equity | Net realized gain (loss) on futures contracts, purchased option contracts and written option contracts/ Net change in unrealized gain (loss) on futures contracts, purchased option contracts and written option contracts | 9,778,586 | (16,535,697 | ) | 1,819 | |||||||||
| Total | $ | 15,363,766 | $ | (8,234,775 | ) | 1,860 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended February 29, 2020. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of 0.30% of the Fund’s average daily net assets.
GSAM has agreed to waive all management fees payable by the Fund, except those management fees it earns from the Fund’s investment of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square
30
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Government Fund (the “Government Money Market Fund”). This arrangement will remain in effect through at least December 27, 2020, and prior to such date GSAM may not terminate this arrangement without the approval of the Trustees. For the six months ended February 29, 2020, GSAM waived $1,874,979 of the Fund’s management fees.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rate of 0.02% of the average daily net assets of Institutional Shares.
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Fund is 0.204%. For the six months ended February 29, 2020, the Fund did not have any other expense reimbursements from GSAM.
The Fund invests in Institutional Shares of the Government Money Market Fund and the shares of the Goldman Sachs ActiveBeta Emerging Markets Equity ETF Fund, which are affiliated Underlying Funds. GSAM has agreed to reduce or limit “Other Expenses” in an amount equal to the management fee it earns as an investment adviser to any of the affiliated funds in which the Fund invests. For the six months ended February 29, 2020, GSAM waived $91,601 of the Fund’s management fee.
These Other Expense limitations will remain in place through at least December 27, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
D. Line of Credit Facility — As of February 29, 2020, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Fund did not have any borrowings under the facility.
E. Other Transactions with Affiliates — The following table provides information about the Fund’s investments in the Underlying Funds as of and for the six months ended February 29, 2020.
| Underlying Funds |
Beginning
Value as of August 31, 2019 |
Purchases
at Cost |
Proceeds
from Sales |
Change in
Unrealized Gain/(Loss) |
Ending
Value as of February 29, 2020 |
Shares as of
February 29, 2020 |
Dividend
Income |
|||||||||||||||||||||
|
Goldman Sachs Financial Square Government Fund — Institutional Shares |
$39,944,386 | $ | 213,286,287 | $ | 183,764,748 | $ | — | $ | 69,465,925 | $ | 69,465,925 | $ | 558,749 | |||||||||||||||
|
Goldman Sachs ActiveBeta Emerging Markets Equity ETF |
17,898,431 | — | — | (74,720 | ) | 17,823,711 | 574,773 | 384,701 | ||||||||||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 29, 2020, were $100,271,545 and $40,670,896 respectively.
31
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 7. SECURITIES LENDING |
The Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. 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 of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
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 Fund 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 Fund by paying the Fund 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 Fund’s 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 Fund’s 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 Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of February 29, 2020, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable.
Both the Fund and BNYM received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the six months ended February 29, 2020, are reported under Investment Income on the Statement of Operations.
The following table provides information about the Fund’s investments in the Government Money Market Fund for the six months ended February 29, 2020:
|
Beginning value
as of August 31, 2019 |
Purchases at
Cost |
Proceeds from
Sales |
Ending value
as of February 29, 2020 |
|||||||||||
| $ | — | $ | 26,339,324 | $ | (26,339,324 | ) | $ | — | ||||||
| 8. TAX INFORMATION |
As of the Fund’s most recent fiscal year ended August 31, 2019, the Fund’s certain timing differences on a tax basis were as follows:
|
Timing differences (Straddle Loss Deferral) |
$ | (134,097 | ) |
32
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 8. TAX INFORMATION (continued) |
As of February 29, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
Tax Cost |
$ | 1,101,685,182 | ||
|
Gross unrealized gain |
128,552,027 | |||
|
Gross unrealized loss |
(71,361,585 | ) | ||
|
Net unrealized gains (losses) |
$ | 57,190,442 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures and options contracts, net mark to market gains/(losses) on foreign currency contracts, and differences in the tax treatment of underlying fund investments, partnership investments, and passive foreign investment company investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 9. OTHER RISKS |
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If the Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on the Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
33
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 9. OTHER RISKS (continued) |
Geographic Risk — If the Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including ETFs, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of 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.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). 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, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats 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.
Sector Risk — To the extent the Fund focuses its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Fund may be subjected, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business, political, environmental or other developments.
| 10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
34
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 11. SUBSEQUENT EVENTS |
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, 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:
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
15,001,027 | $ | 184,612,800 | 47,237,176 | $ | 533,870,001 | ||||||||||
|
Reinvestment of distributions |
3,777,435 | 47,547,059 | 3,834,358 | 39,877,290 | ||||||||||||
|
Shares redeemed |
(6,165,365 | ) | (76,505,658 | ) | (50,869,984 | ) | (602,895,935 | ) | ||||||||
|
NET INCREASE (DECREASE) |
12,613,097 | 155,654,201 | 201,550 | (29,148,644 | ) | |||||||||||
35
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
|
Proposal 2.
To
approve a change to the Fund’s sub-classification under
|
For | Against | Abstained | Broker Non-Votes | ||||||||||||
|
Large Cap Growth Insights Fund |
23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
36
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
37
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited) |
||
As a shareholder of Institutional Shares of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days out of a 366 day year.
Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/20* |
|||||||||
| Institutional | ||||||||||||
|
Actual |
$ | 1,000.00 | $ | 1,018.10 | $ | 0.20 | ||||||
|
Hypothetical 5% return |
1,000.00 | 1,024.66 | + | 0.20 | ||||||||
| * | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios (excluding proxy fee which is not annualized) and an assumed rate of return of 5% per year before expenses. |
| + | Expenses are calculated using the Fund’s annualized net expense ratio (excluding proxy fee which is not annualized) for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period was 0.04%. |
38
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Short Duration Tax-Free Fund |
| ∎ |
Municipal Income Completion Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets Opportunities Fund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Select Satellite
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
|
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver |
OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
|
|
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
|
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (’’SEC’’) web site at http://www.sec.gov.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
The Fund will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
Diversification does not protect an investor from market risk and does not ensure a profit.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
© 2020 Goldman Sachs. All rights reserved. 200061-OTU-1180679MGDBETASAR-20
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
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|
Global Tax-Aware Equity Portfolios |
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|
Enhanced Dividend Global Equity Portfolio |
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|
Tax-Advantaged Global Equity Portfolio |
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It is our intention that beginning on January 1, 2021, paper copies of the Portfolios’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Portfolio or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Portfolio electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Portfolio directly with the Portfolio’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Class R6 and Class P shareholders or 800-526-7384 for all other shareholders. If you hold shares of a Portfolio through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Portfolios’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Global Tax-Aware Equity Portfolios
| ∎ |
ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO |
| ∎ |
TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO |
| i | ||||
| 1 | ||||
| 5 | ||||
| 9 | ||||
| 12 | ||||
| 12 | ||||
| 16 | ||||
| 20 | ||||
| 35 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29, 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. A Portfolio could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events or actions. The full extent of the impact of COVID-19 on the Portfolios’ performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Portfolio shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
i
FUND BASICS
Enhanced Dividend Global Equity Portfolio
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||||||||||
| September 1, 2019–February 29, 2020 |
Portfolio
Total Return (based on NAV)1 |
EDGE
Composite Index2 |
Bloomberg
Barclays U.S. Aggregate Bond Index3 |
Morgan Stanley Capital
|
||||||||||||||
| Class A | -1.21 | % | 1.23 | % | 3.39 | % | 0.87 | % | ||||||||||
| Institutional | -0.99 | 1.23 | 3.39 | 0.87 | ||||||||||||||
| Class P | -0.98 | 1.23 | 3.39 | 0.87 | ||||||||||||||
| Class R6 | -0.90 | 1.23 | 3.39 | 0.87 | ||||||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance reflects the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The EDGE Composite Index (“EDGE Composite”) is a composite representation prepared by the investment adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. |
| The EDGE Composite is comprised of MSCI ACWI IMI (90%) and the Bloomberg Barclays U.S. Aggregate Bond Index (10%). The EDGE Composite figures do not reflect any deduction for fees, expenses or taxes. |
| 3 | The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment grade corporate bonds and mortgage backed and asset-backed securities. |
| 4 | The MSCI ACWI IMI captures large, mid and small cap representation across 23 developed markets and 26 emerging markets. With 8,993 constituents, the MSCI ACWI IMI is comprehensive, covering approximately 99% of the global equity investment opportunity set. As of February 29, 2020, the 23 developed markets in the MSCI ACWI IMI include Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the U.K. and the U.S. The 26 emerging markets include Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
1
FUND BASICS
| OVERALL UNDERLYING FUND WEIGHTINGS1,2 |
| Percentage of Net Assets |
| 1 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the graph above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. The above graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| 2 | Represents affiliated funds. |
For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.
2
FUND BASICS
Tax-Advantaged Global Equity Portfolio
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||||||||||
| September 1, 2019–February 29, 2020 |
Portfolio
Total Return (based on NAV)1 |
TAG
Composite Index2 |
Bloomberg
Barclays U.S. Aggregate Bond Index3 |
Morgan Stanley Capital
International (MSCI) All Country World Index (ACWI) Investable Market Index (IMI) (“MSCI ACWI IMI”) (Net, USD, Unhedged)4 |
||||||||||||||
| Class A | -0.29 | % | 1.23 | % | 3.39 | % | 0.87 | % | ||||||||||
| Institutional | -0.12 | 1.23 | 3.39 | 0.87 | ||||||||||||||
| Class P | -0.11 | 1.23 | 3.39 | 0.87 | ||||||||||||||
| Class R6 | -0.12 | 1.23 | 3.39 | 0.87 | ||||||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance reflects the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The TAG Composite Index (“TAG Composite”) is a composite representation prepared by the investment adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. |
| The TAG Composite is comprised of the MSCI ACWI IMI (90%) and the Bloomberg Barclays U.S. Aggregate Bond Index (10%). The TAG Composite figures do not reflect any deduction for fees, expenses or taxes. |
| 3 | The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment grade corporate bonds and mortgage-backed and asset-backed securities. |
| 4 | The MSCI ACWI IMI captures large, mid and small cap representation across 23 developed markets and 26 emerging markets. With 8,993 constituents, the MSCI ACWI IMI is comprehensive, covering approximately 99% of the global equity investment opportunity set. As of February 29, 2020, the 23 developed markets in the MSCI ACWI IMI include Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the U.K. and the U.S. The 26 emerging markets include Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
3
FUND BASICS
| OVERALL UNDERLYING FUND WEIGHTINGS1,2 |
| Percentage of Net Assets |
| 1 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of that Underlying Fund as a percentage of net assets of the Portfolio. Figures in the graph above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. The above graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| 2 | Represents affiliated funds. |
For more information about the Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about the Portfolio’s investment strategies, holdings, and performance.
4
GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO
February 29, 2020 (Unaudited)
|
Shares |
Description | Value | ||||||
| Underlying Funds (Class R6 Shares)(a) – 98.8% | ||||||||
| Equity – 98.8% | ||||||||
| 19,969,164 | Goldman Sachs US Equity Dividend and Premium Fund | $ | 245,221,335 | |||||
| 18,526,022 | Goldman Sachs International Equity Dividend and Premium Fund | 119,307,584 | ||||||
| 6,349,402 | Goldman Sachs Tactical Tilt Overlay Fund | 60,001,847 | ||||||
| 1,733,023 | Goldman Sachs Small Cap Equity Insights Fund | 41,817,850 | ||||||
| 3,274,348 | Goldman Sachs Emerging Markets Equity Insights Fund | 29,076,206 | ||||||
| 1,880,267 | Goldman Sachs International Small Cap Insights Fund | 19,968,440 | ||||||
| 1,149,210 | Goldman Sachs Global Infrastructure Fund | 13,710,077 | ||||||
| 1,289,205 | Goldman Sachs Global Real Estate Securities Fund | 13,240,139 | ||||||
| 2,411,086 | Goldman Sachs MLP Energy Infrastructure Fund | 11,211,549 | ||||||
|
|
|
|||||||
| TOTAL UNDERLYING FUNDS (CLASS R6 SHARES) | ||||||||
| (Cost $483,943,788) | $ | 553,555,027 | ||||||
|
|
|
|||||||
| The percentage shown for each investment and investment category reflects the value of the respective investment or category as a percentage of net assets. | ||
|
(a) |
Represents an Affiliated Issuer. | |
|
|
||
|
Currency Abbreviations: |
||
|
AUD |
—Australian Dollar |
|
|
CHF |
—Swiss Franc |
|
|
EUR |
—Euro |
|
|
GBP |
—British Pound |
|
|
JPY |
—Japanese Yen |
|
|
USD |
—United States Dollar |
|
|
|
||
| ADDITIONAL INVESTMENT INFORMATION | ||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At February 29, 2020, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty |
Currency Purchased |
Currency Sold |
Settlement
Date |
Unrealized
Gain |
||||||||||||||||
|
Morgan Stanley Co., Inc. |
USD | 5,330,349 | AUD | 7,769,962 | 03/18/2020 | $ | 266,652 | |||||||||||||
| USD | 24,941,205 | EUR | 22,324,225 | 03/18/2020 | 272,557 | |||||||||||||||
| USD | 13,583,328 | GBP | 10,329,415 | 03/18/2020 | 333,657 | |||||||||||||||
| TOTAL | $ | 872,866 | ||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty |
Currency Purchased |
Currency Sold |
Settlement
Date |
Unrealized
Loss |
||||||||||||||||||||
|
Morgan Stanley Co., Inc. |
GBP | 380,000 | USD | 499,588 | 03/18/2020 | $ | (12,157 | ) | ||||||||||||||||
| USD | 7,088,806 | CHF | 6,950,844 | 03/18/2020 | (123,618 | ) | ||||||||||||||||||
| USD | 19,152,056 | JPY | 2,070,272,100 | 03/18/2020 | (58,278 | ) | ||||||||||||||||||
| TOTAL | $ | (194,053 | ) | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) | ||||||
FUTURES CONTRACTS — At February 29, 2020, the Portfolio had the following futures contracts:
| Description |
Number of
Contracts |
Expiration
Date |
Notional
Amount |
Unrealized
Appreciation/ (Depreciation) |
||||||||||
|
Long position contracts: |
||||||||||||||
|
S&P 500 E-Mini Index |
39 | 03/20/2020 | $5,754,645 | $ | (436,773 | ) | ||||||||
| 6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO
Schedule of Investments
February 29, 2020 (Unaudited)
|
Shares |
Description | Value | ||||||
| Underlying Funds (Class R6 Shares)(a) – 98.6% | ||||||||
| Equity – 98.6% | ||||||||
| 59,589,741 | Goldman Sachs US Tax-Managed Equity Fund | $ | 1,409,893,266 | |||||
| 63,148,842 | Goldman Sachs International Tax-Managed Equity Fund | 592,967,630 | ||||||
| 31,249,428 | Goldman Sachs Tactical Tilt Overlay Fund | 295,307,091 | ||||||
| 16,101,203 | Goldman Sachs Emerging Markets Equity Insights Fund | 142,978,685 | ||||||
| 9,229,152 | Goldman Sachs International Small Cap Insights Fund | 98,013,597 | ||||||
| 5,648,915 | Goldman Sachs Global Infrastructure Fund | 67,391,553 | ||||||
| 6,337,374 | Goldman Sachs Global Real Estate Securities Fund | 65,084,827 | ||||||
| 11,868,861 | Goldman Sachs MLP Energy Infrastructure Fund | 55,190,203 | ||||||
|
|
|
|||||||
| TOTAL UNDERLYING FUNDS (CLASS R6 SHARES) | ||||||||
| (Cost $2,102,759,492) | $ | 2,726,826,852 | ||||||
|
|
|
|||||||
| The percentage shown for each investment and investment category reflects the value of the respective investment or category as a percentage of net assets. | ||
|
(a) |
Represents an Affiliated Issuer. | |
|
|
||
|
Currency Abbreviations: |
||
|
AUD |
—Australian Dollar |
|
|
CHF |
—Swiss Franc |
|
|
EUR |
—Euro |
|
|
GBP |
—British Pound |
|
|
JPY |
—Japanese Yen |
|
|
USD |
—United States Dollar |
|
|
|
||
| ADDITIONAL INVESTMENT INFORMATION | ||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At February 29, 2020, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty |
Currency Purchased |
Currency Sold |
Settlement
Date |
Unrealized
Gain |
||||||||||||||||
|
Morgan Stanley Co., Inc. |
USD | 25,008,704 | AUD | 36,454,774 | 03/18/2020 | $ | 1,251,064 | |||||||||||||
| USD | 120,990,759 | EUR | 108,283,958 | 03/18/2020 | 1,335,149 | |||||||||||||||
| USD | 61,544,206 | GBP | 46,801,169 | 03/18/2020 | 1,511,757 | |||||||||||||||
| TOTAL | $ | 4,097,970 | ||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty |
Currency Purchased |
Currency Sold |
Settlement
Date |
Unrealized
Loss |
||||||||||||||||
|
Morgan Stanley Co., Inc. |
USD | 35,401,241 | CHF | 34,672,984 | 03/18/2020 | $ | (576,589 | ) | ||||||||||||
| USD | 93,110,541 | JPY | 10,065,154,282 | 03/18/2020 | (285,384 | ) | ||||||||||||||
| TOTAL | $ | (861,973 | ) | |||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) | ||||||
FUTURES CONTRACTS — At February 29, 2020, the Portfolio had the following futures contracts:
| Description |
Number of
Contracts |
Expiration
Date |
Notional Amount |
Unrealized
Appreciation/ (Depreciation) |
||||||||||
|
Long position contracts: |
||||||||||||||
|
S&P 500 E-Mini Index |
195 | 03/20/2020 | $28,773,225 | $ | (2,183,864 | ) | ||||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Statements of Assets and Liabilities
February 29, 2020 (Unaudited)
|
Enhanced Dividend
Global Equity Portfolio |
Tax-Advantaged Global Equity Portfolio |
|||||||||
| Assets: |
|
|||||||||
|
Investments in affiliated Underlying Funds, at value (cost $490,188,459 and $2,129,876,800) |
$ | 559,799,698 | $ | 2,753,944,160 | ||||||
|
Cash |
598,396 | 6,851,059 | ||||||||
|
Foreign currencies, at value (cost $0 and $121,245) |
— | 127,377 | ||||||||
|
Receivables: |
|
|||||||||
|
Portfolio shares sold |
2,219,482 | 12,131,819 | ||||||||
|
Collateral on certain derivative contracts(a) |
293,140 | 1,425,700 | ||||||||
|
Investments sold |
219,422 | 473,565 | ||||||||
|
Reimbursement from investment adviser |
18,908 | 16,820 | ||||||||
|
Dividends |
7,772 | 39,730 | ||||||||
|
Foreign tax reclaims |
— | 7,491 | ||||||||
|
Unrealized gain on forward foreign currency exchange contracts |
872,866 | 4,097,970 | ||||||||
|
Other assets |
37,839 | 45,052 | ||||||||
| Total assets | 564,067,523 | 2,779,160,743 | ||||||||
| Liabilities: |
|
|||||||||
|
Unrealized loss on forward foreign currency exchange contracts |
194,053 | 861,973 | ||||||||
|
Variation margin on futures |
11,307 | 56,547 | ||||||||
|
Payables: |
||||||||||
|
Portfolio shares redeemed |
2,307,140 | 7,114,657 | ||||||||
|
Collateral on certain derivative contracts(a) |
1,270,000 | 6,510,000 | ||||||||
|
Management fees |
38,703 | 191,336 | ||||||||
|
Distribution and Service fees and Transfer Agency fees |
16,972 | 72,252 | ||||||||
|
Accrued expenses |
142,874 | 254,314 | ||||||||
| Total liabilities | 3,981,049 | 15,061,079 | ||||||||
| Net Assets: |
|
|||||||||
|
Paid-in capital |
502,696,500 | 2,200,178,852 | ||||||||
|
Total distributable earnings (loss) |
57,389,974 | 563,920,812 | ||||||||
| NET ASSETS | $ | 560,086,474 | $ | 2,764,099,664 | ||||||
|
Net Assets: |
||||||||||
|
Class A |
$ | 6,541,024 | $ | 422,142 | ||||||
|
Institutional |
22,142,396 | 40,770,827 | ||||||||
|
Class P |
531,392,968 | 2,722,896,634 | ||||||||
|
Class R6 |
10,086 | 10,061 | ||||||||
|
Total Net Assets |
$ | 560,086,474 | $ | 2,764,099,664 | ||||||
|
Shares outstanding $0.001 par value (unlimited shares authorized): |
||||||||||
|
Class A |
596,735 | 27,700 | ||||||||
|
Institutional |
1,997,153 | 2,658,073 | ||||||||
|
Class P |
48,047,371 | 179,871,538 | ||||||||
|
Class R6 |
911 | 665 | ||||||||
|
Net asset value, offering and redemption price per share:(b) |
||||||||||
|
Class A |
$10.96 | $15.24 | ||||||||
|
Institutional |
11.09 | 15.34 | ||||||||
|
Class P |
11.06 | 15.14 | ||||||||
|
Class R6 |
11.07 | 15.14 | (c) | |||||||
| (a) | Segregated for initial margin and/or collateral on transactions as follows: |
| Portfolio | Forwards | Futures | ||||||
|
Enhanced Dividend Global Equity |
$ | (1,270,000 | ) | $ | 293,140 | |||
|
Tax-Advantaged Global Equity |
(6,510,000 | ) | 1,425,700 | |||||
| (b) | Maximum public offering price per share for Class A Shares of the Enhanced Dividend Global Equity and Tax-Advantaged Global Equity Portfolios is $11.60 and $16.13, respectively. |
| (c) | Net asset value may not recalculate due to rounding of fractional shares. |
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Statements of Operations
For the Six Months Ended February 29, 2020 (Unaudited)
|
Enhanced Dividend
Global Equity Portfolio |
Tax-Advantaged Global Equity Portfolio |
|||||||||
| Investment income: |
|
|||||||||
|
Dividends from affiliated Underlying Funds |
$ | 7,585,840 | $ | 39,390,828 | ||||||
| Expenses: |
|
|||||||||
|
Management fees |
464,058 | 2,195,905 | ||||||||
|
Transfer Agency fees(a) |
99,573 | 441,731 | ||||||||
|
Professional fees |
46,059 | 46,826 | ||||||||
|
Custody, accounting and administrative services |
45,626 | 132,076 | ||||||||
|
Registration fees |
36,355 | 43,947 | ||||||||
|
Printing and mailing costs |
18,163 | 29,612 | ||||||||
|
Distribution and Service fees — Class A Shares |
9,836 | 569 | ||||||||
|
Trustee fees |
7,910 | 9,589 | ||||||||
|
Shareholder Meeting Expense |
7,497 | 10,779 | ||||||||
|
Other |
9,769 | 33,503 | ||||||||
| Total expenses | 744,846 | 2,944,537 | ||||||||
|
Less — expense reductions |
(344,562 | ) | (1,139,884 | ) | ||||||
| Net expenses | 400,284 | 1,804,653 | ||||||||
| NET INVESTMENT INCOME | 7,185,556 | 37,586,175 | ||||||||
| Realized and unrealized gain (loss): |
|
|||||||||
|
Net realized gain (loss) from: |
||||||||||
|
Investments in affiliated Underlying Funds |
1,922,976 | 1,361,349 | ||||||||
|
Investments — unaffiliated issuers |
— | (79,662 | ) | |||||||
|
Futures contracts |
594,321 | 2,678,323 | ||||||||
|
Forward foreign currency exchange contracts |
873,877 | 4,064,705 | ||||||||
|
Foreign currency transactions |
— | (40 | ) | |||||||
|
Capital gain distributions from affiliated Underlying Funds |
13,333,256 | 1,699,609 | ||||||||
|
Net change in unrealized loss on: |
|
|||||||||
|
Investments in affiliated Underlying Funds |
(25,676,051 | ) | (43,698,899 | ) | ||||||
|
Futures contracts |
(502,350 | ) | (2,474,490 | ) | ||||||
|
Forward foreign currency exchange contracts |
(637,234 | ) | (2,834,556 | ) | ||||||
|
Foreign currency translation |
— | (1,729 | ) | |||||||
| Net realized and unrealized loss | (10,091,205 | ) | (39,285,390 | ) | ||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,905,649 | ) | $ | (1,699,215 | ) | ||||
| (a) | Class specific Transfer Agency fees were as follows: |
| Transfer Agency Fees | ||||||||||||||||
|
Portfolio |
Class A |
Institutional |
Class P |
Class R6 |
||||||||||||
|
Enhanced Dividend Global Equity |
$ | 6,689 | $ | 5,013 | $ | 87,869 | $ | 2 | ||||||||
|
Tax-Advantaged Global Equity |
387 | 8,937 | 432,405 | 2 | ||||||||||||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Statements of Changes in Net Assets
|
Enhanced Dividend
Global Equity Portfolio |
Tax-Advantaged
Global Equity Portfolio |
|||||||||||||||||||||
|
For the
Six Months Ended
|
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended
|
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 7,185,556 | $ | 12,512,086 | $ | 37,586,175 | $ | 33,182,643 | ||||||||||||||
|
Net realized gain |
16,724,430 | 17,759,228 | 9,724,284 | 757,486 | ||||||||||||||||||
|
Net change in unrealized loss |
(26,815,635 | ) | (42,228,659 | ) | (49,009,674 | ) | (165,922,972 | ) | ||||||||||||||
| Net decrease in net assets resulting from operations | (2,905,649 | ) | (11,957,345 | ) | (1,699,215 | ) | (131,982,843 | ) | ||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class A Shares |
(283,269 | ) | (511,526 | ) | (4,637 | ) | (8,664 | ) | ||||||||||||||
|
Institutional Shares |
(951,389 | ) | (1,592,746 | ) | (648,419 | ) | (376,203 | ) | ||||||||||||||
|
Class P Shares |
(22,185,583 | ) | (32,045,647 | ) | (42,914,283 | ) | (51,683,171 | ) | ||||||||||||||
|
Class R6 Shares |
(405 | ) | (537 | ) | (158 | ) | (191 | ) | ||||||||||||||
| Total distributions to shareholders | (23,420,646 | ) | (34,150,456 | ) | (43,567,497 | ) | (52,068,229 | ) | ||||||||||||||
| From share transactions: |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
20,210,115 | 66,308,825 | 168,119,543 | 408,860,511 | ||||||||||||||||||
|
Reinvestment of distributions |
23,048,155 | 33,638,454 | 43,449,706 | 52,065,951 | ||||||||||||||||||
|
Cost of shares redeemed |
(64,531,787 | ) | (126,805,393 | ) | (189,616,527 | ) | (350,118,999 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (21,273,517 | ) | (26,858,114 | ) | 21,952,722 | 110,807,463 | ||||||||||||||||
| TOTAL DECREASE | (47,599,812 | ) | (72,965,915 | ) | (23,313,990 | ) | (73,243,609 | ) | ||||||||||||||
| Net Assets: |
|
|||||||||||||||||||||
|
Beginning of period |
607,686,286 | 680,652,201 | 2,787,413,654 | 2,860,657,263 | ||||||||||||||||||
|
End of period |
$ | 560,086,474 | $ | 607,686,286 | $ | 2,764,099,664 | $ | 2,787,413,654 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO
Selected Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The 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 portfolio turnover rate may be higher. |
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Enhanced Dividend Global Equity Portfolio | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
(Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data |
|
|||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 11.63 | $ | 12.48 | $ | 11.80 | $ | 10.76 | $ | 10.76 | $ | 11.89 | ||||||||||||||
|
Net investment income(a)(b) |
0.14 | 0.23 | 0.17 | 0.22 | 0.16 | 0.22 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.23 | ) | (0.44 | ) | 0.93 | 1.12 | 0.51 | (0.74 | ) | |||||||||||||||||
|
Total from investment operations |
(0.09 | ) | (0.21 | ) | 1.10 | 1.34 | 0.67 | (0.52 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.18 | ) | (0.32 | ) | (0.28 | ) | (0.23 | ) | (0.34 | ) | (0.25 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.27 | ) | (0.32 | ) | (0.14 | ) | (0.07 | ) | (0.33 | ) | (0.36 | ) | ||||||||||||||
|
Total distributions |
(0.45 | ) | (0.64 | ) | (0.42 | ) | (0.30 | ) | (0.67 | ) | (0.61 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 11.09 | $ | 11.63 | $ | 12.48 | $ | 11.80 | $ | 10.76 | $ | 10.76 | ||||||||||||||
