Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

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. Goldman, Sachs & Co. 200 West Street New York, New York 10282		Copies to: Geoffrey R.T. Kenyon, Esq. Dechert LLP One International Place, 40 th Floor 100 Oliver Street Boston, MA 02110-2605

(Name and address of agent for service)

Registrant’s telephone number, including area code: [phone]

Date of fiscal year end: October 31

Date of reporting period: January 31, 2014

 

 

 

 

Item 1.

Schedule of Investments.

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GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND

 

Schedule of Investments

January 31, 2014 (Unaudited)

 

Shares				Description		Value
	Common Stocks – 32.1%
	Beverages – 0.9%
	47			Beam, Inc.		$         3,915
	41			Brown-Forman Corp. Class B		3,157
	67			Coca-Cola Enterprises, Inc.		2,900
	37			Constellation Brands, Inc. Class A *		2,837
	57			Dr. Pepper Snapple Group, Inc.		2,729
	46			Molson Coors Brewing Co. Class B		2,422
	38			Monster Beverage Corp. *		2,580
	416			PepsiCo., Inc.		33,430
	1,032			The Coca-Cola Co.		39,030
						93,000
	Biotechnology – 0.8%
	42			Alexion Pharmaceuticals, Inc. *		6,667
	147			Amgen, Inc.		17,486
	47			Biogen Idec, Inc. *		14,694
	82			Celgene Corp. *		12,458
	18			Cubist Pharmaceuticals, Inc. *		1,316
	301			Gilead Sciences, Inc. *		24,276
	16			Regeneron Pharmaceuticals, Inc. *		4,617
	9			United Therapeutics Corp. *		923
	48			Vertex Pharmaceuticals, Inc. *		3,794
						86,231
	Chemicals – 2.8%
	132			Air Products & Chemicals, Inc.		13,878
	45			Airgas, Inc.		4,646
	56			Albemarle Corp.		3,594
	47			Ashland, Inc.		4,362
	26			Balchem Corp.		1,418
	52			Cabot Corp.		2,531
	56			Calgon Carbon Corp. *		1,137
	36			CF Industries Holdings, Inc.		8,311
	26			Cytec Industries, Inc.		2,339
	593			E.I. du Pont de Nemours and Co.		36,179
	97			Eastman Chemical Co.		7,562
	172			Ecolab, Inc.		17,293
	33			Flotek Industries, Inc. *		710
	87			FMC Corp.		6,145
	42			H.B. Fuller Co.		1,956
	22			Innophos Holdings, Inc.		1,027
	55			International Flavors & Fragrances, Inc.		4,767
	47			Intrepid Potash, Inc. *		691
	24			Koppers Holdings, Inc.		948
	262			LyondellBasell Industries NV Class A		20,635
	38			Minerals Technologies, Inc.		1,964
	328			Monsanto Co.		34,948
	8			NewMarket Corp.		2,679
	70			Olin Corp.		1,800
	34			OM Group, Inc. *		1,100
	73			PolyOne Corp.		2,596
	90			PPG Industries, Inc.		16,412

