February 28, 2022

Goldman Sachs ActiveBeta^® ETFs

ActiveBeta^® Emerging Markets Equity ETF (GEM)

ActiveBeta^® Europe Equity ETF (GSEU)

ActiveBeta^® International Equity ETF (GSIE)

ActiveBeta^® Japan Equity ETF (GSJY)

ActiveBeta^® Paris-Aligned Climate U.S. Large Cap Equity ETF (GPAL)

ActiveBeta^® U.S. Large Cap Equity ETF (GSLC)

ActiveBeta^® U.S. Small Cap Equity ETF (GSSC)

ACTIVEBETA^® EMERGING MARKETS EQUITY ETF

ACTIVEBETA^® EUROPE EQUITY ETF

ACTIVEBETA^® INTERNATIONAL EQUITY ETF

ACTIVEBETA^® JAPAN EQUITY ETF

ACTIVEBETA^® PARIS-ALIGNED CLIMATE U.S. LARGE CAP EQUITY ETF

ACTIVEBETA^® U.S. LARGE CAP EQUITY ETF

ACTIVEBETA^® U.S. SMALL CAP EQUITY ETF

TABLE OF CONTENTS

Market and Economic Review

Fund Basics

Schedules of Investments

Financial Statements

Financial Highlights

ActiveBeta^® Emerging Markets Equity ETF

ActiveBeta^® Europe Equity ETF

ActiveBeta^® International Equity ETF

ActiveBeta^® Japan Equity ETF

ActiveBeta^® Paris-Aligned Climate U.S. Large Cap Equity ETF

ActiveBeta^® U.S. Large Cap Equity ETF

ActiveBeta^® U.S. Small Cap Equity ETF

Notes to Financial Statements

Other Information

Overall, U.S. equities struggled during the Reporting Period. The Standard & Poor’s 500 Index (the “S&P 500 Index”) ended the Reporting Period with a return of -2.62%. The Russell 3000^® Index generated a return of -4.24%.

Persistent supply-chain disruptions and inflationary pressures remained the common themes during the Reporting Period, while the biggest headlines were the COVID-19 variants and the start of the yet ongoing Russia/Ukraine war.

As the Reporting Period began in September 2021, the S&P 500 Index saw its first decline since January 2021 and its worst month since September 2020. Focus centered around U.S. Federal Reserve (“Fed”) tapering, complex legislative negotiations, persistent supply-chain disruptions, spread of the COVID-19 Delta variant, global risk events, rising energy costs and the rapid uptick in U.S. Treasury yields.

During the fourth quarter of 2021, the S&P 500 Index increased in October, fell in November and increased in December.

The third quarter corporate earnings season propelled the U.S. equity market rally in October, with retail earnings upside surprises and hints of easing supply-chain constraints supporting the market’s upward trajectory into early November.

Later in November, a $1 trillion infrastructure bill was signed into law, and Fed Chair Powell was appointed for a second term, bringing clarity to the Fed’s leadership. However, renewed concerns around COVID-19 developments pressured U.S. equities, with the emergence of the more contagious Omicron variant triggering a sell-off. Persistently high inflation also weighed on market sentiment.

In December, the S&P 500 Index rebounded despite record COVID-19 case counts in many population centers in the U.S., as studies showed the variant was generally accompanied by milder symptoms than previous variants. Positive seasonality and the so-called “Santa Rally” also lifted the S&P 500 Index towards the end of the month. (A Santa rally refers a sustained increase in the stock market that occurs in the last week of December through the first two trading days in January.) The Fed walked back its use of “transitory” in describing the inflationary environment and announced it would double its pace of asset purchase tapering and indicated potential interest rate hikes in 2022.

The S&P 500 Index fell in January and February 2022, suffering its biggest pullback since March 2020 amid reverberations surrounding the Fed’s hawkish policy pivot, the velocity and magnitude of the accompanying U.S. Treasury yield increase, the long-standing valuation concerns around some of the riskier pockets of the market, the remaining inflation overhang and the ramping of geopolitical tensions caused by the Russia/Ukraine war. (Hawkish tends to suggest higher interest rates; opposite of dovish.)

During the Reporting Period overall, the U.S. equity market saw a sharp reversal of the growth/value dynamic amid a backdrop of rising U.S. Treasury yields and expectations of multiple interest rate hikes by the Fed. Value stocks meaningfully outperformed growth stocks during the Reporting Period.

The best performing sectors within the S&P 500 Index during the Reporting Period were energy, consumer staples and financials, while the weakest performing sectors were communication services, information technology and consumer discretionary.

Representing the developed international equity markets, the MSCI EAFE Index (net) returned -6.78% for the Reporting Period, underperforming the U.S. equity market.

As the Reporting Period began, international equity markets receded in September 2021, due primarily to the U.S. Fed’s announcements around tapering of its monthly asset purchase plans and increases in interest rates.