| Total return(c) | (0.99 | )% | (1.46 | )% | 9.45 | % | 12.66 | % | 6.67 | % | (4.29 | )% | ||||||||||||||
|
Net assets, end of period (in 000s) |
$ | 22,142 | $ | 25,244 | $ | 33,490 | $ | 637,000 | $ | 507,845 | $ | 424,196 | ||||||||||||||
|
Ratio of net expenses to average net assets(d) |
0.13 | %(e) | 0.13 | % | 0.13 | % | 0.13 | % | 0.13 | % | 0.17 | % | ||||||||||||||
|
Ratio of total expenses to average net assets(d) |
0.24 | %(e) | 0.26 | % | 0.23 | % | 0.24 | % | 0.24 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets(b) |
2.33 | %(e) | 2.00 | % | 1.43 | % | 1.93 | % | 1.58 | % | 1.95 | % | ||||||||||||||
|
Portfolio turnover rate(f) |
6 | % | 15 | % | 20 | % | 8 | % | 19 | % | 25 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The 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 portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Enhanced Dividend Global Equity Portfolio | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, 2019 |
April 17, 2018* to August 31, 2018 |
||||||||||||
| Per Share Data |
|
|||||||||||||
|
Net asset value, beginning of period |
$ | 11.60 | $ | 12.45 | $ | 12.18 | ||||||||
|
Net investment income(a)(b) |
0.14 | 0.23 | 0.11 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.23 | ) | (0.44 | ) | 0.23 | |||||||||
|
Total from investment operations |
(0.09 | ) | (0.21 | ) | 0.34 | |||||||||
|
Distributions to shareholders from net investment income |
(0.18 | ) | (0.32 | ) | (0.07 | ) | ||||||||
|
Distributions to shareholders from net realized gains |
(0.27 | ) | (0.32 | ) | — | |||||||||
|
Total distributions |
(0.45 | ) | (0.64 | ) | (0.07 | ) | ||||||||
|
Net asset value, end of period |
$ | 11.06 | $ | 11.60 | $ | 12.45 | ||||||||
| Total return(c) | (0.98 | )% | (1.45 | )% | 2.80 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 531,393 | $ | 573,771 | $ | 636,733 | ||||||||
|
Ratio of net expenses to average net assets(d) |
0.12 | %(e) | 0.12 | % | 0.13 | %(e) | ||||||||
|
Ratio of total expenses to average net assets(d) |
0.23 | %(e) | 0.25 | % | 0.25 | %(e) | ||||||||
|
Ratio of net investment income to average net assets(b) |
2.33 | %(e) | 2.02 | % | 2.48 | %(e) | ||||||||
|
Portfolio turnover rate(f) |
6 | % | 15 | % | 20 | % | ||||||||
| * | Commencement of operations. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The 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 portfolio turnover rate may be higher. |
| 14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ENHANCED DIVIDEND GLOBAL EQUITY PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Enhanced Dividend Global Equity Portfolio | ||||||||||||||
| Class R6 Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, 2019 |
December 29, 2017*
August 31, 2018 |
||||||||||||
| Per Share Data |
|
|||||||||||||
|
Net asset value, beginning of period |
$ | 11.60 | $ | 12.46 | $ | 12.17 | ||||||||
|
Net investment income(a)(b) |
0.14 | 0.23 | 0.10 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.22 | ) | (0.45 | ) | 0.31 | |||||||||
|
Total from investment operations |
(0.08 | ) | (0.22 | ) | 0.41 | |||||||||
|
Distributions to shareholders from net investment income |
(0.18 | ) | (0.32 | ) | (0.12 | ) | ||||||||
|
Distributions to shareholders from net realized gains |
(0.27 | ) | (0.32 | ) | — | |||||||||
|
Total distributions |
(0.45 | ) | (0.64 | ) | (0.12 | ) | ||||||||
|
Net asset value, end of period |
$ | 11.07 | $ | 11.60 | $ | 12.46 | ||||||||
| Total return(c) | (0.90 | )% | (1.54 | )% | 3.39 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 10 | $ | 10 | $ | 10 | ||||||||
|
Ratio of net expenses to average net assets(d) |
0.11 | %(e) | 0.12 | % | 0.12 | %(e) | ||||||||
|
Ratio of total expenses to average net assets(d) |
0.20 | %(e) | 0.23 | % | 0.18 | %(e) | ||||||||
|
Ratio of net investment income to average net assets(b) |
2.34 | %(e) | 2.01 | % | 1.27 | %(e) | ||||||||
|
Portfolio turnover rate(f) |
6 | % | 15 | % | 20 | % | ||||||||
| * | Commencement of operations. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The 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 portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The 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 portfolio turnover rate may be higher. |
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Tax-Advantaged Global Equity Portfolio | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
(Unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data |
|
|||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 15.58 | $ | 16.46 | $ | 14.72 | $ | 12.86 | $ | 12.53 | $ | 13.48 | ||||||||||||||
|
Net investment income(a)(b) |
0.21 | 0.20 | 0.17 | 0.17 | 0.11 | 0.17 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.21 | ) | (0.96 | ) | 1.78 | 1.84 | 0.53 | (0.71 | ) | |||||||||||||||||
|
Total from investment operations |
— | (c) | (0.76 | ) | 1.95 | 2.01 | 0.64 | (0.54 | ) | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.20 | ) | (0.02 | ) | (0.21 | ) | (0.15 | ) | (0.22 | ) | (0.18 | ) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.04 | ) | (0.10 | ) | — | — | (0.09 | ) | (0.23 | ) | ||||||||||||||||
|
Total distributions |
(0.24 | ) | (0.12 | ) | (0.21 | ) | (0.15 | ) | (0.31 | ) | (0.41 | ) | ||||||||||||||
|
Net asset value, end of period |
$ | 15.34 | $ | 15.58 | $ | 16.46 | $ | 14.72 | $ | 12.86 | $ | 12.53 | ||||||||||||||
| Total return(d) | (0.12 | )% | (4.61 | )% | 13.32 | % | 15.74 | % | 5.22 | % | (3.96 | )% | ||||||||||||||
|
Net assets, end of period (in 000s) |
$ | 40,771 | $ | 43,565 | $ | 62,718 | $ | 2,207,827 | $ | 1,816,911 | $ | 1,701,226 | ||||||||||||||
|
Ratio of net expenses to average net assets(e) |
0.13 | %(f) | 0.13 | % | 0.13 | % | 0.13 | % | 0.13 | % | 0.17 | % | ||||||||||||||
|
Ratio of total expenses to average net assets(e) |
0.21 | %(f) | 0.22 | % | 0.21 | % | 0.21 | % | 0.21 | % | 0.21 | % | ||||||||||||||
|
Ratio of net investment income to average net assets(b) |
2.56 | %(f) | 1.28 | % | 1.06 | % | 1.26 | % | 0.92 | % | 1.31 | % | ||||||||||||||
|
Portfolio turnover rate(g) |
6 | % | 14 | % | 17 | % | 8 | % | 19 | % | 22 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Amount is less than $0.005 per share. |
| (d) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | Annualized. |
| (g) | The 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 portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Tax-Advantaged Global Equity Portfolio | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, 2019 |
April 17, 2018* to August 31, 2018 |
||||||||||||
| Per Share Data |
|
|||||||||||||
|
Net asset value, beginning of period |
$ | 15.38 | $ | 16.47 | $ | 15.84 | ||||||||
|
Net investment income(a)(b) |
0.21 | 0.19 | 0.01 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.20 | ) | (0.98 | ) | 0.62 | |||||||||
|
Total from investment operations |
0.01 | (0.79 | ) | 0.63 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.21 | ) | (0.20 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.04 | ) | (0.10 | ) | — | |||||||||
|
Total distributions |
(0.25 | ) | (0.30 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 15.14 | $ | 15.38 | $ | 16.47 | ||||||||
| Total return(c) | (0.11 | )% | (4.60 | )% | 3.98 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 2,722,897 | $ | 2,743,392 | $ | 2,797,271 | ||||||||
|
Ratio of net expenses to average net assets(d) |
0.12 | %(e) | 0.12 | % | 0.12 | %(e) | ||||||||
|
Ratio of total expenses to average net assets(d) |
0.20 | %(e) | 0.21 | % | 0.20 | %(e) | ||||||||
|
Ratio of net investment income to average net assets(b) |
2.57 | %(e) | 1.21 | % | 0.15 | %(e) | ||||||||
|
Portfolio turnover rate(f) |
6 | % | 14 | % | 17 | % | ||||||||
| * | Commencement of operations. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The 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 portfolio turnover rate may be higher. |
| 18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED GLOBAL EQUITY PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Tax-Advantaged Global Equity Portfolio | ||||||||||||||
| Class R6 Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, 2019 |
December 29, 2017*
August 31, 2018 |
||||||||||||
| Per Share Data |
|
|||||||||||||
|
Net asset value, beginning of period |
$ | 15.38 | $ | 16.46 | $ | 15.59 | ||||||||
|
Net investment income (loss)(a)(b) |
0.21 | 0.19 | (0.01 | ) | ||||||||||
|
Net realized and unrealized gain (loss) |
(0.21 | ) | (0.97 | ) | 0.88 | |||||||||
|
Total from investment operations |
— | (c) | (0.78 | ) | 0.87 | |||||||||
|
Distributions to shareholders from net investment income |
(0.20 | ) | (0.20 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.04 | ) | (0.10 | ) | — | |||||||||
|
Total distributions |
(0.24 | ) | (0.30 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 15.14 | $ | 15.38 | $ | 16.46 | ||||||||
| Total return(d) | (0.12 | )% | (4.57 | )% | 5.58 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 10 | $ | 10 | $ | 11 | ||||||||
|
Ratio of net expenses to average net assets(e) |
0.11 | %(f) | 0.12 | % | 0.12 | %(f) | ||||||||
|
Ratio of total expenses to average net assets(e) |
0.18 | %(f) | 0.19 | % | 0.18 | %(f) | ||||||||
|
Ratio of net investment income (loss) to average net assets(b) |
2.57 | %(f) | 1.22 | % | (0.05 | )%(f) | ||||||||
|
Portfolio turnover rate(g) |
6 | % | 14 | % | 17 | % | ||||||||
| * | Commencement of operations. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Amount is less than $0.005 per share. |
| (d) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | Annualized. |
| (g) | The 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 portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Portfolios” or individually a “Portfolio”), along with their corresponding share classes and respective diversification status under the Act:
| Portfolio | Share Classes Offered |
Diversified/
Non-diversified |
||
|
Enhanced Dividend Global Equity and Tax-Advantaged Global Equity |
A, Institutional, P and R6 |
Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Institutional, Class P and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Portfolios pursuant to a management agreement (the “Agreement”) with the Trust.
The Portfolios are expected to invest primarily in a combination of domestic and international equity and fixed income underlying funds (“Underlying Funds”) which are registered under the Act, for which GSAM acts as the investment adviser. Additionally, these Portfolios may invest a portion of their assets directly in other securities and instruments, including unaffiliated exchange traded funds.
| 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 Portfolio is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The valuation policy of the Portfolios and Underlying Funds is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. 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. Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Goldman Sachs MLP Energy Infrastructure Fund (the “Underlying MLP 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, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Portfolio are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Portfolio are charged to that Portfolio, while such expenses incurred by the Trust are allocated across the applicable Portfolios on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees. Expenses included in the accompanying financial statements reflect the expenses of each Portfolio and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Portfolios may
20
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by each Portfolio will vary.
D. Federal Taxes and Distributions to Shareholders — It is each Portfolio’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 Portfolio is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| Portfolio |
Income Distributions
Declared/Paid |
Capital Gains Distributions
Declared/Paid |
||||
|
Enhanced Dividend Global Equity |
Quarterly |
Annually | ||||
|
Tax-Advantaged Global Equity |
Annually |
Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Portfolio’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Portfolios’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of a Portfolio are maintained in United States (“U.S.”) dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Portfolios’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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).
21
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolios’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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 may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. 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 Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Investments in the Underlying Funds are valued at the NAV per share on the day of valuation. Because the Portfolios invest primarily in other mutual funds that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Portfolio and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Portfolio, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
22
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which a Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of February 29, 2020:
| ENHANCED DIVIDEND GLOBAL EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Underlying Equity Funds |
$ | 553,555,027 | $ | — | $ | — | ||||||
|
Investment Company |
6,244,671 | — | — | |||||||||
| Total | $ | 559,799,698 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
|
Forward Foreign Currency Exchange Contracts |
$ | — | $ | 872,866 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
|
Forward Foreign Currency Exchange Contracts |
$ | — | $ | (194,053 | ) | $ | — | |||||
|
Futures Contracts |
(436,773 | ) | — | — | ||||||||
| Total | $ | (436,773 | ) | $ | (194,053 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
23
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| TAX-ADVANTAGED GLOBAL EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Underlying Equity Funds |
$ | 2,726,826,852 | $ | — | $ | — | ||||||
|
Investment Company |
27,117,308 | — | — | |||||||||
| Total | $ | 2,753,944,160 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
|
Forward Foreign Currency Exchange Contracts |
$ | — | $ | 4,097,970 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
|
Forward Foreign Currency Exchange Contracts |
$ | — | $ | (861,973 | ) | $ | — | |||||
|
Futures Contracts |
(2,183,864 | ) | — | — | ||||||||
| Total | $ | (2,183,864 | ) | $ | (861,973 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of February 29, 2020. These instruments were used as part of the Portfolios’ 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 Portfolios’ net exposure:
| Enhanced Dividend Global Equity |
|
|||||||||||
| Risk |
Statements of Assets
and Liabilities |
Assets |
Statements of Assets
and Liabilities |
Liabilities | ||||||||
|
Currency |
Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 872,866 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (194,053) | ||||||
|
Equity |
— | — | Variation margin on futures contracts | (436,773) | (a) | |||||||
| Total | $ | 872,866 | $ | (630,826) | ||||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of February 29, 2020 is reported within the Statements of Assets and Liabilities. |
24
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| Tax-Advantaged Global Equity |
|
|||||||||||
| Risk |
Statements of Assets
and Liabilities |
Assets |
Statements of Assets
and Liabilities |
Liabilities | ||||||||
|
Currency |
Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 4,097,970 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (861,973) | ||||||
|
Equity |
— | — | Variation margin on futures contracts | (2,183,864) | (a) | |||||||
| Total | $ | 4,097,970 | $ | (3,045,837) | ||||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of February 29, 2020 is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Portfolios’ gains (losses) related to these derivatives and their indicative volumes for the six months ended February 29, 2020. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| Enhanced Dividend Global Equity | ||||||||||||||
| Risk | Statements of Operations |
Net Realized
Gain (Loss) |
Net Change in
Unrealized Gain (Loss) |
Average Number of Contracts(a) |
||||||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | $ | 873,877 | $ | (637,234 | ) | 6 | |||||||
| Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 594,321 | (502,350 | ) | 41 | |||||||||
| Total | $ | 1,468,198 | $ | (1,139,584 | ) | 47 | ||||||||
| Tax-Advantaged Global Equity | ||||||||||||||
| Risk | Statements of Operations |
Net Realized
Gain (Loss) |
Net Change in
Unrealized Gain (Loss) |
Average Number of Contracts(a) |
||||||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | $ | 4,064,705 | $ | (2,834,556 | ) | 7 | |||||||
| Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 2,678,323 | (2,474,490 | ) | 195 | |||||||||
| Total | $ | 6,743,028 | $ | (5,309,046 | ) | 202 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended February 29, 2020. |
25
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolios, 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 Portfolios’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of 0.15% of each Portfolio’s average daily net assets. GSAM has agreed to waive a portion of its management fee in order to achieve an effective net rate of 0.08% as an annual percentage rate of average daily net assets of each Portfolio through at least December 27, 2020, and prior to such date, GSAM may not terminate the arrangements without the approval of the Trustees.
B. Distribution and/or Service (12b-1) Plan — The Trust, on behalf of Class A Shares of each Portfolio, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class A Shares of the Portfolios.
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Portfolios pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge. During the six months ended February 29, 2020, Goldman Sachs retained front-end sales charges of $12 for the Enhanced Dividend Global Equity Portfolio.
D. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolios for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.17% of the average daily net assets of Class A Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional Shares.
E. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Portfolios (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolios 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 Portfolios is 0.014%. These Other Expense limitations will remain in place through at least December 27, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolios have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Portfolios’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended February 29, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Portfolio |
Management
Fee Waiver |
Other
Expense
|
Custody Fee
Credits |
Total
Expense
|
||||||||||||||
|
Enhanced Dividend Global Equity |
$ | 216,560 | $ | 119,491 | $ | 8,511 | $ | 344,562 | ||||||||||
|
Tax-Advantaged Global Equity |
1,024,754 | 77,394 | 37,736 | 1,139,884 | ||||||||||||||
F. Line of Credit Facility — As of February 29, 2020, the Portfolios participated in a $580,000,000 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 Portfolios based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Portfolios did not have any borrowings under the facility.
26
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
G. Other Transactions with Affiliates — The Portfolios invest primarily in Class R6 Shares of the Underlying Funds. These Underlying Funds are considered to be affiliated with the Portfolios. The tables below show the transactions in and earnings from investments in these Underlying Funds for the six months ended February 29, 2020:
| Enhanced Dividend Global Equity |
|
|||||||||||||||||||||||||||||||||||||||
| Underlying Funds |
Beginning
Value as of
2019 |
Purchases
at Cost |
Proceeds from Sales |
Return of
Capital on Dividends |
Net
Realized
Investment
|
Change in
Unrealized Appreciation/ (Depreciation) |
Ending
Value as of
|
Shares
as of
|
Dividend
Income from Affiliated Investment Companies |
Capital Gain
Affiliated
|
||||||||||||||||||||||||||||||
|
Goldman Sachs Emerging Markets Equity Insights Fund |
$ | 29,926,160 | $ | 3,379,816 | $ | (4,194,060 | ) | $ | — | $ | 173,906 | $ | (209,616 | ) | $ | 29,076,206 | 3,274,348 | $ | 671,746 | $ | — | |||||||||||||||||||
|
Goldman Sachs Financial Square Government Fund (Institutional Shares) |
6,831,783 | 41,375,721 | (41,962,833 | ) | — | — | — | 6,244,671 | 6,244,671 | 43,813 | — | |||||||||||||||||||||||||||||
|
Goldman Sachs Global Infrastructure Fund |
14,736,184 | 587,532 | (1,623,485 | ) | (12,394 | ) | 116,106 | (93,866 | ) | 13,710,077 | 1,149,210 | 109,260 | — | |||||||||||||||||||||||||||
|
Goldman Sachs Global Real Estate Securities Fund |
14,581,773 | 1,822,668 | (1,593,485 | ) | — | 90,546 | (1,661,363 | ) | 13,240,139 | 1,289,205 | 615,539 | 361,250 | ||||||||||||||||||||||||||||
|
Goldman Sachs International Equity Dividend and Premium Fund |
129,311,289 | 4,487,689 | (11,863,517 | ) | — | (3,435 | ) | (2,624,442 | ) | 119,307,584 | 18,526,022 | 1,347,916 | — | |||||||||||||||||||||||||||
|
Goldman Sachs International Small Cap Insights Fund |
21,686,314 | 1,005,993 | (1,856,268 | ) | — | 111,012 | (978,611 | ) | 19,968,440 | 1,880,267 | 779,260 | — | ||||||||||||||||||||||||||||
|
Goldman Sachs MLP Energy Infrastructure Fund |
13,520,695 | 2,389,749 | (1,193,485 | ) | (230,818 | ) | (145,994 | ) | (3,128,598 | ) | 11,211,549 | 2,411,086 | 353,050 | (a) | — | |||||||||||||||||||||||||
|
Goldman Sachs Small Cap Equity Insights Fund |
47,105,345 | 1,247,764 | (5,286,089 | ) | — | 785,952 | (2,035,122 | ) | 41,817,850 | 1,733,023 | 275,657 | — | ||||||||||||||||||||||||||||
|
Goldman Sachs Tactical Tilt Overlay Fund |
60,610,903 | 5,834,276 | (5,122,252 | ) | — | (408,248 | ) | (912,832 | ) | 60,001,847 | 6,349,402 | 698,188 | — | |||||||||||||||||||||||||||
|
Goldman Sachs US Equity Dividend and Premium Fund |
268,076,173 | 18,391,281 | (28,417,649 | ) | — | 1,203,131 | (14,031,601 | ) | 245,221,335 | 19,969,164 | 2,691,411 | 12,972,006 | ||||||||||||||||||||||||||||
|
Total |
$ | 606,386,619 | $ | 80,522,489 | $ | (103,113,123 | ) | $ | (243,212 | ) | $ | 1,922,976 | $ | (25,676,051 | ) | $ | 559,799,698 | $ | 7,585,840 | $ | 13,333,256 | |||||||||||||||||||
| (a) | Amount includes return of capital distributions of $230,818, which represents the difference between the estimated amount related to the fiscal year ended August 31, 2019 and the final amount recorded during the period ended February 29, 2020. |
27
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Tax-Advantaged Global Equity |
|
|||||||||||||||||||||||||||||||||||||||
| Underlying Funds |
Beginning Value as of August 31, 2019 |
Purchases
at Cost |
Proceeds from Sales |
Return of
Capital on Dividends |
Net Realized
Gain/(Loss)
|
Change in
Unrealized Appreciation/ (Depreciation) |
Ending
Value as of
2020 |
Shares
as of
|
Dividend
Income from Affiliated Investment Companies |
Capital Gain
Distributions from Affiliated Investment Companies |
||||||||||||||||||||||||||||||
|
Goldman Sachs Emerging Markets Equity Insights Fund |
$ | 137,910,310 | $ | 16,500,726 | $ | (10,486,845 | ) | $ | — | $ | (375,100 | ) | $ | (570,406 | ) | $ | 142,978,685 | 16,101,203 | $ | 3,187,323 | $ | — | ||||||||||||||||||
|
Goldman Sachs Financial Square Government Fund (Institutional Share) |
29,844,967 | 141,148,066 | (143,875,725 | ) | — | — | — | 27,117,308 | 27,117,308 | 202,985 | — | |||||||||||||||||||||||||||||
|
Goldman Sachs Global Infrastructure Fund |
67,547,739 | 4,658,839 | (4,713,064 | ) | (56,544 | ) | 240,707 | (286,124 | ) | 67,391,553 | 5,648,915 | 516,622 | — | |||||||||||||||||||||||||||
|
Goldman Sachs Global Real Estate Securities Fund |
67,126,630 | 10,469,319 | (4,853,063 | ) | — | 138,761 | (7,796,820 | ) | 65,084,827 | 6,337,374 | 2,914,037 | 1,699,609 | ||||||||||||||||||||||||||||
|
Goldman Sachs International Small Cap Insights Fund |
99,972,922 | 6,432,530 | (3,681,558 | ) | — | (303,191 | ) | (4,407,106 | ) | 98,013,597 | 9,229,152 | 3,737,579 | — | |||||||||||||||||||||||||||
|
Goldman Sachs International Tax-Managed Equity Fund |
592,946,132 | 33,115,691 | (25,716,772 | ) | — | (1,432,566 | ) | (5,944,855 | ) | 592,967,630 | 63,148,842 | 12,854,264 | — | |||||||||||||||||||||||||||
|
Goldman Sachs MLP Energy Infrastructure Fund |
62,001,551 | 12,510,306 | (2,373,063 | ) | (1,084,243 | ) | (211,707 | ) | (15,652,641 | ) | 55,190,203 | 11,868,861 | 1,710,390 | (a) | — | |||||||||||||||||||||||||
|
Goldman Sachs Tactical Tilt Overlay Fund |
277,933,826 | 34,112,245 | (10,184,819 | ) | — | (805,843 | ) | (5,748,318 | ) | 295,307,091 | 31,249,428 | 3,313,004 | — | |||||||||||||||||||||||||||
|
Goldman Sachs US Tax-Managed Equity Fund |
1,445,290,060 | 55,746,069 | (91,960,522 | ) | — | 4,110,288 | (3,292,629 | ) | 1,409,893,266 | 59,589,741 | 10,954,624 | — | ||||||||||||||||||||||||||||
| Total | $ | 2,780,574,137 | $ | 314,693,791 | $ | (297,845,431 | ) | $ | (1,140,787 | ) | $ | 1,361,349 | $ | (43,698,899 | ) | $ | 2,753,944,160 | $ | 39,390,828 | $ | 1,699,609 | |||||||||||||||||||
| (a) | Amount includes return of capital distributions of $1,084,243, which represents the difference between the estimated amount related to the fiscal year ended August 31, 2019 and the final amount recorded during the period ended February 29, 2020. |
28
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of February 29, 2020, the Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| Underlying Funds |
Enhanced Dividend
Global Equity |
Tax-Advantaged Global Equity |
||||||||
|
Goldman Sachs Emerging Markets Equity Insights Fund |
— | % | 8 | % | ||||||
|
Goldman Sachs Global Infrastructure Fund |
8 | 38 | ||||||||
|
Goldman Sachs Global Real Estate Securities Fund |
6 | 31 | ||||||||
|
Goldman Sachs International Equity Dividend and Premium Fund |
47 | — | ||||||||
|
Goldman Sachs International Tax-Managed Equity Fund |
— | 86 | ||||||||
|
Goldman Sachs Small Cap Equity Insights Fund |
6 | — | ||||||||
|
Goldman Sachs Tactical Tilt Overlay Fund |
— | 8 | ||||||||
|
Goldman Sachs U.S. Equity Dividend and Premium Fund |
9 | — | ||||||||
|
Goldman Sachs U.S. Tax-Managed Equity Fund |
— | 84 | ||||||||
As of February 29, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of the following share class of the Portfolios:
| Portfolio | Class R6 | |||||
|
Enhanced Dividend Global Equity |
100 | % | ||||
|
Tax-Advantaged Global Equity |
100 | |||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 29, 2020 were as follows:
| Portfolio | Purchases | Sales | ||||||||
|
Enhanced Dividend Global Equity |
$ | 39,146,765 | $ | 61,150,287 | ||||||
|
Tax-Advantaged Global Equity |
173,545,723 | 187,834,170 | ||||||||
| 7. TAX INFORMATION |
As of the Portfolios’ most recent fiscal year end, August 31, 2019, the Portfolios’ certain timing differences, on a tax-basis were as follows:
|
Enhanced Dividend
Global Equity |
Tax-Advantaged Global Equity |
|||||||
|
Timing differences (Qualified Late Year Loss Deferral) |
$ | — | $ | (483,014 | ) | |||
29
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 7. TAX INFORMATION (continued) |
As of February 29, 2020, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
Enhanced Dividend
Global Equity |
Tax-Advantaged Global Equity |
|||||||
|
Tax cost |
$ | 517,087,424 | $ | 2,201,291,083 | ||||
|
Gross unrealized gain |
50,654,038 | 595,825,415 | ||||||
|
Gross unrealized loss |
(7,941,764 | ) | (43,172,339 | ) | ||||
|
Net unrealized gain |
$ | 42,712,274 | $ | 552,653,076 | ||||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and net mark to market gains (loss) on foreign currency contracts.
GSAM has reviewed the Portfolio’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Portfolio’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Portfolios’ and Underlying Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Portfolios’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolios. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Energy Sector Risk — The Underlying MLP Fund concentrates its investments in the energy sector, and will therefore be susceptible to adverse economic, environmental, business, regulatory or other occurrences affecting that sector. The energy sector has historically experienced substantial price volatility. MLPs and other companies operating in the energy sector are subject to specific risks, including, among others: fluctuations in commodity prices; reduced consumer demand for commodities such as oil, natural gas or petroleum products; reduced availability of natural gas or other commodities for transporting, processing, storing or delivering; slowdowns in new construction; extreme weather or other natural disasters; and threats of attack by terrorists on energy assets. Additionally, changes in the regulatory environment for energy companies may adversely impact their profitability. Over time, depletion of natural gas reserves and other energy reserves may also affect the profitability of energy companies.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Portfolio or an Underlying Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscations of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Portfolio or an Underlying Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Portfolio or an Underlying Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
30
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
| 8. OTHER RISKS (continued) |
Investments in Other Investment Companies Risk — As a shareholder of another investment company, a Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio.
