Goldman Sachs Funds

 

 

 
Annual Report      

August 31, 2022

 
     

Access Fixed Income ETFs

     

Access Emerging Markets USD Bond ETF (GEMD)

     

Access High Yield Corporate Bond ETF (GHYB)

     

Access Inflation Protected USD Bond ETF (GTIP)

     

Access Investment Grade Corporate 1-5 Year Bond ETF (GSIG)

     

Access Investment Grade Corporate Bond ETF (GIGB)

     

Access Treasury 0-1 Year ETF (GBIL)

     

Access U.S. Aggregate Bond ETF (GCOR)

     

Access Ultra Short Bond ETF (GSST)

 

LOGO


Goldman Sachs Access Fixed Income ETFs

 

 

ACCESS EMERGING MARKETS USD BOND ETF

 

 

ACCESS HIGH YIELD CORPORATE BOND ETF

 

 

ACCESS INFLATION PROTECTED USD BOND ETF

 

 

ACCESS INVESTMENT GRADE CORPORATE 1-5 YEAR BOND ETF

 

 

ACCESS INVESTMENT GRADE CORPORATE BOND ETF

 

 

ACCESS TREASURY 0-1 YEAR ETF

 

 

ACCESS U.S. AGGREGATE BOND ETF

 

 

ACCESS ULTRA SHORT BOND ETF

 

TABLE OF CONTENTS

 

Investment Process

    1  

Portfolio Results and Fund Basics

    9  

Schedules of Investments

    47  

Financial Statements

    117  

Financial Highlights

    125  

Access Emerging Markets USD Bond ETF

    125  

Access High Yield Corporate Bond ETF

    126  

Access Inflation Protected USD Bond ETF

    127  

Access Investment Grade Corporate 1-5 Year Bond ETF

    128  

Access Investment Grade Corporate Bond ETF

    129  

Access Treasury 0-1 Year ETF

    130  

Access U.S. Aggregate Bond ETF

    131  

Access Ultra Short Bond ETF

    132  

Notes to Financial Statements

    133  

Report of Independent Registered Public Accounting Firm

    149  

Other Information

    151  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


INVESTMENT PROCESS

 

Goldman Sachs Access Fixed Income ETFs

 

Principal Investment Strategies

GOLDMAN SACHS ACCESS EMERGING MARKETS USD BOND ETF

The Goldman Sachs Access Emerging Markets USD Bond ETF (the “Fund”) seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index.

The FTSE Goldman Sachs Emerging Markets USD Bond Index (the “Index”) is a rules-based index that is designed to measure the performance of investment grade and high yield bonds issued by emerging market governments or quasi-government entities denominated in U.S. dollars (“USD”) that meet certain liquidity, governance and fundamental screening criteria. As of August 31, 2022, there were 510 constituents in the Index and the Index had a weighted average maturity of 13.52 years.

The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the government and quasi-government bonds of the FTSE Emerging Markets Broad Bond Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (“GSAM”).

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

The Index Provider constructs the Index in accordance with a rules-based methodology that involves two steps.

Step 1 - In the first step, the Index Provider defines a universe of potential index constituents (the “Universe”) by applying specified criteria to the constituents of the Reference Index. The Reference Index includes sovereign and quasi-sovereign debt issued in USD with a minimum of $500 million and $250 million outstanding, respectively, that is rated at least C by S&P Global Ratings (“S&P”) or Ca by Moody’s Investors Service, Inc. (“Moody’s”). Only constituents of the Reference Index that have a minimum issue equivalent of $500 million outstanding, a minimum issuer size of $1 billion, and are rated at least B- by S&P or B3 by Moody’s are included in the Universe. The weight of each country within the Universe is capped at 5%. A maturity bucketing process is used to approximate the average effective duration of the Reference Index.

Step 2 - In the second step, the Index Provider applies both governance and fundamental screens to the Universe. First, issuers are ranked by improvement or deterioration in governance based on the Worldwide Governance Indicators. Based on this ranking, the bottom 10% of issuing countries are excluded from the Universe. Second, issuers are ranked by improvement or deterioration in two fundamental factors, import coverage and inflation. Based on this second ranking, the bottom 5% of issuing countries are excluded from the Universe. Inclusion or exclusion of quasi-government bonds is based on the country of domicile.

As of August 31, 2022, issuers from 44 emerging market countries were included in the Index. The majority of these countries are likely to be located in Africa, Asia, the Middle East, Eastern and Central Europe and Central and South America. The countries included in the Index may change over time. The percentage of the portfolio exposed to any country or geographic region will vary from time to time as the weightings of the securities within the Index change, and the Fund may not be invested in each country or geographic region at all times.

The securities included in the Index include non-investment grade fixed income securities (commonly known as “junk bonds”). Non-investment grade fixed income securities in the Index are securities rated below BBB- by S&P or Baa3 by Moody’s.

The Investment Adviser uses a representative sampling strategy to manage the Fund. “Representative sampling” is an indexing strategy in which the Fund invests in a representative sample of constituent securities that has a collective investment profile similar to that of the Index. The securities selected for investment by the Fund are expected to have, in the aggregate, investment characteristics, governance characteristics, fundamental characteristics and liquidity measures similar to those of the Index. The Fund may or may not hold all of the securities in the Index.

The Fund may concentrate its investments (i.e., hold more than 25% of its total assets) in a particular industry or group of industries to the extent that the Index is concentrated. The degree to which components of the Index represent certain sectors or industries may change over time.

 

1


INVESTMENT PROCESS

 

GOLDMAN SACHS ACCESS HIGH YIELD CORPORATE BOND ETF

The Goldman Sachs Access High Yield Corporate Bond ETF (the “Fund”) seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index.

The FTSE Goldman Sachs High Yield Corporate Bond Index (the “Index”) is a rules-based index that is designed to measure the performance of high yield corporate bonds denominated in U.S. dollars (“USD”) that meet certain liquidity and fundamental screening criteria. “High yield” bonds are bonds that are rated below investment grade and are commonly referred to as “junk bonds.” As of August 31, 2022. there were 888 constituents in the Index and the Index had a weighted average maturity of 5.64 years. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the FTSE US High-Yield Market Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (“GSAM”).

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

The Index Provider constructs the Index in accordance with a rules-based methodology that involves two steps.

Step 1 - In the first step, the Index Provider defines a universe of potential index constituents (the “Universe”) by applying specified criteria to the constituents of the Reference Index. The Reference Index includes high yield corporate bonds issued by companies domiciled in the United States or Canada that have a minimum of one year to maturity and are rated a maximum of BB+ by S&P Global Ratings (“S&P”) and Ba1 by Moody’s Investors Service, Inc. (“Moody’s”) and a minimum of C by S&P and Ca by Moody’s. Only constituents of the Reference Index that (i) have a minimum of $400 million outstanding, a minimum issuer size of $1 billion and a maximum final maturity of 15 years and (ii) if neither fundamental factor described below is available, are rated at least CCC+ by S&P or Caa1 by Moody’s, are included in the Universe. A maturity bucketing process is used to approximate the average effective duration of the Reference Index.

Step 2 - In the second step, the Index Provider applies a fundamental screen to the Universe. Issuers are first grouped into three broad industry groups: financials, industrials and utilities. Within each industry group, issuers are measured by two fundamental factors, debt service and leverage. The Index Provider ranks each issuer based on the two fundamental factors, equally weighted. The Index is constructed by including the highest ranking eligible securities in each industry group, screening out lowest ranking eligible securities.

GOLDMAN SACHS ACCESS INFLATION PROTECTED USD BOND ETF

The Goldman Sachs Access Inflation Protected USD Bond ETF (the “Fund”) seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index.

The FTSE Goldman Sachs Treasury Inflation Protected USD Bond Index (the “Index”) is designed to track the performance of inflation-protected, fixed rate U.S. Treasury Securities denominated in U.S. dollars (“USD”) that meet certain screening criteria. “U.S. Treasury Securities” refer to securities issued or guaranteed by the U.S. Treasury where the payment of principal and interest is backed by the full faith and credit of the U.S. government. U.S. Treasury Securities include U.S. Treasury notes, U.S. Treasury bills and U.S. Treasury floating rate bonds. As of August 31, 2022, there were 41 issues in the Index and the Index had a weighted average maturity of 7.75 years and a weighted average duration of 7.29 years. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the U.S. sleeve of the FTSE World Inflation-Linked Securities Index (the “Reference Index”) using concepts developed with GSAM.

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

2


INVESTMENT PROCESS

 

The Index Provider constructs the Index in accordance with a rules-based methodology that involves two steps.

Step 1

In the first step, the Index Provider defines a universe of potential index constituents (the “Universe”) by applying specified criteria to the constituents of the Reference Index. The Reference Index includes fixed-rate, sovereign bonds denominated in USD that are linked to an inflation index. Only constituents of the Reference Index that are U.S. Treasury Inflation-Protected Securities (“TIPS”), have a minimum of 1 year to maturity and a minimum issue size of $5 billion outstanding (before taking into account the Federal Reserve System Open Market Account (“SOMA”) holdings) are included in the Universe.

Step 2

In the second step, the Index Provider screens the Universe to exclude securities that are unseasoned. The Index excludes “on-the-run” bonds, or the newest issues for each security term. The Index is constructed by weighting each constituent to match the weighted average real yield duration of the Universe.

THE FUND IS NOT A MONEY MARKET FUND AND DOES NOT ATTEMPT TO MAINTAIN A STABLE NET ASSET VALUE.