Shares				Description		Value
	Common Stocks – (continued)
	Chemicals – (continued)
	176			Praxair, Inc.		$       21,951
	12			Quaker Chemical Corp.		829
	104			RPM International, Inc.		4,126
	60			Sensient Technologies Corp.		2,935
	77			Sigma-Aldrich Corp.		7,159
	759			The Dow Chemical Co.		34,542
	204			The Mosaic Co.		9,111
	31			The Scotts Miracle-Gro Co. Class A		1,841
	54			The Sherwin-Williams Co.		9,896
	57			The Valspar Corp.		4,006
						298,024
	Construction Materials – 0.1%
	32			Eagle Materials, Inc.		2,520
	62			Headwaters, Inc. *		689
	32			Martin Marietta Materials, Inc.		3,488
	17			Texas Industries, Inc. *		1,279
	86			Vulcan Materials Co.		5,309
						13,285
	Containers & Packaging – 0.4%
	53			AptarGroup, Inc.		3,381
	62			Avery Dennison Corp.		3,055
	94			Ball Corp.		4,812
	77			Bemis Co., Inc.		2,965
	24			Greif, Inc. Class A		1,215
	109			MeadWestvaco Corp.		3,932
	111			Owens-Illinois, Inc. *		3,556
	65			Packaging Corp. of America		4,199
	47			Rock-Tenn Co. Class A		4,770
	129			Sealed Air Corp.		4,023
	37			Silgan Holdings, Inc.		1,696
	82			Sonoco Products Co.		3,393
						40,997
	Energy Equipment & Services – 0.8%
	124			Baker Hughes, Inc.		7,023
	66			Cameron International Corp. *		3,958
	23			Diamond Offshore Drilling, Inc.		1,116
	27			Dresser-Rand Group, Inc. *		1,539
	14			Dril-Quip, Inc. *		1,408
	63			Ensco PLC Class A		3,173
	62			FMC Technologies, Inc. *		3,065
	213			Halliburton Co.		10,439
	37			Helix Energy Solutions Group, Inc. *		755
	42			Helmerich & Payne, Inc.		3,698
	133			Nabors Industries Ltd.		2,272
	108			National Oilwell Varco, Inc.		8,101
	72			Noble Corp. PLC		2,234
	30			Oceaneering International, Inc.		2,045
	16			Oil States International, Inc. *		1,503
	47			Rowan Cos. PLC Class A *		1,474
	328			Schlumberger Ltd.		28,723
	59			Superior Energy Services, Inc. *		1,395
	92			Transocean Ltd. *		3,982
						87,903

 

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GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND

 

Schedule of Investments (continued)

January 31, 2014 (Unaudited)

 

Shares				Description		Value
	Common Stocks – (continued)
	Food & Staples Retailing – 0.9%
	26			Casey’s General Stores, Inc.		$         1,785
	104			Costco Wholesale Corp.		11,685
	305			CVS Caremark Corp.		20,655
	73			Safeway, Inc.		2,281
	158			Sysco Corp.		5,543
	139			The Kroger Co.		5,018
	20			United Natural Foods, Inc. *		1,351
	450			Wal-Mart Stores, Inc.		33,606
	217			Walgreen Co.		12,445
	88			Whole Foods Market, Inc.		4,599
						98,968
	Food Products – 0.8%
	167			Archer-Daniels-Midland Co.		6,593
	50			Campbell Soup Co.		2,060
	105			ConAgra Foods, Inc.		3,338
	35			Darling International, Inc. *		685
	109			Flowers Foods, Inc.		2,284
	157			General Mills, Inc.		7,539
	32			Green Mountain Coffee Roasters, Inc. *		2,592
	39			Hillshire Brands Co.		1,389
	48			Hormel Foods Corp.		2,181
	24			Ingredion, Inc.		1,495
	61			Kellogg Co.		3,537
	152			Kraft Foods Group, Inc.		7,957
	67			McCormick & Co., Inc.		4,300
	52			Mead Johnson Nutrition Co.		3,998
	490			Mondelez International, Inc. Class A		16,047
	13			The Hain Celestial Group, Inc. *		1,195
	37			The Hershey Co.		3,678
	40			The J.M. Smucker Co.		3,856
	72			Tyson Foods, Inc. Class A		2,693
	72			WhiteWave Foods Co. Class A *		1,743
						79,160
	Health Care Equipment & Supplies – 0.7%
	305			Abbott Laboratories		11,181
	20			Align Technology, Inc. *		1,188
	106			Baxter International, Inc.		7,240
	48			Becton Dickinson & Co.		5,190
	278			Boston Scientific Corp. *		3,761
	19			C.R. Bard, Inc.		2,462
	53			CareFusion Corp. *		2,161
	97			Covidien PLC		6,619
	47			DENTSPLY International, Inc.		2,169
	29			Edwards Lifesciences Corp. *		1,889
	68			Hologic, Inc. *		1,452
	8			Intuitive Surgical, Inc. *		3,261
	195			Medtronic, Inc.		11,029
	64			St. Jude Medical, Inc.		3,887
	63			Stryker Corp.		4,889
	11			The Cooper Cos., Inc.		1,367
	33			Varian Medical Systems, Inc. *		2,683
	42			Zimmer Holdings, Inc.		3,947
						76,375