Investments in the Underlying Funds — The Portfolios invest primarily in a combination of Underlying Funds, and are subject to the risk factors associated with the investments of those Underlying Funds in direct proportion to the amount of assets allocated to each. As of February 29, 2020, the Enhanced Dividend Global Equity Portfolio invested 43.8% and 21.3% of its net assets in the Goldman Sachs U.S. Equity Dividend and Premium Fund (the “U.S. Equity Dividend and Premium Fund”) and the Goldman Sachs International Equity Dividend and Premium Fund (the “International Equity Dividend and Premium Fund”), respectively. Because of the high concentration of its assets in these Underlying Funds, the Enhanced Dividend Global Equity Portfolio has greater exposure to the risks associated with these Underlying Funds than it does to the risks associated with the other Underlying Funds in which it invests. The U.S. Equity Dividend and Premium Fund invests primarily in dividend paying equity investments in large-capitalization U.S. issuers, with public stock market capitalizations within the range of the market capitalization of the S&P 500® Index at the time of investment. This Underlying Fund expects that, under normal circumstances, it will write (sell) call options on the S&P 500® Index or related exchange-traded funds in an amount that is between 20% and 75% of the value of its portfolio. The International Equity Dividend and Premium Fund invests primarily in dividend-paying equity investments in non-U.S. issuers with public stock market capitalizations within the range of capitalization of the Morgan Stanley Capital International (“MSCI”) Europe, Australasia, Far East (“EAFE”) Index (“MSCI EAFE Index”) at the time of investment. This Underlying Fund expects that, under normal circumstances, it will write (sell) call options on the MSCI EAFE Index, other national or regional stock market indices or related exchange-traded funds in an amount that is between 20% and 75% of the value of its portfolio.
As of February 29, 2020, the Tax-Advantaged Global Equity Portfolio invested 51.0% and 21.5% of its net assets in the Goldman Sachs U.S. Tax-Managed Equity Fund (the “U.S. Tax-Managed Equity Fund”) and the Goldman Sachs International Tax-Managed Equity Fund (the “International Tax-Managed Equity Fund”), respectively. Because of the high concentration of its assets in these Underlying Funds, the Tax-Advantaged Global Equity Portfolio has greater exposure to the risks associated with these Underlying Funds than it does to the risks associated with the other Underlying Funds in which it invests. The U.S. Tax-Managed Equity Fund invests primarily in equity investments in U.S. issuers. This Underlying Fund will seek to maintain risk, style, capitalization and industry characteristics similar to the Russell 3000 Index. The International Tax-Managed Equity Fund invests primarily in equity investments in non-U.S. issuers. This Underlying Fund will seek to maintain risk, style, capitalization and industry characteristics similar to the MSCI EAFE Index. The investment adviser may seek tax-efficiency by offsetting gains and losses, limiting portfolio turnover or selling high tax basis securities for both Underlying Funds.
The Portfolios do not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Portfolios within their principal investment strategies may represent a significant portion of an Underlying Fund’s net assets.
Large Shareholder Transactions Risk — A Portfolio or an Underlying Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Portfolio or an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Portfolio’s or an Underlying Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s or the Underlying Fund’s expense ratio. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect a Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio or the Underlying Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
31
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 8. OTHER RISKS (continued) |
Liquidity Risk — A Portfolio or an Underlying Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Portfolio or Underlying Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio or Underlying Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Portfolio or Underlying Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s or Underlying Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with a Portfolios’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Portfolio’s or Underlying Fund’s liquidity.
Market and Credit Risks — In the normal course of business, a Portfolio and an Underlying Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of securities in which a Portfolio and/or an Underlying Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Portfolio and/or an Underlying Fund and their investments. Additionally, a Portfolio and/or an Underlying Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio and the Underlying Fund have unsettled or open transactions defaults.
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolios. Additionally, in the course of business, the Portfolios enter into contracts that contain a variety of indemnification clauses. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
32
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Enhanced Dividend Global Equity Portfolio | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
(Unaudited) |
For the Fiscal Year Ended August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
23,123 | $ | 272,591 | 184,868 | $ | 2,195,321 | ||||||||||
|
Reinvestment of distributions |
22,696 | 269,478 | 44,832 | 498,616 | ||||||||||||
|
Shares redeemed |
(202,528 | ) | (2,406,419 | ) | (320,250 | ) | (3,671,115 | ) | ||||||||
| (156,709 | ) | (1,864,350 | ) | (90,550 | ) | (977,178 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
70,938 | 856,305 | 451,450 | 5,291,816 | ||||||||||||
|
Reinvestment of distributions |
49,365 | 592,689 | 96,955 | 1,093,654 | ||||||||||||
|
Shares redeemed |
(294,645 | ) | (3,537,311 | ) | (1,061,194 | ) | (12,157,655 | ) | ||||||||
| (174,342 | ) | (2,088,317 | ) | (512,789 | ) | (5,772,185 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
1,603,852 | 19,081,219 | 5,162,870 | 58,821,688 | ||||||||||||
|
Reinvestment of distributions |
1,852,424 | 22,185,583 | 2,849,926 | 32,045,647 | ||||||||||||
|
Shares redeemed |
(4,881,066 | ) | (58,588,057 | ) | (9,687,768 | ) | (110,976,623 | ) | ||||||||
| (1,424,790 | ) | (17,321,255 | ) | (1,674,972 | ) | (20,109,288 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
|
Reinvestment of distributions |
34 | 405 | 47 | 537 | ||||||||||||
| 34 | 405 | 47 | 537 | |||||||||||||
|
NET DECREASE |
(1,755,807 | ) | $ | (21,273,517 | ) | (2,278,264 | ) | $ | (26,858,114 | ) | ||||||
33
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Tax-Advantaged Global Equity Portfolio | ||||||||||||||||
|
|
|
|||||||||||||||
|
For the Six Months Ended
(Unaudited) |
For the Fiscal Year Ended August 31, 2019 |
|||||||||||||||
|
|
|
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Class A Shares | ||||||||||||||||
|
Shares sold |
15 | $ | 241 | 8,501 | $ | 122,603 | ||||||||||
|
Reinvestment of distributions |
280 | 4,636 | 612 | 8,664 | ||||||||||||
|
Shares redeemed |
(1,561 | ) | (25,131 | ) | (19,962 | ) | (306,958 | ) | ||||||||
| (1,266 | ) | (20,254 | ) | (10,849 | ) | (175,691 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
3,721 | 61,570 | 47,934 | 704,848 | ||||||||||||
|
Reinvestment of distributions |
37,605 | 626,183 | 25,730 | 373,925 | ||||||||||||
|
Shares redeemed |
(179,536 | ) | (2,958,009 | ) | (1,088,778 | ) | (16,443,329 | ) | ||||||||
| (138,210 | ) | (2,270,256 | ) | (1,015,114 | ) | (15,364,556 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
10,413,434 | 168,057,732 | 26,847,497 | 408,033,060 | ||||||||||||
|
Reinvestment of distributions |
2,605,467 | 42,818,729 | 3,693,484 | 51,683,171 | ||||||||||||
|
Shares redeemed |
(11,523,042 | ) | (186,633,387 | ) | (22,050,793 | ) | (333,368,712 | ) | ||||||||
| 1,495,859 | 24,243,074 | 8,490,188 | 126,347,519 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
|
Reinvestment of distributions |
10 | 158 | 14 | 191 | ||||||||||||
| 10 | 158 | 14 | 191 | |||||||||||||
|
NET INCREASE |
1,356,393 | $ | 21,952,722 | 7,464,239 | $ | 110,807,463 | ||||||||||
34
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Portfolios will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Portfolio’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343,365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
|
Proposal 2.
To
approve a change to the Fund’s sub-classification under
|
For | Against | Abstained | Broker Non-Votes | ||||||||||||
|
Large Cap Growth Insights Fund |
23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
35
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Liquidity Risk Management Program
Each Portfolio has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Portfolio’s liquidity risk, i.e., the risk that a Portfolio is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Board of Trustees of the Trust has designated GSAM, each Portfolio’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Portfolio that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Portfolio’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other risks to which it may be subject.
36
GOLDMAN SACHS GLOBAL TAX-AWARE EQUITY PORTFOLIOS
Portfolio Expenses — Six Month Period Ended February 29, 2020 (Unaudited)
As a shareholder of Class A, Institutional, Class P or Class R6 Shares of a Portfolio, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A Shares); and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Institutional, Class P and Class R6 Shares of the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolios’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees and do not include expenses of Underlying Funds in which the Portfolios invest. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Enhanced Dividend Global Equity Portfolio | Tax-Advantaged Global Equity Portfolio | |||||||||||||||||||||||
| Share Class |
Beginning
Account Value 9/01/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 Months Ended 2/29/20* |
Beginning
Account Value 9/01/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 Months Ended 2/29/20* |
||||||||||||||||||
| Class A | ||||||||||||||||||||||||
|
Actual |
$ | 1,000 | $ | 987.90 | $ | 2.52 | $ | 1,000 | $ | 997.10 | $ | 2.53 | ||||||||||||
|
Hypothetical 5% return |
1,000 | 1,022.67 | + | 2.56 | 1,000 | 1,022.67 | + | 2.56 | ||||||||||||||||
| Institutional | ||||||||||||||||||||||||
|
Actual |
1,000 | 990.10 | 0.64 | 1,000 | 998.80 | 0.65 | ||||||||||||||||||
|
Hypothetical 5% return |
1,000 | 1,024.56 | + | 0.65 | 1,000 | 1,024.56 | + | 0.65 | ||||||||||||||||
| Class P | ||||||||||||||||||||||||
|
Actual |
1,000 | 990.20 | 0.59 | 1,000 | 998.90 | 0.60 | ||||||||||||||||||
|
Hypothetical 5% return |
1,000 | 1,024.61 | + | 0.60 | 1,000 | 1,024.61 | + | 0.60 | ||||||||||||||||
| Class R6 | ||||||||||||||||||||||||
|
Actual |
1,000 | 991.00 | 0.54 | 1,000 | 998.80 | 0.55 | ||||||||||||||||||
|
Hypothetical 5% return |
1,000 | 1,024.66 | + | 0.55 | 1,000 | 1,024.66 | + | 0.55 | ||||||||||||||||
| + | Hypothetical expenses are based on each Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | Expenses are calculated using each Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Portfolio | Class A | Institutional | Class P | Class R6 | ||||||||||||
|
Enhanced Dividend Global Equity |
0.51 | % | 0.13 | % | 0.12 | % | 0.11 | % | ||||||||
|
Tax-Advantaged Global Equity |
0.51 | 0.13 | 0.12 | 0.11 | ||||||||||||
37
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019 Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Short Duration Tax-Free Fund |
| ∎ |
Municipal Income Completion Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets Opportunities Fund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Select Satellite
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| *This | list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
|
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver
|
OFFICERS James A. McNamara, President
Joseph F. DiMaria, Principal Financial Officer,
Caroline L. Kraus, Secretary |
|
|
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
|
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Portfolios included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolios in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolios, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolios. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities and information regarding how a Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Portfolios will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Economic and market forecasts presented herein reflect our judgment as of the date of this report and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Fund holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk. Diversification does not protect an investor from market risk and does not ensure a profit.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Portfolio’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
© 2020 Goldman Sachs. All rights reserved. 200062-OTU-1180683/TAGEDSAR-20
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
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Investor FundsSM |
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Money Market |
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Tax-Exempt Money Market |
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It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Class I, Administration, Capital, Cash Management, Preferred, Premier, Resource, Select and Service shareholders or 800-526-7384 for Class A and Class C shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with a Fund’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs Investor Funds
| ∎ |
MONEY MARKET |
| ∎ |
TAX-EXEMPT MONEY MARKET |
| i | ||||
| 1 | ||||
| 2 | ||||
| 3 | ||||
| 5 | ||||
| 18 | ||||
| 21 | ||||
| 21 | ||||
| 25 | ||||
| 31 | ||||
| 41 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29, 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. A Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events or actions. The full extent of the impact of COVID-19 on the Funds’ performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
On March 15, 2020, the Federal Reserve of the United States (Fed) announced an emergency 1.00% rate cut. This cut was their second intermeeting move in less than two weeks, having cut 0.50% on March 3rd. Since these rate cuts, and in response to further market disruption due to COVID-19, the Fed has announced various programs in an effort to stabilize the short-term credit markets and liquidity in the money market fund industry.
i
Investor Funds
as of February 29, 2020
| PERFORMANCE REVIEW1,2 |
|
|||||||||||||
| September 1, 2019–February 29, 2020 |
Fund Total Return
(based on NAV)3 Class I Shares |
SEC 7-Day
|
iMoneyNet
Institutional Average5 |
|||||||||||
| Investor Money Market | 0.92 | % | 1.66 | % | 1.43 | %6 | ||||||||
| Investor Tax-Exempt Money Market | 0.51 | 0.96 | 0.81 | 7 | ||||||||||
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment returns will fluctuate. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| 1 | The Money Market Fund offers seven separate classes of shares (Class I, Administration, Service, Resource, Cash Management, Class A and Class C Shares) and the Tax-Exempt Money Market Fund offers eleven separate classes of shares (Class I, Select, Preferred, Capital, Administration, Premier, Service, Resource, Cash Management, Class A and Class C Shares), each of which is subject to different fees and expenses that affect performance and entitles shareholders to different services. The Class I Shares do not have distribution and/or service (12b-1) or administration and/or service (non-12b-1) fees. The Select, Preferred, Capital, Administration, Premier, Service, Resource, Cash Management, Class A and Class C Shares offer financial institutions the opportunity to receive fees for providing certain distribution, administrative support and/or shareholder services (as applicable). As an annualized percentage of average daily net assets, these share classes pay combined distribution and/or service (12b-1) or administration and/or service (non-12b-1) fees (as applicable) at the following contractual rates: Select Shares pay 0.03%, Preferred Shares pay 0.10%, Capital Shares pay 0.15%, Administration Shares pay 0.25%, Premier Shares pay 0.35%, Service Shares pay 0.50%, Resource Shares pay 0.65%, Cash Management Shares pay 0.80%, Class A Shares pay 0.25%, and Class C Shares pay 1.00%. If these fees were reflected in the above performance, performance would have been reduced. In addition, the Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased. |
| 3 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. A Fund’s total return assumes the reinvestment of dividends and other distributions. |
| 4 | The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects a Fund’s current earnings than do the Fund Total Return figures. |
| 5 | Source: iMoneyNet, Inc. February 2020. The iMoneyNet Institutional Average represents total return. |
| 6 | First Tier Retail–Category includes only non-government retail funds that also are not holding any second-tier securities. Portfolio holdings of first-tier funds include US Treasury, US other, repos, time deposits, domestic bank obligations, foreign bank obligations, first-tier commercial paper, floating rate notes and asset-backed commercial paper. |
| 7 | Tax-Free National Retail–Category includes all retail national and state tax-free and municipal money funds. Portfolio holdings of tax-free funds include rated and unrated demand notes, rated and unrated general market notes, commercial paper, put bonds—6 months & less, put bonds—over 6 months, alternative minimum tax paper and other tax-free holdings. Consists of all funds in the National Tax-Free Retail and State-Specific Retail categories. |
1
| SUMMARY OF THE CLASS I SHARES AS OF 8/31/19 |
|
|||||||||||||||||||||
| Fund |
7-Day
Dist. Yield8 |
SEC 7-Day
Effective Yield9 |
30-Day
Average Yield10 |
Weighted
Avg. Maturity (days)11 |
Weighted
Avg. Life (days)12 |
|||||||||||||||||
| Investor Money Market | 1.68 | % | 1.68 | % | 1.70 | % | 39 | 107 | ||||||||||||||
| Investor Tax-Exempt Money Market | 0.96 | 0.97 | 0.91 | 27 | 27 | |||||||||||||||||
The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.
Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance.
| 8 | The 7-Day Distribution Yield is an annualized measure of a Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield. |
| 9 | The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. |
| 10 | The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield. |
| 11 | A Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7. |
| 12 | A Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
2
| INVESTOR MONEY MARKET FUND* | ||||||
| As of February 29, 2020 | ||||||
| Security Type |
Percentage of
Net Assets |
|||||
| Certificates of Deposit - Eurodollar | 1.5 | % | ||||
| Certificates of Deposit - Yankeedollar | 5.1 | |||||
| Certificates of Deposit | 0.2 | |||||
| Commercial Paper & Corporate Obligations | 20.2 | |||||
| Fixed Rate Municipal Debt Obligations | 3.5 | |||||
| Repurchase Agreements | 29.5 | |||||
| Time Deposit | 1.9 | |||||
| U.S. Treasury Obligations | 5.0 | |||||
| Variable Rate Municipal Debt Obligations | 1.6 | |||||
| Variable Rate Obligations | 33.1 | |||||
| As of August 31, 2019 | ||||||
| Security Type |
Percentage of
Net Assets |
|||||
| Certificates of Deposit - Eurodollar | 3.8 | % | ||||
| Certificates of Deposit - Yankeedollar | 9.5 | |||||
| Certificates of Deposit | 1.9 | |||||
| Commercial Paper & Corporate Obligations | 21.6 | |||||
| Fixed Rate Municipal Debt Obligations | 3.8 | |||||
| Repurchase Agreements | 32.7 | |||||
| U.S. Treasury Obligations | 3.8 | |||||
| Variable Rate Municipal Debt Obligations | 1.1 | |||||
| Variable Rate Obligations | 21.7 | |||||
| * | The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
3
SECTOR ALLOCATIONS
| INVESTOR TAX-EXEMPT MONEY MARKET FUND* | ||||||
| As of February 29, 2020 | ||||||
| Security Type |
Percentage of
Net Assets |
|||||
| Commercial Paper | 17.8 | % | ||||
| General Obligation | 2.5 | |||||
| Tax and Revenue Anticipation Note | 5.2 | |||||
| Variable Rate Obligations | 72.1 | |||||
| As of August 31, 2019 | ||||||
| Security Type |
Percentage of
Net Assets |
|||||
| Commercial Paper | 18.1 | % | ||||
| General Obligation | 2.9 | |||||
| Tax and Revenue Anticipation Note | 1.7 | |||||
| Variable Rate Obligations | 79.3 | |||||
| * | The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
4
INVESTOR MONEY MARKET FUND
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 5 |
INVESTOR MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 6 | The accompanying notes are an integral part of these financial statements. |
INVESTOR MONEY MARKET FUND
| The accompanying notes are an integral part of these financial statements. | 7 |
INVESTOR MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 8 | The accompanying notes are an integral part of these financial statements. |
INVESTOR MONEY MARKET FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
All or a portion represents a forward commitment. | |
|
(b) |
Exempt from registration under Rule 144A of the Securities Act of 1933. | |
|
(c) |
Variable or floating 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 February 29, 2020. | |
|
(d) |
Rate shown is that which is in effect on February 29, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
|
(e) |
Unless noted, all repurchase agreements were entered into on February 29, 2020. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
|
|
||
|
Investment Abbreviations: |
||
|
FEDL01 |
—US Federal Funds Effective Rate |
|
|
GO |
—General Obligation |
|
|
LIBOR |
—London Interbank Offered Rates |
|
|
LOC |
—Letter of Credit |
|
|
MMY |
—Money Market Yield |
|
|
OBFR |
—Overnight Bank Funding Rate |
|
|
RB |
—Revenue Bond |
|
|
RMKT |
—Remarketed |
|
|
SOFR |
—Secured Overnight Financing Rate |
|
|
SPA |
—Stand-by Purchase Agreement |
|
|
T-Bill |
—Treasury Bill |
|
|
VRDN |
—Variable Rate Demand Notes |
|
|
|
||
| The accompanying notes are an integral part of these financial statements. | 9 |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 10 | The accompanying notes are an integral part of these financial statements. |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
| The accompanying notes are an integral part of these financial statements. | 11 |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 12 | The accompanying notes are an integral part of these financial statements. |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
| The accompanying notes are an integral part of these financial statements. | 13 |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 14 | The accompanying notes are an integral part of these financial statements. |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
| The accompanying notes are an integral part of these financial statements. | 15 |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized Cost |
|||||||||||
| Municipal Debt Obligations – (continued) | ||||||||||||||
| Wisconsin – 0.3% | ||||||||||||||
|
|
Wisconsin Housing & Economic Development Authority VRDN
|
|
||||||||||||
| $ | 5,100,000 | 1.150 | % | 03/07/20 | $ | 5,100,000 | ||||||||
|
|
|
|||||||||||||
| Wyoming – 0.4% | ||||||||||||||
|
|
County of Lincoln, Wyoming VRDN PCRB Refunding for Exxon
|
|
||||||||||||
| 5,200,000 | 1.180 | 03/01/20 | 5,200,000 | |||||||||||
|
|
Unita County VRDN PCRB Refunding for Chevron USA, Inc.
