GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
March 31, 2013 (Unaudited)
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Shares
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Description
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Value
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Common Stocks –
98.6%
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Commercial – 28.0%
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116,127
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Alexandria Real Estate Equities, Inc. (REIT)
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$ 8,242,695
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246,983
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Boston Properties, Inc. (REIT)
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24,960,102
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423,897
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Brandywine Realty Trust (REIT)
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6,294,870
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527,245
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Brookfield Office Properties, Inc.
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9,052,797
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251,931
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Digital Realty Trust, Inc. (REIT)
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16,856,703
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195,585
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Highwoods Properties, Inc. (REIT)
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7,739,298
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151,726
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Kilroy Realty Corp. (REIT)
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7,950,442
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233,231
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Liberty Property Trust (REIT)
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9,270,932
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335,027
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Prologis, Inc. (REIT)
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13,394,379
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83,061
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PS Business Parks, Inc. (REIT)
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6,555,174
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151,459
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SL Green Realty Corp. (REIT)
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13,042,135
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244,168
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Terreno Realty Corp. (REIT)
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4,390,141
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138,218
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Vornado Realty Trust (REIT)
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11,560,554
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139,310,222
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Health Care – 14.7%
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329,580
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HCP, Inc. (REIT)
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16,432,859
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360,458
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Health Care REIT, Inc. (REIT)
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24,478,703
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309,814
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Healthcare Trust of America, Inc.
Class A (REIT)
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3,640,314
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387,591
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Ventas, Inc. (REIT)
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28,371,661
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72,923,537
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Leisure – 6.3%
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461,118
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Chesapeake Lodging Trust (REIT)
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10,578,047
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372,538
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Host Hotels & Resorts, Inc. (REIT)
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6,515,690
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272,246
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Pebblebrook Hotel Trust (REIT)
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7,021,224
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854,851
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Strategic Hotels & Resorts, Inc.
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(REIT)
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7,138,006
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31,252,967
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Multifamily – 19.1%
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219,313
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AvalonBay Communities, Inc. (REIT)
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27,780,378
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207,335
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BRE Properties, Inc. (REIT)
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10,093,068
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198,358
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Camden Property Trust (REIT)
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13,623,227
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111,728
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Equity Lifestyle Properties, Inc. (REIT)
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8,580,710
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210,129
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Equity Residential (REIT)
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11,569,703
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72,501
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Essex Property Trust, Inc. (REIT)
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10,917,200
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263,268
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Post Properties, Inc. (REIT)
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12,399,923
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94,964,209
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Other – 1.3%
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82,265
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American Tower Corp. (REIT)
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6,327,824
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Retail – 25.0%
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234,187
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Acadia Realty Trust (REIT)
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6,503,373
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323,278
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CBL & Associates Properties, Inc. (REIT)
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7,629,361
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479,258
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DDR Corp. (REIT)
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8,348,674
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520,110
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Kimco Realty Corp. (REIT)
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11,650,464
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394,084
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Simon Property Group, Inc. (REIT)
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62,485,959
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245,876
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The Macerich Co. (REIT)
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15,829,497
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372,492
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Weingarten Realty Investors (REIT)
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11,752,123
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124,199,451
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Shares
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Description
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Value
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Common Stocks –
(continued)
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Self Storage – 4.2%
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137,448
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Public Storage (REIT)
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$ 20,936,079
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TOTAL INVESTMENTS – 98.6%
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$ 489,914,289
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OTHER ASSETS IN EXCESS OF
LIABILITIES –
1.4%
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6,837,929
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NET ASSETS – 100.0%
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$ 496,752,218
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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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*
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Non-income producing security.
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Investment Abbreviation:
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REIT — Real Estate Investment Trust
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For information on the mutual funds, please call our toll-free Shareholder Services Line at
1-800-526-7384 or visit us on the web at
www.goldmansachsfunds.com.
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GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
TAX INFORMATION
— At March 31, 2013, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income
tax purposes were as follows:
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Tax cost
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$
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365,422,982
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Gross unrealized gain
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124,660,032
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Gross unrealized loss
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(168,725
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)
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Net unrealized security gain
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$
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124,491,307
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Additional information regarding the Fund is available in the Fund’s most recent Annual and Semi-Annual Reports
to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS
Investment Valuation
— The Funds’ valuation policy is to value investments at fair value.