Shares				Description		Value
	Common Stocks – (continued)
	Health Care Providers & Services – 0.8%
	78			Aetna, Inc.		$         5,330
	48			AmerisourceBergen Corp.		3,227
	72			Cardinal Health, Inc.		4,897
	17			Centene Corp. *		1,030
	58			CIGNA Corp.		5,006
	28			Community Health Systems, Inc. *		1,175
	38			DaVita HealthCare Partners, Inc. *		2,467
	287			Emeritus Corp. *		6,328
	160			Express Scripts Holding Co. *		11,950
	23			Henry Schein, Inc. *		2,643
	33			Humana, Inc.		3,211
	25			Laboratory Corp. of America Holdings *		2,246
	45			McKesson Corp.		7,848
	32			MEDNAX, Inc. *		1,781
	26			Omnicare, Inc.		1,624
	42			Quest Diagnostics, Inc.		2,205
	24			Tenet Healthcare Corp. *		1,104
	198			UnitedHealth Group, Inc.		14,311
	28			Universal Health Services, Inc. Class B		2,297
	11			WellCare Health Plans, Inc. *		716
	62			WellPoint, Inc.		5,332
						86,728
	Health Care Technology * – 0.0%
	49			Allscripts Healthcare Solutions, Inc.		811
	67			Cerner Corp.		3,812
						4,623
	Household Durables * – 0.1%
	229			Toll Brothers, Inc.		8,416
	Household Products – 0.9%
	67			Church & Dwight Co., Inc.		4,327
	208			Colgate-Palmolive Co.		12,736
	19			Energizer Holdings, Inc.		1,796
	94			Kimberly-Clark Corp.		10,281
	41			The Clorox Co.		3,619
	741			The Procter & Gamble Co.		56,775
						89,534
	Life Sciences Tools & Services – 0.2%
	75			Agilent Technologies, Inc.		4,361
	16			Covance, Inc. *		1,513
	34			Life Technologies Corp. *		2,586
	8			Mettler-Toledo International, Inc. *		1,971
	16			PAREXEL International Corp. *		781
	73			Thermo Fisher Scientific, Inc.		8,405
	22			Waters Corp. *		2,382
						21,999
	Metals & Mining – 0.7%
	114			AK Steel Holding Corp. *		806
	662			Alcoa, Inc.		7,620
	83			Allegheny Technologies, Inc.		2,610

 

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GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND

 

Schedule of Investments (continued)

January 31, 2014 (Unaudited)

 

Shares				Description		Value
	Common Stocks – (continued)
	Metals & Mining – (continued)
	33			Carpenter Technology Corp.		$         1,918
	113			Cliffs Natural Resources, Inc.		2,183
	102			Commercial Metals Co.		1,944
	24			Compass Minerals International, Inc.		1,887
	644			Freeport-McMoRan Copper & Gold, Inc.		20,872
	318			Newmont Mining Corp.		6,869
	193			Nucor Corp.		9,332
	53			Reliance Steel & Aluminum Co.		3,707
	46			Royal Gold, Inc.		2,573
	29			RTI International Metals, Inc. *		902
	165			Steel Dynamics, Inc.		2,722
	92			Stillwater Mining Co. *		1,154
	67			SunCoke Energy, Inc. *		1,486
	108			United States Steel Corp.		2,820
	45			Worthington Industries, Inc.		1,824
						73,229
	Oil, Gas & Consumable Fuels – 10.5%
	650			Access Midstream Partners LP		36,433
	123			Anadarko Petroleum Corp.		9,925
	98			Apache Corp.		7,865
	650			Buckeye Partners LP		47,443
	106			Cabot Oil & Gas Corp.		4,238
	132			Chesapeake Energy Corp.		3,552
	476			Chevron Corp.		53,136
	26			Cimarex Energy Co.		2,547
	290			ConocoPhillips		18,836
	62			CONSOL Energy, Inc.		2,316
	925			DCP Midstream Partners LP		46,463
	101			Denbury Resources, Inc. *		1,623
	96			Devon Energy Corp.		5,685
	26			Energen Corp.		1,839
	1,350			Energy Transfer Equity LP		56,322
	1,400			Enterprise Products Partners LP		92,932
	67			EOG Resources, Inc.		11,071
	40			EQT Corp.		3,712
	1,095			Exxon Mobil Corp.		100,915
	900			Genesis Energy LP		49,527
	20			Gulfport Energy Corp. *		1,219
	75			Hess Corp.		5,662
	54			HollyFrontier Corp.		2,500
	789			Kinder Morgan Management LLC *		59,549
	156			Kinder Morgan, Inc.		5,306
	700			Magellan Midstream Partners LP		46,522
	181			Marathon Oil Corp.		5,935
	83			Marathon Petroleum Corp.		7,225
	850			MarkWest Energy Partners LP		59,661
	47			Murphy Oil Corp.		2,661
	69			Newfield Exploration Co. *		1,709
	88			Noble Energy, Inc.		5,485
	197			Occidental Petroleum Corp.		17,251
	13			PDC Energy, Inc. *		648
	76			Peabody Energy Corp.		1,296
	156			Phillips 66		11,402
	34			Pioneer Natural Resources Co.		5,757