The decline was further aggravated by halts in global manufacturing activities due to supply-chain disruptions and semiconductor shortages as well as power cuts and energy crises around the world.

Regulations imposed by the Chinese government on certain key sectors led to increased investor pessimism, worsened by Evergrande Group’s debt crisis and spread of the COVID-19 Delta variant.

During the fourth quarter of 2021, the MSCI EAFE Index increased in October, fell in November and rose in December.

Many of the concerns that dominated the international equity markets in September ebbed somewhat in October, supported in Europe and the U.K. particularly by favorable third calendar quarter corporate earnings reports.

In November, international equity markets suffered over fears of the new COVID-19 Omicron variant’s potential impact. Travel restrictions were re-imposed to curtail the variant’s spread, and lockdown measures were reimposed in Europe. Japan’s equity market fell due to both inflation and supply-chain issues as well as concerns about the Omicron variant.

In December, the initial scare of the Omicron variant dissipated among studies showing its symptoms were less severe than prior variants. Also, value stocks outperformed growth stocks, which benefited international equities given their relatively high value/cyclical exposures.

The MSCI EAFE Index fell in January and February 2022.

The price pressure in January was mostly from the continued reverberation surrounding the U.S. Fed’s hawkish policy pivot, the velocity and magnitude of the accompanying government bond yield increase and the long-standing valuation concerns around some of the riskier pockets of the markets.

The price pressure in February was mostly from the Russia/Ukraine crisis, as the situation deteriorated sharply and Russia launched a full-scale invasion.

The best performing sector within the MSCI EAFE Index during the Reporting Period was energy, the only sector to post a positive total return for the Reporting Period. The weakest performing sectors were information technology, industrials and communication services.

The best performing countries within the MSCI EAFE Index were Norway and the U.K., the only two country constituents to post a positive total return for the Reporting Period. The weakest performing countries during the Reporting Period were the Netherlands, Finland and Ireland.

Representing the emerging markets equity markets, the MSCI Emerging Markets Index (net) returned -9.81% during the Reporting Period, underperforming both the U.S. equity market and the developed international equity markets overall.

As the Reporting Period began in September 2021, emerging markets equities as a whole posted negative returns, mainly due to a steep sell-off in China as well as on broader concerns around rising inflation and, as a direct result, a looming tightening of monetary policy across the globe.

During the fourth quarter of 2021, the MSCI Emerging Markets Index rose in October, fell sharply in November and increased in December.

Emerging markets equities rose slightly in October as COVID-19 vaccination rates increased and the global spread of the Delta variant slowed in most regions. The markets also expected strong corporate earnings to continue. However, rising input costs, especially energy prices, material shortages and a slowdown in economic growth in China muted investor optimism.

In November, the Omicron variant of COVID-19 spread across regions, dampening investor sentiment and leading to mixed outlooks for the global economic recovery.

In December, global economic data was encouraging despite market participants closely monitoring the implications of the spread of the Omicron variant, inflation remaining top of mind for investors, and China’s heightened regulations, mainly in the technology sector, weighing on sentiment.

The MSCI Emerging Markets Index fell in January and February 2022.

In January, both growing tensions between Russian and Ukraine and rising global borrowing costs worried investors. COVID-19 cases surged and hospitalizations rose, furthering dampening investor sentiment around an economic recovery across emerging markets.

In February, the Russia/Ukraine situation deteriorated sharply, with Russia launching a full-scale invasion, triggering a sell-off in emerging markets equities.

The best performing sector within the MSCI Emerging Markets Index during the Reporting Period was financials, the only sector to post a positive, albeit modest, total return for the Reporting Period. The weakest performing sectors were health care, consumer discretionary and communication services.

The best performing countries within the MSCI Emerging Markets Index during the Reporting Period were Peru, United Arab Emirates and Qatar, while the weakest performing countries were Russia, Hungary and Poland.

It is worth noting that effective March 9, 2022, after the close of the Reporting Period, MSCI Inc. removed Russian securities from the MSCI Emerging Markets Index after deeming the Russian equity market “uninvestable” amidst Russia’s invasion of Ukraine. MSCI Inc. announced the MSCI Russia Indexes would be reclassified to “standalone markets” instead of “emerging markets” across all of MSCI’s indexes “at a price that is effectively zero.”

The Fund launched on December 13, 2021.

The Fund tracks the ActiveBeta^® Paris-Aligned U.S. Large Cap Equity Index, which uses the patented ActiveBeta^® Portfolio Construction Methodology and seeks to align with the goals of the Paris Climate Agreement to combat climate change and its effects.

The Fund’s approach combines Goldman Sachs’ well-established track record of managing diversified, multi-factor ETFs, with its ability to reflect many investors’ growing desire to reduce carbon emissions and more deliberately manage the transition to a low-carbon economy through Goldman Sachs’ rules-based and transparent approach.

S&P 500

Index⁴