Investments and Fair Value Measurements
— The fair value of a financial instrument is 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). Accounting principle generally accepted in the United States of America (“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 Goldman Sachs Asset Management, L.P.
(“GSAM”) assumptions in determining fair value measurement).
The Trustees have adopted 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’ portfolio 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 and investment companies 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 no sale occurs,
equity securities and exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Investments in investment companies (other than those that are exchange traded) are valued
at the net asset value (“NAV”) on the valuation date. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
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. 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. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Debt Securities
— Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by
dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as
rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at
amortized cost, which approximates fair value. With the exception of treasury securities, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i
.
Commodity Index-Linked Structured Notes
— Structured notes’ values are based on the price movements of
a commodity index. The value of these notes will rise and fall in response to changes in the underlying commodity index. These notes are often leveraged, increasing the volatility of each note’s value relative to the change in the underlying
linked index. Commodity index-linked investments may be more volatile and less liquid than the underlying index, and their value may be affected by the performance of commodities as well as other factors including liquidity, quality, maturity and
other economic variables. These notes are subject to prepayment, credit and interest rate risks. These notes have an automatic redemption feature if the underlying index declines from the purchase date by the amount specified in the agreement. A
Fund has the option to request prepayment from the issuer at any time. Interim payments received/(paid) are recorded as net realized gains (losses), and at maturity, or when a structured note is sold, a Fund records a realized gain or loss.
i
i
. Mortgage-Backed and Asset-Backed Securities
— Mortgage-backed securities represent direct or
indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized
by pools of other assets. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also
fluctuate in response to the market’s perception of the creditworthiness of the issuers.
Asset-backed
securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only
have a subordinated claim on collateral.
Stripped mortgage-backed securities are usually structured with two
different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal
payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These
adjustments are included in interest income.
ii
i
. Mortgage Dollar Rolls
— Mortgage dollar rolls are
transactions whereby a Fund sells mortgage-backed securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue
interest and receive principal payments on the securities sold.
iv
. Treasury Inflation Protected Securities
— TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is
guaranteed by the full faith and credit of the U.S. Government.
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
v. When-Issued Securities and Forward Commitments
— When-issued securities, including TBA (“To Be Announced”)
securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. 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 when-issued or 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
when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.
Derivative Contracts
— A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a
combination of these factors.
Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the
fair value hierarchy. Over-the-counter (“OTC”) 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 an OTC derivative 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 derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair
value hierarchy when significant inputs are corroborated by market evidence.
i.
Forward
Foreign Currency
Exchange Contracts
—
In a forward foreign currency contract, a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange
contracts are marked-to-market daily at the applicable forward rate.
ii.
Futures Contracts
—
Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement
price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a
Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are
recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Swap
Contracts
— Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or a net payment upon termination. Bilateral swap transactions are privately
negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast certain swap transactions can be executed by being submitted through a derivatives clearing member (“DCM”),
acting in an agency capacity, to a central counterparty (”CCP”) (centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations,
counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or
securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally
cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
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 specified prices, rates or indices for a specified amount of an underlying asset or 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. A Fund may use credit default swaps to provide a
measure of protection against defaults of the reference security or obligation or to take a short position with respect to the likelihood of default. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had
invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event
occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of
the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery
value of the reference obligation in cash settled trade.
As a seller of protection, a Fund generally receives
a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, the Fund could suffer a loss because the value of the referenced obligation may be less
than the premium payments received. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional
amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in cash settled trade.
Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of
any assets, which have been pledged as collateral to the counterparty.
The maximum potential amount of future
payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery
values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Fund bought credit protection.
A
total return swap
is an agreement that gives a Fund the right to receive the appreciation in the value of a
specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, the Fund may also be required to
pay the dollar value of that decline to the counterparty.
Short Term Investments
— Short-term investments having a maturity of 60
days or less are generally valued at amortized cost which approximates fair market value. These investments are classified as Level 2 of the fair value hierarchy.
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
i. 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. 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 underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
Pursuant to exemptive relief granted by the Securities and Exchange Commission 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.