Shares				Description		Value
	Common Stocks – (continued)
	Oil, Gas & Consumable Fuels – (continued)
	1,400			Plains All American Pipeline LP		$       70,686
	60			QEP Resources, Inc.		1,853
	41			Range Resources Corp.		3,534
	20			Rosetta Resources, Inc. *		852
	22			SM Energy Co.		1,821
	90			Southwestern Energy Co. *		3,662
	1,461			Spectra Energy Corp.		52,523
	650			Sunoco Logistics Partners LP		51,077
	275			Targa Resources Corp.		24,830
	35			Tesoro Corp.		1,803
	2,267			The Williams Cos., Inc.		91,791
	137			Valero Energy Corp.		7,001
	24			World Fuel Services Corp.		1,025
	66			WPX Energy, Inc. *		1,257
						1,109,883
	Paper & Forest Products – 0.2%
	18			Clearwater Paper Corp. *		1,025
	24			Domtar Corp.		2,578
	274			International Paper Co.		13,081
	58			KapStone Paper and Packaging Corp. *		1,622
	96			Louisiana-Pacific Corp. *		1,683
	41			PH Glatfelter Co.		1,271
	24			Schweitzer-Mauduit International, Inc.		1,107
						22,367
	Personal Products – 0.1%
	122			Avon Products, Inc.		1,817
	60			The Estee Lauder Cos., Inc. Class A		4,124
						5,941
	Pharmaceuticals – 1.8%
	316			AbbVie, Inc.		15,557
	26			Actavis PLC *		4,914
	60			Allergan, Inc.		6,876
	320			Bristol-Myers Squibb Co.		15,990
	194			Eli Lilly & Co.		10,478
	25			Endo Health Solutions, Inc. *		1,647
	56			Forest Laboratories, Inc. *		3,713
	44			Hospira, Inc. *		1,936
	543			Johnson & Johnson		48,039
	571			Merck & Co., Inc.		30,246
	78			Mylan, Inc. *		3,542
	19			Perrigo Co. PLC		2,958
	1,265			Pfizer, Inc.		38,456
	13			Questcor Pharmaceuticals, Inc.		871
	13			Salix Pharmaceuticals Ltd. *		1,265
	94			Zoetis, Inc.		2,854
						189,342
	Real Estate Investment Trusts – 7.9%
	392			Acadia Realty Trust		9,976
	425			American Campus Communities, Inc.		14,773
	172			American Tower Corp.		13,911
	397			AvalonBay Communities, Inc.		49,030

 

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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.

 

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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 Fund’s 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 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).

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GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND

 

Schedule of Investments (continued)

January 31, 2014 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS

 

 

Investment Valuation — The Fund’s valuation policy is to value investments at fair value.

Investments and Fair Value Measurements — 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 Fund’s 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

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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 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. 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 Fund’s 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.

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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 Fund’s 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 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.

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 PTP’s 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 MLP’s general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partner’s 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 Fund’s shares. Redemptions by these entities of their holdings in the Fund may impact the Fund’s liquidity and NAV. These redemptions may also force the Fund to sell securities.

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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.

 

Item 3.

Exhibits.

(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.

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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

 

By (Signature and Title)*		/s/ Scott McHugh
		Scott McHugh Principal Financial Officer

Date March 26, 2014

 

*

Print the name and title of each signing officer under his or her signature.