|
|
||||||||||||
| 995,000 | 1.200 | 03/01/20 | 995,000 | |||||||||||
|
|
|
|||||||||||||
| 6,195,000 | ||||||||||||||
|
|
|
|||||||||||||
| TOTAL INVESTMENTS – 97.6% | $ | 1,498,460,224 | ||||||||||||
|
|
|
|||||||||||||
|
|
OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.4% |
|
37,108,484 | |||||||||||
|
|
|
|||||||||||||
| NET ASSETS – 100.0% | $ | 1,535,568,708 | ||||||||||||
|
|
|
|||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
|
(a) |
Rate shown is that which is in effect on February 29, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
|
(b) |
Exempt from registration under Rule 144A of the Securities Act of 1933. | |
| Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset rate, which is based upon current interest rate indices. | ||
| Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, or the prerefunded date for those types of securities. | ||
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT III — At February 29, 2020, the Investor Money Market Fund had undivided interests in the Joint Repurchase Agreement Account III, with a maturity date of March 2, 2020, as follows:
| Principal Amount | Maturity Value | Collateral Value | ||
| $491,500,000 | $491,565,818 | $506,265,506 |
REPURCHASE AGREEMENTS — At February 29, 2020, the Principal Amounts of the Investor Money Market Fund’s interest in the Joint Repurchase Agreement Account III were as follows:
| Counterparty | Interest Rate | Principal Amount | ||||||
|
ABN Amro Bank N.V. |
1.610 | % | $43,550,633 | |||||
|
Bank of America, N.A. |
1.610 | 31,107,595 | ||||||
|
BofA Securities, Inc. |
1.610 | 105,765,823 | ||||||
|
Bank of Nova Scotia (The) |
1.600 | 149,316,456 | ||||||
|
Wells Fargo Securities, LLC |
1.610 | 161,759,493 | ||||||
| TOTAL | $491,500,000 | |||||||
At February 29, 2020, the Joint Repurchase Agreement Account III was fully collateralized by:
| Issuer | Interest Rates | Maturity Dates | ||||||
|
Federal Home Loan Mortgage Corp. |
2.000 to 9.500 | % | 08/01/20 to 03/01/50 | |||||
|
Federal National Mortgage Association |
2.500 to 6.500 | 11/01/26 to 05/01/58 | ||||||
|
Government National Mortgage Association |
3.000 to 4.000 | 10/15/40 to 10/20/49 | ||||||
| The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Statements of Assets and Liabilities
February 29, 2020 (Unaudited)
|
Investor
Money Market Fund |
Investor
Tax-Exempt Money Market Fund |
|||||||||
| Assets: | ||||||||||
|
Investments based on amortized cost |
$ | 1,372,557,844 | $ | 1,498,460,224 | ||||||
|
Repurchase agreements based on amortized cost |
562,000,000 | — | ||||||||
|
Cash |
19,146 | — | ||||||||
|
Receivables: |
||||||||||
|
Fund shares sold |
18,933,246 | 412,318 | ||||||||
|
Investments sold |
5,027,051 | 36,376,202 | ||||||||
|
Interest |
2,442,279 | 3,748,586 | ||||||||
|
Reimbursement from investment advisor |
23,185 | 19,302 | ||||||||
|
Other assets |
241,214 | 113,068 | ||||||||
| Total assets | 1,961,243,965 | 1,539,129,700 | ||||||||
| Liabilities: | ||||||||||
|
Due to custodian |
— | 670,060 | ||||||||
|
Payables: |
||||||||||
|
Investments purchased |
39,055,433 | — | ||||||||
|
Fund shares redeemed |
17,241,871 | 1,745,045 | ||||||||
|
Dividend distribution |
177,377 | 866,124 | ||||||||
|
Management fees |
240,250 | 194,868 | ||||||||
|
Distribution and Service fees and Transfer Agency fees |
74,223 | 15,548 | ||||||||
|
Accrued expenses |
142,789 | 69,347 | ||||||||
| Total liabilities | 56,931,943 | 3,560,992 | ||||||||
| Net Assets: | ||||||||||
|
Paid-in capital |
1,904,266,262 | 1,535,573,226 | ||||||||
|
Total distributable earnings (loss) |
45,760 | (4,518 | ) | |||||||
| NET ASSETS | $ | 1,904,312,022 | $ | 1,535,568,708 | ||||||
|
Net asset value, offering and redemption price per share |
$1.00 | $1.00 | ||||||||
|
Net Assets: |
||||||||||
|
Class I Shares |
$ | 1,526,145,791 | $ | 1,519,672,177 | ||||||
|
Select Shares |
— | 1,036 | ||||||||
|
Preferred Shares |
— | 78,880 | ||||||||
|
Capital Shares |
— | 1,031 | ||||||||
|
Administration Shares |
42,780,724 | 304,421 | ||||||||
|
Premier Shares |
— | 1,024 | ||||||||
|
Service Shares |
40,212,667 | 810,350 | ||||||||
|
Resource Shares |
10,656 | 2,069,007 | ||||||||
|
Cash Management Shares |
24,115,016 | 1,011 | ||||||||
|
Class A Shares |
271,036,782 | 12,620,723 | ||||||||
|
Class C Shares |
10,386 | 9,048 | ||||||||
|
Total Net Assets |
$ | 1,904,312,022 | $ | 1,535,568,708 | ||||||
|
Shares outstanding $0.001 par value (unlimited number of shares authorized): |
||||||||||
|
Class I Shares |
1,526,119,796 | 1,519,626,222 | ||||||||
|
Select Shares |
— | 1,036 | ||||||||
|
Preferred Shares |
— | 78,877 | ||||||||
|
Capital Shares |
— | 1,031 | ||||||||
|
Administration Shares |
42,779,994 | 304,411 | ||||||||
|
Premier Shares |
— | 1,024 | ||||||||
|
Service Shares |
40,211,980 | 810,325 | ||||||||
|
Resource Shares |
10,656 | 2,068,945 | ||||||||
|
Cash Management Shares |
24,114,604 | 1,011 | ||||||||
|
Class A Shares |
271,032,137 | 12,620,342 | ||||||||
|
Class C Shares |
10,386 | 9,048 | ||||||||
| 18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Statements of Operations
For the six months ended February 29, 2020 (Unaudited)
|
Investor
Money Market Fund |
Investor
Tax-Exempt Money Market Fund |
|||||||||
| Investment Income: |
|
|||||||||
| Interest income | $ | 17,973,377 | $ | 8,775,089 | ||||||
| Expenses: |
|
|||||||||
|
Fund-Level Expenses: |
||||||||||
|
Management fees |
1,435,388 | 1,156,524 | ||||||||
|
Registration fees |
147,172 | 75,335 | ||||||||
|
Transfer Agency fees |
89,712 | 72,283 | ||||||||
|
Custody, accounting and administrative services |
48,943 | 57,650 | ||||||||
|
Professional fees |
37,309 | 37,242 | ||||||||
|
Printing and mailing fees |
17,027 | 13,899 | ||||||||
|
Shareholder Meeting Expense |
15,587 | 3,886 | ||||||||
|
Trustee fees |
10,135 | 7,052 | ||||||||
|
Other |
1,519 | 11,529 | ||||||||
|
Subtotal |
1,802,792 | 1,435,400 | ||||||||
|
Class Specific Expenses: |
||||||||||
|
Distribution and Service fees — Class A Shares |
283,567 | 16,483 | ||||||||
|
Service Share fees |
98,656 | 2,947 | ||||||||
|
Cash Management Share fees |
58,685 | 2 | ||||||||
|
Administration Share fees |
40,483 | 376 | ||||||||
|
Distribution fees — Cash Management Shares |
35,211 | 2 | ||||||||
|
Distribution fees — Class C Shares |
59 | 45 | ||||||||
|
Resource Share fees |
26 | 6,355 | ||||||||
|
Distribution fees — Resource Shares |
8 | 1,906 | ||||||||
|
Preferred Share fees |
— | 33 | ||||||||
|
Premier Share fees |
— | 2 | ||||||||
| Total expenses | 2,319,487 | 1,463,551 | ||||||||
|
Less — expense reductions |
(136,737 | ) | (107,554 | ) | ||||||
| Net expenses | 2,182,750 | 1,355,997 | ||||||||
| NET INVESTMENT INCOME | $ | 15,790,627 | $ | 7,419,092 | ||||||
| Net realized gain from investment transactions | 164,816 | 2,161 | ||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 15,955,443 | $ | 7,421,253 | ||||||
| The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Statements of Changes in Net Assets
| Investor Money Market Fund | Investor Tax-Exempt Money Market Fund | |||||||||||||||||||||
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||||||||||||
| From operations: |
|
|||||||||||||||||||||
|
Net investment income |
$ | 15,790,627 | $ | 22,874,367 | $ | 7,419,092 | $ | 16,974,385 | ||||||||||||||
|
Net realized gain from investment transactions |
164,816 | 65,956 | 2,161 | 7 | ||||||||||||||||||
| Net increase in net assets resulting from operations | 15,955,443 | 22,940,323 | 7,421,253 | 16,974,392 | ||||||||||||||||||
| Distributions to shareholders: |
|
|||||||||||||||||||||
|
From distributable earnings: |
||||||||||||||||||||||
|
Class I Shares |
(13,524,425 | ) | (19,336,326 | ) | (7,359,646 | ) | (16,864,762 | ) | ||||||||||||||
|
Select Shares |
— | — | (6 | ) | (33 | ) | ||||||||||||||||
|
Preferred Shares |
— | — | (306 | ) | (820 | ) | ||||||||||||||||
|
Capital Shares |
— | — | (6 | ) | (17 | ) | ||||||||||||||||
|
Administration Shares |
(256,742 | ) | (2,153,706 | ) | (1,172 | ) | (2,245 | ) | ||||||||||||||
|
Premier Shares |
— | — | (4 | ) | (13 | ) | ||||||||||||||||
|
Service Shares |
(258,248 | ) | (44,257 | ) | (3,460 | ) | (14,435 | ) | ||||||||||||||
|
Class A Shares |
(1,781,593 | ) | (1,234,215 | ) | (49,790 | ) | (74,792 | ) | ||||||||||||||
|
Class C Shares |
(54 | ) | (142 | ) | (5 | ) | (35 | ) | ||||||||||||||
|
Resource Shares |
(62 | ) | (183 | ) | (4,694 | ) | (17,222 | ) | ||||||||||||||
|
Cash Management Shares |
(122,146 | ) | (154,020 | ) | (3 | ) | (10 | ) | ||||||||||||||
| Total distributions to shareholders | (15,943,270 | ) | (22,922,849 | ) | (7,419,092 | ) | (16,974,384 | ) | ||||||||||||||
| From share transactions |
|
|||||||||||||||||||||
|
Proceeds from sales of shares |
1,364,085,612 | 2,562,005,279 | 1,122,846,344 | 1,938,594,915 | ||||||||||||||||||
|
Reinvestment of distributions |
14,567,615 | 19,492,259 | 1,359,774 | 2,489,065 | ||||||||||||||||||
|
Cost of shares redeemed |
(1,043,917,123 | ) | (1,657,812,828 | ) | (1,052,806,656 | ) | (1,534,774,415 | ) | ||||||||||||||
| Net increase in net assets resulting from share transactions | 334,736,104 | 923,684,710 | 71,399,462 | 406,309,565 | ||||||||||||||||||
| NET INCREASE | 334,748,277 | 923,702,184 | 71,401,623 | 406,309,573 | ||||||||||||||||||
| Net assets: |
|
|||||||||||||||||||||
|
Beginning of period |
1,569,563,745 | 645,861,561 | 1,464,167,085 | 1,057,857,512 | ||||||||||||||||||
|
End of period |
$ | 1,904,312,022 | $ | 1,569,563,745 | $ | 1,535,568,708 | $ | 1,464,167,085 | ||||||||||||||
| 20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Money Market Fund — Class I Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.009 | 0.024 | 0.017 | 0.009 | 0.002 | |||||||||||||||||
|
Net realized loss |
— | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.009 | 0.024 | 0.016 | 0.009 | 0.002 | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.009 | ) | (0.024 | ) | (0.016 | ) | (0.009 | ) | (0.002 | ) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.009 | ) | (0.024 | ) | (0.016 | ) | (0.009 | ) | (0.002 | ) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.92 | % | 2.40 | % | 1.61 | % | 0.87 | % | 0.24 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 1,526,146 | $ | 1,316,874 | $ | 504,770 | $ | 216,443 | $ | 10,679 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.18 | %(e) | 0.18 | % | 0.18 | % | 0.18 | % | 0.18 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.20 | %(e) | 0.21 | % | 0.29 | % | 0.51 | % | 4.88 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.82 | %(e) | 2.37 | % | 1.68 | % | 0.90 | % | 0.41 | %(e) | ||||||||||||
| * | Commenced operations on January 29, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| * | Commenced operations on January 29, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
Financial Highlights (continued)
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Money Market Fund — Service Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.006 | 0.018 | 0.009 | 0.004 | — | (b) | ||||||||||||||||
|
Net realized gain |
0.001 | 0.001 | 0.002 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.007 | 0.019 | 0.011 | 0.004 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.004 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.007 | ) | (0.019 | ) | (0.011 | ) | (0.004 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.67 | % | 1.89 | % | 1.11 | % | 0.39 | % | 0.05 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 40,213 | $ | 30,615 | $ | 11 | $ | 50 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.68 | %(e) | 0.68 | % | 0.68 | % | 0.68 | % | 0.61 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.70 | %(e) | 0.71 | % | 0.79 | % | 1.01 | % | 5.38 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.29 | %(e) | 1.75 | % | 0.92 | % | 0.36 | % | 0.02 | %(e) | ||||||||||||
| * | Commenced operations on May 31, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Money Market Fund — Resource Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.006 | 0.017 | 0.008 | 0.002 | — | (b) | ||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | 0.002 | 0.001 | — | (b) | ||||||||||||||
|
Total from investment operations |
0.006 | 0.017 | 0.010 | 0.003 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.017 | ) | (0.010 | ) | (0.003 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.017 | ) | (0.010 | ) | (0.003 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.60 | % | 1.74 | % | 0.96 | % | 0.26 | % | 0.05 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 10 | $ | 11 | $ | 11 | $ | 50 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.84 | %(e) | 0.81 | % | 0.83 | % | 0.82 | % | 0.62 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.85 | %(e) | 0.86 | % | 0.94 | % | 1.16 | % | 5.53 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.16 | %(e) | 1.75 | % | 0.77 | % | 0.22 | % | 0.01 | %(e) | ||||||||||||
| * | Commenced operations on May 31, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
Financial Highlights (continued)
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Money Market Fund — Cash Management Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.005 | 0.016 | 0.009 | 0.002 | — | (b) | ||||||||||||||||
|
Net realized loss |
— | (b) | — | (b) | (0.001 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Total from investment operations |
0.005 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.005 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.005 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.52 | % | 1.58 | % | 0.81 | % | 0.15 | % | 0.05 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 24,115 | $ | 21,414 | $ | 927 | $ | 91 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.98 | %(e) | 0.98 | % | 0.98 | % | 0.95 | % | 0.62 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
1.00 | %(e) | 1.01 | % | 1.09 | % | 1.31 | % | 5.68 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.02 | %(e) | 1.60 | % | 0.88 | % | 0.18 | % | 0.01 | %(e) | ||||||||||||
| * | Commenced operations on May 31, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Money Market Fund — Class A Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.008 | 0.021 | 0.016 | 0.008 | 0.001 | |||||||||||||||||
|
Net realized loss |
— | (b) | — | (b) | (0.003 | ) | (0.002 | ) | — | (b) | ||||||||||||
|
Total from investment operations |
0.008 | 0.021 | 0.013 | 0.006 | 0.001 | |||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.008 | ) | (0.021 | ) | (0.013 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.80 | % | 2.14 | % | 1.36 | % | 0.62 | % | 0.09 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 271,037 | $ | 169,451 | $ | 7,933 | $ | 563 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.43 | %(e) | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.45 | %(e) | 0.46 | % | 0.54 | % | 0.76 | % | 5.13 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
1.55 | %(e) | 2.12 | % | 1.59 | % | 0.81 | % | 0.16 | %(e) | ||||||||||||
| * | Commenced operations on January 29, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
Financial Highlights (continued)
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Money Market Fund — Class C Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.004 | 0.014 | 0.004 | — | (b) | — | (b) | |||||||||||||||
|
Net realized gain (loss) |
— | (b) | — | (b) | 0.002 | 0.001 | — | (b) | ||||||||||||||
|
Total from investment operations |
0.004 | 0.014 | 0.006 | 0.001 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.014 | ) | (0.006 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.014 | ) | (0.006 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.42 | % | 1.38 | % | 0.60 | % | 0.06 | % | 0.05 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 10 | $ | 10 | $ | 10 | $ | 64 | $ | 50 | ||||||||||||
|
Ratio of net expenses to average net assets |
1.17 | %(e) | 1.18 | % | 1.18 | % | 1.02 | % | 0.58 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
1.20 | %(e) | 1.21 | % | 1.29 | % | 1.51 | % | 5.88 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
0.88 | %(e) | 1.38 | % | 0.40 | % | 0.04 | % | 0.01 | %(e) | ||||||||||||
| * | Commenced operations on January 29, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
| Investor Tax-Exempt Money Market Fund — Class I Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.005 | 0.014 | 0.010 | 0.006 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.005 | 0.014 | 0.010 | 0.007 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.005 | ) | (0.014 | ) | (0.010 | ) | (0.006 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.005 | ) | (0.014 | ) | (0.010 | ) | (0.007 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.51 | % | 1.42 | % | 1.03 | % | 0.63 | % | 0.11 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1,519,672 | $ | 1,444,641 | $ | 1,052,229 | $ | 924,326 | $ | 1,387,634 | $ | 4,955,885 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.18 | %(e) | 0.18 | % | 0.18 | % | 0.18 | % | 0.11 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.19 | %(e) | 0.20 | % | 0.22 | % | 0.29 | % | 0.24 | % | 0.23 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.03 | %(e) | 1.40 | % | 1.02 | % | 0.57 | % | 0.07 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| Investor Tax-Exempt Money Market Fund — Select Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.016 | 0.009 | 0.006 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.006 | 0.016 | 0.010 | 0.006 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.016 | ) | (0.010 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.016 | ) | (0.010 | ) | (0.006 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.50 | % | 1.39 | % | 1.00 | % | 0.60 | % | 0.09 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 3 | $ | 5,401 | $ | — | $ | 193,506 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.18 | %(e) | 0.18 | % | 0.21 | % | 0.21 | % | 0.11 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.22 | %(e) | 0.23 | % | 0.25 | % | 0.32 | % | 0.27 | % | 0.26 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.17 | %(e) | 1.50 | % | 0.95 | % | 0.62 | % | 0.01 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
| Investor Tax-Exempt Money Market Fund — Preferred Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.005 | 0.013 | 0.009 | 0.005 | 0.001 | — | (b) | |||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.005 | 0.013 | 0.009 | 0.006 | 0.001 | — | (b) | |||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.005 | ) | (0.013 | ) | (0.009 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.005 | ) | (0.013 | ) | (0.009 | ) | (0.006 | ) | (0.001 | ) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.46 | % | 1.32 | % | 0.93 | % | 0.53 | % | 0.06 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 79 | $ | 61 | $ | 68 | $ | 37 | $ | 46 | $ | 6,914 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.28 | %(e) | 0.28 | % | 0.28 | % | 0.28 | % | 0.13 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.29 | %(e) | 0.30 | % | 0.32 | % | 0.39 | % | 0.34 | % | 0.33 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.92 | %(e) | 1.31 | % | 0.93 | % | 0.48 | % | 0.03 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| Investor Tax-Exempt Money Market Fund — Capital Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.006 | 0.017 | 0.013 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.002 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.006 | 0.017 | 0.013 | 0.005 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.006 | ) | (0.017 | ) | (0.013 | ) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.006 | ) | (0.017 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.44 | % | 1.27 | % | 0.88 | % | 0.48 | % | 0.04 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 886 | $ | 22,788 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.18 | %(e) | 0.18 | % | 0.18 | % | 0.33 | % | 0.19 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.34 | %(e) | 0.35 | % | 0.37 | % | 0.44 | % | 0.39 | % | 0.38 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.19 | %(e) | 1.69 | % | 1.31 | % | 0.30 | % | 0.04 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
| Investor Tax-Exempt Money Market Fund — Administration Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.004 | 0.012 | 0.008 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.004 | 0.012 | 0.008 | 0.004 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.012 | ) | (0.008 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.012 | ) | (0.008 | ) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.39 | % | 1.16 | % | 0.78 | % | 0.38 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 305 | $ | 298 | $ | 2 | $ | 3,575 | $ | 13,041 | $ | 107,676 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.43 | %(e) | 0.43 | % | 0.43 | % | 0.43 | % | 0.18 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.44 | %(e) | 0.45 | % | 0.47 | % | 0.54 | % | 0.49 | % | 0.48 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.78 | %(e) | 1.18 | % | 0.75 | % | 0.30 | % | 0.01 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| Investor Tax-Exempt Money Market Fund — Premier Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.004 | 0.013 | 0.010 | 0.004 | — | (b) | — | (b) | ||||||||||||||||||
|
Net realized loss |
— | (b) | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Total from investment operations |
0.004 | 0.013 | 0.010 | 0.003 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.013 | ) | (0.010 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.013 | ) | (0.010 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.34 | % | 1.06 | % | 0.68 | % | 0.29 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.54 | %(e) | 0.54 | % | 0.54 | % | 0.47 | % | 0.12 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.54 | %(e) | 0.55 | % | 0.57 | % | 0.64 | % | 0.59 | % | 0.58 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.86 | %(e) | 1.32 | % | 0.95 | % | 0.43 | % | 0.37 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
| Investor Tax-Exempt Money Market Fund — Service Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.003 | 0.009 | 0.005 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.002 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.003 | 0.009 | 0.005 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.003 | ) | (0.009 | ) | (0.005 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.003 | ) | (0.009 | ) | (0.005 | ) | (0.002 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.26 | % | 0.91 | % | 0.53 | % | 0.15 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 810 | $ | 2,102 | $ | 836 | $ | 841 | $ | 58,173 | $ | 72,003 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.68 | %(e) | 0.68 | % | 0.68 | % | 0.63 | % | 0.21 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.69 | %(e) | 0.70 | % | 0.72 | % | 0.79 | % | 0.74 | % | 0.73 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.59 | %(e) | 0.91 | % | 0.52 | % | 0.04 | % | 0.01 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| Investor Tax-Exempt Money Market Fund — Resource Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.002 | 0.008 | 0.004 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Total from investment operations |
0.002 | 0.008 | 0.004 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.002 | ) | (0.008 | ) | (0.004 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.002 | ) | (0.008 | ) | (0.004 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.19 | % | 0.76 | % | 0.37 | % | 0.08 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 2,069 | $ | 2,206 | $ | 2,412 | $ | 3,731 | $ | 6,469 | $ | 8,268 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.83 | %(e) | 0.83 | % | 0.83 | % | 0.73 | % | 0.20 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.84 | %(e) | 0.85 | % | 0.87 | % | 0.94 | % | 0.89 | % | 0.88 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.37 | %(e) | 0.75 | % | 0.36 | % | 0.02 | % | 0.01 | % | 0.01 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
| Investor Tax-Exempt Money Market Fund — Cash Management Shares |
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, | ||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
|
Net investment income(a) |
0.002 | 0.010 | 0.002 | — | (b) | — | (b) | — | (b) | |||||||||||||||||
|
Net realized gain |
0.001 | — | (b) | 0.001 | 0.001 | — | (b) | — | (b) | |||||||||||||||||
|
Total from investment operations |
0.003 | 0.010 | 0.003 | 0.001 | — | (b) | — | (b) | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.003 | ) | (0.010 | ) | (0.003 | ) | — | (b) | — | (b) | — | (b) | ||||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
|
Total distributions(c) |
(0.003 | ) | (0.010 | ) | (0.003 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
|
Net asset value, end of year |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
| Total return(d) | 0.12 | % | 0.61 | % | 0.24 | % | 0.09 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
Net assets, end of year (in 000’s) |
$ | 1 | $ | 1 | $ | 1 | $ | 54 | $ | 1 | $ | 1 | ||||||||||||||
|
Ratio of net expenses to average net assets |
0.90 | %(e) | 0.90 | % | 0.96 | % | 0.77 | % | 0.12 | % | 0.08 | % | ||||||||||||||
|
Ratio of total expenses to average net assets |
0.99 | %(e) | 1.00 | % | 1.02 | % | 1.09 | % | 1.04 | % | 1.03 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
0.52 | %(e) | 0.96 | % | 0.24 | % | 0.01 | % | 0.37 | % | 0.40 | % | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. |
| (e) | Annualized. |
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Tax-Exempt Money Market Fund — Class A Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.004 | 0.012 | 0.008 | 0.004 | — | (b) | ||||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
|
Total from investment operations |
0.004 | 0.012 | 0.008 | 0.004 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.004 | ) | (0.012 | ) | (0.008 | ) | (0.003 | ) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | |||||||||||||
|
Total distributions(c) |
(0.004 | ) | (0.012 | ) | (0.008 | ) | (0.004 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.39 | % | 1.16 | % | 0.78 | % | 0.38 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 12,621 | $ | 14,846 | $ | 2,296 | $ | 643 | $ | 10 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.43 | %(e) | 0.43 | % | 0.43 | % | 0.43 | % | 0.30 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.44 | %(e) | 0.45 | % | 0.47 | % | 0.54 | % | 0.49 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
0.76 | %(e) | 1.11 | % | 0.82 | % | 0.35 | % | 0.04 | %(e) | ||||||||||||
| * | Commenced operations on March 31, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016* |
||||||||||||||||||||
| Investor Tax-Exempt Money Market Fund — Class C Shares | 2019 | 2018 | 2017 | |||||||||||||||||||
| Per Share Data: | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
|
Net investment income(a) |
0.001 | 0.004 | 0.001 | — | (b) | — | (b) | |||||||||||||||
|
Net realized gain |
— | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||
|
Total from investment operations |
0.001 | 0.004 | 0.001 | 0.001 | — | (b) | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.001 | ) | (0.004 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||
|
Distributions to shareholders from net realized gains |
— | — | (b) | — | (b) | (0.001 | ) | — | (b) | |||||||||||||
|
Total distributions(c) |
(0.001 | ) | (0.004 | ) | (0.001 | ) | (0.001 | ) | — | (b) | ||||||||||||
|
Net asset value, end of period |
$ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| Total return(d) | 0.04 | % | 0.41 | % | 0.13 | % | 0.07 | % | 0.01 | % | ||||||||||||
|
Net assets, end of period (in 000’s) |
$ | 9 | $ | 9 | $ | 9 | $ | 9 | $ | 10 | ||||||||||||
|
Ratio of net expenses to average net assets |
1.10 | %(e) | 1.19 | % | 1.06 | % | 0.72 | % | 0.31 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
1.19 | %(e) | 1.20 | % | 1.22 | % | 1.29 | % | 1.24 | %(e) | ||||||||||||
|
Ratio of net investment income to average net assets |
0.10 | %(e) | 0.39 | % | 0.15 | % | 0.04 | % | 0.04 | %(e) | ||||||||||||
| * | Commenced operations on March 31, 2016. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Amount is less than $0.0005 per share. |
| (c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
| (d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered |
Diversified/
Non-Diversified |
||
|
Investor Money Market |
Class I, Administration, Service, Resource, Cash Management, Class A and Class C |
Diversified | ||
|
Investor Tax-Exempt Money Market |
Class I, Select, Preferred, Capital, Administration, Premier, Service, Resource, Cash Management, Class A and Class C |
Diversified |
Class C Shares may typically be acquired only in an exchange for Class C Shares of another Goldman Sachs Fund. Class C Shares may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% during the first 12 months, measured from the time the original shares subject to the CDSC were acquired.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (the “Agreements”) 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. Investment Valuation — The investment valuation policy of the Funds is to use the amortized-cost method permitted by Rule 2a-7 under the Act for valuing portfolio securities. The amortized-cost method of valuation involves valuing a security at its cost and thereafter applying a constant accretion or amortization to maturity of any discount or premium. Normally, a security’s amortized cost will approximate its market value. Under procedures and tolerances approved by the Board of Trustees
(“Trustees”), GSAM evaluates daily the difference between each Fund’s net asset value (“NAV”) per share using the amortized costs of its portfolio securities and the Fund’s NAV per share using market-based values of its portfolio securities. The market-based value of a portfolio security is determined, where readily available, on the basis of market quotations provided by pricing services or securities dealers, or, where accurate market quotations are not readily available, on the basis of the security’s fair value as determined in accordance with Valuation Procedures approved by the Trustees. The pricing services may use valuation models or matrix pricing, which may consider (among other things): (i) yield or price with respect to debt securities that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value.
B. Investment Income and Investments — Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution, Service, Distribution and Service, Administration, Service and Administration, and Shareholder Administration fees and Transfer Agency fees. 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 respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
31
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable and tax-exempt income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Funds and may include short-term capital gains. Long-term capital gain distributions, if any, are declared and paid at least annually. A Fund may defer or accelerate the timing of the distribution of short-term capital gains (or any portion thereof).
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. 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 Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Forward Commitments — A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
| 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
32
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Trustees have approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation (including both the amortized cost and market-based methods of valuation) of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies related to the market-based method of valuation, 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.
As of February 29, 2020, all investments are classified as Level 2 of the fair value hierarchy. Please refer to the Schedules of Investments for further detail.
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreements — Under the Agreements, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreements, 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.
B. Administration, Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Administration, Service and/or Shareholder Administration Plans (the “Plans”) to allow Class C, Select, Preferred, Capital, Administration, Premier, Service, Resource and Cash Management Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of account administration and/or personal and account maintenance services to their customers who are beneficial owners of such shares. The Plans provide for compensation to the service organizations equal to an annual percentage rate of the average daily net assets of such shares.
C. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
The Trust, on behalf of Class C, Resource and Cash Management Shares of each applicable Fund, has adopted Distribution Plans subject to Rule 12b-1 under the Act. Under the Distribution Plans, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C, Resource and Cash Management Shares of the Funds, as set forth below.
33
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of the Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.
D. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class C Shares’ CDSC. During the six months ended February 29, 2020, Goldman Sachs has advised that it did not retain any CDSCs with respect to Class C Shares of the Funds.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is accrued daily and paid monthly and is equal to an annual percentage rate of each Fund’s average daily net assets.
F. Other Agreements — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding transfer agency fees and expenses, administration fees (as applicable), service fees (as applicable), 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, 0.014% of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. These Other Expense limitations will remain in place through at least December 27, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.
In addition, the Funds have entered into certain offset arrangements with the custodian which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
G. Total Fund Expenses
Fund Contractual Fees
The contractual annualized rates for each of the Funds are as follows:
|
Class I
Shares |
Select
Shares(a) |
Preferred
Shares(a) |
Capital
Shares(a) |
Administration
Shares |
Premier
Shares(a) |
Service
Shares |
Resource
Shares |
Cash
Management Shares |
Class A
Shares |
Class C
Shares |
||||||||||||||||||||||||||||||||||
|
Management Fee |
0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | ||||||||||||||||||||||
|
Administration, Service and/or Shareholder Administration Fees |
N/A | 0.03 | 0.10 | 0.15 | 0.25 | 0.35 | 0.25 | 0.50 | 0.50 | N/A | 0.25 | |||||||||||||||||||||||||||||||||
|
Distribution and/or Service (12b-1) Fees |
N/A | N/A | N/A | N/A | N/A | N/A | 0.25 | (b) | 0.15 | (c) | 0.30 | (c) | 0.25 | 0.75 | (c) | |||||||||||||||||||||||||||||
|
Transfer Agency Fee |
0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||||||||||||||||||||
N/A – Fees not applicable to respective share class
| (a) | Tax-Exempt Money Market Fund only. |
| (b) | Service (12b-1) fee only. |
| (c) | Distribution (12b-1) fee only. |
34
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Fund Effective Net Expenses (After Waivers and Reimbursements)
The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice.
During the six months ended February 29, 2020, GSAM and Goldman Sachs (as applicable) agreed to waive all or a portion of the respective class-specific fees described above attributable to the Funds. The Funds are not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.
For the six months ended February 29, 2020, expense reductions including any fee waivers and Other Expense reimbursements were as follows (in thousands):
| * | Amount less than one thousand. |
For the six months ended February 29, 2020, the net effective management fee rate for each of the Funds was 0.16%.
H. Other Transactions with Affiliates — A Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common Trustees. For the six months ended February 29, 2020, the purchase and sale transactions and related net realized gain (loss) for the Funds with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:
| Fund | Purchases | Sales |
Net Realized
Gain (Loss) |
|||||||||||
|
Investor Money Market |
$ | — | $ | — | $ | — | ||||||||
|
Investor Tax-Exempt Money Market |
16,045,000 | 1,700,000 | — | |||||||||||
As of February 29, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of the outstanding share classes of the following Funds:
I. Line of Credit Facility — As of February 29, 2020, the Funds participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Funds did not have any borrowings under the facility.
35
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 5. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, August 31, 2019, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
|
Investor
Money Market |
Investor
Tax-Exempt Money Market |
|||||||
|
Capital loss carryforward |
$ | — | $ | (6,650 | ) | |||
|
Timing differences (Distribution Payable and Post-October Capital Loss Deferral) |
$ | (261,937 | ) | $ | (1,139,569 | ) | ||
The aggregate cost for each Fund stated in the accompanying Statements of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three tax years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 6. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by
companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in
response to changes in the market rate of interest on which the interest rate is based. For floating and variable rate obligations,
there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment
of such an obligation, which could harm or benefit a Fund, depending on the interest rate environment or other circumstances. In
a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would
prevent a Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate
environment, a Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or
appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund
investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing
adjustments to the Fund’s investments resulting from a substitute reference rate may also adversely affect the Fund’s
performance and/or NAV.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as financial intermediaries (who may make investment decisions on behalf of underlying clients) and individuals, 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 the Fund’s NAV and liquidity. 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. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio.
Interest Rate Risk — When interest rates increase, a Fund’s yield will tend to be lower than prevailing market rates, and the market value of its securities or instruments may also be adversely affected. A low interest rate environment poses additional risks to a Fund, because low yields on the Fund’s portfolio holdings may have an adverse impact on the Fund’s ability to provide a positive yield to its shareholders, pay expenses out of Fund assets, or, at times, maintain a stable $1.00 share price. The risks
36
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
| 6. OTHER RISKS (continued) |
associated with changing interest rates may have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Market and Credit Risks — In the normal course of business, a Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments.
Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Geographic and Sector Risk — The Investor Tax-Exempt Money Market Fund may invest a significant portion of its total assets in certain issuers within the same state, geographic region or economic sector, which may subject the value of the Fund’s investments to risks associated with an adverse economic, business, political or environmental development affecting that state, region or sector.