GOLDMAN SACHS ACCESS INVESTMENT GRADE CORPORATE BOND ETF

The Goldman Sachs Access Investment Grade Corporate Bond ETF (the “Fund”) seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index.

The FTSE Goldman Sachs Investment Grade Corporate Bond Index (the “Index”) is a rules-based index that is designed to measure the performance of investment grade corporate bonds denominated in U.S. dollars that meet certain liquidity and fundamental screening criteria. As of August 31, 2022, there were 2,837 constituents in the Index and the Index had a weighted average maturity of 11.87 years. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the FTSE US Broad Investment-Grade (USBIG®) Corporate Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (“GSAM”).

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

The Index Provider constructs the Index in accordance with a rules-based methodology that involves two steps.

Step 1 - In the first step, the Index Provider defines a universe of potential index constituents (the “Universe”) by applying specified criteria to the constituents of the Reference Index. The Reference Index includes investment grade corporate bonds that have a minimum of one year to maturity and are rated at least BBB- by S&P Global Ratings (“S&P”) or Baa3 by Moody’s Investors Service, Inc. (“Moody’s”). Only corporate bond constituents of the Reference Index that have a minimum of $750 million outstanding and a minimum issuer size of $2 billion are included in the Universe.

Step 2 - In the second step, the Index Provider applies a fundamental screen to the Universe. Issuers are first grouped into three broad industry groups: financials, industrials and utilities. Within each industry group, issuers are measured by two fundamental factors, operating margin and leverage. The Index Provider ranks each issuer based on the two fundamental factors, equally weighted. The Index is constructed by including the highest ranking eligible securities in each industry group, screening out lowest ranking eligible securities.

GOLDMAN SACHS ACCESS INVESTMENT GRADE CORPORATE 1-5 YEAR BOND ETF

The Fund seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index.

 

3


INVESTMENT PROCESS

 

The FTSE Goldman Sachs US Investment Grade Corporate Bond 1-5 Years Index (the “Index”) is a rules-based index that is designed to measure the performance of investment grade, corporate bonds denominated in U.S. dollars (“USD”) with remaining maturities between one and five years that meet certain liquidity and fundamental screening criteria.

As of August 31, 2022, there were 2,168 constituents in the Index and the Index had a weighted average maturity of 3.64 years. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the FTSE US Broad Investment-Grade (USBIG®) Corporate Bond Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (the “Investment Adviser” or “GSAM”).

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

The Index Provider constructs the Index in accordance with a rules-based methodology that involves two steps.

Step 1 - In the first step, the Index Provider defines a universe of potential Index constituents (the “Universe”) by applying specified criteria to the constituents of the Reference Index. The Reference Index includes investment grade corporate bonds that have a minimum of a minimum of one year to maturity and are rated at least BBB- by S&P Global Ratings (“S&P”) or Baa3 by Moody’s Investors Service, Inc. (“Moody’s”). Only corporate bond constituents of the Reference Index that have a minimum of $250 million outstanding, remaining maturities between one and five years, and from issuers with at least two eligible bonds outstanding are included in the Universe. A maturity bucketing process is used to approximate the average effective duration of constituents of the Reference Index with remaining maturities between one and five years.

Step 2 - In the second step, the Index Provider applies a fundamental screen to the Universe. Issuers are first grouped into three broad industry groups: financials, industrials and utilities. Within each industry group, issuers are measured by two fundamental factors, operating margin and leverage, subject to certain exceptions. The Index Provider ranks each issuer based on the two fundamental factors, equally weighted. The Index is constructed by including the highest ranking eligible securities in each industry group, screening out lowest ranking eligible securities. An issuer weight cap is applied to each Index constituent.

GOLDMAN SACHS ACCESS TREASURY 0-1 YEAR ETF

The Goldman Sachs Access Treasury 0-1 Year ETF (the “Fund”) seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index.

The FTSE US Treasury 0-1 Year Composite Select Index (the “Index”) is designed to measure the performance of U.S. Treasury Securities with a maximum remaining maturity of 12 months. “U.S. Treasury Securities” refer to securities issued or guaranteed by the U.S. Treasury where the payment of principal and interest is backed by the full faith and credit of the U.S. government. U.S. Treasury Securities include U.S. Treasury notes, U.S. Treasury bills and U.S. Treasury floating rate bonds. The Fund expects to invest 100% of its assets in (i) U.S. Treasury Securities with a maximum remaining maturity of 12 months and (ii) cash.

As of August 31, 2022, there were 85 issues in the Index and the Index had a weighted average maturity of 0.38 years. The Index includes publicly-issued U.S. Treasury Securities that have a minimum remaining maturity of 1 month and a maximum remaining maturity of 12 months at the time of rebalance and that have a minimum issue size of $5 billion. In addition, the securities in the Index must be non-convertible and denominated in U.S. dollars. The Index excludes certain special issues, such as targeted investor notes, state and local government series bonds and coupon issues that have been stripped from bonds. 10-year and 30-year U.S. Treasury bonds are not eligible for inclusion in the Index.

The Index is sponsored by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”), which is not affiliated with the Fund or the Investment Adviser. The Index is market capitalization-weighted and the securities in the Index are updated on the last business day of each month. Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

4


INVESTMENT PROCESS

 

THE FUND IS NOT A MONEY MARKET FUND AND DOES NOT ATTEMPT TO MAINTAIN A STABLE NET ASSET VALUE.

GOLDMAN SACHS ACCESS U.S. AGGREGATE BOND ETF

The Goldman Sachs Access U.S. Aggregate Bond ETF (the “Fund”) seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index. To-Be-Announced (“TBA”) transactions representing securities included in the Fund’s underlying index are counted towards the Fund’s 80% investment policy.

The FTSE Goldman Sachs US Broad Bond Market Index (the “Index”) is a rules-based index that is designed to measure the performance of investment grade, U.S. dollar (“USD”)-denominated bonds issued in the United States that meet certain liquidity and fundamental screening criteria. The Index consists of the following fixed income asset class sectors: U.S. Treasury Securities, corporate bonds, mortgage-backed securities, government-sponsored securities, non-U.S. sovereign and provincial securities and asset-backed securities. As of August 31, 2022, there were 8,243 constituents in the Index and the Index had a weighted average maturity of 13.34 years. In addition, as of August 31, 2022, the percentage breakdown of bonds included in the Index was as follows: U.S. Treasury securities (41.2%), corporate bonds (24.8%), mortgage-backed securities (27.2%), asset-backed securities (0.2%), government-sponsored securities (3.7%) and non-U.S. sovereign and provincial securities (0.2%). The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the FTSE US Broad Investment-Grade (USBIG®) Index (the “Reference Index”), using concepts developed with Goldman Sachs Asset Management, L.P. (the “Investment Adviser” or “GSAM”).

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

The Index Provider constructs the Index in accordance with a rules-based methodology that involves two steps.

Step 1 - In the first step, the Index Provider defines a universe of potential index constituents (the “Universe”) by applying specified criteria to constituents of the Reference Index as described below. All constituents of the Reference Index must have a minimum of one year to maturity and are rated at least BBB- by S&P Global Ratings (“S&P”) or Baa3 by Moody’s Investors Service, Inc. (“Moody’s”).

U.S. Treasury Securities: “U.S. Treasury Securities” refer to securities issued or guaranteed by the U.S. Treasury where the payment of principal and interest is backed by the full faith and credit of the U.S. government. U.S. Treasury Securities include U.S. Treasury notes, U.S. Treasury bills and U.S. Treasury floating rate bonds. U.S. Treasury Securities that are included in the Reference Index must have a minimum of $5 billion outstanding (before taking into account the Federal Reserve System Open Market Account (“SOMA”) holdings). Only fixed-rate U.S. Treasury Securities within the Reference Index are included in the Universe.

Corporate Bonds: Corporate bonds that are included in the Reference Index must have a minimum of $250 million outstanding. Only corporate bonds within the Reference Index from issuers with at least two eligible bonds outstanding are included in the Universe. A maturity bucketing process is used to approximate the average effective duration of the Reference Index.

Mortgage-Backed Securities: Mortgage-backed securities that are included in the Reference Index must have a minimum issuer size of $250 million. Only mortgage-backed securities within the Reference Index that have a minimum of $1 billion outstanding per origination year generic when the coupon has a minimum amount outstanding of $5 billion are included in the Universe.

Government-Sponsored Securities, Non-U.S. Sovereign and Provincial Securities and Asset-Backed Securities: Government-sponsored securities, non-U.S. sovereign and provincial securities and asset-backed securities that are included in the Reference Index must have a minimum of $1 billion, $500 million and $250 million outstanding, respectively. All government-sponsored securities, non-U.S. sovereign and provincial securities and asset-backed securities within the Reference Index are included in the Universe, except for callable zero coupon bonds, bonds callable less than one year from the issue date, and bonds issued by supranational entities.

 

5


INVESTMENT PROCESS

 

Step 2 - In the second step, the Index Provider applies specified fundamental screens to each type of constituents in the Universe as described below.

U.S. Treasury Securities: U.S. Treasury Securities within the Universe are screened to exclude securities that are “on-the-run” bonds, or the newest issues for each security term. The remaining U.S. Treasury Securities are divided into “maturity sectors” according to their weighted average maturities. The weight of each U.S. Treasury Security within its maturity sector is determined through an optimization process with the goal of maximizing projected one-month return net of transaction costs subject to a cap on volatility.