B. Level 3 Fair Value Investments
— To the extent that the aforementioned significant
inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved
by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes
to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or
foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and
buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy
— The following is a summary of the Funds’
investments and derivatives classified in the fair value hierarchy as of March 31, 2013:
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ABSOLUTE RETURN TRACKER
|
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Investment Type
|
|
Level 1
|
|
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Level 2
|
|
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Level 3
|
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Assets
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Fixed Income
|
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Commodity Index Linked Structured Notes
|
|
$
|
—
|
|
|
$
|
14,904,387
|
|
|
$
|
—
|
|
|
U.S. Treasury Obligations and/or Other U.S. Government Agencies
|
|
|
748,910,373
|
|
|
|
471,385,872
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|
|
|
—
|
|
|
Repurchase Agreement
|
|
|
—
|
|
|
|
216,300,000
|
|
|
|
—
|
|
|
Total
|
|
$
|
748,910,373
|
|
|
$
|
702,590,259
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|
|
$
|
—
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Derivative Type
|
|
Level 1
|
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Level 2
|
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Level 3
|
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Assets
(a)
|
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Futures Contracts
|
|
$
|
8,243,843
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|
$
|
—
|
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|
$
|
—
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
—
|
|
|
|
1,924,728
|
|
|
|
—
|
|
|
Total Return Swap Contracts
|
|
|
—
|
|
|
|
537,982
|
|
|
|
—
|
|
|
Total
|
|
$
|
8,243,843
|
|
|
$
|
2,462,710
|
|
|
$
|
—
|
|
|
Liabilities
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
(2,344,664
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
—
|
|
|
|
(682,002
|
)
|
|
|
—
|
|
|
Total Return Swap Contracts
|
|
|
—
|
|
|
|
(1,620,635
|
)
|
|
|
—
|
|
|
Total
|
|
$
|
(2,344,664
|
)
|
|
$
|
(2,302,637
|
)
|
|
$
|
—
|
|
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMODITY STRATEGY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations
|
|
$
|
—
|
|
|
$
|
98,223,161
|
|
|
$
|
—
|
|
|
U.S. Treasury Obligations and/or Other U.S. Government Agencies
|
|
|
520,930,868
|
|
|
|
18,603,199
|
|
|
|
—
|
|
|
Asset-Backed Securities
|
|
|
—
|
|
|
|
289,588
|
|
|
|
—
|
|
|
Short-Term Investment
|
|
|
326,629,791
|
|
|
|
—
|
|
|
|
—
|
|
|
Total
|
|
$
|
847,560,659
|
|
|
$
|
117,115,948
|
|
|
$
|
—
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations — Forward Sales Contracts
|
|
$
|
—
|
|
|
$
|
(39,387,626
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
Derivative Type
|
|
|
|
|
|
|
|
|
|
|
Assets
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
282,845
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Interest Rate Swap Contracts
|
|
|
—
|
|
|
|
590,435
|
|
|
|
—
|
|
|
Total Return Swap Contracts
|
|
|
—
|
|
|
|
4,812,402
|
|
|
|
—
|
|
|
Total
|
|
$
|
282,845
|
|
|
$
|
5,402,837
|
|
|
$
|
—
|
|
|
Liabilities
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
(363,751
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Interest Rate Swap Contracts
|
|
|
—
|
|
|
|
(4,533
|
)
|
|
|
—
|
|
|
Total
|
|
$
|
(363,751
|
)
|
|
$
|
(4,533
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
DYNAMIC ALLOCATION
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Index Linked Structured Notes
|
|
$
|
—
|
|
|
$
|
82,947,230
|
|
|
$
|
—
|
|
|
U.S. Treasury Obligations and/or Other U.S. Government Agencies
|
|
|
229,602,435
|
|
|
|
—
|
|
|
|
—
|
|
|
Common Stock and/or Other Equity Investments
|
|
|
267,259,784
|
|
|
|
—
|
|
|
|
—
|
|
|
Short-Term Investment
|
|
|
622,402,571
|
|
|
|
—
|
|
|
|
—
|
|
|
Total
|
|
$
|
1,119,264,790
|
|
|
$
|
82,947,230
|
|
|
$
|
—
|
|
|
|
|
|
|
|
Derivative Type
|
|
|
|
|
|
|
|
|
|
|
Assets
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
15,800,669
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Liabilities
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
(4,490,389
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
INTERNATIONAL REAL ESTATE SECURITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock and/or Other Equity Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
North and South America
|
|
$
|
32,095,401
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Other
|
|
|
—
|
|
|
|
320,592,295
|
(b)
|
|
|
—
|
|
|
Total
|
|
$
|
32,095,401
|
|
|
$
|
320,592,295
|
|
|
$
|
—
|
|
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MANAGED FUTURES STRATEGY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
163,159
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
—
|
|
|
|
96,381
|
|
|
|
—
|
|
|
Interest Rate Swap Contracts
|
|
|
—
|
|
|
|
1,922,214
|
|
|
|
—
|
|
|
Total
|
|
$
|
163,159
|
|
|
$
|
2,018,595
|
|
|
$
|
—
|
|
|
Liabilities
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
(187,251
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
—
|
|
|
|
(139,688
|
)
|
|
|
—
|
|
|
Interest Rate Swap Contracts
|
|
|
—
|
|
|
|
(316,357
|
)
|
|
|
—
|
|
|
Total
|
|
$
|
(187,251
|
)
|
|
$
|
(456,045
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REAL ESTATE SECURITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock and/or Other Equity Investments
|
|
$
|
489,914,289
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
(a)
|
|
Amount shown represents unrealized gain (loss) at period end.