Credit/Default Risk — An issuer or guarantor of a security held by a 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.
| 7. 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.
| 8. OTHER MATTERS |
Exemptive Orders — Pursuant to SEC exemptive orders, the Funds may enter into certain principal transactions, including repurchase agreements, with Goldman Sachs.
| 9. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
37
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 10. SUMMARY OF SHARE TRANSACTIONS (AT $1.00 PER SHARE) |
Share activity is as follows:
| Investor Money Market Fund | ||||||||
|
|
|
|||||||
|
For the Six Months Ended
(Unaudited) |
For the Fiscal Year Ended
|
|||||||
|
|
|
|||||||
| Class I Shares | ||||||||
|
Shares sold |
1,037,766,283 | 2,044,394,288 | ||||||
|
Reinvestment of distributions |
12,179,723 | 16,005,984 | ||||||
|
Shares redeemed |
(840,682,864 | ) | (1,248,311,787 | ) | ||||
| 209,263,142 | 812,088,485 | |||||||
| Administration Shares | ||||||||
|
Shares sold |
31,529,153 | 143,845,234 | ||||||
|
Reinvestment of distributions |
228,020 | 2,074,710 | ||||||
|
Shares redeemed |
(20,165,064 | ) | (246,931,728 | ) | ||||
| 11,592,109 | (101,011,784 | ) | ||||||
| Service Shares | ||||||||
|
Shares sold |
60,880,429 | 51,047,061 | ||||||
|
Reinvestment of distributions |
257,778 | 44,251 | ||||||
|
Shares redeemed |
(51,541,117 | ) | (20,486,954 | ) | ||||
| 9,597,090 | 30,604,358 | |||||||
| Resource Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
63 | 181 | ||||||
|
Shares redeemed |
— | — | ||||||
| 63 | 181 | |||||||
| Cash Management Shares | ||||||||
|
Shares sold |
23,478,864 | 89,512,534 | ||||||
|
Reinvestment of distributions |
120,785 | 132,823 | ||||||
|
Shares redeemed |
(20,898,912 | ) | (69,158,210 | ) | ||||
| 2,700,737 | 20,487,147 | |||||||
| Class A Shares | ||||||||
|
Shares sold |
210,415,738 | 233,206,163 | ||||||
|
Reinvestment of distributions |
1,781,194 | 1,234,169 | ||||||
|
Shares redeemed |
(110,614,013 | ) | (72,924,150 | ) | ||||
| 101,582,919 | 161,516,182 | |||||||
| Class C Shares | ||||||||
|
Shares sold |
15,145 | — | ||||||
|
Reinvestment of distributions |
52 | 141 | ||||||
|
Shares redeemed |
(15,153 | ) | — | |||||
| 44 | 141 | |||||||
|
NET INCREASE IN SHARES |
334,736,104 | 923,684,710 | ||||||
38
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
| 10. SUMMARY OF SHARE TRANSACTIONS (AT $1.00 PER SHARE) (continued) |
Share activity is as follows:
| Investor Tax-Exempt Money Market Fund | ||||||||
|
|
|
|||||||
|
For the Six Months Ended
(Unaudited) |
For the Fiscal Year Ended
|
|||||||
|
|
|
|||||||
| Class I Shares | ||||||||
|
Shares sold |
1,103,965,394 | 1,897,694,232 | ||||||
|
Reinvestment of distributions |
1,302,918 | 2,390,808 | ||||||
|
Shares redeemed |
(1,030,239,360 | ) | (1,507,672,416 | ) | ||||
| 75,028,952 | 392,412,624 | |||||||
| Select Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
6 | 30 | ||||||
|
Shares redeemed |
— | (2,177 | ) | |||||
| 6 | (2,147 | ) | ||||||
| Preferred Shares | ||||||||
|
Shares sold |
18,398 | 6,422 | ||||||
|
Reinvestment of distributions |
4 | 14 | ||||||
|
Shares redeemed |
(546 | ) | (13,502 | ) | ||||
| 17,856 | (7,066 | ) | ||||||
| Capital Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
5 | 13 | ||||||
|
Shares redeemed |
— | — | ||||||
| 5 | 13 | |||||||
| Administration Shares | ||||||||
|
Shares sold |
5,100 | 946,528 | ||||||
|
Reinvestment of distributions |
1,171 | 1,970 | ||||||
|
Shares redeemed |
(50 | ) | (652,497 | ) | ||||
| 6,221 | 296,001 | |||||||
| Premier Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
4 | 10 | ||||||
|
Shares redeemed |
— | — | ||||||
| 4 | 10 | |||||||
| Service Shares | ||||||||
|
Shares sold |
1,440,422 | 1,989,188 | ||||||
|
Reinvestment of distributions |
1,389 | 4,908 | ||||||
|
Shares redeemed |
(2,733,290 | ) | (728,127 | ) | ||||
| (1,291,479 | ) | 1,265,969 | ||||||
| Resource Shares | ||||||||
|
Shares sold |
4,602,178 | 7,793,204 | ||||||
|
Reinvestment of distributions |
4,501 | 16,520 | ||||||
|
Shares redeemed |
(4,744,003 | ) | (8,015,448 | ) | ||||
| (137,324 | ) | (205,724 | ) | |||||
| Cash Management Shares | ||||||||
|
Shares sold |
— | 10 | ||||||
|
Reinvestment of distributions |
1 | 7 | ||||||
|
Shares redeemed |
— | (10 | ) | |||||
| 1 | 7 | |||||||
| Class A Shares | ||||||||
|
Shares sold |
12,814,852 | 30,165,331 | ||||||
|
Reinvestment of distributions |
49,771 | 74,748 | ||||||
|
Shares redeemed |
(15,089,407 | ) | (17,690,238 | ) | ||||
| (2,224,784 | ) | 12,549,841 | ||||||
| Class C Shares | ||||||||
|
Shares sold |
— | — | ||||||
|
Reinvestment of distributions |
4 | 37 | ||||||
|
Shares redeemed |
— | — | ||||||
| 4 | 37 | |||||||
|
NET INCREASE (DECREASE) IN SHARES |
71,399,462 | 406,309,565 | ||||||
39
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Funds to the extent such expenses exceed a specified percentage of each Funds’ net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing the trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
|
Proposal 2.
To
approve a change to the Fund’s sub-classification under
|
For | Against | Abstained | Broker Non-Votes | ||||||||||||
|
Large Cap Growth Insights Fund |
23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
40
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
|
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited) |
||
As a shareholder of Class I Shares, Select Shares, Preferred Shares, Capital Shares, Administration Shares, Premier Shares, Service Shares, Resource Shares, Cash Management Shares, Class A Shares, or Class C Shares of a Fund you incur two types of costs: (1) transaction costs, including contingent deferred sales charges (with respect to Class C Shares); and (2) ongoing costs, including management fees and distribution, service, administration and/or shareholder administration fees (with respect to all share classes except Class I Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class I Shares, Select Shares, Preferred Shares, Capital Shares, Administration Shares, Premier Shares, Service Shares, Resource Shares, Cash Management Shares, Class A Shares, or Class C Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days in a 366-day year.
Actual Expenses — The first line under each Share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each Share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Investor Money Market Fund | ||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses Paid for the
6 months ended 2/29/20* |
|||||||||
| Class I Shares | ||||||||||||
|
Actual |
$ | 1,000.00 | $ | 1,009.22 | $ | 0.90 | ||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.97 | + | 0.91 | ||||||||
| Administration Shares | ||||||||||||
|
Actual |
1,000.00 | 1,007.97 | 2.15 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.73 | + | 2.16 | ||||||||
| Service Shares | ||||||||||||
|
Actual |
1,000.00 | 1,006.71 | 3.39 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,021.48 | + | 3.42 | ||||||||
| Resource Shares | ||||||||||||
|
Actual |
1,000.00 | 1,005.96 | 4.19 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,020.69 | + | 4.22 | ||||||||
| Cash Management Shares | ||||||||||||
|
Actual |
1,000.00 | 1,005.21 | 4.89 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,019.99 | + | 4.92 | ||||||||
| Class A Shares | ||||||||||||
|
Actual |
1,000.00 | 1,007.97 | 2.15 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.73 | + | 2.16 | ||||||||
| Class C Shares | ||||||||||||
|
Actual |
1,000.00 | 1,004.21 | 5.83 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,019.05 | + | 5.87 | ||||||||
| * | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund |
Class I
Shares |
Administration
Shares |
Service
Shares |
Resource
Shares |
Cash
Management Shares |
Class A
Shares |
Class C
Shares |
|||||||||||||||||||||
|
Investor Money Market |
0.18 | % | 0.43 | % | 0.68 | % | 0.84 | % | 0.98 | % | 0.43 | % | 1.17 | % | ||||||||||||||
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
41
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
|
Fund Expenses — Six Month Period Ended February 29, 2020 (Unaudited) (continued) |
||
| Investor Tax-Exempt Money Market Fund | ||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses Paid for the
6 months ended
|
|||||||||
| Class I Shares | ||||||||||||
|
Actual |
$ | 1,000.00 | $ | 1,005.15 | $ | 0.90 | ||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.97 | + | 0.91 | ||||||||
| Select Shares | ||||||||||||
|
Actual |
1,000.00 | 1,005.00 | 0.90 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.97 | + | 0.91 | ||||||||
| Preferred Shares | ||||||||||||
|
Actual |
1,000.00 | 1,004.65 | 1.40 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.47 | + | 1.41 | ||||||||
| Capital Shares | ||||||||||||
|
Actual |
1,000.00 | 1,004.40 | 0.90 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,023.97 | + | 0.91 | ||||||||
| Administration Shares | ||||||||||||
|
Actual |
1,000.00 | 1,003.90 | 2.14 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.73 | + | 2.16 | ||||||||
| Premier Shares | ||||||||||||
|
Actual |
1,000.00 | 1,003.40 | 2.69 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.18 | + | 2.72 | ||||||||
| Service Shares | ||||||||||||
|
Actual |
1,000.00 | 1,002.65 | 3.39 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,021.48 | + | 3.42 | ||||||||
| Resource Shares | ||||||||||||
|
Actual |
1,000.00 | 1,001.90 | 4.17 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,020.74 | + | 4.22 | ||||||||
| Cash Management Shares | ||||||||||||
|
Actual |
1,000.00 | 1,001.21 | 4.48 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,020.39 | + | 4.52 | ||||||||
| Class A Shares | ||||||||||||
|
Actual |
1,000.00 | 1,003.90 | 2.14 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.73 | + | 2.16 | ||||||||
| Class C Shares | ||||||||||||
|
Actual |
1,000.00 | 1,000.44 | 5.47 | |||||||||
|
Hypothetical (5% return before expenses) |
1,000.00 | 1,019.39 | + | 5.52 | ||||||||
| * | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund |
Class I
Shares |
Select
Shares |
Preferred
Shares |
Capital
Shares |
Administration
Shares |
Premier
Shares |
Service
Shares |
Resource
Shares |
Cash
Management Shares |
Class A
Shares |
Class C
Shares |
|||||||||||||||||||||||||||||||||
|
Investor Tax-Exempt Money Market |
0.18 | % | 0.18 | % | 0.28 | % | 0.18 | % | 0.43 | % | 0.54 | % | 0.68 | % | 0.83 | % | 0.90 | % | 0.43 | % | 1.10 | % | ||||||||||||||||||||||
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
42
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Short Duration Tax-Free Fund |
| ∎ |
Municipal Income Completion Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets OpportunitiesFund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Alternative
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5Effective | after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
|
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver |
OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
|
|
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
|
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for shareholders of Class A Shares or Class C Shares) or 1-800-621-2550 (for shareholders of all other share classes of a Fund); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Fund holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
Goldman Sachs Investor FundsSM is a service mark of Goldman Sachs & Co. LLC.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your Intermediary or from Goldman Sachs & Co. LLC by calling (Class A Shares and Class C Shares – 1-800-526-7384) (all other share classes – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 200064-OTU-1180291 IMMITEMMSAR-20
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
|||
|
Strategic Factor Allocation Fund |
||||
It is our intention that beginning on January 1, 2021, paper copies of the Portfolio’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Portfolio or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the Portfolio electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the Portfolio directly with the Portfolio’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Class R6 and Class P shareholders. If you hold shares of the Portfolio through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Portfolio’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs Strategic Factor Allocation Fund
| i | ||||
| 1 | ||||
| 2 | ||||
| 5 | ||||
| 8 | ||||
| 11 | ||||
| 22 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29, 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Portfolio could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Portfolio’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Portfolio shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
i
Strategic Factor Allocation Fund
as of February 29, 2020
| PERFORMANCE REVIEW |
|
|||||||||||||||||
| September 1, 2019–February 29, 2020 |
Portfolio Total
Return (based on NAV)1 |
Strategic Factor
Allocation Composite Index2 |
S&P 500®
Index3 |
Bloomberg
Barclays U.S. Aggregate Bond Index4 |
||||||||||||||
| Institutional | -0.27 | % | 2.84 | % | 1.92 | % | 3.39 | % | ||||||||||
| Class P | -0.37 | 2.84 | 1.92 | 3.39 | ||||||||||||||
| Class R6 | -0.28 | 2.84 | 1.92 | 3.39 | ||||||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Strategic Factor Allocation Composite Index is a blend of 50% the S&P 500® Index and 50% the Bloomberg Barclays U.S. Aggregate Bond Index. It is not possible to invest in an unmanaged index. |
| 3 | The S&P 500® Index is the Standard & Poor’s Composite Index of 500 stocks, an unmanaged index of common stock prices. The index figure does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| 4 | The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities. The index figure does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
| HOLDINGS AS OF 2/29/20‡ | ||||||||||
| Holding | % of Net Assets | Line of Business | ||||||||
| Goldman Sachs Financial Square Government Fund — Institutional Shares | 81.6 | % | Investment Companies | |||||||
| ‡ | The holdings may not be representative of the Portfolio’s future investments. Figures in the table above may not sum to 100% due to the exclusion of other assets and liabilities. The holdings may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
1
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments
February 29, 2020 (Unaudited)
| 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 fund. | |
|
|
||
|
Currency Abbreviations: |
||
|
AUD |
—Australian Dollar |
|
|
CAD |
—Canadian Dollar |
|
|
CHF |
—Swiss Franc |
|
|
EUR |
—Euro |
|
|
JPY |
—Japanese Yen |
|
|
NZD |
—New Zealand Dollar |
|
|
USD |
—U.S. Dollar |
|
|
Investment Abbreviations: |
||
|
PLC |
—Public Limited Company |
|
|
|
||
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At February 29, 2020, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty |
Currency
Purchased |
Currency
Sold |
Settlement
Date |
Unrealized
Gain |
||||||||||||||||
|
MS & Co. Int. PLC |
AUD | 11,470,000 | USD | 7,463,208 | 03/24/20 | $ | 13,383 | |||||||||||||
| CHF | 3,950,000 | USD | 4,047,366 | 03/24/20 | 54,046 | |||||||||||||||
| EUR | 3,700,000 | USD | 4,025,870 | 03/24/20 | 65,051 | |||||||||||||||
| JPY | 10,708,910,000 | USD | 98,945,468 | 03/24/20 | 475,647 | |||||||||||||||
| USD | 33,345,346 | AUD | 50,390,000 | 03/24/20 | 499,191 | |||||||||||||||
| TOTAL |
|
$ | 1,107,318 | |||||||||||||||||
| 2 | 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
| Counterparty |
Currency
Purchased |
Currency
Sold |
Settlement
Date |
Unrealized
Loss |
||||||||||||||||
|
MS & Co. Int. PLC |
CAD | 44,320,000 | USD | 33,320,397 | 03/24/20 | $ | (300,176 | ) | ||||||||||||
| NZD | 56,590,000 | USD | 35,926,105 | 03/24/20 | (545,422 | ) | ||||||||||||||
| USD | 4,086,531 | CHF | 3,950,000 | 03/24/20 | (14,881 | ) | ||||||||||||||
| USD | 68,124,273 | EUR | 61,890,000 | 03/24/20 | (304,683 | ) | ||||||||||||||
| USD | 88,811,658 | JPY | 9,797,490,000 | 03/24/20 | (2,147,869 | ) | ||||||||||||||
| USD | 2,529,108 | NZD | 4,060,000 | 03/24/20 | (9,248 | ) | ||||||||||||||
| TOTAL |
|
$ | (3,322,279 | ) | ||||||||||||||||
FUTURES CONTRACTS — At February 29, 2020, the Portfolio had the following futures contracts:
| Description |
Number of
Contracts |
Expiration
Date |
Notional
Amount |
Unrealized
Appreciation/ (Depreciation) |
||||||||||||
|
Long position contracts: |
||||||||||||||||
|
S&P 500 E-Mini Index |
1,180 | 03/20/20 | $ | 174,114,900 | $ | (11,181,771 | ) | |||||||||
|
Ultra Long U.S. Treasury Bonds |
1,279 | 06/19/20 | 265,392,500 | 7,926,787 | ||||||||||||
| Total |
|
$ | (3,254,984 | ) | ||||||||||||
|
Short position contracts: |
||||||||||||||||
|
20 Year U.S. Treasury Bonds |
(78 | ) | 06/19/20 | (13,279,500 | ) | (277,641 | ) | |||||||||
| TOTAL FUTURES CONTRACTS |
|
$ | (3,532,625 | ) | ||||||||||||
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At February 29, 2020, the Portfolio had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON FUTURES
| Description |
Exercise
Price |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums Paid
(Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
|||||||||||||||||||||||
|
Written option contracts |
|
|||||||||||||||||||||||||||||
|
Puts |
|
|||||||||||||||||||||||||||||
|
U.S. Treasury Bonds |
$ | 157.00 | 03/27/2020 | (524 | ) | $ | (524,000 | ) | $ | (32,750 | ) | $ | (203,687 | ) | $ | 170,937 | ||||||||||||||
|
U.S. Treasury Bonds |
162.00 | 03/27/2020 | (513 | ) | (513,000 | ) | (128,250 | ) | (191,395 | ) | 63,145 | |||||||||||||||||||
|
U.S. Treasury Bonds |
166.00 | 04/24/2020 | (506 | ) | (506,000 | ) | (766,910 | ) | (742,221 | ) | (24,689 | ) | ||||||||||||||||||
| TOTAL | (1,543 | ) | $ | (1,543,000 | ) | $ | (927,910 | ) | $ | (1,137,303 | ) | $ | 209,393 | |||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 3 |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS
| Description |
Exercise
Price |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market Value |
Premiums Paid
(Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
|||||||||||||||||||||||
|
Purchased option contracts |
|
|||||||||||||||||||||||||||||
|
Puts |
||||||||||||||||||||||||||||||
|
S&P 500 Index |
$ | 2,870.00 | 03/02/2020 | 636 | $ | 63,600 | $ | 1,205,220 | $ | 192,818 | $ | 1,012,402 | ||||||||||||||||||
| Total Purchased option contracts | 636 | $ | 63,600 | $ | 1,205,220 | $ | 192,818 | $ | 1,012,402 | |||||||||||||||||||||
|
Written option contracts |
|
|||||||||||||||||||||||||||||
|
Puts |
|
|||||||||||||||||||||||||||||
|
S&P 500 Index |
$ | 2,485.00 | 04/17/2020 | (1,216 | ) | $ | (121,600 | ) | $ | (3,587,200 | ) | $ | (5,251,904 | ) | $ | 1,664,704 | ||||||||||||||
|
S&P 500 Index |
2,910.00 | 04/17/2020 | (600 | ) | (60,000 | ) | (7,002,000 | ) | (3,059,316 | ) | (3,942,684 | ) | ||||||||||||||||||
|
S&P 500 Index |
2,425.00 | 03/06/2020 | (825 | ) | (82,500 | ) | (251,625 | ) | (929,090 | ) | 677,465 | |||||||||||||||||||
|
S&P 500 Index |
2,675.00 | 03/04/2020 | (882 | ) | (88,200 | ) | (930,510 | ) | (614,910 | ) | (315,600 | ) | ||||||||||||||||||
|
S&P 500 Index |
2,775.00 | 03/04/2020 | (890 | ) | (89,000 | ) | (1,949,099 | ) | (592,668 | ) | (1,356,431 | ) | ||||||||||||||||||
|
S&P 500 Index |
2,850.00 | 03/02/2020 | (901 | ) | (90,100 | ) | (1,396,550 | ) | (457,199 | ) | (939,351 | ) | ||||||||||||||||||
|
S&P 500 Index |
3,240.00 | 03/20/2020 | (559 | ) | (55,900 | ) | (15,425,605 | ) | (2,156,839 | ) | (13,268,766 | ) | ||||||||||||||||||
| Total Written option contracts | (5,873 | ) | $ | (587,300 | ) | $ | (30,542,589 | ) | $ | (13,061,926 | ) | $ | (17,480,663 | ) | ||||||||||||||||
| TOTAL | (5,237 | ) | $ | (523,700 | ) | $ | (29,337,369 | ) | $ | (12,869,108 | ) | $ | (16,468,261 | ) | ||||||||||||||||
|
Abbreviations: |
||
|
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC |
||
|
|
||
| 4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Statement of Assets and Liabilities
February 29, 2020 (Unaudited)
|
|
||||||
| Assets: | ||||||
|
Investments of affiliated issuers, at value (cost $1,272,810,506) |
$ | 1,272,810,506 | ||||
|
Purchased options (premium paid $192,818) |
1,205,220 | |||||
|
Cash |
48,557,789 | |||||
|
Unrealized gain on forward foreign currency exchange contracts |
1,107,318 | |||||
|
Variation margin on futures |
12,745,025 | |||||
|
Receivables: |
||||||
|
Collateral on certain derivative contracts(a) |
288,361,120 | |||||
|
Investments sold |
8,639,123 | |||||
|
Portfolio shares sold |
2,421,893 | |||||
|
Dividends |
1,692,972 | |||||
|
Other assets |
30,833 | |||||
| Total assets | 1,637,571,799 | |||||
| Liabilities: | ||||||
|
Unrealized loss on forward foreign currency exchange contracts |
3,322,279 | |||||
|
Written option contracts, at value (premium received $14,199,229) |
31,470,499 | |||||
|
Payables: |
||||||
|
Investments purchased |
37,630,412 | |||||
|
Portfolio shares redeemed |
4,635,050 | |||||
|
Management fees |
807,365 | |||||
|
Transfer Agency fees |
39,432 | |||||
|
Accrued expenses |
217,687 | |||||
| Total liabilities | 78,122,724 | |||||
| Net Assets: | ||||||
|
Paid-in capital |
1,597,028,229 | |||||
|
Total distributable earnings (loss) |
(37,579,154 | ) | ||||
| NET ASSETS | $ | 1,559,449,075 | ||||
|
Net Assets: |
||||||
|
Institutional |
3,847,491 | |||||
|
Class P |
1,555,591,074 | |||||
|
Class R6 |
10,510 | |||||
|
Total Net Assets |
$ | 1,559,449,075 | ||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
||||||
|
Institutional |
358,829 | |||||
|
Class P |
146,612,519 | |||||
|
Class R6 |
990 | |||||
|
Net asset value, offering and redemption price per share: |
||||||
|
Institutional |
10.72 | |||||
|
Class P |
10.61 | |||||
|
Class R6 |
10.62 | |||||
| (a) | Includes amounts segregated for initial margin requirements and/or collateral on futures, options and forward foreign currency exchange contract transactions of $9,730,073, $274,311,047 and $4,320,000, respectively. |
| The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Statement of Operations
For the Six Months Ended February 29, 2020 (Unaudited)
|
|
||||||
| Investment income: | ||||||
|
Dividends — affiliated issuers |
$ | 11,126,170 | ||||
|
Interest |
188,449 | |||||
| Total investment income | 11,314,619 | |||||
| Expenses: | ||||||
|
Management fees |
5,982,327 | |||||
|
Transfer Agency fees(a) |
239,514 | |||||
|
Custody, accounting and administrative services |
96,894 | |||||
|
Professional fees |
57,187 | |||||
|
Registration fees |
40,814 | |||||
|
Printing and mailing costs |
25,767 | |||||
|
Prime Broker Fees |
10,513 | |||||
|
Trustee fees |
8,214 | |||||
|
Shareholder meeting expense |
6,946 | |||||
|
Other |
17,660 | |||||
| Total expenses | 6,485,836 | |||||
|
Less — expense reductions |
(1,064,702 | ) | ||||
| Net expenses | 5,421,134 | |||||
| NET INVESTMENT INCOME | 5,893,485 | |||||
| Realized and unrealized gain (loss): | ||||||
|
Net realized gain (loss) from: |
||||||
|
Purchased options |
190,821 | |||||
|
Futures contracts |
30,187,316 | |||||
|
Written options |
(17,755,832 | ) | ||||
|
Forward foreign currency exchange contracts |
2,568,117 | |||||
|
Foreign currency transactions |
(2,069,908 | ) | ||||
|
Net change in unrealized gain (loss) on: |
||||||
|
Purchased options |
1,012,402 | |||||
|
Futures contracts |
(9,820,004 | ) | ||||
|
Written options |
(17,408,338 | ) | ||||
|
Forward foreign currency exchange contracts |
(1,746,678 | ) | ||||
| Net realized and unrealized loss | (14,842,104 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (8,948,619 | ) | |||
| (a) | Class specific Transfer Agency fees were as follows: |
|
Transfer Agency Fees |
||||||||
|
Institutional |
Class P |
Class R6 |
||||||
| $883 | $ | 238,629 | $ | 2 | ||||
| 6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Statements of Changes in Net Assets
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the Fiscal
Year Ended August 31, 2019 |
|||||||||
| From operations: |
|
|||||||||
|
Net investment income |
$ | 5,893,485 | $ | 18,930,904 | ||||||
|
Net realized gain |
13,120,514 | 51,349,234 | ||||||||
|
Net change in unrealized loss |
(27,962,618 | ) | (50,979,982 | ) | ||||||
| Net increase (decrease) in net assets resulting from operations | (8,948,619 | ) | 19,300,156 | |||||||
| Distributions to shareholders: | ||||||||||
|
From distributable earnings: |
||||||||||
|
Institutional Shares |
(106,078 | ) | (935,279 | ) | ||||||
|
Class P Shares |
(42,652,117 | ) | (118,182,472 | ) | ||||||
|
Class R6 Shares |
(289 | ) | (638 | ) | ||||||
| Total distributions to shareholders | (42,758,484 | ) | (119,118,389 | ) | ||||||
| From share transactions: | ||||||||||
|
Proceeds from sales of shares |
128,474,144 | 272,653,271 | ||||||||
|
Reinvestment of distributions |
42,758,484 | 119,118,389 | ||||||||
|
Cost of shares redeemed |
(131,465,760 | ) | (1,208,098,545 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | 39,766,868 | (816,326,885 | ) | |||||||
| TOTAL DECREASE | (11,940,235 | ) | (916,145,118 | ) | ||||||
| Net assets: | ||||||||||
|
Beginning of period |
1,571,389,310 | 2,487,534,428 | ||||||||
|
End of period |
$ | 1,559,449,075 | $ | 1,571,389,310 | ||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
Selected Share Data for a Share Outstanding Throughout Each Period
|
Goldman Sachs Strategic Factor Allocation Fund
|
||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period Ended
August 31, 2016(a) |
||||||||||||||||||||
| 2019 | 2018 | 2017 | ||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 11.06 | $ | 11.26 | $ | 10.96 | $ | 10.34 | $ | 10.00 | ||||||||||||
|
Net investment income (loss)(b) |
0.04 | 0.11 | 0.06 | — | (c) | (0.01 | ) | |||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.09 | ) | 0.30 | 0.50 | 0.70 | 0.35 | ||||||||||||||||
|
Total from investment operations |
(0.05 | ) | 0.41 | 0.56 | 0.70 | 0.34 | ||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.15 | ) | — | (0.01 | ) | — | (c) | — | ||||||||||||||
|
Distributions to shareholders from net realized gains |
(0.14 | ) | (0.61 | ) | (0.25 | ) | (0.08 | ) | — | |||||||||||||
|
Total distributions |
(0.29 | ) | (0.61 | ) | (0.26 | ) | (0.08 | ) | — | |||||||||||||
|
Net asset value, end of period |
$ | 10.72 | $ | 11.06 | $ | 11.26 | $ | 10.96 | $ | 10.34 | ||||||||||||
| Total return(d) | (0.27 | )% | 4.15 | % | 5.18 | % | 6.88 | % | 3.40 | % | ||||||||||||
|
Net assets, end of period (in 000s) |
$ | 3,847 | $ | 5,424 | $ | 20,035 | $ | 1,459,234 | $ | 338,592 | ||||||||||||
|
Ratio of net expenses to average net assets |
0.69 | %(e) | 0.72 | % | 0.71 | % | 0.74 | % | 0.87 | %(e) | ||||||||||||
|
Ratio of total expenses to average net assets |
0.82 | %(e) | 0.82 | % | 0.80 | % | 0.84 | % | 1.07 | %(e) | ||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.75 | %(e) | 1.05 | % | 0.59 | % | 0.01 | % | (0.51 | )%(e) | ||||||||||||
|
Portfolio turnover rate(f) |
— | %(g) | 962 | % | 725 | % | 589 | % | 86 | % | ||||||||||||
| (a) | Commenced operations on May 31, 2016. |
| (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 shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (e) | Annualized. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| (g) | There were no long-term transactions for the six month period ended February 29, 2020. |
| 8 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Factor Allocation Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
(Unaudited) |
Year Ended
2019 |
Period Ended
2018(a) |
||||||||||||
| Per Share Data |
|
|||||||||||||
|
Net asset value, beginning of period |
$ | 10.96 | $ | 11.26 | $ | 10.83 | ||||||||
|
Net investment income(b) |
0.04 | 0.11 | 0.02 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.09 | ) | 0.29 | 0.41 | ||||||||||
|
Total from investment operations |
(0.05 | ) | 0.40 | 0.43 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.16 | ) | (0.09 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.14 | ) | (0.61 | ) | — | |||||||||
|
Total distributions |
(0.30 | ) | (0.70 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 10.61 | $ | 10.96 | $ | 11.26 | ||||||||
| Total return(c) | (0.37 | )% | 4.16 | % | 3.97 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 1,555,591 | $ | 1,565,955 | $ | 2,467,490 | ||||||||
|
Ratio of net expenses to average net assets |
0.68 | %(d) | 0.71 | % | 0.71 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
0.81 | %(d) | 0.82 | % | 0.80 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.74 | %(d) | 1.07 | % | 0.40 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
— | %(f) | 962 | % | 725 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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 shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Annualized. |
| (e) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| (f) | There were no long-term transactions for the six month period ended February 29, 2020. |
| The accompanying notes are an integral part of these financial statements. | 9 |
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Strategic Factor Allocation Fund | ||||||||||||||
| Class R6 Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
2019 |
Period Ended
2018(a) |
||||||||||||
| Per Share Data |
|
|||||||||||||
|
Net asset value, beginning of period |
$ | 10.96 | $ | 11.26 | $ | 11.10 | ||||||||
|
Net investment income(b) |
0.04 | 0.12 | 0.04 | |||||||||||
|
Net realized and unrealized gain (loss) |
(0.08 | ) | 0.28 | 0.12 | ||||||||||
|
Total from investment operations |
(0.04 | ) | 0.40 | 0.16 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.16 | ) | (0.09 | ) | — | |||||||||
|
Distributions to shareholders from net realized gains |
(0.14 | ) | (0.61 | ) | — | |||||||||
|
Total distributions |
(0.30 | ) | (0.70 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 10.62 | $ | 10.96 | $ | 11.26 | ||||||||
| Total return(c) | (0.28 | )% | 4.14 | % | 1.44 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 11 | $ | 11 | $ | 10 | ||||||||
|
Ratio of net expenses to average net assets |
0.66 | %(d) | 0.68 | % | 0.69 | %(d) | ||||||||
|
Ratio of total expenses to average net assets |
0.79 | %(d) | 0.80 | % | 0.79 | %(d) | ||||||||
|
Ratio of net investment income to average net assets |
0.76 | %(d) | 1.08 | % | 0.58 | %(d) | ||||||||
|
Portfolio turnover rate(e) |
— | %(f) | 962 | % | 725 | % | ||||||||
| (a) | Commenced operations on December 29, 2017. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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 shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Annualized. |
| (e) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| (f) | There were no long-term transactions for the six month period ended February 29, 2020. |
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Notes to Financial Statements
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Strategic Factor Allocation Fund (the “Portfolio”) is a non-diversified portfolio and currently offers three classes of shares — Institutional Shares, Class P Shares, and Class R6 Shares. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Portfolio pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Portfolio is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The valuation policy of the Portfolio and underlying funds (“Underlying Funds”) is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. 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. For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Portfolio are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Portfolio are charged to the Portfolio, while such expenses incurred by the Trust are allocated across the Portfolio 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.