Corporate Bonds: Corporate bond issuers within the Universe are grouped into three broad industry groups: financials, industrials and utilities. Within each industry group, issuers are measured by two fundamental factors, operating margin and leverage, subject to certain exceptions. The Index Provider ranks each issuer based on the two fundamental factors, equally weighted. The Index is constructed by including the highest ranking eligible securities in each industry group and screening out lowest ranking eligible securities. An issuer weight cap is applied to each Index constituent.

Mortgage-Backed Securities: Mortgage-backed securities within the Universe are grouped by issuer agency and are ranked within each issuer agency group based on “seasoning” (i.e., the length of time the security has been publicly traded). “Unseasoned” mortgage-backed securities (i.e., securities with less than six months of loan age) within each issuer agency group are removed from the Index. In addition, the most “negatively convex” mortgage-backed securities within each issuer agency group are removed from the Index (“negative convexity” refers to the tendency for a security’s price to fall when interest rates fall). The weights of the remaining mortgage-backed securities in the Index are determined according to their market capitalizations within the Reference Index, and the weight of each issuer agency group is adjusted to match the weighted average effective duration of such group within the Reference Index.

Government-Sponsored Securities, Non-U.S. Sovereign and Provincial Securities and Asset-Backed Securities: Government-sponsored securities, non-U.S. sovereign and provincial securities and asset-backed securities within the Universe are included in the Index in accordance with their market capitalizations.

ALL ABOVE FUNDS

Each of the FTSE Goldman Sachs Emerging Markets USD Bond Index, FTSE Goldman Sachs High Yield Corporate Bond Index, FTSE Goldman Sachs Investment Grade Corporate Bond 1-5 Years Index, FTSE Goldman Sachs Investment Grade Corporate Bond Index and FTSE Goldman Sachs US Broad Bond Market Index is rebalanced (i) monthly on the last business day of each month, to account for changes in maturities, corporate actions or ratings migration, and (ii) quarterly, to account for updates to the constituent securities on the basis of the fundamental factors (as described above). The FTSE US Treasury 0-1 Year Composite Select Index is rebalanced monthly on the last day of the month. The FTSE Goldman Sachs Treasury Inflation Protected USD Bond Index is rebalanced monthly on the last business day of the month to account for changes in maturities (i.e., removing securities with less than 1 year to maturity), new issues and duration to closely match the weighted average real yield duration of its Universe.

The Investment Adviser uses a representative sampling strategy to manage each Fund. “Representative sampling” is an indexing strategy in which each Fund invests in a representative sample of constituent securities that has a collective investment profile similar to that of its Index. The securities selected for investment by each Fund are expected to have, in the aggregate, investment characteristics, fundamental characteristics and liquidity measures similar to those of its Index. Each Fund may or may not hold all of the securities in its Index.

Each of the Goldman Sachs Access High Yield Corporate Bond ETF, Goldman Sachs Investment Grade Corporate 1-5 Year Bond ETF, Goldman Sachs Access Investment Grade Corporate Bond ETF and Goldman Sachs Access U.S. Aggregate Bond ETF may concentrate its investments (i.e. hold more than 25% of its total assets) in a particular industry or group of industries to the extent that its Index is concentrated. The degree to which components of its Index represent certain sectors or industries may change over time. Each of the Goldman Sachs Access Treasury 0-1 Year ETF and Goldman Sachs Access Inflation Protected USD Bond ETF may concentrate its investments (i.e., hold more than 25% of its total assets) in a particular industry or group of industries to the

 

6


INVESTMENT PROCESS

 

extent that its Index is concentrated. The U.S. government, state and municipal governments and their agencies, authorities and instrumentalities are not deemed to be industries for this purpose.

At the end of each Fund’s Reporting Period, i.e. August 31, 2022, we continued to believe the Funds may provide investors with smoother performance and less volatility, as a smart beta approach should provide liquidity while minimizing exposure to factors historically associated with volatility and underperformance.*

GOLDMAN SACHS ACCESS ULTRA SHORT BOND ETF

The Goldman Sachs Access Ultra Short Bond ETF (the “Fund”) seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its Net Assets in a broad range of U.S. dollar denominated bonds. The Fund primarily invests in U.S. Government Securities, obligations of U.S. banks, corporate notes, commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities, fixed and floating rate mortgage-backed securities, asset-backed securities, CLOs and repurchase agreements. The Fund may also invest in U.S. dollar-denominated obligations issued or guaranteed by foreign banks, companies and governments or their agencies, authorities, instrumentalities or sponsored enterprises. Shareholders will be provided with sixty days’ notice in the manner prescribed by the Securities and Exchange Commission (“SEC”) before any change in the Fund’s policy to invest at least 80% of its Net Assets in the particular type of investment suggested by its name.

The Fund will generally focus its investments in securities of issuers that, at the time of purchase, have a short-term credit rating of at least investment grade by at least one NRSRO (at least A-2, P-2, or F2 by S&P, Moody’s or Fitch, respectively), have a long-term credit rating of at least investment grade by at least one NRSRO (at least BBB-, Baa3, or BBB by S&P, Moody’s or Fitch, respectively) if such securities only maintain long-term ratings, or, if unrated, are determined by the Investment Adviser to be of comparable credit quality at the time of purchase. The Fund may also rely on the credit quality of a guarantee or demand feature in determining the credit quality of a security supported by the guarantee or demand feature.

The Fund will concentrate its investments in the financial services group of industries. Therefore, under normal circumstances, the Fund will invest more than 25% of its total assets in securities issued by companies in the financial services group of industries and repurchase agreements secured by such obligations.

Under normal circumstances, the Fund’s effective duration is expected to be one year or less. “Duration” is a measure of a debt security’s price sensitivity to changes in interest rates. The longer the duration of the Fund (or an individual debt security), the more sensitive its market price to changes in interest rates. In computing duration, the Fund will estimate the duration of obligations that are subject to prepayment or redemption by the issuer, taking into account the influence of interest rates on prepayments and coupon flows. This method of computing duration is known as “option-adjusted” duration.

The Fund is an actively managed ETF, which is a fund that trades like other publicly-traded securities. The Fund is not an index fund and does not seek to replicate the performance of a specified index.

The Fund may, from time to time, take temporary defensive positions that are inconsistent with the Fund’s principal investment strategies in attempting to respond to adverse market, political or other conditions. For temporary defensive purposes, the Fund may invest up to 100% of its total assets in U.S. Government Securities, commercial paper rated at least A-2 by S&P, P-2 by Moody’s, or having a comparable credit rating by another NRSRO (or if unrated, determined by the Investment Adviser to be of comparable credit quality), certificates of deposit, bankers’ acceptances, repurchase agreements, non-convertible preferred stocks and non-convertible corporate bonds with a remaining maturity of less than one year, certain ETFs and other investment companies and cash items. Cash items are not income-generating and, as a result, the Fund’s current yield may be adversely affected during periods when such positions are held. Cash positions may also subject the Fund to additional risks and costs, such as increased exposure to the custodian bank holding the assets and any fees imposed for large cash balances. When the Fund’s assets are invested in such instruments, the Fund may not be achieving its investment objective.

THE FUND IS NOT A MONEY MARKET FUND AND DOES NOT ATTEMPT TO MAINTAIN A STABLE NET ASSET VALUE.

 

*   Smart beta refers to quantitative index-based strategies. Liquidity is the ability to invest or redeem during market hours. Volatility refers to the annualized standard deviation of returns.

 

7


INVESTMENT PROCESS

 

 

The Fund is managed to seek to generate current income and secondarily maintain an emphasis on preservation of capital and liquidity. The Investment Adviser follows a conservative, risk-managed investment process.

Global fixed income markets are constantly evolving and are highly diverse — with a large number of countries, currencies, sectors, issuers and securities. We believe that inefficiencies in these complex markets cause bond prices to diverge from their fair value. To capitalize on these inefficiencies and generate consistent risk-adjusted performance, we believe it is critical to:

 

 

Thoughtfully combine diversified sources of return by employing multiple strategies

 

 

Take a global perspective to uncover relative value opportunities

 

 

Employ focused specialist teams to identify short-term mispricings and incorporate long-term views

 

 

Emphasize a risk-aware approach as we view risk management as both an offensive and defensive tool

 

 

Build a strong team of skilled investors who excel on behalf of our clients.

* * *

At the end of the Reporting Period, we believed the major factors that would influence the fixed income markets in the coming months included geopolitical risk (especially the war in Ukraine), energy prices (particularly risks of supply constraints), inflation levels (persistently high or potentially declining), central bank policy decisions (especially U.S. Federal Reserve policy and its potential impact on the markets and the U.S. economy), relative strength of the U.S. dollar (potential impact on commodity prices and global markets) and U.S. recession risk (uncertain in terms of scope and time frame).

 

8


PORTFOLIO RESULTS

 

Goldman Sachs Access Emerging Markets USD Bond ETF

 

Investment Objective

The Goldman Sachs Access Emerging Markets USD Bond ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs Emerging Markets USD Bond Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income and Liquidity Solutions Team discusses the Fund’s performance and positioning for the period since the Fund’s inception on February 15, 2022 through August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -16.11% based on net asset value (“NAV”) and -17.04% based on market price. The Index returned -17.06% during the same period.

 

   

The Fund had an NAV of $49.68 per share on the date of inception and ended the Reporting Period with an NAV of $40.58 per share. The Fund’s market price on August 31, 2022 was $40.13 per share.