|
|
(b)
|
|
To adjust for the time difference between local market close and the calculation of net asset value, the Funds utilize fair value model prices for international
equities provided by an independent fair value service resulting in a Level 2 classification.
|
For further information regarding
security characteristics, see the Schedules of Investments.
The Funds’ risks include, but are not limited to, the following:
Foreign Custody Risk
— A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents,
and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). In some countries, Foreign Custodians may be subject to little or no regulatory oversight 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 into bankruptcy. Investments in emerging markets may be subject to greater custody risks than investments in
more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed
countries.
Shareholder Concentration Risk
— Certain funds, accounts, individuals or Goldman Sachs affiliates may from time to
time own (beneficially or of record) or control a significant percentage of the Funds’ shares. Redemptions by these entities of their holdings in the Funds may impact the Funds’ liquidity and NAV. These redemptions may also force the Funds
to sell securities.
Investments in Other Investment Companies
— As a shareholder of another investment company, including an
exchange traded fund (“ETF”), a Fund will directly bear its proportionate share of any 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) and active trading market for an
ETF’s shares may not develop or be maintained.
Liquidity Risk
— The 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 a Fund will not be able to pay redemption proceeds within the
allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable
conditions.
GOLDMAN SACHS SELECT SATELLITE FUNDS
Schedule of Investments
(continued)
March 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Market and Credit Risks
— In the normal course of business, the Funds trade financial instruments and enter into financial transactions where
risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or
open transactions defaults.
Investing in foreign markets may involve special risks and considerations not typically associated
with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be
less liquid, be subject to government ownership controls, have delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.
Portfolio Concentration Risk
— The Real Estate Securities Fund and the International Real Estate Securities Fund invest primarily in securities of issuers (non-U.S. issuers, in the case of
International Real Estate Securities Fund) that are primarily engaged in or related to the real estate industry, and each Fund has a policy of concentrating its investments in the real estate industry. Therefore, investments in the Funds are subject
to certain risks associated with the real estate industry in general. Such risks include, but are not limited to, declines in property values, increases in property taxes, operating expenses, interest rates or competition, zoning changes, and losses
from casualty and condemnation.
|
Item 2.
|
Controls and Procedures.
|
(a) The
Registrant’s President/Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as
of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant’s disclosure controls and procedures as of the Evaluation Date.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred
during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
(a) Separate certifications
for the President/Principal Executive Officer and the Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are 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.
|
|
|
|
|
(Registrant) Goldman Sachs Trust
|
|
|
|
|
By (Signature and Title)*
|
|
/s/ James A. McNamara
|
|
|
|
James A. McNamara,
President/Principal Executive Officer
|
Date May 30, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
|
|
|
|
|
|
|
|
By (Signature and Title)*
|
|
/s/ James A. McNamara
|
|
|
|
James A. McNamara,
President/Principal Executive Officer
|
Date May 30, 2013
|
|
|
|
|
|
|
|
By (Signature and Title)*
|
|
/s/ George F. Travers
|
|
|
|
George F. Travers,
Principal Financial Officer
|
Date May 30, 2013
|
*
|
|
Print the name and title of each signing officer under his or her signature.
|
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