D. Federal Taxes and Distributions to Shareholders — It is the Portfolio’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, the Portfolio 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.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Portfolio’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Portfolio’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Portfolio 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 within net change in unrealized gain (loss) on foreign currency
11
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 Portfolio’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolio, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolio’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, an Underlying 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 Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Portfolio and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Portfolio, if any, is noted in the Schedule 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
12
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When the Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit default swap contracts. Upon the purchase of a call option or a put option by the Portfolio, 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.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
13
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Portfolio’s investments and derivatives classified in the fair value hierarchy as of February 29, 2020:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets |
|
|||||||||||
|
Investment Company |
$ | 1,272,810,506 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
|
Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | 1,107,318 | $ | — | ||||||
|
Futures Contracts(a) |
7,926,787 | — | — | |||||||||
|
Purchased Options |
1,205,220 | — | — | |||||||||
| Total | $ | 9,132,007 | $ | 1,107,318 | $ | — | ||||||
| Liabilities | ||||||||||||
|
Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | (3,322,279 | ) | $ | — | |||||
|
Futures Contracts(a) |
(14,436,755 | ) | — | — | ||||||||
|
Written Option Contracts |
(31,470,499 | ) | — | — | ||||||||
| Total | $ | (45,907,254 | ) | $ | (3,322,279 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of February 29, 2020. These instruments were used as part of the Portfolio’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Portfolio’s net exposure.
| Risk |
Statement of Assets
and Liabilities |
Assets |
Statement of Assets
and Liabilities |
Liabilities | ||||||||
|
Interest rate |
Variation margin on futures contracts | $ | 7,926,787 | (a) |
Variation margin on futures contracts;
Written Options, at value |
$ | (4,182,894) | (a) | ||||
|
Currency |
Receivable for unrealized gain on forward foreign currency exchange contracts |
1,107,318 |
Payable for unrealized loss on forward foreign currency exchange contracts |
(3,322,279) | ||||||||
|
Equity |
Purchased options, at value | 1,205,220 | Variation margin on futures contracts; Written options, at value | (41,724,360) | (a) | |||||||
| Total | $ | 10,239,325 | $ | (49,229,533) | ||||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
14
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth, by certain risk types, the Portfolio’s gains (losses) related to these derivatives and their indicative volumes for the six months ended February 29, 2020. 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 of Operations:
| Risk |
Statement
of Operations |
Net Realized
Gain (Loss) |
Net Change in
Unrealized Gain |
Average
Number of Contracts(a) |
||||||||||
| Interest rate | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | $ | 16,219,078 | $ | 6,832,530 | 1,594 | ||||||||
| Currency |
Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts |
2,568,117 | (1,746,678 | ) | 11 | |||||||||
| 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 | (3,596,773 | ) | (33,048,470 | ) | 4,584 | ||||||||
| Total | $ | 15,190,422 | $ | (27,962,618 | ) | 6,189 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months ended February 29, 2020. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolio, 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 Portfolio’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Portfolio’s average daily net assets.
For the six months ended February 29, 2020, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||
| First $2 Billion | Next $3 Billion | Next $3 Billion | Over $8 Billion | Effective Rate |
Effective Net
Management Rate*^ |
|||||||||||||||||
| 0.75% | 0.68% | 0.64% | 0.62% | 0.75% | 0.62% | |||||||||||||||||
| * | GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to any management fee it earns as an investment adviser to any of the affiliated funds in which the Portfolio invests through at least December 27, 2020. 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. |
The Portfolio invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Portfolio invests. For the six months ended February 29, 2020, GSAM waived $1,064,702 of the Portfolio’s management fee.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolio for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.04% of the average daily net assets of Institutional Shares and 0.03% of the average daily net assets of Class P and Class R6 Shares.
15
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Portfolio (excluding acquired (underlying) 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 Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolio is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Portfolio is 0.164%. The Other Expense limitation will remain in place through at least December 27, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolio has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolio’s expenses and are received irrespective of the application of the “Other Expense” limitation described above. During the six-months ended February 29, 2020, no amounts were reimbursed pursuant to this arrangement
D. Line of Credit Facility — As of February 29, 2020, the Portfolio participated in a $580,000,000 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 Portfolio based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Portfolio did not have any borrowings under the facility.
E. Other Transactions with Affiliates — For the six months ended February 29, 2020, Goldman Sachs did not earn any brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Portfolio.
As of February 29, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% of Class R6 Shares of the Portfolio.
The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the six months ended February 29, 2020:
| Affiliated Investment Company |
Beginning Value
as of August 31, 2019 |
Purchases at
Cost |
Proceeds from
Sales |
Ending Value as
of February 29, 2020 |
Shares as of
February 29, 2020 |
Dividend Income
from Affiliated Investment Companies |
||||||||||||||||||
|
Goldman Sachs Financial Square Government Fund — Institutional Shares |
$ | 1,326,317,082 | $ | 1,531,700,282 | $ | (1,585,206,858 | ) | $ | 1,272,810,506 | 1,272,810,506 | $ | 11,126,170 | ||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 29, 2020, were $0, and $0, respectively.
16
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
| 7. TAX INFORMATION |
As of the Portfolio’s most recent fiscal year end, August 31, 2019, the Portfolio’s capital loss carryforwards and certain timing differences on a tax basis were as follows:
|
Capital loss carryforwards: |
||||
|
Perpetual Long-Term |
$ | (2,908,755 | ) | |
|
Timing Differences (Late Year Loss Deferral) |
$ | (5,982,115 | ) |
As of February 29, 2020, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
Tax Cost |
$ | 1,267,047,159 | ||||
|
Gross unrealized gain |
5,763,347 | |||||
|
Gross unrealized loss |
— | |||||
|
Net unrealized gains (losses) on securities |
$ | 5,763,347 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to net mark to market gains (losses) on regulated futures contracts, options contracts and foreign currency contracts.
GSAM has reviewed the Portfolio’s tax positions for all open tax years (the current and prior three years as applicable) and has concluded that no provision for income tax is required in the Portfolio’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Portfolio’s risks include, but are not limited to, the following:
Derivatives Risk — The Portfolio’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolio. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Portfolio invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Portfolio has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time.
Foreign Custody Risk — If the Portfolio invests in foreign securities, the Portfolio may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Portfolio’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain
17
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 8. OTHER RISKS (continued) |
countries may place limitations on the Portfolio’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Geographic Risk — If the Portfolio focuses its investments in securities of issuers located in a particular country or geographic region, the Portfolio 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 the Portfolio will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Portfolio’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Portfolio.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), the Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — The Portfolio 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 Portfolio in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Portfolio. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Portfolio to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’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 Portfolio’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s expense ratio. Similarly, large Portfolio share purchases may adversely affect the Portfolio’s performance to the extent that the Portfolio is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Portfolio 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 Portfolio will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Portfolio is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Portfolio’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Portfolio’s liquidity.
Market and Credit Risks — In the normal course of business, the Portfolio 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 Portfolio invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread in infectious illness or other public health threats could also significantly impact the Portfolio and its investments.
18
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
| 8. OTHER RISKS (continued) |
Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolio. Additionally, in the course of business, the Portfolio enters into contracts that contain a variety of indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolio that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
53,277 | $ | 601,240 | 22,891 | $ | 245,420 | ||||||||||
|
Reinvestment of distributions |
9,508 | 106,078 | 91,964 | 935,279 | ||||||||||||
|
Shares redeemed |
(194,338 | ) | (2,165,805 | ) | (1,403,611 | ) | (14,898,655 | ) | ||||||||
| (131,553 | ) | (1,458,487 | ) | (1,288,756 | ) | (13,717,956 | ) | |||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
11,467,248 | 127,872,904 | 25,966,725 | 272,407,851 | ||||||||||||
|
Reinvestment of distributions |
3,863,546 | 42,652,117 | 11,657,218 | 118,182,471 | ||||||||||||
|
Shares redeemed |
(11,639,877 | ) | (129,299,955 | ) | (113,894,360 | ) | (1,193,199,890 | ) | ||||||||
| 3,690,917 | 41,225,066 | (76,270,417 | ) | (802,609,568 | ) | |||||||||||
| Class R6 Shares | ||||||||||||||||
|
Reinvestment of distributions |
26 | 289 | 63 | 639 | ||||||||||||
| 26 | 289 | 63 | 639 | |||||||||||||
|
NET INCREASE (DECREASE) |
3,559,390 | $ | 39,766,868 | (77,559,110 | ) | $ | (816,326,885 | ) | ||||||||
19
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Portfolio will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Portfolio to the extent such expenses exceed a specified percentage of the Portfolio’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
|
Proposal 2.
To
approve a change to the Fund’s sub-classification under the
|
For | Against | Abstained | Broker Non-Votes | ||||||||||||
|
Large Cap Growth Insights Fund |
23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
20
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
Liquidity Risk Management Program
The Portfolio has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Portfolio’s liquidity risk, i.e., the risk that the Portfolio is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Board of Trustees of the Trust has designated GSAM, the Portfolio’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Portfolio that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Portfolio’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other risks to which it may be subject.
21
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
|
Portfolio Expenses — Six Month Period Ended February 29, 2020 (Unaudited) |
||
As a shareholder of Institutional, Class P or Class R6 Shares of the Portfolio, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional, Class P, and Class R6 Shares of the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days in a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Strategic Factor Allocation Fund | ||||||||||||
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses Paid for the
6 months ended 2/29/20* |
|||||||||
| Institutional | ||||||||||||
|
Actual |
1,000.00 | 997.30 | 3.41 | |||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.45 | + | 3.45 | ||||||||
| Class P | ||||||||||||
|
Actual |
1,000.00 | 996.30 | 3.36 | |||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.50 | + | 3.40 | ||||||||
| Class R6 | ||||||||||||
|
Actual |
1,000.00 | 997.20 | 3.27 | |||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.58 | + | 3.31 | ||||||||
| + | Hypothetical expenses are based on the Portfolio’s actual annualized net expense ratios (excluding proxy fee which is not annualized) and an assumed rate of return of 5% per year before expenses. |
| * | Expenses are calculated using the Portfolio’s annualized net expense ratio (excluding proxy fee which is not annualized) for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: 0.69% for Institutional Shares, 0.68% for Class P Shares and 0.66% for Class R6 Shares. |
22
PORTFOLIO PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Short Duration Tax-Free Fund |
| ∎ |
Municipal Income Completion Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets Opportunities Fund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Select Satellite
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
|
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver |
OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
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GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
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Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Portfolio included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolio in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolio, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolio. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities and information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30, are available (I) without charge, upon request by calling 1-800-526-7384; and (II) on the Securities and Exchange Commission (“SEC’’) web site at http://www.sec.gov.
The Portfolio will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-621-2550.
Portfolio holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider the Portfolio’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about the Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
© 2020 Goldman Sachs. All rights reserved. 200069-OTU-1180681/STRATFACALSAR-20
Goldman Sachs Funds
| Semi-Annual Report |
February 29, 2020 |
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Tactical Tilt Overlay Fund |
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It is our intention that beginning on January 1, 2021, paper copies of the Portfolio’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Portfolio or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the Portfolio electronically by calling the toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the Portfolio directly with the Portfolio’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550. If you hold shares of the Portfolio through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Portfolio’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs Tactical Tilt Overlay Fund
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| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Recent Market Events related to COVID-19
While this semi-annual report covers the six month period ended February 29, 2020, we want to describe some more recent events through the end of April.
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Portfolio could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Portfolio’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Portfolio shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
i
PORTFOLIO BASICS
as of February 29, 2020
| PERFORMANCE REVIEW |
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| September 1, 2019–February 29, 2020 |
Portfolio Total Return (based on NAV)1 |
ICE® BofAML® U.S. Dollar Three- Month LIBOR Constant Maturity Index2 |
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| Institutional | -1.05 | % | 1.14 | % | ||||||
| Class P | -1.02 | 1.14 | ||||||||
| Class R6 | -1.01 | 1.14 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The ICE® BofAML® U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”) tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. The Index figure does not reflect any deductions for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deductions of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
1
PORTFOLIO BASICS
| PORTFOLIO COMPOSITION3 |
| 3 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent commercial paper. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph does not depict the investment in the securities lending reinvestment vehicle. The Investment in the securities lending reinvestment vehicle represented 0.4% of the Portfolio’s net assets as of February 29, 2020. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Consolidated Schedule of Investments. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
2
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments
February 29, 2020 (Unaudited)
| The accompanying notes are an integral part of these financial statements. | 3 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| 4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
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(a) |
All or a portion of security is on loan. | |
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(b) |
Represents an affiliated fund. | |
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(c) |
Rate shown is that which is in effect on February 29, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
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(d) |
Exempt from registration under Rule 144A of the Securities Act of 1933. | |
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(e) |
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 February 29, 2020. | |
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(f) |
Issued with a zero coupon. Income is recognized through the accretion of discount. | |
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Currency Abbreviations: |
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CLP |
—Chilean Peso |
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EUR |
—Euro |
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JPY |
—Japanese Yen |
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KRW |
—South Korean Won |
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MXN |
—Mexican Peso |
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TWD |
—Taiwan Dollar |
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USD |
—U.S. Dollar |
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ZAR |
—South African Rand |
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Investment Abbreviations: |
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BP |
—British Pound Offered Rate |
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ETF |
—Exchange Traded Fund |
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LIBOR |
—London Interbank Offered Rate |
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LLC |
—Limited Liability Company |
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PLC |
—Public Limited Company |
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SOFR |
—Secured Overnight Funding Rate |
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TIIE |
—La Tasa de Interbank Equilibrium Interest Rate |
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| 6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At February 29, 2020, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty |
Currency
Purchased |
Currency
Sold |
Settlement
Date |
Unrealized
Gain |
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|
MS & Co. Int. PLC |
JPY | 13,083,000,000 | USD | 117,388,045 | 03/18/20 | $ | 4,031,891 | |||||||||||||
| USD | 46,923,849 | CLP | 37,165,000,000 | 03/18/20 | 1,482,269 | |||||||||||||||
| USD | 14,780,942 | EUR | 13,180,000 | 03/18/20 | 214,022 | |||||||||||||||
| USD | 8,760,213 | KRW | 10,250,000,000 | 03/18/20 | 225,640 | |||||||||||||||
| USD | 11,176,898 | ZAR | 160,580,000 | 03/18/20 | 912,290 | |||||||||||||||
| TOTAL | $ | 6,866,112 | ||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty |
Currency Purchased |
Currency Sold |
Settlement
Date |
Unrealized
Loss |
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|
MS & Co. Int. PLC |
CLP | 37,165,000,000 | USD | 46,288,454 | 03/18/20 | $ | (846,877 | ) | ||||||||||||
| EUR | 222,150,000 | USD | 248,181,759 | 03/18/20 | (2,655,110 | ) | ||||||||||||||
| KRW | 148,600,000,000 | USD | 125,665,962 | 03/18/20 | (1,935,468 | ) | ||||||||||||||
| TWD | 1,654,800,000 | USD | 55,472,496 | 03/18/20 | (441,141 | ) | ||||||||||||||
| USD | 121,030,634 | JPY | 13,083,000,000 | 03/18/20 | (389,303 | ) | ||||||||||||||
| USD | 124,808,404 | TWD | 3,778,200,000 | 03/18/20 | (837,875 | ) | ||||||||||||||
| ZAR | 1,135,300,000 | USD | 76,641,104 | 03/18/20 | (4,070,362 | ) | ||||||||||||||
| TOTAL | $ | (11,176,136 | ) | |||||||||||||||||
FUTURES CONTRACTS — At February 29, 2020, the Portfolio had the following futures contracts:
| Description |
Number of
Contracts |
Expiration
Date |
Notional
Amount |
Unrealized
Appreciation/ (Depreciation) |
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|
Long position contracts: |
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|
Australian 10 Year Government Bonds |
1,743 | 03/16/20 | $ | 169,976,692 | $ | 4,515,363 | ||||||||||
|
FTSE/JSE Top 40 Index |
1,877 | 03/19/20 | 54,923,908 | (7,558,170 | ) | |||||||||||
|
Kospi 200 Index |
1,813 | 03/12/20 | 99,961,311 | (3,121,364 | ) | |||||||||||
|
S&P 500 E-Mini Index |
2,096 | 03/20/20 | 309,275,280 | (24,776,534 | ) | |||||||||||
|
2 Year U.S. Treasury Notes |
1,586 | 06/30/20 | 346,268,408 | 2,686,094 | ||||||||||||
|
5 Year U.S. Treasury Notes |
613 | 06/30/20 | 75,245,750 | 1,244,084 | ||||||||||||
|
10 Year U.S. Treasury Notes |
1,252 | 06/19/20 | 168,707,000 | 4,291,653 | ||||||||||||
| Total | $ | (22,718,874 | ) | |||||||||||||
|
Short position contracts: |
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|
Canada 10 Year Government Bonds |
(815 | ) | 06/19/20 | (86,658,074 | ) | (1,658,315 | ) | |||||||||
|
Euro Stoxx 50 Index |
(1,785 | ) | 03/20/20 | (65,304,061 | ) | 8,785,978 | ||||||||||
|
MSCI Taiwan Index |
(1,559 | ) | 03/30/20 | (65,649,490 | ) | 3,982,611 | ||||||||||
|
10 Year German Euro-Bund |
(140 | ) | 06/08/20 | (26,998,868 | ) | 7 | ||||||||||
| Total | $ | 11,110,281 | ||||||||||||||
| TOTAL FUTURES CONTRACTS | $ | (11,608,593 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At February 29, 2020, the Portfolio had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Portfolio(a) |
Payments
Received by Portfolio |
Termination
Date |
Notional
Amount (000s) |
Market
Value |
Upfront
Premium (Received) Paid |
Unrealized
Appreciation/ (Depreciation) |
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|
Mexico IB TIIE 28D |
6.665 | % | 09/21/29 | MXN | 1,465,000 | $ | (454,870 | ) | $ | 93,116 | $ | (547,986 | ) | |||||||||||||
|
Mexico IB TIIE 28D |
6.705 | 10/15/29 | 442,400 | (49,602 | ) | 292 | (49,894 | ) | ||||||||||||||||||
|
Mexico IB TIIE 28D |
6.728 | 10/15/29 | 442,400 | (12,049 | ) | 292 | (12,341 | ) | ||||||||||||||||||
|
Mexico IB TIIE 28D |
6.950 | 11/01/29 | 478,350 | 369,250 | 311 | 368,939 | ||||||||||||||||||||
|
Mexico IB TIIE 28D |
6.760 | 02/18/30 | 320,500 | 130 | 130 | — | ||||||||||||||||||||
|
Mexico IB TIIE 28D |
6.783 | 02/18/30 | 344,950 | 228 | 228 | — | ||||||||||||||||||||
| TOTAL | $ | (146,913 | ) | $ | 94,369 | $ | (241,282 | ) | ||||||||||||||||||
| (a) | Payments made monthly. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| Referenced Obligation/Index |
Financing Rate
Received/(Paid) by the Portfolio(a) |
Credit
Spread at February 29, 2020(b) |
Termination
Date |
Notional
Amount (000s) |
Value |
Upfront
Premiums (Received) Paid |
Unrealized
Appreciation/ (Depreciation) |
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|
Protection Purchased: |
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|
Republic of Turkey, 11.875%, 01/15/30 |
(1.000)% | 3.728 | 12/20/24 | $ | 113,000 | $ | 13,093,882 | $ | 6,942,925 | $ | 6,150,957 | |||||||||||||||||
|
Protection Sold: |
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|
CDX.NA.EM Index 32 |
1.000 | 2.504 | 12/20/24 | 112,690 | (7,231,237 | ) | (4,195,917 | ) | (3,035,320 | ) | ||||||||||||||||||
| TOTAL | $ | 5,862,645 | $ | 2,747,008 | $ | 3,115,637 | ||||||||||||||||||||||
| (a) | Payments made quarterly. |
| (b) | Credit spread on the referenced obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
| Reference Obligation/ Index |
Financing Rate
Paid (Received) by the Portfolio |
Counterparty |
Termination
Date(a) |
Notional
Amount (000s) |
Unrealized
Appreciation/ (Depreciation)* |
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|
JPGSVENK Index(b) |
0.070 | %(c) | JPMorgan Securities, Inc. | 04/03/20 | $ | 450,794 | $ | 41,429,334 | ||||||||||
|
MSGSEZG Index(b) |
0.060 | (d) | MS & Co. Int. PLC | 12/02/20 | 65,858 | (11,360,894 | ) | |||||||||||
|
MSGSSUIT Index(b) |
0.310 | (c) | MS & Co. Int. PLC | 04/03/20 | 112,744 | (11,756,423 | ) | |||||||||||
|
SX7T Index |
(0.120 | )(e) | Barclays Bank PLC | 04/02/20 | 226,482 | (7,990,169 | ) | |||||||||||
|
SX7T Index |
0.120 | (d) | Barclays Bank PLC | 04/02/20 | 40,669 | 5,555,790 | ||||||||||||
| TOTAL | $ | 15,877,638 | ||||||||||||||||
| * | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
| (a) | The Portfolio pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Portfolio will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
| (b) | The top 50 components are shown below. |
| (c) | Payments made monthly. |
| (d) | Payments made quarterly. |
| (e) | Payments made semi-annually. |
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
A basket (JPGSVENK) of common stocks
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
|
Coca-Cola Co/The |
Consumer, Non-cyclical | 18,965 | $ | 1,014,447 | 2.45 | % | ||||||||
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Twitter Inc |
Communications | 29,610 | 983,058 | 2.37 | ||||||||||
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Newmont Corp |
Basic Materials | 21,479 | 958,589 | 2.31 | ||||||||||
|
L Brands Inc |
Consumer, Cyclical | 43,637 | 945,172 | 2.28 | ||||||||||
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Microsoft Corp |
Technology | 5,615 | 909,746 | 2.20 | ||||||||||
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CME Group Inc |
Financial | 4,564 | 907,332 | 2.19 | ||||||||||
|
International Flavors & Fragrances Inc |
Basic Materials | 7,209 | 863,440 | 2.08 | ||||||||||
|
Copart Inc |
Consumer, Cyclical | 9,714 | 820,670 | 1.98 | ||||||||||