 

   

Effective February 17, 2022, Goldman Sachs Asset Management, L.P., the Fund’s investment adviser, implemented a management fee waiver for the Fund such that total annual fund operating expenses after the fee waiver are 0.00% through at least February 17, 2023.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index. The Fund’s performance reflects Fund expenses, including management fees and brokerage expenses. The Fund’s relative performance also reflects the impact of any cash held in the Fund as well as any other differences between the Fund’s holdings and the constituents of the Index. The Index is unmanaged, and Index returns do not reflect fees and expenses, which would reduce returns.

 

   

The Index is designed to measure the performance of investment grade and high yield bonds issued by emerging market governments or quasi-government entities denominated in U.S. dollars (“USD”) that meet certain liquidity, governance and fundamental screening criteria. “High yield” bonds are bonds that are rated below investment grade and are commonly referred to as “junk bonds.” The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the government and quasi-government bonds of the FTSE Emerging Markets Broad Bond Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (“GSAM”). The Index is rules-based and the securities in the Index are updated on the last business day of each month.

 

   

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

   

During the Reporting Period, the Fund posted negative absolute returns but modestly outperformed the Index, as measured by NAV. The Fund is passively managed to the Index and aims to minimize tracking error to the Index.

 

   

The Fund invests in U.S. dollar-denominated sovereign and quasi-sovereign debt of emerging market countries, both investment grade and below investment grade bonds included. Emerging market bonds began selling off after the Russian invasion of Ukraine in late February, just weeks after the Fund’s inception. These events broadened geopolitical concerns, particularly in countries more closely tied to the Russia/Ukraine conflict. Emerging market bonds were also impacted during the Reporting Period by the broad sell-off in risk assets and by widening credit spreads, driven, in turn, by global economic and inflation pressures. (Spreads are a widening or tightening of the yield differential to duration-equivalent U.S. Treasuries.) The strong U.S. dollar

 

9


PORTFOLIO RESULTS

 

  was also a factor, as many emerging market countries issue debt in U.S. dollars, effectively increasing the amount of debt they owe due to the lower valuation of their own currency. Spreads on global sovereign emerging markets debt widened approximately 121 basis points during the Reporting Period, from 304 basis points to 425 basis points. (A basis point is 1/100th of a percentage point.)

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 7.35 years, a weighted average maturity of 13.03 years and a weighted average coupon of 5.18% as of August 31, 2022. The Fund’s weighted average yield to maturity was 7.23% on August 31, 2022. The 30-day standardized yield of the Fund at the end of the Reporting Period was 6.90%.

 

Q   What was the Fund’s credit allocation at the end of the Reporting Period?2

 

A  

 

AA               6.87%        
A   12.70%  
BBB   33.65%  
BB   19.14%  
B   24.10%  
CCC   0.71%  
Not Rated   1.07%  
Cash   1.74%        

 

Q   What was the Fund’s regional allocation at the end of the Reporting Period?3

 

A   Of the approximately 98.26% of the Fund’s assets invested in emerging markets debt at the end of the Reporting Period, approximately 37.72% was in Latin America, 11.47% in Europe, 31.95% in the Middle East and Africa, 15.11% in Asia and 2.01% elsewhere.    

 

  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.

 

 

  2    The Fund and the Index have not been rated by an independent rating agency. The credit allocation provided refers to the Fund’s underlying portfolio securities. For the purpose of determining compliance with any credit rating requirement, the Fund assigns a security, at the time of purchase, the highest rating by a Nationally Recognized Statistical Rating Organization (“NRSRO”) if the security is rated by more than one NRSRO. For this purpose, the Fund relies only on the ratings of the following NRSROs: S&P, Moody’s and Fitch, Inc. This method may differ from the method independently used by the Index Provider. GSAM will use a single rating if that is the only one available. Securities that are not rated by all three agencies are reflected as such in the breakdown. Unrated securities may be purchased by the Fund if they are determined by the Investment Adviser to be of a credit quality consistent with the Fund’s credit rate requirements. Unrated securities do not necessarily indicate low quality, and for such securities the Investment Adviser will evaluate the credit quality. GSAM converts all ratings to the equivalent S&P major rating category when illustrating credit rating breakdowns. Ratings and Fund/Index credit quality may change over time.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs Emerging Markets USD Bond Index.

 

10


FUND BASICS

 

Access Emerging Markets USD Bond ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 40.13  
    Net Asset Value (NAV)1   $ 40.58  

 

1    The Market Price is the price at which the Fund’s shares are trading on the Cboe BZX Exchange, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on Cboe BZX Exchange, Inc. at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222
    

Holding

 

% of Net Assets

    

Line of Business

 

Chile Government International Bond, 3.50%, 01/31/34

    1.6   

Chile

 

Hungary Government International Bond, 5.38%, 03/25/24

    1.2     

Hungary

 

Indonesia Government International Bond, 7.75%, 01/17/38

    1.2     

Indonesia

 

Chile Government International Bond, 3.13%, 01/21/26

    1.2     

Chile

 

Colombia Government International Bond, 5.00%, 06/15/45

    1.1     

Colombia

 

Qatar Government International Bond, 4.82%, 03/14/49

    1.1     

Qatar

 

Saudi Arabian Oil Co., 3.50%, 04/16/29

    1.1     

Saudi Arabia

 

Bahrain Government International Bond, 7.00%, 01/26/26

    1.1     

Bahrain

 

Croatia Government International Bond, 6.00%, 01/26/24

    1.1     

Croatia

   

Uruguay Government International Bond, 5.10%, 06/18/50

    1.1     

Uruguay

 

2    The top 10 holdings may not be representative of the Fund’s future investments.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

  INDUSTRY ALLOCATION AS OF 8/31/223  
    

Sector Name

 

Fund

 
 

Government

    87.6
 

Energy

    6.0  
 

Basic Materials

    2.8  
 

Investment Company

    1.5  
 

Industrials

    0.9  
 

Financials

    0.6  
   

Utilities

    0.6  

 

3    The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities.

 

11


GOLDMAN SACHS ACCESS EMERGING MARKETS USD BOND ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on February 15, 2022 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index, the FTSE Goldman Sachs Emerging Markets USD Bond Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access Emerging Markets USD Bond ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from February 15, 2022 through August 31, 2022.

 

 

LOGO

 

 

Average Annual Total Return through August 31, 2022*    Since Inception

Shares based on NAV (Commenced February 15, 2022)

   -16.11%

 

Shares based on Market Price (Commenced February 15, 2022)

   -17.04%

 

FTSE Goldman Sachs Emerging Markets USD Bond Index

   -17.06%

 

 

*   Total return for periods of less than one year represents cumulative total return. Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns. Total returns for periods less than one full year are not annualized.

 

12


PORTFOLIO RESULTS

 

Goldman Sachs Access High Yield Corporate Bond ETF

 

Investment Objective

The Goldman Sachs Access High Yield Corporate Bond ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs High Yield Corporate Bond Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income and Liquidity Solutions Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -11.07% based on net asset value (“NAV”) and -11.90% based on market price. The Index returned -10.21% during the same period.

 

   

The Fund had an NAV of $50.40 per share on August 31, 2021 and ended the Reporting Period with an NAV of $42.70 per share. The Fund’s market price on August 31, 2022 was $42.28 per share.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index. The Fund’s performance reflects Fund expenses, including management fees and brokerage expenses. The Fund’s relative performance also reflects the impact of any cash held in the Fund as well as any other differences between the Fund’s holdings and the constituents of the Index. The Index is unmanaged, and Index returns do not reflect fees and expenses, which would reduce returns.

 

   

The Index is designed to measure the performance of high yield corporate bonds denominated in U.S. dollars that meet certain liquidity and fundamental screening criteria. “High yield” bonds are bonds that are rated below investment grade and are commonly referred to as “junk bonds.” The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”), using concepts developed with Goldman Sachs Asset Management, L.P. (“GSAM”). The Index is rules-based and the securities in the Index are updated on the last business day of each month.

 

   

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

   

During the Reporting Period, the Fund posted negative absolute returns that modestly underperformed the Index, as measured by NAV. The Fund is passively managed to the Index and aims to minimize tracking error to the Index.

 

   

Overall, high yield corporate bond returns are driven by two primary factors — duration (whether interest rates are rising or falling) and spreads (a widening or tightening of the yield differential to duration-equivalent U.S. Treasuries).

 

   

During the Reporting Period, the U.S. Federal Reserve (the “Fed”), after having kept its monetary policy accommodative for an extended span, with the targeted federal funds rate in a range of 0.00% to 0.25%, began raising interest rates in March 2022. In total, the Fed raised the targeted federal funds rate four times in the first eight months of 2022 for a total of 225 basis points, bringing the targeted federal funds to a range of 2.25% to 2.50% by the end of the Reporting Period. (A basis point is 1/100th of a percentage point.) As investors feared an economic slowdown in reaction to the interest rate hikes, the U.S. Treasury yield curve, or spectrum of maturities, flattened, meaning the spread, or yield differential, between shorter-term and longer-term maturities narrowed. Toward the end of the Reporting Period, as the Fed’s rapid responses to inflation heightened expectations it would move policy into restrictive territory and slow future economic growth, the two-year to 10-year portion of the U.S. Treasury yield curve actually inverted, meaning 10-year U.S. Treasury yields were lower than those of two-year U.S. Treasury yields, historically a foreshadow of a recession. All told, yields rose rapidly across the U.S. Treasury yield curve as the Fed began unwinding the COVID-19-related stimulus.

 

13


PORTFOLIO RESULTS

 

  The bellwether 10-year U.S. Treasury yield was up 185 basis points during the Reporting Period, from 1.30% to 3.15%.

