GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments
(continued)
January 31, 2014 (Unaudited)
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description
|
|
Value
|
|
Common Stocks
(continued)
|
|
Real Estate Investment Trusts (continued)
|
|
238
|
|
|
Blackstone Mortgage Trust, Inc. Class A
|
|
$ 6,678
|
|
314
|
|
|
Boston Properties, Inc.
|
|
33,940
|
|
226
|
|
|
BRE Properties, Inc.
|
|
13,357
|
|
288
|
|
|
Brixmor Property Group, Inc.
|
|
5,956
|
|
371
|
|
|
Camden Property Trust
|
|
22,935
|
|
837
|
|
|
CBL & Associates Properties, Inc.
|
|
14,221
|
|
776
|
|
|
Chesapeake Lodging Trust
|
|
18,896
|
|
479
|
|
|
Corporate Office Properties Trust
|
|
11,903
|
|
786
|
|
|
CubeSmart
|
|
12,953
|
|
2,211
|
|
|
DCT Industrial Trust, Inc.
|
|
15,919
|
|
1,083
|
|
|
DDR Corp.
|
|
16,971
|
|
862
|
|
|
Douglas Emmett, Inc.
|
|
21,921
|
|
388
|
|
|
Equity Residential
|
|
21,487
|
|
128
|
|
|
Essex Property Trust, Inc.
|
|
20,271
|
|
209
|
|
|
Federal Realty Investment Trust
|
|
22,781
|
|
649
|
|
|
HCP, Inc.
|
|
25,408
|
|
204
|
|
|
Health Care REIT, Inc.
|
|
11,816
|
|
528
|
|
|
Highwoods Properties, Inc.
|
|
19,610
|
|
452
|
|
|
LaSalle Hotel Properties
|
|
13,904
|
|
180
|
|
|
National Health Investors, Inc.
|
|
11,335
|
|
772
|
|
|
Parkway Properties, Inc.
|
|
13,695
|
|
399
|
|
|
Pebblebrook Hotel Trust
|
|
12,022
|
|
282
|
|
|
Post Properties, Inc.
|
|
13,234
|
|
1,085
|
|
|
ProLogis, Inc.
|
|
42,055
|
|
157
|
|
|
PS Business Parks, Inc.
|
|
12,335
|
|
238
|
|
|
Public Storage
|
|
37,506
|
|
450
|
|
|
Retail Properties of America, Inc. Class A
|
|
5,936
|
|
609
|
|
|
RLJ Lodging Trust
|
|
15,213
|
|
666
|
|
|
Simon Property Group, Inc.
|
|
103,123
|
|
237
|
|
|
SL Green Realty Corp.
|
|
22,223
|
|
1,548
|
|
|
Strategic Hotels & Resorts, Inc.
*
|
|
14,412
|
|
444
|
|
|
Tanger Factory Outlet Centers, Inc.
|
|
14,821
|
|
327
|
|
|
Taubman Centers, Inc.
|
|
21,262
|
|
535
|
|
|
Terreno Realty Corp.
|
|
9,239
|
|
711
|
|
|
Ventas, Inc.
|
|
44,359
|
|
272
|
|
|
Vornado Realty Trust
|
|
24,978
|
|
|
|
|
|
|
|
|
|
|
|
|
|
836,365
|
|
|
|
Real Estate Management & Development 0.1%
|
|
406
|
|
|
Kennedy-Wilson Holdings, Inc.
|
|
9,752
|
|
|
|
Tobacco 0.6%
|
|
493
|
|
|
Altria Group, Inc.
|
|
17,363
|
|
104
|
|
|
Lorillard, Inc.
|
|
5,119
|
|
439
|
|
|
Philip Morris International, Inc.
|
|
34,303
|
|
89
|
|
|
Reynolds American, Inc.
|
|
4,317
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,102
|
|
|
|
TOTAL COMMON STOCKS
|
|
$3,393,224
|
|
|
|
|
|
|
Exchange Traded Funds
15.7%
|
|
11,818
|
|
|
iShares Global Infrastructure ETF
|
|
$ 454,166
|
|
48,541
|
|
|
PowerShares DB Commodity Index Tracking Fund
*
|
|
1,207,700
|
|
|
|
TOTAL EXCHANGE TRADED FUNDS
|
|
$1,661,866
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description
|
|
Value
|
|
Investment Companies
51.9%
|
|
101,076
|
|
|
Goldman Sachs Inflation Protected Securities Fund
(a)
|
|
$ 1,048,159
|
|
48,045
|
|
|
Goldman Sachs Local Emerging Markets Debt Fund
(a)
|
|
381,477
|
|
283,075
|
|
|
Goldman Sachs Strategic Income Fund
(a)
|
|
2,994,934
|
|
1,064,532
|
|
|
SSgA U.S. Government Money Market Fund
|
|
1,064,532
|
|
|
|
TOTAL INVESTMENT COMPANIES
|
|
$ 5,489,102
|
|
|
|
|
|
|
|
|
|
|
Units Description
|
|
Expiration
Month
|
|
Value
|
Rights
*
0.0%
|
Community Health Systems, Inc.
|
63
|
|
01/16
|
|
$ 2
|
|
TOTAL INVESTMENTS 99.7%
|
|
$10,544,194
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES 0.3%
|
|
34,064
|
|
NET ASSETS 100.0%
|
|
$10,578,258
|
|
|
|
|
|
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:
|
ETF
|
|
Exchange Traded Fund
|
LIBOR
|
|
London Interbank Offered Rate
|
REIT
|
|
Real Estate Investment Trust
|
|
|
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.GSAMFUNDS.com.