|
ABIOMED Inc |
Consumer, Non-cyclical | 5,266 | 791,266 | 1.91 | ||||||||||
|
Regeneron Pharmaceuticals Inc |
Consumer, Non-cyclical | 1,435 | 638,084 | 1.54 | ||||||||||
|
Netflix Inc |
Communications | 1,368 | 504,689 | 1.22 | ||||||||||
|
Hormel Foods Corp |
Consumer, Non-cyclical | 11,712 | 487,210 | 1.18 | ||||||||||
|
Deere & Co |
Industrial | 3,093 | 484,006 | 1.17 | ||||||||||
|
FedEx Corp |
Industrial | 3,404 | 480,516 | 1.16 | ||||||||||
|
ResMed Inc |
Consumer, Non-cyclical | 3,001 | 477,060 | 1.15 | ||||||||||
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Rollins Inc |
Consumer, Non-cyclical | 12,724 | 476,372 | 1.15 | ||||||||||
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Vertex Pharmaceuticals Inc |
Consumer, Non-cyclical | 2,124 | 475,841 | 1.15 | ||||||||||
|
Adobe Inc |
Technology | 1,368 | 471,989 | 1.14 | ||||||||||
|
Autodesk Inc |
Technology | 2,457 | 469,014 | 1.13 | ||||||||||
|
Fastenal Co |
Consumer, Cyclical | 13,655 | 467,278 | 1.13 | ||||||||||
|
ServiceNow Inc |
Technology | 1,427 | 465,195 | 1.12 | ||||||||||
|
Archer-Daniels-Midland Co |
Consumer, Non-cyclical | 12,355 | 465,173 | 1.12 | ||||||||||
|
Advanced Micro Devices Inc |
Technology | 10,196 | 463,707 | 1.12 | ||||||||||
|
Intuitive Surgical Inc |
Consumer, Non-cyclical | 866 | 462,199 | 1.11 | ||||||||||
|
Amazon.com Inc |
Communications | 244 | 460,180 | 1.11 | ||||||||||
|
Marathon Petroleum Corp |
Energy | 9,589 | 454,734 | 1.10 | ||||||||||
|
salesforce.com Inc |
Technology | 2,640 | 449,944 | 1.09 | ||||||||||
|
Realty Income Corp |
Financial | 6,213 | 449,755 | 1.09 | ||||||||||
|
CarMax Inc |
Consumer, Cyclical | 5,150 | 449,688 | 1.09 | ||||||||||
|
Concho Resources Inc |
Energy | 6,602 | 449,055 | 1.08 | ||||||||||
|
National Oilwell Varco Inc |
Energy | 23,921 | 447,560 | 1.08 | ||||||||||
|
MarketAxess Holdings Inc |
Consumer, Non-cyclical | 1,377 | 446,676 | 1.08 | ||||||||||
|
Linde PLC |
Basic Materials | 2,338 | 446,521 | 1.08 | ||||||||||
|
Illumina Inc |
Consumer, Non-cyclical | 1,669 | 443,315 | 1.07 | ||||||||||
|
Westinghouse Air Brake Technologies Corp |
Industrial | 6,439 | 442,343 | 1.07 | ||||||||||
|
People’s United Financial Inc |
Financial | 31,425 | 439,638 | 1.06 | ||||||||||
|
Paychex Inc |
Technology | 5,656 | 438,246 | 1.06 | ||||||||||
|
Boston Properties Inc |
Financial | 3,394 | 437,562 | 1.06 | ||||||||||
|
Chipotle Mexican Grill Inc |
Consumer, Cyclical | 564 | 436,683 | 1.05 | ||||||||||
|
General Electric Co |
Industrial | 39,935 | 434,494 | 1.05 | ||||||||||
|
Boston Scientific Corp |
Consumer, Non-cyclical | 11,594 | 433,490 | 1.05 | ||||||||||
|
Bank of New York Mellon Corp/The |
Financial | 10,830 | 432,099 | 1.04 | ||||||||||
|
Welltower Inc |
Financial | 5,752 | 430,399 | 1.04 | ||||||||||
|
Paycom Software Inc |
Technology | 1,514 | 427,819 | 1.03 | ||||||||||
|
Freeport-McMoRan Inc |
Basic Materials | 42,798 | 426,264 | 1.03 | ||||||||||
|
Diamondback Energy Inc |
Energy | 6,831 | 423,539 | 1.02 | ||||||||||
|
Franklin Resources Inc |
Financial | 19,429 | 422,769 | 1.02 | ||||||||||
|
Align Technology Inc |
Consumer, Non-cyclical | 1,935 | 422,516 | 1.02 | ||||||||||
|
ANSYS Inc |
Technology | 1,740 | 421,488 | 1.02 | ||||||||||
|
TransDigm Group Inc |
Industrial | 751 | 418,695 | 1.01 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) |
A basket (MSGSEZG) of common stocks
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
|
Societe Generale SA |
Financial | 21,408 | $ | 547,834 | 4.82 | % | ||||||||
|
Volkswagen AG |
Consumer, Cyclical | 3,345 | 497,047 | 4.38 | ||||||||||
|
Eni SpA |
Energy | 42,831 | 477,912 | 4.21 | ||||||||||
|
Deutsche Post AG |
Industrial | 17,035 | 461,983 | 4.07 | ||||||||||
|
Peugeot SA |
Consumer, Cyclical | 24,582 | 430,310 | 3.79 | ||||||||||
|
Koninklijke DSM NV |
Basic Materials | 4,040 | 411,091 | 3.62 | ||||||||||
|
Repsol SA |
Energy | 39,423 | 399,354 | 3.52 | ||||||||||
|
Cie de Saint-Gobain |
Industrial | 12,188 | 385,146 | 3.39 | ||||||||||
|
KBC Group NV |
Financial | 6,267 | 376,158 | 3.31 | ||||||||||
|
Deutsche Wohnen SE |
Financial | 9,932 | 362,128 | 3.19 | ||||||||||
|
Unibail-Rodamco-Westfield |
Financial | 3,268 | 356,204 | 3.14 | ||||||||||
|
Atos SE |
Technology | 4,949 | 333,036 | 2.93 | ||||||||||
|
HUGO BOSS AG |
Consumer, Cyclical | 8,377 | 331,403 | 2.92 | ||||||||||
|
Deutsche Lufthansa AG |
Consumer, Cyclical | 28,214 | 329,818 | 2.90 | ||||||||||
|
UPM-Kymmene Oyj |
Basic Materials | 11,596 | 321,544 | 2.83 | ||||||||||
|
Mediobanca Banca di Credito Finanziario |
Financial | 37,406 | 306,352 | 2.70 | ||||||||||
|
Edenred |
Consumer, Non-cyclical | 6,357 | 299,837 | 2.64 | ||||||||||
|
Renault SA |
Consumer, Cyclical | 11,066 | 293,197 | 2.58 | ||||||||||
|
Ryanair Holdings PLC |
Consumer, Cyclical | 23,666 | 290,028 | 2.55 | ||||||||||
|
Gecina SA |
Financial | 1,766 | 283,849 | 2.50 | ||||||||||
|
Porsche Automobil Holding SE |
Consumer, Cyclical | 5,033 | 283,284 | 2.49 | ||||||||||
|
Natixis SA |
Financial | 74,885 | 274,603 | 2.42 | ||||||||||
|
Randstad NV |
Consumer, Non-cyclical | 5,803 | 271,040 | 2.38 | ||||||||||
|
Kesko Oyj |
Consumer, Non-cyclical | 4,045 | 248,109 | 2.18 | ||||||||||
|
Nokian Renkaat Oyj |
Consumer, Cyclical | 10,401 | 245,249 | 2.16 | ||||||||||
|
TAG Immobilien AG |
Financial | 10,728 | 235,373 | 2.07 | ||||||||||
|
Covivio |
Financial | 2,423 | 232,590 | 2.05 | ||||||||||
|
Rexel SA |
Consumer, Cyclical | 20,752 | 230,352 | 2.03 | ||||||||||
|
Eurazeo SE |
Financial | 3,747 | 227,098 | 2.00 | ||||||||||
|
Capgemini SE |
Technology | 2,189 | 217,207 | 1.91 | ||||||||||
|
Aalberts NV |
Industrial | 6,402 | 216,073 | 1.90 | ||||||||||
|
Aurubis AG |
Industrial | 4,988 | 213,207 | 1.87 | ||||||||||
|
Air France-KLM |
Consumer, Cyclical | 30,834 | 212,998 | 1.87 | ||||||||||
|
Rheinmetall AG |
Consumer, Cyclical | 2,488 | 204,852 | 1.80 | ||||||||||
|
Raiffeisen Bank International AG |
Financial | 10,156 | 189,661 | 1.67 | ||||||||||
|
AIB Group PLC |
Financial | 88,411 | 185,486 | 1.63 | ||||||||||
|
Bank of Ireland Group PLC |
Financial | 53,481 | 179,481 | 1.58 | ||||||||||
A basket (MSGSSUIT) of common stocks
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
|
Alexion Pharmaceuticals Inc |
Consumer, Non-cyclical | 6,033 | $ | 567,237 | 4.99 | % | ||||||||
|
Comerica Inc |
Financial | 9,804 | 516,061 | 4.54 | ||||||||||
|
E*TRADE Financial Corp |
Financial | 7,219 | 330,472 | 2.91 | ||||||||||
|
Advance Auto Parts Inc |
Consumer, Cyclical | 2,293 | 304,946 | 2.68 | ||||||||||
|
CF Industries Holdings Inc |
Basic Materials | 7,708 | 284,122 | 2.50 | ||||||||||
|
Booking Holdings Inc |
Communications | 165 | 280,475 | 2.47 | ||||||||||
|
Capital One Financial Corp |
Financial | 3,061 | 270,194 | 2.38 | ||||||||||
|
Discover Financial Services |
Financial | 4,075 | 267,225 | 2.35 | ||||||||||
|
Wells Fargo & Co |
Financial | 6,525 | 266,526 | 2.34 | ||||||||||
|
Bank of America Corp |
Financial | 9,226 | 262,948 | 2.31 | ||||||||||
|
Cisco Systems Inc |
Communications | 6,537 | 261,042 | 2.30 | ||||||||||
|
Regions Financial Corp |
Financial | 19,180 | 259,309 | 2.28 | ||||||||||
|
Citizens Financial Group Inc |
Financial | 8,073 | 255,832 | 2.25 | ||||||||||
|
ConocoPhillips |
Energy | 5,177 | 250,644 | 2.21 | ||||||||||
|
Biogen Inc |
Consumer, Non-cyclical | 558 | 171,981 | 1.51 | ||||||||||
|
eBay Inc |
Communications | 4,443 | 153,903 | 1.35 | ||||||||||
|
Analog Devices Inc |
Technology | 1,390 | 151,600 | 1.33 | ||||||||||
|
Xilinx Inc |
Technology | 1,796 | 149,953 | 1.32 | ||||||||||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
A basket (MSGSSUIT) of common stocks (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
|
F5 Networks Inc |
Communications | 1,249 | $ | 149,821 | 1.32 | % | ||||||||
|
HP Inc |
Technology | 7,141 | 148,453 | 1.31 | ||||||||||
|
BorgWarner Inc |
Consumer, Cyclical | 4,449 | 140,577 | 1.24 | ||||||||||
|
Expedia Group Inc |
Communications | 1,411 | 139,143 | 1.22 | ||||||||||
|
QUALCOMM Inc |
Technology | 1,759 | 137,708 | 1.21 | ||||||||||
|
Celanese Corp |
Basic Materials | 1,460 | 136,863 | 1.20 | ||||||||||
|
Travelers Cos Inc/The |
Financial | 1,138 | 136,385 | 1.20 | ||||||||||
|
State Street Corp |
Financial | 1,999 | 136,144 | 1.20 | ||||||||||
|
Chevron Corp |
Energy | 1,448 | 135,138 | 1.19 | ||||||||||
|
EOG Resources Inc |
Energy | 2,131 | 134,812 | 1.19 | ||||||||||
|
Truist Financial Corp |
Financial | 2,921 | 134,784 | 1.19 | ||||||||||
|
TE Connectivity Ltd |
Industrial | 1,626 | 134,750 | 1.19 | ||||||||||
|
KeyCorp |
Financial | 8,013 | 131,019 | 1.15 | ||||||||||
|
Exxon Mobil Corp |
Energy | 2,540 | 130,678 | 1.15 | ||||||||||
|
Alliance Data Systems Corp |
Financial | 1,521 | 130,639 | 1.15 | ||||||||||
|
Phillips 66 |
Energy | 1,727 | 129,261 | 1.14 | ||||||||||
|
M&T Bank Corp |
Financial | 906 | 127,238 | 1.12 | ||||||||||
|
DuPont de Nemours Inc |
Basic Materials | 2,954 | 126,743 | 1.12 | ||||||||||
|
Schlumberger Ltd |
Energy | 4,613 | 124,958 | 1.10 | ||||||||||
|
Devon Energy Corp |
Energy | 7,181 | 116,620 | 1.03 | ||||||||||
|
Marathon Oil Corp |
Energy | 13,323 | 110,313 | 0.97 | ||||||||||
|
NVIDIA Corp |
Technology | 317 | 85,509 | 0.75 | ||||||||||
|
Laboratory Corp of America Holdings |
Consumer, Non-cyclical | 426 | 74,817 | 0.66 | ||||||||||
|
AutoZone Inc |
Consumer, Cyclical | 72 | 74,749 | 0.66 | ||||||||||
|
Micron Technology Inc |
Technology | 1,414 | 74,322 | 0.65 | ||||||||||
|
Anthem Inc |
Consumer, Non-cyclical | 285 | 73,381 | 0.65 | ||||||||||
|
Humana Inc |
Consumer, Non-cyclical | 228 | 72,986 | 0.64 | ||||||||||
|
Caterpillar Inc |
Industrial | 586 | 72,807 | 0.64 | ||||||||||
|
Facebook Inc |
Communications | 372 | 71,682 | 0.63 | ||||||||||
|
Parker-Hannifin Corp |
Industrial | 386 | 71,217 | 0.63 | ||||||||||
|
Qorvo Inc |
Technology | 707 | 71,112 | 0.63 | ||||||||||
|
Target Corp |
Consumer, Cyclical | 680 | 70,016 | 0.62 | ||||||||||
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At February 29, 2020, the Portfolio had the following purchased and written options:
OVER-THE-COUNTER OPTIONS ON EQUITIES
| Description | Counterparty |
Exercise
Rate |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums Paid
(Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
||||||||||||||||||||||
|
Purchased option contracts |
|
|||||||||||||||||||||||||||||
|
Calls |
||||||||||||||||||||||||||||||
|
JTOP Index |
Citibank NA | 51,454.249 | 04/17/2020 | 13,136 | $ | 13,136 | $ | 13,373 | $ | 850,503 | $ | (837,130 | ) | |||||||||||||||||
|
XLE Index |
MS & Co. Int. PLC | 54.990 | 04/17/2020 | 2,124,105 | 2,124,105 | 328,295 | 2,655,131 | (2,326,836 | ) | |||||||||||||||||||||
| 2,137,241 | $ | 2,137,241 | $ | 341,668 | $ | 3,505,634 | $ | (3,163,966 | ) | |||||||||||||||||||||
|
Puts |
||||||||||||||||||||||||||||||
|
STOX Index |
Citibank NA | 3,577.680 | 04/15/2020 | 57,514 | 57,514 | 18,814,188 | 6,786,190 | 12,027,998 | ||||||||||||||||||||||
|
JTOP Index |
JPMorgan Securities, Inc. | 47,782.538 | 04/17/2020 | 13,136 | 13,136 | 2,123,222 | 179,663 | 1,943,559 | ||||||||||||||||||||||
| 70,650 | $ | 70,650 | $ | 20,937,410 | $ | 6,965,853 | $ | 13,971,557 | ||||||||||||||||||||||
| Total purchased option contracts |
|
2,207,891 | $ | 2,207,891 | $ | 21,279,078 | $ | 10,471,487 | $ | 10,807,591 | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
February 29, 2020 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON EQUITIES (continued)
| Description | Counterparty |
Exercise
Rate |
Expiration
Date |
Number of
Contracts |
Notional
Amount |
Market
Value |
Premiums Paid
(Received) by Portfolio |
Unrealized
Appreciation/ (Depreciation) |
||||||||||||||||||||||
|
Written option contracts |
|
|||||||||||||||||||||||||||||
|
Puts |
||||||||||||||||||||||||||||||
|
XLE Index |
MS & Co. Int. PLC | 48.050 | 04/17/2020 | (2,124,105 | ) | (2,124,105 | ) | (9,790,563 | ) | (1,350,931 | ) | (8,439,632 | ) | |||||||||||||||||
|
SPX Index |
MS & Co. Int. PLC | 2,726.260 | 05/29/2020 | (152,168 | ) | (152,168 | ) | (15,612,619 | ) | (15,612,619 | ) | — | ||||||||||||||||||
|
JTOP Index |
Citibank NA | 47,782.538 | 04/17/2020 | (13,136 | ) | (13,136 | ) | (2,123,221 | ) | (581,923 | ) | (1,541,298 | ) | |||||||||||||||||
|
STOX Index |
Citibank NA | 3,363.019 | 04/15/2020 | (57,514 | ) | (57,514 | ) | (11,432,844 | ) | (3,090,741 | ) | (8,342,103 | ) | |||||||||||||||||
| Total written option contracts |
|
(2,346,923 | ) | $ | (2,346,923 | ) | $ | (38,959,247 | ) | $ | (20,636,214 | ) | $ | (18,323,033 | ) | |||||||||||||||
| TOTAL | (139,032 | ) | $ | (139,032 | ) | $ | (17,680,169 | ) | $ | (10,164,727 | ) | $ | (7,515,442 | ) | ||||||||||||||||
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
|
Abbreviations: |
||
|
BofA Securities LLC |
—Bank of America Securities LLC |
|
|
MS & Co. Int. PLC |
—Morgan Stanley & Co. International PLC |
|
|
Mexico IB TIIE 28D |
—Mexico Interbank TIIE 28 Days |
|
|
|
||
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statement of Assets and Liabilities(a)
February 29, 2020 (Unaudited)
| Assets: | ||||||
|
Investments of unaffiliated issuers, at value (cost $2,501,320,099) |
$ | 2,476,041,393 | ||||
|
Investments of affiliated issuers, at value (cost $967,592,041) |
946,384,132 | |||||
|
Investments in securities lending reinvestment vehicle — affiliated issuer, at value (cost $14,809,200) |
14,809,200 | |||||
|
Purchased options (premium paid $12,526,906) |
28,257,174 | |||||
|
Cash |
62,686,118 | |||||
|
Foreign currencies, at value (cost $5,697,017) |
7,406,568 | |||||
|
Unrealized gain on swap contracts |
46,985,124 | |||||
|
Unrealized gain on forward foreign currency exchange contracts |
6,866,112 | |||||
|
Receivables: |
||||||
|
Collateral on certain derivative contracts(b) |
118,545,031 | |||||
|
Investments sold |
15,612,619 | |||||
|
Portfolio shares sold |
13,092,679 | |||||
|
Dividends and interest |
4,488,796 | |||||
|
Due from broker—initial margin |
4,400,000 | |||||
|
Securities lending income |
5,196 | |||||
|
Reimbursement from investment adviser |
4,756 | |||||
|
Other assets |
38,644 | |||||
| Total assets | 3,745,623,542 | |||||
| Liabilities: | ||||||
|
Unrealized loss on swap contracts |
31,107,486 | |||||
|
Unrealized loss on forward foreign currency exchange contracts |
11,176,136 | |||||
|
Variation margin on futures contracts |
14,298 | |||||
|
Variation margin on swaps contracts |
19,789 | |||||
|
Written option contracts, at value (premium received $22,009,999) |
43,190,686 | |||||
|
Payables: |
||||||
|
Collateral on certain derivative contracts(c) |
51,521,919 | |||||
|
Investments purchased on an extended — settlement basis |
23,705,573 | |||||
|
Investments purchased |
16,054,896 | |||||
|
Portfolio shares redeemed |
15,498,494 | |||||
|
Payable upon return of securities loaned |
14,809,200 | |||||
|
Management fees |
1,929,880 | |||||
|
Transfer Agency fees |
85,849 | |||||
|
Accrued expenses and other liabilities |
555,099 | |||||
| Total liabilities | 209,669,305 | |||||
| Net Assets: | ||||||
|
Paid-in capital |
3,834,332,616 | |||||
|
Total distributable earnings (loss) |
(298,378,379 | ) | ||||
| NET ASSETS | $ | 3,535,954,237 | ||||
|
Net Assets: |
||||||
|
Institutional |
7,996,910 | |||||
|
Class P |
2,752,307,009 | |||||
|
Class R6 |
775,650,318 | |||||
|
Total Net Assets |
$ | 3,535,954,237 | ||||
|
Shares Outstanding $0.001 par value (unlimited number of shares authorized): |
||||||
|
Institutional |
822,317 | |||||
|
Class P |
291,519,624 | |||||
|
Class R6 |
82,152,285 | |||||
|
Net asset value, offering and redemption price per share: |
||||||
|
Institutional |
$9.72 | |||||
|
Class P |
9.44 | |||||
|
Class R6 |
9.44 |
| (a) | Consolidated Statement of Assets and Liabilities for the Portfolio is consolidated and includes the balances of a wholly owned subsidiary, Cayman Commodity — TTIF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| (b) | Includes amounts segregated for initial margin requirements and/or collateral on futures, swaps and forward foreign currency exchange contract transactions of $41,625,614, $56,089,417 and $20,830,000, respectively. |
| (c) | Includes amount segregated for initial margin requirements and/or collateral on futures and swaps of $38 and $51,521,881, respectively. |
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statement of Operations(a)
For the six months ended February 29, 2020 (Unaudited)
|
|
||||||
| Investment income: |
|
|||||
|
Interest — unaffiliated issuers |
$ | 25,672,186 | ||||
|
Dividends — affiliated issuers |
11,002,335 | |||||
|
Dividends — unaffiliated issuers (net of foreign withholding taxes of $124) |
3,515,843 | |||||
|
Securities lending income — unaffiliated issuer |
108,475 | |||||
|
Total investment income |
40,298,839 | |||||
| Expenses: |
|
|||||
|
Management fees |
14,297,679 | |||||
|
Transfer Agency fees(b) |
564,970 | |||||
|
Custody, accounting and administrative services |
192,692 | |||||
|
Professional fees |
76,540 | |||||
|
Registration fees |
39,424 | |||||
|
Printing and mailing costs |
30,329 | |||||
|
Prime Broker Fees |
11,801 | |||||
|
Trustee fees |
9,926 | |||||
|
Shareholder meeting expense |
8,236 | |||||
|
Other |
25,170 | |||||
| Total expenses | 15,256,767 | |||||
|
Less — expense reductions |
(1,738,265 | ) | ||||
| Net expenses | 13,518,502 | |||||
| NET INVESTMENT INCOME | 26,780,337 | |||||
| Realized and unrealized gain (loss): |
|
|||||
|
Net realized gain (loss) from: |
||||||
|
Investments — unaffiliated issuers |
(2,766,091 | ) | ||||
|
Investments — affiliated issuers |
(70,941 | ) | ||||
|
Purchased options |
988,338 | |||||
|
Futures contracts |
(8,425,017 | ) | ||||
|
Written options |
2,861,772 | |||||
|
Swap contracts |
(40,917,583 | ) | ||||
|
Forward foreign currency exchange contracts |
(20,601,302 | ) | ||||
|
Foreign currency transactions |
(69,573 | ) | ||||
|
Net change in unrealized gain (loss) on: |
||||||
|
Investments — unaffiliated issuers |
(26,740,309 | ) | ||||
|
Investments — affiliated issuers |
(17,747,407 | ) | ||||
|
Purchased options |
18,293,983 | |||||
|
Futures contracts |
1,859,279 | |||||
|
Written options |
(21,180,687 | ) | ||||
|
Swap contracts |
27,330,544 | |||||
|
Forward foreign currency exchange contracts |
20,739,009 | |||||
|
Foreign currency translation |
1,361,346 | |||||
| Net realized and unrealized loss | (65,084,639 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (38,304,302 | ) | |||
| (a) | Statement of Operations for the Portfolio is consolidated and includes the balances of a wholly owned subsidiary, Cayman Commodity — TTIF Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| (b) | Class specific Transfer Agency fees were as follows: |
| Transfer Agency Fees | ||||||||||
|
Institutional |
Class P |
Class R6 |
||||||||
| $ | 3,078 | $ | 449,316 | $ | 112,576 | |||||
| 14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statements of Changes in Net Assets(a)
|
For the
Six Months Ended February 29, 2020 (Unaudited) |
For the
Fiscal Year Ended August 31, 2019 |
|||||||||
| From operations: | ||||||||||
|
Net investment income |
$ | 26,780,337 | $ | 83,805,921 | ||||||
|
Net realized gain (loss) |
(69,000,397 | ) | 38,037,225 | |||||||
|
Net change in unrealized gain (loss) |
3,915,758 | (117,477,425 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | (38,304,302 | ) | 4,365,721 | |||||||
| Distributions to shareholders: | ||||||||||
|
From distributable earnings: |
||||||||||
|
Institutional Shares |
(88,497 | ) | — | |||||||
|
Class P Shares |
(33,423,852 | ) | (88,570,565 | ) | ||||||
|
Class R6 Shares |
(8,832,644 | ) | (9,121,338 | ) | ||||||
| Total distributions to shareholders | (42,344,993 | ) | (97,691,903 | ) | ||||||
| From share transactions: | ||||||||||
|
Proceeds from sales of shares |
291,447,661 | 1,046,933,235 | ||||||||
|
Reinvestment of distributions |
42,344,993 | 97,691,903 | ||||||||
|
Cost of shares redeemed |
(648,351,330 | ) | (1,532,335,416 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (314,558,676 | ) | (387,710,278 | ) | ||||||
| TOTAL DECREASE | (395,207,971 | ) | (481,036,460 | ) | ||||||
| Net assets: | ||||||||||
|
Beginning of period |
3,931,162,208 | 4,412,198,668 | ||||||||
|
End of period |
$ | 3,535,954,237 | $ | 3,931,162,208 | ||||||
| (a) | Statement of Changes in Net Assets for the Portfolio is consolidated and includes the balances of a wholly owned subsidiary, Cayman Commodity — TTIF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Tactical Tilt Overlay Fund | ||||||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended August 31, |
Period
November 1, 2016 – August 31, 2017* |
Year Ended October 31, | |||||||||||||||||||||||
| I | 2019 | 2018 | 2016 | 2015 | ||||||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 9.94 | $ | 9.87 | $ | 9.73 | $ | 9.83 | $ | 10.40 | $ | 9.87 | ||||||||||||||
|
Net investment income(a) |
0.07 | 0.22 | 0.12 | 0.09 | 0.11 | 0.18 | ||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.18 | ) | (0.15 | ) | 0.11 | (0.01 | ) | (0.22 | ) | 0.46 | ||||||||||||||||
|
Total from investment operations |
(0.11 | ) | 0.07 | 0.23 | 0.08 | (0.11 | ) | 0.64 | ||||||||||||||||||
|
Distributions to shareholders from net investment income |
(0.11 | ) | — | (0.09 | ) | (0.18 | ) | (0.46 | ) | (0.11 | ) | |||||||||||||||
|
Net asset value, end of period |
$ | 9.72 | $ | 9.94 | $ | 9.87 | $ | 9.73 | $ | 9.83 | $ | 10.40 | ||||||||||||||
| Total return(b) | (1.05 | )% | 0.71 | % | 2.39 | % | 0.82 | % | (0.96 | )% | 6.57 | % | ||||||||||||||
|
Net assets, end of period (in 000s) |
$ | 7,997 | $ | 25,673 | $ | 23,583 | $ | 5,242,928 | $ | 5,214,846 | $ | 4,664,660 | ||||||||||||||
|
Ratio of net expenses to average net assets(c) |
0.73 | %(d) | 0.74 | % | 0.69 | % | 0.62 | %(d) | 0.59 | % | 0.52 | % | ||||||||||||||
|
Ratio of total expenses to average net assets(c) |
0.78 | %(d) | 0.79 | % | 0.76 | % | 0.75 | %(d) | 0.77 | % | 0.79 | % | ||||||||||||||
|
Ratio of net investment income to average net assets |
1.44 | %(d) | 2.17 | % | 1.20 | % | 1.10 | %(d) | 1.15 | % | 1.77 | % | ||||||||||||||
|
Portfolio turnover rate(e) |
11 | % | 46 | % | 41 | % | 28 | % | 48 | % | 81 | % | ||||||||||||||
| * | The Portfolio changed its fiscal year end from October 31 to August 31. |
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (c) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (d) | Annualized. |
| (e) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Tactical Tilt Overlay Fund | ||||||||||||||
| Class P Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 9.66 | $ | 9.87 | $ | 9.76 | ||||||||
|
Net investment income(b) |
0.07 | 0.20 | 0.14 | |||||||||||
|
Net realized and unrealized loss |
(0.18 | ) | (0.15 | ) | (0.03 | ) | ||||||||
|
Total from investment operations |
(0.11 | ) | 0.05 | 0.11 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.11 | ) | (0.26 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 9.44 | $ | 9.66 | $ | 9.87 | ||||||||
| Total return(c) | (1.02 | )% | 0.59 | % | 1.13 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 2,752,307 | $ | 3,190,855 | $ | 4,045,246 | ||||||||
|
Ratio of net expenses to average net assets(d) |
0.72 | %(e) | 0.72 | % | 0.71 | %(e) | ||||||||
|
Ratio of total expenses to average net assets(d) |
0.77 | %(e) | 0.78 | % | 0.77 | %(e) | ||||||||
|
Ratio of net investment income to average net assets |
1.42 | %(e) | 2.07 | % | 3.80 | %(e) | ||||||||
|
Portfolio turnover rate(f) |
11 | % | 46 | % | 41 | % | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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 shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Tactical Tilt Overlay Fund | ||||||||||||||
| Class R6 Shares | ||||||||||||||
|
Six Months Ended
February 29, 2020 (Unaudited) |
Year Ended
August 31, 2019 |
Period Ended
August 31, 2018(a) |
||||||||||||
| Per Share Data | ||||||||||||||
|
Net asset value, beginning of period |
$ | 9.67 | $ | 9.87 | $ | 9.81 | ||||||||
|
Net investment income(b) |
0.07 | 0.26 | 0.11 | |||||||||||
|
Net realized and unrealized loss |
(0.19 | ) | (0.20 | ) | (0.05 | ) | ||||||||
|
Total from investment operations |
(0.12 | ) | 0.06 | 0.06 | ||||||||||
|
Distributions to shareholders from net investment income |
(0.11 | ) | (0.26 | ) | — | |||||||||
|
Net asset value, end of period |
$ | 9.44 | $ | 9.67 | $ | 9.87 | ||||||||
| Total return(c) | (1.01 | )% | 0.58 | % | 0.61 | % | ||||||||
|
Net assets, end of period (in 000s) |
$ | 775,650 | $ | 714,633 | $ | 343,370 | ||||||||
|
Ratio of net expenses to average net assets(d) |
0.72 | %(e) | 0.73 | % | 0.69 | %(e) | ||||||||
|
Ratio of total expenses to average net assets(d) |
0.77 | %(e) | 0.78 | % | 0.76 | %(e) | ||||||||
|
Ratio of net investment income to average net assets |
1.43 | %(e) | 2.65 | % | 1.77 | %(e) | ||||||||
|
Portfolio turnover rate(f) |
11 | % | 46 | % | 41 | % | ||||||||
| (a) | Commenced operations on December 29, 2017. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| 18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
February 29, 2020 (Unaudited)
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Tactical Tilt Overlay Fund (the “Portfolio”) is a diversified portfolio and currently offers three classes of shares — Institutional, Class P and Class R6 Shares. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Portfolio pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Portfolio is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Basis of Consolidation for Goldman Sachs Tactical Tilt Overlay Fund — The Cayman Commodity — TTIF, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on July 31, 2014 and is currently a wholly-owned subsidiary of the Portfolio. The Subsidiary acts as an investment vehicle for the Portfolio to enable the Portfolio to gain exposure to certain types of commodity-linked derivative instruments. The Portfolio is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of July 31, 2014, and it is intended that the Portfolio will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of February 29, 2020, the Portfolio’s net assets were $3,535,954,237, of which, $376,912,377 or 11%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Portfolio’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 recorded net of any foreign withholding taxes, less any amounts reclaimable. The Portfolio may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments
Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Portfolio 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.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting 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.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Portfolio are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Portfolio are charged to the Portfolio, while such expenses incurred by the Trust are allocated across the
19
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Portfolio 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. Federal Taxes and Distributions to Shareholders — It is the Portfolio’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, the Portfolio 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 Portfolio 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 Portfolio in the current period nor carried forward to offset taxable income in future periods.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Portfolio’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Portfolio’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of the Portfolio 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 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 Portfolio’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolio, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolio’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs
20
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. 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 Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share 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 Portfolio invests in Underlying Funds that fluctuate in value, the Portfolio’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Portfolio and cash collateral received, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Portfolio, if any, is noted in the Consolidated Schedule 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
21
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When the Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit default swap contracts.