 

   

Virtually all fixed income sectors recorded negative absolute returns during the Reporting Period, hurt by the increase in market volatility, much of which stemmed from the uncertainty around how forcefully the Fed would act to slow the economy as it sought to quell inflation. The risk asset sell-off drove a widening of credit spreads. High yield corporate spreads widened from 289 basis points to 484 basis points during the Reporting Period.

 

   

Toward the end of the Reporting Period, Fed Chair Powell articulated what had been increasingly clear for some time — that the Fed has limited tools to address inflation, but it intends to continue to forcefully react to inflation.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 4.29 years, a weighted average maturity of 5.66 years and a weighted average coupon of 5.46% as of August 31, 2022. The Fund’s weighted average yield to maturity was 8.15% on August 31, 2022. The 30-day standardized yield of the Fund at the end of the Reporting Period was 7.19%.

 

Q   What was the Fund’s credit allocation at the end of the Reporting Period?2

 

A  

 

BBB               0.24%        
BB   50.71%  
B   36.21%  
CCC   7.94%  
CC   1.20%  
Not Rated   1.15%  
Cash   2.55%        

 

Q   What was the Fund’s industry allocation at the end of the Reporting Period?

 

A   Of the approximately 95.98% of the Fund’s assets invested in high yield corporate bonds at the end of the Reporting Period, approximately 83% was in industrials, 9% in financials and 6% in utilities.3

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?4

 

A   While the Index was 99.13% invested in high yield corporate bonds, 0.87% invested in emerging market corporate bonds and 0.00% in cash, the Fund was 95.98% invested in high yield corporate bonds, 1.23% in emerging market corporate bonds and 2.55% in cash at the end of the Reporting Period.

 

  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.

 

  2    The Fund and the Index have not been rated by an independent rating agency. The credit allocation provided refers to the Fund’s underlying portfolio securities. For the purpose of determining compliance with any credit rating requirement, the Fund assigns a security, at the time of purchase, the highest rating by a Nationally Recognized Statistical Rating Organization (“NRSRO”) if the security is rated by more than one NRSRO. For this purpose, the Fund relies only on the ratings of the following NRSROs: S&P, Moody’s and Fitch, Inc. This method may differ from the method independently used by the Index Provider. GSAM will use a single rating if that is the only one available. Securities that are not rated by all three agencies are reflected as such in the breakdown. Unrated securities may be purchased by the Fund if they are determined by the Investment Adviser to be of a credit quality consistent with the Fund’s credit rate requirements. Unrated securities do not necessarily indicate low quality, and for such securities the Investment Adviser will evaluate the credit quality. GSAM converts all ratings to the equivalent S&P major rating category when illustrating credit rating breakdowns. Ratings and Fund/Index credit quality may change over time.

 

  3    Industry classifications for securities may differ between the above section and the Fund Basics section due to differing classification methodologies. The classification methodology used for the above section is as set forth by GSAM. The Fund’s composition may differ over time. Consequently, the Fund’s overall industry allocations may differ from percentages contained in the above section.

 

  4    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs High Yield Corporate Bond Index.
 

 

14


FUND BASICS

 

Access High Yield Corporate Bond ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 42.28  
    Net Asset Value (NAV)1   $ 42.70  

 

1    The Market Price is the price at which the Fund’s shares are trading on the NYSE Arca, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222
    

Holding

 

% of Net Assets

    

Line of Business

 

TransDigm, Inc., 6.25%, 03/15/26

    1.0    Aerospace & Defense
 

Medline Borrower LP, 3.88%, 04/01/29

    0.9      Consumer Noncyclical
 

CCO Holdings LLC / CCO Holdings Capital Corp., 5.13%, 05/01/27

    0.7      Communications
 

Prime Security Services Borrower LLC / Prime Finance, Inc., 6.25%, 01/15/28

    0.6      Consumer Cyclical
 

Directv Financing LLC / Directv Financing Co.-Obligor, Inc., 5.88%, 08/15/27

    0.6      Communications
 

Intelsat Jackson Holdings SA, 6.50%, 03/15/30

    0.6      Wireless
 

Organon & Co. / Organon Foreign Debt Co.-Issuer BV, 4.13%, 04/30/28

    0.6      Consumer Noncyclical
 

CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 05/01/32

    0.6      Communications
 

Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer, 4.25%, 10/15/27

    0.6      Insurance
   

Sirius XM Radio, Inc., 4.00%, 07/15/28

    0.6      Broadcasting

 

2    The top 10 holdings may not be representative of the Fund’s future investments.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance

 

  INDUSTRY ALLOCATION AS OF 8/31/223  
    

Sector Name

 

Fund

 
 

Consumer, Cyclical

    21.0
 

Consumer, Non-cyclical

    18.4  
 

Energy

    13.7  
 

Telecommunication Services

    13.0  
  Financials     11.2  
  Industrials     8.7  
  Materials     4.4  
 

Utilities

    3.7  
 

Information Technology

    3.5  
   

Investment Company

    2.4  

 

3    The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities.

 

15


GOLDMAN SACHS ACCESS HIGH YIELD CORPORATE BOND ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on September 5, 2017 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index, the FTSE Goldman Sachs High Yield Corporate Bond Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access High Yield Corporate Bond ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from September 5, 2017 through August 31, 2022.

 

 

LOGO

 

Average Annual Total Return through August 31, 2022*    1 Year Return    Since Inception

Shares based on NAV (Commenced September 5, 2017)

   -11.07%    1.89%

 

Shares based on Market Price (Commenced September 5, 2017)

   -11.90%    1.69%

 

FTSE Goldman Sachs High Yield Corporate Bond Index

   -10.21%    2.22%

 

 

*   Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

16


PORTFOLIO RESULTS

 

Goldman Sachs Access Inflation Protected USD Bond ETF

 

Investment Objective

The Goldman Sachs Access Inflation Protected USD Bond ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs Treasury Inflation Protected USD Bond Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -6.08% based on net asset value (“NAV”) and -6.20% based on market price. The Index returned -6.02% during the same period.

 

   

The Fund had an NAV of $58.52 per share on August 31, 2021 and ended the Reporting Period with an NAV of $51.68 per share. The Fund’s market price on August 31, 2022 was $51.64 per share.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index. The Fund’s performance reflects Fund expenses, including management fees and brokerage expenses. The Fund’s relative performance also reflects the impact of any cash held in the Fund as well as any other differences between the Fund’s holdings and the constituents of the Index. The Index is unmanaged, and Index returns do not reflect fees and expenses, which would reduce returns.

 

   

The Index is designed to track the performance of inflation protected, fixed rate U.S. Treasury Securities denominated in U.S. dollars (“USD”) that meet certain screening criteria. “U.S. Treasury Securities” refer to securities issued or guaranteed by the U.S. Treasury where the payment of principal and interest is backed by the full faith and credit of the U.S. government. U.S. Treasury Securities include U.S. Treasury notes, U.S. Treasury bills and U.S. Treasury floating rate bonds. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the U.S. sleeve of the FTSE World Inflation-Linked Securities Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (“GSAM”).

 

   

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

   

During the Reporting Period, the Fund posted negative absolute returns that closely tracked the Index, as measured by NAV. The Fund is passively managed to the Index and aims to minimize tracking error to the Index.

 

   

Two key drivers of return for the Treasury inflation protected securities (“TIPS”) market are interest rates, given the sector’s longer duration profile, and inflation. During the Reporting Period, the yield on the 10-year U.S. Treasury rose by approximately 185 basis points to 3.15%. (A basis point is 1/100th of a percentage point.) The move in U.S. Treasuries reflected market expectations of slowed economic growth on the back of U.S. Federal Reserve interest rate hikes, implemented, in turn, in an effort to reduce inflation. Annualized Consumer Price Index readings rose from 5.3% at the start of the Reporting Period to 8.3% in August 2022. Inflation increased across virtually all segments of the economy, but perhaps most noticeably in energy prices, with the U.S. Gasoline National Average increasing about 20% during the Reporting Period. Still, the U.S. labor market was strong. The U.S. unemployment rate declined from 5.1% to 3.6% during the Reporting Period, and annualized average hourly earnings rose from 4.3% to 5.2%. Supply-chain issues abated later in the Reporting Period, but demand remained high. All told, heightened inflation data was positive for TIPs, but it was not enough to offset the effect of rising interest rates, which drove negative returns for the sector during the Reporting Period.

 

17


PORTFOLIO RESULTS

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 7.23 years, a weighted average maturity of 7.73 years and a weighted average coupon of 0.64% as of August 31, 2022. The Fund’s weighted average yield to maturity was 3.63% on August 31, 2022. The 30-day standardized yield of the Fund at the end of the Reporting Period was 16.80%.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?2

 

A   While the Index was 100% allocated to U.S. TIPS, the Fund was 98.68% invested in U.S. TIPS and 1.32% in cash at the end of the Reporting Period.

 

  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.

 

  2    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs Treasury Inflation Protected USD Bond Index.
 