|
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments
(continued)
January 31, 2014 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
|
|
|
|
|
|
|
|
|
|
|
|
|
FUTURES CONTRACTS
At January 31, 2014, the Fund had the following futures contracts:
|
|
|
|
|
|
|
Type
|
|
Number of
Contracts
Long (Short)
|
|
Expiration
Date
|
|
Current
Value
|
|
|
Unrealized
Gain (Loss)
|
|
|
|
Euro Stoxx 50 Index
|
|
4
|
|
March 2014
|
|
$
|
162,815
|
|
|
$
|
1,516
|
|
FTSE 100 Index
|
|
2
|
|
March 2014
|
|
|
212,342
|
|
|
|
492
|
|
S&P 500 E-Mini Index
|
|
8
|
|
March 2014
|
|
|
710,640
|
|
|
|
3,127
|
|
Topix Index
|
|
1
|
|
March 2014
|
|
|
118,920
|
|
|
|
(7,149
|
)
|
|
|
TOTAL
|
|
|
$
|
(2,014
|
)
|
|
|
SWAP CONTRACTS
At January 31, 2014, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rates Exchanged
|
|
Market Value
|
|
|
|
Notional
Amount
(000s)
|
|
|
Termination
Date
|
|
Payments
Received
|
|
Payments
Made
|
|
Upfront
Payments
Made (Received)
|
|
|
Unrealized
Gain (Loss)
|
|
|
|
|
|
$
|
3,000
|
|
|
09/18/16
|
|
1.013%
|
|
3 month LIBOR
|
|
$
|
13
|
|
|
$
|
37,780
|
|
|
|
|
1,000
|
|
|
09/18/23
|
|
3 month LIBOR
|
|
3.053%
|
|
|
8
|
|
|
|
(38,204
|
)
|
|
|
TOTAL
|
|
$
|
21
|
|
|
$
|
(424
|
)
|
|
|
TAX INFORMATION
At January 31, 2014, the Funds aggregate security unrealized gains and
losses based on cost for U.S. federal income tax purposes were as follows:
|
|
|
|
|
|
|
Tax Cost
|
|
$
|
10,351,405
|
|
|
|
Gross unrealized gain
|
|
|
331,561
|
|
Gross unrealized loss
|
|
|
(138,772
|
)
|
|
|
Net unrealized security gain
|
|
$
|
192,789
|
|
|
|
Additional information regarding the Fund is available in the Funds most recent Annual and Semi-Annual Reports
to Shareholders. This information is available on the Securities and Exchange Commissions website (www.sec.gov).
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments
(continued)
January 31, 2014 (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 principles 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 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 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.
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 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. 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.
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
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments
(continued)
January 31, 2014 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
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. Futures Contracts
Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or
independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or
exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or
received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
ii. Swap Contracts
Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic
payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast,
certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (DCM), acting in an agency capacity, and submitted to a central counterparty (CCP)
(centrally cleared swaps), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in
value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a
triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a
receivable or payable for variation margin.
An interest rate swap
is an agreement that obligates two
parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the
difference being paid by one party to the other.
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 Funds 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.
Fair Value Hierarchy
The following is a summary of
the Funds investments and derivatives classified in the fair value hierarchy as of January 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock and/or Other Equity Investments
|
|
$
|
5,055,090
|
|
|
$
|
|
|
|
$
|
|
|
Investment Companies
|
|
|
5,489,102
|
|
|
|
|
|
|
|
|
|
Rights
|
|
|
|
|
|
|
2
|
|
|
|
|
|
Total
|
|
$
|
10,544,192
|
|
|
$
|
2
|
|
|
$
|
|
|
|
|
|
|
Derivative Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
Assets
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
5,135
|
|
|
$
|
|
|
|
$
|
|
|
Interest Rate Swap Contracts
|
|
|
|
|
|
|
37,780
|
|
|
|
|
|
Total
|
|
$
|
5,135
|
|
|
$
|
37,780
|
|
|
$
|
|
|
Liabilities
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
(7,149
|
)
|
|
$
|
|
|
|
$
|
|
|
Interest Rate Swap Contracts
|
|
|
|
|
|
|
(38,204
|
)
|
|
|
|
|
Total
|
|
$
|
(7,149
|
)
|
|
$
|
(38,204
|
)
|
|
$
|
|
|
(a)
|
|
Amount shown represents unrealized gain (loss) at period end.
|
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments
(continued)
January 31, 2014 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
For further information regarding security characteristics, see the Schedule of Investments.
The Funds risks include, but are not limited to, the following:
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 ETFs
shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETFs shares may not develop or be maintained.
Publicly Traded Partnership Risk
In addition to the risks associated with the underlying assets and exposures within a PTP, risks of investments in PTPs may include, among others, dependence
upon specialized skills of the PTPs manager, potential lack of liquidity, and limitations on voting and distribution rights.
Liquidity Risk
The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse
investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an
unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks
In the normal course of business, the Fund trades financial instruments and enters into financial transactions
where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has 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.
Master Limited Partnership Risk
Investments in securities of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited
rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLPs general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partners
right to require unit-holders to sell their common units at an undesirable time or price.
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 Fund may
impact the Funds liquidity and NAV. These redemptions may also force the Fund to sell securities.
Item 2.
|
Controls and Procedures.
|
(a) The
Registrants President/Principal Executive Officer and Principal Financial Officer concluded that the Registrants 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 Registrants disclosure controls and procedures as of the Evaluation Date.
(b) There were no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred
during the Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants 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 March 26, 2014
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 March 26, 2014
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By (Signature and Title)*
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/s/ Scott McHugh
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Scott McHugh
Principal Financial Officer
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Date March 26, 2014
*
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Print the name and title of each signing officer under his or her signature.
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