Upon the purchase of a call option or a put option by the Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Portfolio 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 Portfolio and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Portfolio is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. The Portfolio’s investment in credit default swaps may involve greater risks than if the Portfolio had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If the Portfolio buys protection
22
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, the Portfolio, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. The Portfolio may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, the Portfolio generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Portfolio sells protection through a credit default swap, the Portfolio could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, the Portfolio, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. The Portfolio may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, the Portfolio is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum potential amount of future payments (undiscounted) that the Portfolio as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Portfolio bought credit protection.
A total return swap is an agreement that gives the Portfolio the right to receive or pay the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, the Portfolio may also be required to pay the dollar value of that decline to the counterparty.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
23
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Portfolio’s investments and derivatives classified in the fair value hierarchy as of February 29, 2020:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
|
Exchange Traded Fund |
$ | 93,215,038 | $ | — | $ | — | ||||||
|
Investment Companies |
946,384,132 | — | — | |||||||||
|
Short-term Investments |
— | 2,382,826,355 | — | |||||||||
|
Securities Lending Reinvestment Vehicle |
14,809,200 | — | — | |||||||||
| Total | $ | 1,054,408,370 | $ | 2,382,826,355 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
|
Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | 6,866,112 | $ | — | ||||||
|
Futures Contracts(a) |
25,505,790 | — | — | |||||||||
|
Interest Rate Swap Contracts(a) |
— | 368,939 | — | |||||||||
|
Credit Default Swap Contracts(a) |
— | 6,150,957 | — | |||||||||
|
Total Return Swap Contracts(a) |
— | 46,985,124 | — | |||||||||
|
Purchased Options |
— | 28,257,174 | — | |||||||||
| Total | $ | 25,505,790 | $ | 88,628,306 | $ | — | ||||||
| Liabilities | ||||||||||||
|
Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | (11,176,136 | ) | $ | — | |||||
|
Futures Contracts(a) |
(37,114,383 | ) | — | — | ||||||||
|
Interest Rate Swap Contracts(a) |
— | (610,221 | ) | — | ||||||||
|
Credit Default Swap Contracts(a) |
— | (3,035,320 | ) | — | ||||||||
|
Total Return Swap Contracts(a) |
— | (31,107,486 | ) | — | ||||||||
|
Written option contracts |
— | (43,190,686 | ) | — | ||||||||
| Total | $ | (37,114,383 | ) | $ | (89,119,849 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
24
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 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 February 29, 2020. These instruments were used as part of the Portfolio’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Portfolio’s net exposure.
| Risk |
Consolidated Statement
of Assets and Liabilities |
Assets |
Consolidated Statement
of Assets and Liabilities |
Liabilities | ||||||||
|
Interest rate |
Variation margin on futures contracts; Variation margin on swap contracts |
$
|
13,106,140
|
(a)
|
Variation margin on futures contracts; Variation margin on swap contracts | $ | (2,268,536) | (a) | ||||
|
Credit |
Variation margin on swap contracts | 6,150,957 | (a) | Variation margin on swap contracts | (3,035,320) | (a) | ||||||
|
Currency |
Receivable for unrealized gain on forward foreign currency exchange contracts; Purchased options, at value |
13,844,209 |
Payable for unrealized loss on forward foreign currency exchange contracts; Written options, at value |
(15,407,575) | ||||||||
|
Equity |
Variation margin on futures contracts; Receivable for unrealized gain on swap contracts; Purchased options, at value | 81,032,791 | (a) |
Variation margin on futures contracts; Payable for unrealized loss on swap contracts; Written options, at value |
|
(105,522,801)
|
(a)
|
|||||
| Total | $ | 114,134,097 | $ | (126,234,232) | ||||||||
| (a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information section of the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Portfolio’s gains (losses) related to these derivatives and their indicative volumes for the six months ended February 29, 2020. 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 Consolidated Statement of Operations:
| Risk | Consolidated Statement of Operations |
Net Realized
(Loss) |
Net Change in
Unrealized Gain (Loss) |
Average
Number of Contracts(a) |
||||||||||
| Interest rate | Net realized gain (loss) from futures contracts and swap contracts /Net change in unrealized gain (loss) on futures contracts and swap contracts | $ | (4,507,569 | ) | $ | 9,463,554 | 11,523 | |||||||
| Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (36,197 | ) | 3,115,637 | 1 | |||||||||
| Commodity | Net realized gain (loss) from futures contracts /Net change in unrealized gain (loss) on futures contracts | (20,571,569 | ) | 2,879,027 | 2,462 | |||||||||
| Currency |
Net realized gain (loss) from forward foreign currency exchange contracts, purchased options and written options/Net change in unrealized gain (loss) on forward foreign currency exchange contracts, purchased options and written options |
(20,601,302 | ) | 22,804,032 | 15 | |||||||||
| Equity | Net realized gain (loss) from futures contracts, purchased options, swap contracts and written options/Net change in unrealized gain (loss) on swap contracts, futures contracts, purchased options and written options | (20,377,155 | ) | 8,779,878 | 11,003 | |||||||||
| Total | $ | (66,093,792 | ) | $ | 47,042,128 | 25,004 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the six months period ending February 29, 2020. |
25
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 4. INVESTMENTS IN DERIVATIVES (continued) |
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. Additionally, the Portfolio 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 the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. The Portfolio 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.
The following tables set forth the Portfolio’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of February 29, 2020:
| Derivative Assets(1) | Derivative Liabilities(1) |
Net
Derivative Asset (Liabilities) |
Collateral
(Received) Pledged(1) |
Net
Amount(2) |
||||||||||||||||||||||||||||||||||||||||
| Counterparty |
Options
Purchased |
Swaps |
Forward
Currency Contracts |
Total |
Options
Written |
Swaps |
Forward
Currency Contracts |
Total | ||||||||||||||||||||||||||||||||||||
|
BOA Securities LLC |
$ | 195,966 | $ | — | $ | — | $ | 195,966 | $ | (579,070 | ) | $ | — | $ | — | $ | (579,070 | ) | $ | (383,104 | ) | $ | — | $ | (383,104 | ) | ||||||||||||||||||
|
Barclays Bank PLC |
171,619 | 5,555,790 | — | 5,727,409 | (171,618 | ) | (7,990,169 | ) | — | (8,161,787 | ) | (2,434,378 | ) | — | (2,434,378 | ) | ||||||||||||||||||||||||||||
|
Citi Bank NA |
18,827,561 | — | 18,827,561 | (13,556,065 | ) | — | — | (13,556,065 | ) | 5,271,496 | (5,271,496 | ) | — | |||||||||||||||||||||||||||||||
|
JPMorgan Securities, Inc. |
2,123,222 | 41,429,334 | — | 43,552,556 | — | — | — | 43,552,556 | (36,200,000 | ) | 7,352,556 | |||||||||||||||||||||||||||||||||
|
MS & Co. Int. PLC |
6,938,806 | — | 6,866,112 | 13,804,918 | (28,883,933 | ) | (23,117,317 | ) | (11,176,136 | ) | (63,177,386 | ) | (49,372,468 | ) | 49,372,468 | — | ||||||||||||||||||||||||||||
|
Total |
$ | 28,257,174 | $ | 46,985,124 | $ | 6,866,112 | $ | 82,108,410 | $ | (43,190,686 | ) | $ | (31,107,486 | ) | $ | (11,176,136 | ) | $ | (85,474,308 | ) | $ | (3,365,898 | ) | $ | 7,900,972 | $ | 4,535,074 | |||||||||||||||||
| (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. |
26
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolio, 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 Portfolio’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Portfolio’s average daily net assets.
For the six months ended February 29, 2020, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | ||||||||||||||||||||||
|
First
$2 billion |
Next
$3 billion |
Next
$3 billion |
Over
$8 billion |
Effective
Management Fee Rate |
Effective Net
Management Fee Rate*^(a) |
|||||||||||||||||
| 0.75% | 0.68% | 0.64% | 0.62% | 0.72% | 0.66% | |||||||||||||||||
| * | GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to any management fee it earns as an investment adviser to any of the affiliated funds in which the Portfolio invests through at least December 27, 2020. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
| ^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| (a) | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement as defined below after waivers. |
The Portfolio invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), and Class R6 Shares of the 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 Portfolio in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Funds in which the Portfolio invests, except those management fees it earns from the Portfolio’s investment of cash collateral received in connection with securities lending transactions in the Government Money Market Fund. For the six months ended February 29, 2020, GSAM waived $841,363 of the Portfolio’s management fee.
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “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 the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Portfolio’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the six months ended February 29, 2020, GSAM waived $859,870 of the Portfolio’s management fee.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolio 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 and 0.03% of the average daily net assets of Class P Shares and Class R6 Shares.
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Portfolio (excluding acquired fund fees and expenses, transfer agency fees and expenses, 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 Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolio is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Portfolio is 0.164%. This Other Expense limitation will remain in place through at least December 27, 2020 and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Portfolio has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolio’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
Goldman Sachs may voluntarily waive a portion of any payments under the Portfolio’s Transfer Agency Agreement, and this waiver is in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
27
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended February 29, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
|
Management
Fee Waiver |
Other Expense
Reimbursements |
Total Expense
Reductions |
||||||||
| $ | 1,701,233 | $ | 37,032 | $ | 1,738,265 | |||||
D. Line of Credit Facility — As of February 29, 2020, the Portfolio participated in a $580,000,000 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 Portfolio based on the amount of the commitment that has not been utilized. For the six months ended February 29, 2020, the Portfolio did not have any borrowings under the facility.
E. Other Transactions with Affiliates — For the six months ended February 29, 2020, Goldman Sachs earned $196,932, in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Portfolio.
The table below shows the transactions in and earnings from investments in the Underlying Funds For the six months ended February 29, 2020:
| Affiliated Investment Companies |
Beginning
Value as of August 31, 2019 |
Purchases
at Cost |
Proceeds
from Sales |
Net
|
Change in
Unrealized
(Depreciation) |
Ending Value
as of February 29, 2020 |
Shares as of
February 29, 2020 |
Dividend
Income from Affiliated Investment Companies |
||||||||||||||||||||||||
|
Goldman Sachs Financial Square Government Fund — Institutional Shares |
$ | 1,258,123,123 | $ | 966,900,947 | $ | (1,348,272,690 | ) | $ | — | $ | — | $ | 876,751,380 | 876,751,380 | $ | 8,889,380 | ||||||||||||||||
|
Goldman Sachs MLP Energy Infrastructure Fund — Class R6 Shares |
55,838,146 | 31,542,013 | — | (70,941 | ) | (17,747,407 | ) | 69,632,752 | 14,974,785 | 2,112,955 | ||||||||||||||||||||||
|
Total |
$ | 1,313,961,269 | $ | 998,442,960 | $ | (1,348,272,690 | ) | $ | (70,941 | ) | $ | (17,747,407 | ) | $ | 946,384,132 | 891,726,165 | $ | 11,002,335 | ||||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended February 29, 2020, were as follows:
|
Purchases of U.S. Government and Agency Obligations |
Purchases (Excluding U.S. Government and Agency Obligations) |
Sales and Maturities of U.S. Government and Agency Obligations |
Sales and Maturities (Excluding U.S. Government and Agency Obligations) |
|||||||
| $ — | $62,549,280 | $ | — | $ | 20,465,533 | |||||
28
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 7. SECURITIES LENDING |
The Portfolio may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Portfolio’s securities lending procedures, the Portfolio receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Portfolio, 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 Portfolio on the next business day. As with other extensions of credit, the Portfolio may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Portfolio 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 Consolidated Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Portfolio invests the cash collateral received in connection with securities lending transactions in the 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 Portfolio 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 Portfolio by paying the Portfolio 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 Portfolio’s 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 Portfolio’s 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 Portfolio’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of February 29, 2020, which are disclosed as “Payable upon return of securities loaned” on the Consolidated Statement of Assets and Liabilities, where applicable.
Both the Portfolio and BNYM received compensation relating to the lending of the Portfolio’s securities. The amounts earned, if any, by the Portfolio for the six months ended February 29, 2020, are reported under Investment Income on the Consolidated Statement of Operations.
The following table provides information about the Portfolio’s investment in the Government Money Market Fund for the six months ended February 29, 2020.
|
Beginning Value as of August 31, 2019 |
Purchases
at Cost |
Proceeds
from Sales |
Ending Value as of February 29, 2020 |
|||||||
| $55,429,365 | $455,479,102 | $ | (496,099,267 | ) | $ | 14,809,200 | ||||
29
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 8. TAX INFORMATION |
As of the Portfolio’s most recent fiscal year end, August 31, 2019, the Portfolio’s capital loss carryforwards and certain timing
differences on a tax basis were as follows:
|
Capital loss carryforwards: |
||||
|
Perpetual Short-Term |
$ | (209,487,226 | ) | |
|
Perpetual Long-Term |
(667,831 | ) | ||
|
Total capital loss carryforwards |
$ | (210,155,057 | ) | |
|
Timing differences (Qualified Late Year Loss Deferral/Post October Loss Deferral) |
$ | (32,229,944 | ) |
As of February 29, 2020, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
Tax Cost |
$ | 3,461,302,702 | ||
|
Gross unrealized gain |
33,384,875 | |||
|
Gross unrealized loss |
(57,452,852 | ) | ||
|
Net unrealized gains (loss) on investments |
(24,067,977 | ) |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures, net mark to market gains/(losses) on foreign currency contracts, and differences in the tax treatment of underlying fund investments, and swap transactions.
GSAM has reviewed the Portfolio’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Portfolio’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 9. OTHER RISKS |
The Portfolio’s risks include, but are not limited to, the following:
Derivatives Risk — The Portfolio’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolio. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Floating and Variable Rate Obligations Risk — For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Portfolio, depending on the interest rate environment or other circumstances.
Certain floating and variable rate obligations have an interest rate floor feature, which prevents the interest rate payable by the security from dropping below a specified level as compared to a reference interest rate (the “reference rate”), such as LIBOR. In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Portfolio investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to the Portfolio’s investments resulting from a substitute reference rate may also adversely affect the Portfolio’s performance and/or NAV.
30
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 9. OTHER RISKS (continued) |
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Portfolio invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Portfolio 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 Portfolio also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If the Portfolio invests in foreign securities, the Portfolio may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Portfolio’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on the Portfolio’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Geographic Risk — If the Portfolio focuses its investments in securities of issuers located in a particular country or geographic region, the Portfolio 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 the Portfolio will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Portfolio’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Portfolio.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, the Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Investments in the Underlying Funds Risk — The investments of the Portfolio are concentrated in the Underlying Funds, and the Portfolio’s investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolio is subject to the risk factors associated with the investments of the Underlying Funds in direct proportion to the amount of assets allocated to each. The Portfolio that has a relative concentration of its portfolio in a single Underlying Fund may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments.
31
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 9. OTHER RISKS (continued) |
Large Shareholder Transactions Risk — The Portfolio 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 Portfolio in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Portfolio. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Portfolio to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’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 Portfolio’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s expense ratio. Similarly, large Portfolio share purchases may adversely affect the Portfolio’s performance to the extent that the Portfolio is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Portfolio or Underlying Funds 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 Portfolio or Underlying Funds will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Portfolio or Underlying Funds may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Portfolio or Underlying Funds are forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s or Underlying Funds’ NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Portfolio’s or Underlying Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Portfolio’s or Underlying Funds’ liquidity.
Market and Credit Risks — In the normal course of business, the Portfolio 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 Portfolio invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Portfolio and its investments. Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
Sector Risk — To the extent the Portfolio focuses its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Portfolio may be subjected, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business, political, environmental or other developments.
Credit/Default Risk — An issuer or guarantor of a security held by the Portfolio, or a bank or other financial institution that has entered into a repurchase agreement with the Portfolio, 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 the Portfolio’s liquidity and cause significant deterioration in NAV.
Tax Risk — The Portfolio will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes (the “Notes Rulings”) or a wholly-owned foreign subsidiary that invests in commodity-linked instruments
32
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 9. OTHER RISKS (continued) |
are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Portfolio has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. The IRS recently issued final regulations that, would generally treat the Portfolio’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion or (B) such inclusion is derived with respect to the Portfolio’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 Portfolio has limited its investments in commodity index-linked structured notes. The Portfolio has obtained an opinion of counsel that the Portfolio’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 Portfolio’s income from such investments was not “qualifying income,” in which case the Portfolio 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 Portfolio failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Portfolio shareholders.
Short Position Risk —The Portfolio may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Portfolio may purchase for investment. Taking short positions involves leverage of the Portfolio’s assets and presents various risks, including counterparty risk. If the value of the underlying instrument or market in which the Portfolio has taken a short position increases, then the Portfolio will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited. To the extent that the Portfolio uses the proceeds it receives from a short position to take additional long positions, the risks associated with the short position, including leverage risks, may be heightened, because doing so increases the exposure of the Portfolio to the markets and therefore could magnify changes to the Portfolio’s NAV.
| 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 Portfolio. Additionally, in the course of business, the Portfolio enters into contracts that contain a variety of indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolio that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 11. SUBSEQUENT EVENTS |
Subsequent events after the Consolidated Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
33
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
February 29, 2020 (Unaudited)
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
|
For the Six Months Ended
February 29, 2020 (Unaudited) |
For the Fiscal Year Ended
August 31, 2019 |
|||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
|
|
|||||||||||||||
| Institutional Shares | ||||||||||||||||
|
Shares sold |
28,950 | $ | 290,000 | 2,069,654 | $ | 20,766,813 | ||||||||||
|
Reinvestment of distributions |
8,903 | 88,497 | — | — | ||||||||||||
|
Shares redeemed |
(1,797,861 | ) | (17,978,395 | ) | (1,875,747 | ) | (18,886,068 | ) | ||||||||
| (1,760,008 | ) | (17,599,898 | ) | 193,907 | 1,880,745 | |||||||||||
| Class P Shares | ||||||||||||||||
|
Shares sold |
20,803,047 | 201,045,332 | 59,356,126 | 577,750,645 | ||||||||||||
|
Reinvestment of distributions |
3,463,612 | 33,423,852 | 9,554,538 | 88,570,565 | ||||||||||||
|
Shares redeemed |
(62,931,185 | ) | (610,717,861 | ) | (148,757,427 | ) | (1,440,913,518 | ) | ||||||||
| (38,664,526 | ) | (376,248,677 | ) | (79,846,763 | ) | (774,592,308 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
|
Shares sold |
9,321,284 | 90,112,329 | 45,782,474 | 448,415,777 | ||||||||||||
|
Reinvestment of distributions |
915,300 | 8,832,644 | 983,963 | 9,121,338 | ||||||||||||
|
Shares redeemed |
(2,023,273 | ) | (19,655,074 | ) | (7,630,842 | ) | (72,535,830 | ) | ||||||||
| 8,213,311 | 79,289,899 | 39,135,595 | 385,001,285 | |||||||||||||
|
NET DECREASE |
(32,211,223 | ) | $ | (314,558,676 | ) | (40,517,261 | ) | $ | (387,710,278 | ) | ||||||
34
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Portfolio will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Portfolio to the extent such expenses exceed a specified percentage of the Portfolio’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
|
Proposal 1. Election of Trustees |
For | Against | Withheld | Broker Non-Votes | ||||||||||||
|
Dwight L. Bush |
94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
|
Kathryn A. Cassidy |
94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
|
Joaquin Delgado |
94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
|
Gregory G. Weaver |
94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
|
Proposal 2.
To
approve a change to the Fund’s sub-classification under
|
For | Against | Abstained | Broker Non-Votes | ||||||||||||
|
Large Cap Growth Insights Fund |
23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
35
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Liquidity Risk Management Program
The Portfolio has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Portfolio’s liquidity risk, i.e., the risk that the Portfolio is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Board of Trustees of the Trust has designated GSAM, the Portfolio’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Portfolio that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Portfolio’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other risks to which it may be subject.
36
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
Portfolio Expenses — Six Month Period Ended February 29, 2020 (Unaudited) |
||
As a shareholder of Institutional, Class P and Class R6 Shares of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional, Class P and Class R6 Shares of the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 through February 29, 2020, which represents a period of 182 days in a 366-day year.
Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher:
| Share Class |
Beginning
Account Value 9/1/19 |
Ending
Account Value 2/29/20 |
Expenses
Paid for the 6 months ended 2/29/20* |
|||||||||
| Institutional | ||||||||||||
|
Actual |
$ | 1,000.00 | $ | 989.50 | $ | 3.61 | ||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.23 | + | 3.67 | ||||||||
| Class P | ||||||||||||
|
Actual |
1,000.00 | 989.80 | 3.56 | |||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.28 | + | 3.62 | ||||||||
| Class R6 | ||||||||||||
|
Actual |
1,000.00 | 989.90 | 3.56 | |||||||||
|
Hypothetical 5% return |
1,000.00 | 1,021.28 | + | 3.62 | ||||||||
| * | Hypothetical expenses are based on the Portfolio’s actual annualized net expense ratios (excluding proxy fee which is not annualized) and an assumed rate of return of 5% per year before expenses. |
| + | Expenses are calculated using the Portfolio’s annualized net expense ratio (excluding proxy fee which is not annualized) for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 29, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: 0.73% for Institutional Shares, 0.72% for Class P Shares and 0.72% for Class R6 Shares. |
37
FUND PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ |
Financial Square Treasury Solutions Fund1 |
| ∎ |
Financial Square Government Fund1 |
| ∎ |
Financial Square Money Market Fund2 |
| ∎ |
Financial Square Prime Obligations Fund2 |
| ∎ |
Financial Square Treasury Instruments Fund1 |
| ∎ |
Financial Square Treasury Obligations Fund1 |
| ∎ |
Financial Square Federal Instruments Fund1 |
Investor FundsSM
| ∎ |
Investor Money Market Fund3 |
| ∎ |
Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ |
Enhanced Income Fund |
| ∎ |
High Quality Floating Rate Fund |
| ∎ |
Short-Term Conservative Income Fund |
| ∎ |
Short Duration Government Fund |
| ∎ |
Short Duration Income Fund |
| ∎ |
Government Income Fund |
| ∎ |
Inflation Protected Securities Fund |
Multi-Sector
| ∎ |
Bond Fund |
| ∎ |
Core Fixed Income Fund |
| ∎ |
Global Income Fund |
| ∎ |
Strategic Income Fund |
| ∎ |
Income Fund |
Municipal and Tax-Free
| ∎ |
High Yield Municipal Fund |
| ∎ |
Dynamic Municipal Income Fund |
| ∎ |
Short Duration Tax-Free Fund |
| ∎ |
Municipal Income Completion Fund |
Single Sector
| ∎ |
Investment Grade Credit Fund |
| ∎ |
U.S. Mortgages Fund |
| ∎ |
High Yield Fund |
| ∎ |
High Yield Floating Rate Fund |
| ∎ |
Emerging Markets Debt Fund |
| ∎ |
Local Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ |
Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ |
Equity Income Fund |
| ∎ |
Small Cap Growth Fund |
| ∎ |
Small Cap Value Fund |
| ∎ |
Small/Mid Cap Value Fund |
| ∎ |
Mid Cap Value Fund |
| ∎ |
Large Cap Value Fund |
| ∎ |
Focused Value Fund |
| ∎ |
Capital Growth Fund |
| ∎ |
Strategic Growth Fund |
| ∎ |
Small/Mid Cap Growth Fund |
| ∎ |
Flexible Cap Fund |
| ∎ |
Concentrated Growth Fund |
| ∎ |
Technology Opportunities Fund |
| ∎ |
Growth Opportunities Fund |
| ∎ |
Rising Dividend Growth Fund |
| ∎ |
Blue Chip Fund |
| ∎ |
Income Builder Fund |
Tax-Advantaged Equity
| ∎ |
U.S. Tax-Managed Equity Fund |
| ∎ |
International Tax-Managed Equity Fund |
| ∎ |
U.S. Equity Dividend and Premium Fund |
| ∎ |
International Equity Dividend and Premium Fund |
Equity Insights
| ∎ |
Small Cap Equity Insights Fund |
| ∎ |
U.S. Equity Insights Fund |
| ∎ |
Small Cap Growth Insights Fund |
| ∎ |
Large Cap Growth Insights Fund |
| ∎ |
Large Cap Value Insights Fund |
| ∎ |
Small Cap Value Insights Fund |
| ∎ |
International Small Cap Insights Fund |
| ∎ |
International Equity Insights Fund |
| ∎ |
Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ |
International Equity Income Fund |
| ∎ |
International Equity ESG Fund |
| ∎ |
China Equity Fund4 |
| ∎ |
Emerging Markets Equity Fund |
| ∎ |
Imprint Emerging Markets Opportunities Fund5 |
| ∎ |
ESG Emerging Markets Equity Fund |
Select Satellite
| ∎ |
Real Estate Securities Fund |
| ∎ |
International Real Estate Securities Fund |
| ∎ |
Commodity Strategy Fund |
| ∎ |
Global Real Estate Securities Fund |
| ∎ |
Alternative Premia Fund |
| ∎ |
Absolute Return Tracker Fund |
| ∎ |
Managed Futures Strategy Fund |
| ∎ |
MLP Energy Infrastructure Fund |
| ∎ |
MLP & Energy Fund |
| ∎ |
Multi-Manager Alternatives Fund |
| ∎ |
Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ |
Global Managed Beta Fund |
| ∎ |
Multi-Manager Non-Core Fixed Income Fund |
| ∎ |
Multi-Manager U.S. Dynamic Equity Fund |
| ∎ |
Multi-Manager Global Equity Fund |
| ∎ |
Multi-Manager International Equity Fund |
| ∎ |
Tactical Tilt Overlay Fund |
| ∎ |
Balanced Strategy Portfolio |
| ∎ |
Multi-Manager U.S. Small Cap Equity Fund |
| ∎ |
Multi-Manager Real Assets Strategy Fund |
| ∎ |
Growth and Income Strategy Portfolio |
| ∎ |
Growth Strategy Portfolio |
| ∎ |
Dynamic Global Equity Fund |
| ∎ |
Satellite Strategies Portfolio |
| ∎ |
Enhanced Dividend Global Equity Portfolio |
| ∎ |
Tax-Advantaged Global Equity Portfolio |
| ∎ |
Strategic Factor Allocation Fund |
| ∎ |
Target Date Retirement Portfolio6 |
| ∎ |
Target Date 2025 Portfolio |
| ∎ |
Target Date 2030 Portfolio |
| ∎ |
Target Date 2035 Portfolio |
| ∎ |
Target Date 2040 Portfolio |
| ∎ |
Target Date 2045 Portfolio |
| ∎ |
Target Date 2050 Portfolio |
| ∎ |
Target Date 2055 Portfolio |
| ∎ |
Target Date 2060 Portfolio |
| ∎ |
GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective after the close of business of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed to the Goldman Sachs China Equity Fund. |
| 5Effective | after the close of bsiness on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6Effective | December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
| Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
| TRUSTEES | OFFICERS | |
|
Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver |
James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
|
|
GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
|
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Portfolio included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolio in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolio, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolio. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities and information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30, are available (I) without charge, upon request by calling 1-800-526-7384; and (II) on the Securities and Exchange Commission (“SEC’’) web site at http://www.sec.gov.
The Portfolio will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-621-2550 (for Institutional Shareholders).
Portfolio holdings and allocations shown are as of February 29, 2020 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Portfolio’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
© 2020 Goldman Sachs. All rights reserved. 200070-OTU-1180677 TACTSAR-20
| ITEM 2. |
CODE OF ETHICS. |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).
(b) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
(c) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.
(d) A copy of the Code of Ethics is available as provided in Item 13(a)(1) of this report.
| ITEM 3. |
AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
| ITEM 4. |
PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
The information required by this Item is only required in an annual report on this Form N-CSR.
| ITEM 5. |
AUDIT COMMITTEE OF LISTED REGISTRANTS. |
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Not applicable. |
| ITEM 6. |
SCHEDULE OF INVESTMENTS. |
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Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
| ITEM 7. |
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
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Not applicable. |
| ITEM 8. |
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
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Not applicable. |
| ITEM 9. |
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
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Not applicable. |
| ITEM 10. |
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
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There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
| ITEM 11. |
CONTROLS AND PROCEDURES. |
| (a) |
The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
| (b) |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| ITEM 12. |
DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
| ITEM 13. |
EXHIBITS. |
| (a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is filed herewith. | |||
| (a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
| (a)(3) | Not applicable to open-end investment companies. | |||
| (a)(4) | 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. | ||
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 | |
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James A. McNamara |
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| President/Chief Executive Officer | ||
| Goldman Sachs Trust | ||
| Date: | May 5, 2020 | |
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.