 

 

 

18


FUND BASICS

 

Access Inflation Protected USD Bond ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 51.64  
    Net Asset Value (NAV)1   $ 51.68  

 

1    The Market Price is the price at which the Fund’s shares are trading on the Cboe BZX Exchange, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on Cboe BZX Exchange, Inc. at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets      Line of Business
  U.S. Treasury Inflation Indexed Bond, 0.50%, 01/15/28     8.8    Government
  U.S. Treasury Inflation Indexed Bond, 0.13%, 10/15/25     7.5      Government
  U.S. Treasury Inflation Indexed Bond, 0.63%, 01/15/26     6.8      Government
  U.S. Treasury Inflation Indexed Bond, 0.13%, 10/15/24     6.7      Government
  U.S. Treasury Inflation Indexed Bond, 0.38%, 07/15/25     6.6      Government
  U.S. Treasury Inflation Indexed Bond, 2.13%, 02/15/40     6.5      Government
  U.S. Treasury Inflation Indexed Bond, 0.13%, 01/15/30     6.5      Government
  U.S. Treasury Inflation Indexed Bond, 0.38%, 07/15/27     6.4      Government
  U.S. Treasury Inflation Indexed Bond, 0.63%, 01/15/24     5.7      Government
    U.S. Treasury Inflation Indexed Bond, 0.25%, 01/15/25     5.6      Government

 

2    The holdings may not be representative of the Fund’s future investments.

 

  INDUSTRY ALLOCATION AS OF 8/31/223

 

     Sector Name   Fund  
  Government     99.8
    Investment Company     0.2  

 

3    The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

19


GOLDMAN SACHS ACCESS INFLATION PROTECTED USD BOND ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on October 2, 2018 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index, the FTSE Goldman Sachs Treasury Inflation Protected USD Bond Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access Inflation Protected USD Bond ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from October 2, 2018 through August 31, 2022.

 

 

LOGO

 

Average Annual Total Return through August 31, 2022*    1 Year Return    Since Inception

Shares based on NAV (Commenced October 2, 2018)

   -6.08%    4.09%

 

Shares based on Market Price (Commenced October 2, 2018)

   -6.20%    4.06%

 

FTSE Goldman Sachs Treasury Inflation Protected USD Bond Index

   -6.02%    4.19%

 

 

*   Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

20


PORTFOLIO RESULTS

 

Goldman Sachs Access Investment Grade Corporate 1-5 Year Bond ETF

 

Investment Objective

The Goldman Sachs Access Investment Grade Corporate 1-5 Year Bond ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs US Investment Grade Corporate Bond 1-5 Years Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income and Liquidity Solutions Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -6.30% based on net asset value (“NAV”) and -6.51% based on market price. The Index returned -6.15% during the same period.

 

   

The Fund had an NAV of $50.28 per share on August 31, 2021 and ended the Reporting Period with an NAV of $46.46 per share. The Fund’s market price on August 31, 2022 was $46.38 per share.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index. The Fund’s performance reflects Fund expenses, including management fees and brokerage expenses. The Fund’s relative performance also reflects the impact of any cash held in the Fund as well as any other differences between the Fund’s holdings and the constituents of the Index. The Index is unmanaged, and Index returns do not reflect fees and expenses, which would reduce returns.

 

   

The Index is a rules-based index that is designed to measure the performance of investment grade, corporate bonds denominated in U.S. dollars (“USD”) with remaining maturities between one and five years that meet certain liquidity and fundamental screening criteria. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the FTSE US Broad Investment-Grade (USBIG®) Corporate Bond Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (the “Investment Adviser” or “GSAM”). The Index is rebalanced (i) monthly on the last business day of each month, to account for changes in maturities, duration, corporate actions or ratings migration, and (ii) quarterly, to account for updates to the constituents on the basis of the fundamental factors.

 

   

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

   

During the Reporting Period, the Fund posted negative absolute returns that closely tracked the Index, as measured by NAV. The Fund is passively managed to the Index and aims to minimize tracking error to the Index.

 

   

Overall, investment grade corporate bond returns are driven by two primary factors — duration (whether interest rates are rising or falling) and spreads (a widening or tightening of the yield differential to duration-equivalent U.S. Treasuries).

 

   

During the Reporting Period, the U.S. Federal Reserve (the “Fed”), after having kept its monetary policy accommodative for an extended span, with the targeted federal funds rate in a range of 0.00% to 0.25%, began raising interest rates in March 2022. In total, the Fed raised the targeted federal funds rate four times in the first eight months of 2022 for a total of 225 basis points, bringing the targeted federal funds to a range of 2.25% to 2.50% by the end of the Reporting Period. (A basis point is 1/100th of a percentage point.) As investors feared an economic slowdown in reaction to the interest rate hikes, the U.S. Treasury yield curve, or spectrum of maturities, flattened, meaning the spread, or yield differential, between shorter-term and longer-term maturities narrowed. Toward the end of the Reporting Period, as the Fed’s rapid responses to inflation heightened expectations it would move policy into restrictive territory and slow future

 

21


PORTFOLIO RESULTS

 

  economic growth, the two-year to 10-year portion of the U.S. Treasury yield curve actually inverted, meaning 10-year U.S. Treasury yields were lower than those of two-year U.S. Treasury yields, historically a foreshadow of a recession. All told, yields rose rapidly across the U.S. Treasury yield curve as the Fed began unwinding the COVID-19-related stimulus. The bellwether 10-year U.S. Treasury yield was up 185 basis points during the Reporting Period, from 1.30% to 3.15%. Shorter-term U.S. Treasury security yields rose even more dramatically, with the three-year U.S. Treasury yield increasing 311 basis points, from 0.40% to 3.51% during the Reporting Period.

 

   

Virtually all fixed income sectors recorded negative absolute returns during the Reporting Period, hurt by the increase in market volatility, much of which stemmed from the uncertainty around how forcefully the Fed would act to slow the economy as it sought to quell inflation. The risk asset sell-off drove a widening of credit spreads. Short-term investment grade corporate spreads widened by approximately 47 basis points, from 45 basis points to 92 basis points, during the Reporting Period.

 

   

Toward the end of the Reporting Period, Fed Chair Powell articulated what had been increasingly clear for some time — that the Fed has limited tools to address inflation, but it intends to continue to forcefully react to inflation.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 2.69 years, a weighted average maturity of 3.13 years and a weighted average coupon of 3.21% as of August 31, 2022. The Fund’s weighted average yield to maturity was 4.47% on August 31, 2022. The 30-day standardized yield of the Fund at the end of the Reporting Period was 4.02%.
  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.
 

 

22


PORTFOLIO RESULTS

 

Q   What was the Fund’s credit allocation at the end of the Reporting Period?2

 

A  

 

AAA                 1.05  
AA     5.96  
A     33.30  
BBB     55.46  
BB     2.65  
B     0.29  
Cash     1.28  

 

Q   What was the Fund’s industry allocation at the end of the Reporting Period?

 

A   Of the approximately 95.52% of the Fund’s assets invested in investment grade corporate bonds at the end of the Reporting Period, approximately 37.71% was in financials, 53.83% in industrials and 3.98% in utilities.3

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?4

 

A   While the Index was 97.52% allocated to investment grade corporate bonds, 1.57% allocated to high yield corporate bonds, 0.09% allocated to quasi-government securities, 0.82% to emerging markets debt and 0.00% in cash, the Fund was 95.52% invested in investment grade corporate bonds, 2.05% in high yield corporate bonds, 0.25% in quasi-government securities, 0.90% in emerging markets debt and 1.28% in cash at the end of the Reporting Period.

 

  2    The Fund and the Index have not been rated by an independent rating agency. The credit allocation provided refers to the Fund’s underlying portfolio securities. For the purpose of determining compliance with any credit rating requirement, the Fund assigns a security, at the time of purchase, the highest rating by a Nationally Recognized Statistical Rating Organization (“NRSRO”) if the security is rated by more than one NRSRO. For this purpose, the Fund relies only on the ratings of the following NRSROs: S&P, Moody’s and Fitch, Inc. This method may differ from the method independently used by the Index Provider. GSAM will use a single rating if that is the only one available. Securities that are not rated by all three agencies are reflected as such in the breakdown. Unrated securities may be purchased by the Fund if they are determined by the Investment Adviser to be of a credit quality consistent with the Fund’s credit rate requirements. Unrated securities do not necessarily indicate low quality, and for such securities the Investment Adviser will evaluate the credit quality. GSAM converts all ratings to the equivalent S&P major rating category when illustrating credit rating breakdowns. Ratings and Fund/Index credit quality may change over time.

 

  3    Industry classifications for securities may differ between the above section and the Fund Basics section due to differing classification methodologies. The classification methodology used for the above section is as set forth by GSAM. The Fund’s composition may differ over time. Consequently, the Fund’s overall industry allocations may differ from percentages contained in the above section.

 

 

  4    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs Investment Grade Corporate Bond 1-5 Years Index.

 

23


FUND BASICS

 

Access Investment Grade Corporate 1-5 Year Bond ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 46.38  
    Net Asset Value (NAV)1   $ 46.46  

 

1    The Market Price is the price at which the Fund’s shares are trading on the NYSE Arca, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets     Line of Business
  Cooperatieve Rabobank UA, Series MTN, 3.38%, 05/21/25     1.5   Banks
  Santander UK Group Holdings PLC, 1.53%, 08/21/26     1.4     Banks
  HSBC Holdings PLC, 4.30%, 03/08/26     1.4     Banks
  Banco Santander SA, 2.75%, 05/28/25     1.2     Banks
  Lloyds Banking Group PLC, 2.44%, 02/05/26     1.2     Banks
  HSBC Holdings PLC, 2.25%, 11/22/27     1.1     Banks
  Barclays PLC, 2.28%, 11/24/27     1.1     Banks
  JPMorgan Chase & Co., 1.51%, 06/01/24     1.0     Banks
  Deutsche Bank AG, 3.96%, 11/26/25     0.9     Banks
    AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 1.75%, 01/30/26     0.8     Financial Company

 

2    The top 10 holdings may not be representative of the Fund’s future investments.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

  INDUSTRY ALLOCATION AS OF 8/31/223

 

     Sector Name   Fund  
  Financials     39.5
  Consumer, Non-cyclical     10.0  
  Industrials     9.8  
  Information Technology     9.3  
  Telecommunication Services     8.8  
  Energy     8.5  
  Consumer, Cyclical     8.2  
  Utilities     4.3  
  Investment Company     1.0  
    Materials     0.6  

 

3    The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities.

 

24


GOLDMAN SACHS ACCESS INVESTMENT GRADE CORPORATE 1-5 YEAR BOND ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on July 7, 2020 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index, FTSE Goldman Sachs US Investment-Grade Corporate Bond 1-5 Years Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access Investment Grade Corporate 1-5 Year Bond ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from July 7, 2020 through August 31, 2022.

 

 

LOGO

 

Average Annual Total Return through August 31, 2022*    1 Year Return    Since Inception

Shares based on NAV (Commenced July 7, 2020)

   -6.30%    -2.17%

 

Shares based on Market Price (Commenced July 7, 2020)

   -6.51%    -2.25%

 

FTSE Goldman Sachs US Investment-Grade Corporate Bond 1-5 Years Index

   -6.15%    -1.96%

 

 

*   Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

25


PORTFOLIO RESULTS

 

Goldman Sachs Access Investment Grade Corporate Bond ETF

 

Investment Objective

The Goldman Sachs Access Investment Grade Corporate Bond ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs Investment Grade Corporate Bond Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income and Liquidity Solutions Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -14.96% based on net asset value (“NAV”) and -15.26% based on market price. The Index returned -14.79% during the same period.

 

   

The Fund had an NAV of $55.24 per share on August 31, 2021 and ended the Reporting Period with an NAV of $45.81 per share. The Fund’s market price on August 31, 2022 was $45.61 per share.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index. The Fund’s performance reflects Fund expenses, including management fees and brokerage expenses. The Fund’s relative performance also reflects the impact of any cash held in the Fund as well as any other differences between the Fund’s holdings and the constituents of the Index. The Index is unmanaged, and Index returns do not reflect fees and expenses, which would reduce returns.

 

   

The Index is a rules-based index that is designed to measure the performance of investment grade, corporate bonds denominated in U.S. dollars (“USD”) that meet certain liquidity and fundamental screening criteria. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”) and is based on the FTSE US Broad Investment-Grade (USBIG®) Corporate Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (“GSAM”). The Index is rules-based and the securities in the Index are updated on the last business day of each month.

 

   

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

   

During the Reporting Period, the Fund posted negative absolute returns that closely tracked the Index, as measured by NAV. The Fund is passively managed to the Index and aims to minimize tracking error to the Index.

 

   

Overall, investment grade corporate bond returns are driven by two primary factors — duration (whether interest rates are rising or falling) and spreads (a widening or tightening of the yield differential to duration-equivalent U.S. Treasuries).

 

   

During the Reporting Period, the U.S. Federal Reserve (the “Fed”), after having kept its monetary policy accommodative for an extended span, with the targeted federal funds rate in a range of 0.00% to 0.25%, began raising interest rates in March 2022. In total, the Fed raised the targeted federal funds rate four times in the first eight months of 2022 for a total of 225 basis points, bringing the targeted federal funds to a range of 2.25% to 2.50% by the end of the Reporting Period. (A basis point is 1/100th of a percentage point.) As investors feared an economic slowdown in reaction to the interest rate hikes, the U.S. Treasury yield curve, or spectrum of maturities, flattened, meaning the spread, or yield differential, between shorter-term and longer-term maturities narrowed. Toward the end of the Reporting Period, as the Fed’s rapid responses to inflation heightened expectations it would move policy into restrictive territory and slow future economic growth, the two-year to 10-year portion of the U.S. Treasury yield curve actually inverted, meaning 10-year U.S. Treasury yields were lower than those of two-year U.S. Treasury yields, historically a foreshadow of a recession. All told, yields rose rapidly across the U.S. Treasury yield curve as the Fed began unwinding the COVID-19-related stimulus. The bellwether 10-year U.S. Treasury yield was up 185 basis points during the Reporting Period, from 1.30% to 3.15%.

 

26


PORTFOLIO RESULTS

 

   

Virtually all fixed income sectors recorded negative absolute returns during the Reporting Period, hurt by the increase in market volatility, much of which stemmed from the uncertainty around how forcefully the Fed would act to slow the economy as it sought to quell inflation. The risk asset sell-off drove a widening of credit spreads. Investment grade corporate spreads widened by approximately 53 basis points, from 87 basis points to 140 basis points, during the Reporting Period.

 

   

Toward the end of the Reporting Period, Fed Chair Powell articulated what had been increasingly clear for some time — that the Fed has limited tools to address inflation, but it intends to continue to forcefully react to inflation.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 7.43 years, a weighted average maturity of 11.62 years and a weighted average coupon of 3.67% as of August 31, 2022. The Fund’s weighted average yield to maturity was 4.82% on August 31, 2022. The 30-day standardized yield of the Fund at the end of the Reporting Period was 4.46%.

 

Q   What was the Fund’s credit allocation at the end of the Reporting Period?2

 

A  

 

AAA                 1.55  
AA     7.84  
A     38.58  
BBB     50.39  
BB     1.14  
Cash     0.49  

 

Q   What was the Fund’s industry allocation at the end of the Reporting Period?

 

A   Of the approximately 96.66% of the Fund’s assets invested in investment grade corporate bonds at the end of the Reporting Period, approximately 33.72% was in financials, 60.27% in industrials and 2.67% in utilities.3

 

  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.

 

 

 

  2    The Fund and the Index have not been rated by an independent rating agency. The credit allocation provided refers to the Fund’s underlying portfolio securities. For the purpose of determining compliance with any credit rating requirement, the Fund assigns a security, at the time of purchase, the highest rating by a Nationally Recognized Statistical Rating Organization (“NRSRO”) if the security is rated by more than one NRSRO. For this purpose, the Fund relies only on the ratings of the following NRSROs: S&P, Moody’s and Fitch, Inc. This method may differ from the method independently used by the Index Provider. GSAM will use a single rating if that is the only one available. Securities that are not rated by all three agencies are reflected as such in the breakdown. Unrated securities may be purchased by the Fund if they are determined by the Investment Adviser to be of a credit quality consistent with the Fund’s credit rate requirements. Unrated securities do not necessarily indicate low quality, and for such securities the Investment Adviser will evaluate the credit quality. GSAM converts all ratings to the equivalent S&P major rating category when illustrating credit rating breakdowns. Ratings and Fund/Index credit quality may change over time.

 

  3    Industry classifications for securities may differ between the above section and the Fund Basics section due to differing classification methodologies. The classification methodology used for the above section is as set forth by GSAM. The Fund’s composition may differ over time. Consequently, the Fund’s overall industry allocations may differ from percentages contained in the above section.

 

27


PORTFOLIO RESULTS

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?4

 

A   While the Index was 97.25% allocated to investment grade corporate bonds, 1.07% allocated to high yield corporate bonds, 1.43% allocated to emerging market corporate bonds, 0.25% allocated to quasi-government securities and 0.00% in cash, the Fund was 96.66% invested in investment grade corporate bonds, 0.78% in high yield corporate bonds, 1.72% in emerging market corporate bonds, 0.34% in quasi-government securities and 0.49% in cash at the end of the Reporting Period.

 

 

  4    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs Investment Grade Corporate Bond Index.

 

 

28


FUND BASICS

 

Access Investment Grade Corporate Bond ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 45.61  
    Net Asset Value (NAV)1   $ 45.81  

 

1    The Market Price is the price at which the Fund’s shares are trading on the NYSE Arca, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets     Line of Business   Country
  American Express Co., 3.00%, 10/30/24     0.5   Banks   United States
  Cigna Corp., 4.13%, 11/15/25     0.5     Healthcare   United States
  Verizon Communications, Inc., 0.85%, 11/20/25     0.4     Wireless   United States
  NVIDIA Corp., 0.58%, 06/14/24     0.4     Technology   United States
  BP Capital Markets America, Inc., 3.02%, 01/16/27     0.4     Energy   United States
  Starbucks Corp., 3.80%, 08/15/25     0.4     Consumer Cyclical   United States
  Bristol-Myers Squibb Co., 0.75%, 11/13/25     0.4     Consumer Noncyclical   United States
  Bank of Montreal, 4.34%, 10/05/28     0.3     Banks   Canada
  AbbVie, Inc., 3.60%, 05/14/25     0.3     Consumer Noncyclical   United States
    Westpac Banking Corp., 2.89%, 02/04/30     0.3     Banks   Australia

 

2    The top 10 holdings may not be representative of the Fund’s future investments.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

  INDUSTRY ALLOCATION AS OF 8/31/223

 

     Sector Name   Fund  
  Financials     35.7
  Consumer, Non-cyclical     18.3  
  Telecommunication Services     13.5  
  Energy     10.1  
  Information Technology     8.6  
  Consumer, Cyclical     5.2  
  Industrials     4.5  
  Utilities     2.7  
  Materials     1.1  
    Investment Company     0.3  

 

3    The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities.

 

29


GOLDMAN SACHS ACCESS INVESTMENT GRADE CORPORATE BOND ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on June 6, 2017 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index, the FTSE Goldman Sachs Investment Grade Corporate Bond Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access Investment Grade Corporate Bond ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from June 6, 2017 through August 31, 2022.

 

 

LOGO

 

Average Annual Total Return through August 31, 2022*    1 Year Return    Since Inception

Shares based on NAV (Commenced June 6, 2017)

   -14.96%    1.18%

 

Shares based on Market Price (Commenced June 6, 2017)

   -15.26%    1.09%

 

FTSE Goldman Sachs Investment Grade Corporate Bond Index

   -14.79%    1.39%

 

 

*   Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

30


PORTFOLIO RESULTS

 

Goldman Sachs Access Treasury 0-1 Year ETF

 

 

Investment Objective

The Goldman Sachs Access Treasury 0-1 Year ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE US Treasury 0-1 Year Composite Select Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income and Liquidity Solutions Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2022 (the “Reporting Period”).

 

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 0.01% based on net asset value (“NAV”) and 0.06% based on market price. The Index returned 0.18% during the same period.

 

   

The Fund had an NAV of $100.09 on August 31, 2021 and ended the Reporting Period with an NAV of $99.84 per share. The Fund’s market price on August 31, 2022 was $99.88 per share.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index. The Fund’s performance reflects Fund expenses, including management fees and brokerage expenses. The Fund’s relative performance also reflects the impact of any cash held in the Fund as well as any other differences between the Fund’s holdings and the constituents of the Index. The Index is unmanaged, and Index returns do not reflect fees and expenses, which would reduce returns.

 

   

The Index is designed to measure the performance of U.S. Treasury Securities with a maximum remaining maturity of 12 months. “U.S. Treasury Securities” refer to securities issued or guaranteed by the U.S. Treasury where the payment of principal and interest is backed by the full faith and credit of the U.S. government. U.S. Treasury Securities include U.S. Treasury notes, U.S. Treasury bills and U.S. Treasury floating rate bonds. The Index is sponsored by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”), which is not affiliated with the Fund or the Investment Adviser. The Index is market capitalization-weighted and the securities in the Index are updated on the last business day of each month.

 

   

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

   

During the Reporting Period, the Fund posted positive absolute returns that modestly lagged the Index, as measured by NAV. The Fund is passively managed to the Index and aims to minimize tracking error to the Index.

 

   

The Fund’s and the Index’s performance was largely reflective of the performance of front-end, or short-term, U.S. Treasury rates, which were primarily affected, in turn, by U.S. Federal Reserve (“Fed”) policy. The Fed had kept the targeted federal funds rate low, i.e. a range of 0% to 0.25%, since the onset of the COVID-19 pandemic. However, higher inflation, combined with a strong labor market, resulted in the Fed beginning to hike interest rates in March 2022. Indeed, in an effort to slow the economy and dampen price increases, the Fed raised the targeted federal funds rate four times in the first eight months of 2022, for a total of 225 basis points. (A basis point is 1/100th of a percentage point.) This put upward pressure on short-term U.S. interest rates and downward pressure on short-term bond prices. In fact, short-term U.S. interest rates increased significantly, with six-month U.S. Treasury yields up from 0.05% to 3.33% during the Reporting Period.

 

   

The Fund is an ultra-short bond fund, i.e. it invests in U.S. Treasury securities with maturities of one-month to one-year and thus its NAV has a low sensitivity to interest rate changes, but such Fed rate hikes resulted in the yield of the Fund increasing significantly during the Reporting Period. However, the sharp move higher in yields offset the positive effect of higher income, resulting in a rather neutral total return for the Fund for the Reporting Period.

 

31


PORTFOLIO RESULTS

 

   

In August 2022, Fed Chair Jerome Powell articulated what had been increasingly clear throughout the Reporting Period — that the Fed has limited tools to address inflation, but it intends to continue to forcefully react to inflation. At the end of the Reporting Period, we expected key factors impacting the returns of the Fund to continue to be inflation, U.S. economic growth and Fed policy, as these factors will likely help drive the outcome and level of short-term interest rates in the U.S.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 0.38 years, a weighted average maturity of 0.38 years and a weighted average coupon of 0.14% as of August 31, 2022. The Fund’s weighted average yield to maturity was 2.96% on August 31, 2022. The 30-day net standardized yield of the Fund at the end of the Reporting Period was 2.44%.

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?2

 

A   The Index was 100% allocated to U.S. Treasury securities as the end of the Reporting Period, and the Fund was 99.92% invested in U.S. Treasury securities at the end of the Reporting Period, with the remainder in cash.

 

 

  On June 30, 2022, David Fishman, Managing Director and Head of Liquidity Solutions within Goldman Sachs Asset Management, L.P. (“GSAM”), announced his intention to retire from GSAM, effective December 31, 2022. On October 1, 2022, Mr. Fishman will no longer serve as a portfolio manager for the Fund. Todd Henry and David Westbrook, each a Vice President within GSAM’s Fixed Income Team, will continue to serve as portfolio managers for the Fund. By design, all investment decisions for the Fund are performed within a co-lead or team structure, with multiple subject matter experts. This strategic decision making has been a cornerstone of our approach and helps to ensure continuity in the Fund.

 

 

 

  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.

 

 

  2    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE US Treasury 0-1 Year Composite Select Index.

 

32


FUND BASICS

 

Access Treasury 0-1 Year ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 99.88  
    Net Asset Value (NAV)1   $ 99.84  

 

1    The Market Price is the price at which the Fund’s shares are trading on the NYSE Arca, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222

 

     Holding   Maturity Date    % of Net Assets  
  U.S. Treasury Bill, 2.09%   10/25/22      12.9
  U.S. Treasury Bill, 3.06%   01/19/23      6.0  
  U.S. Treasury Bill, 2.63%   11/03/22      5.8  
  U.S. Treasury Bill, 3.34%   07/13/23      4.3  
  U.S. Treasury Bill, 2.97%   12/22/22      3.9  
  U.S. Treasury Bill, 3.01%   01/05/23      3.8  
  U.S. Treasury Bill, 2.82%   03/23/23      3.8  
  U.S. Treasury Bill, 3.21%   02/23/23      3.7  
  U.S. Treasury Bill, 3.29%   02/23/23      3.7  
    U.S. Treasury Bill, 2.50%   12/22/22      3.6  

 

2    The top 10 holdings may not be representative of the Fund’s future investments.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

33


GOLDMAN SACHS ACCESS TREASURY 0-1 YEAR ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on September 6, 2016 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index, the FTSE US Treasury 0-1 Year Composite Select Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access Treasury 0-1 Year ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from September 6, 2016 through August 31, 2022.

 

 

LOGO

 

Average Annual Total Return through August 31, 2022*    1 Year Return    5 Year Return    Since Inception

Shares based on NAV (Commenced September 6, 2016)

   0.01%    1.03%    0.95%

 

Shares based on Market Price (Commenced September 6, 2016)

   0.06%    1.04%    0.95%

 

FTSE US Treasury 0-1 Year Composite Select Index

   0.18%    1.14%    1.06%

 

 

*   Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

34


PORTFOLIO RESULTS

 

Goldman Sachs Access U.S. Aggregate Bond ETF

 

Investment Objective

The Goldman Sachs Access U.S. Aggregate Bond ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs US Broad Bond Market Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income and Liquidity Solutions Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -12.12% based on net asset value (“NAV”) and -11.99% based on market price. The Index returned -12.07% during the same period.

 

 

The Fund had an NAV of $49.40 per share on August 31, 2021 and ended the Reporting Period with an NAV of $42.88 per share. The Fund’s market price on August 31, 2022 was $42.93 per share.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index. The Fund’s performance reflects Fund expenses, including management fees and brokerage expenses. The Fund’s relative performance also reflects the impact of any cash held in the Fund as well as any other differences between the Fund’s holdings and the constituents of the Index. The Index is unmanaged, and Index returns do not reflect fees and expenses, which would reduce returns.

 

 

The Index is a rules-based index that is designed to measure the performance of investment grade, U.S. dollar (“USD”)-denominated bonds issued in the United States that meet certain liquidity and fundamental screening criteria. The Index is a custom index that is owned and calculated by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). The Index is based on the FTSE US Broad Investment-Grade (USBIG®) Index (the “Reference Index”) using concepts developed with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”). The Index is normally rebalanced (i) monthly on the last business day of each month, to account for changes in maturities, duration, corporate actions or ratings migration, and (ii) quarterly, to account for updates to the corporate bond constituents of the Index on the basis of the fundamental factors.

 

 

Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

 

 

During the Reporting Period, the Fund posted negative absolute returns that closely tracked the Index, as measured by NAV. The Fund is passively managed to the Index and aims to minimize tracking error to the Index.

 

 

Overall, U.S. bond returns are driven by two primary factors — duration (whether interest rates are rising or falling) and spreads (a widening or tightening of the yield differential to duration-equivalent U.S. Treasuries).

 

 

During the Reporting Period, the U.S. Federal Reserve (the “Fed”), after having kept its monetary policy accommodative for an extended span, with the targeted federal funds rate in a range of 0.00% to 0.25%, began raising interest rates in March 2022. In total, the Fed raised the targeted federal funds rate four times in the first eight months of 2022 for a total of 225 basis points, bringing the targeted federal funds to a range of 2.25% to 2.50% by the end of the Reporting Period. (A basis point is 1/100th of a percentage point.) As investors feared an economic slowdown in reaction to the interest rate hikes, the U.S. Treasury yield curve, or spectrum of maturities, flattened, meaning the spread, or yield differential, between shorter-term and longer-term maturities narrowed. Toward the end of the Reporting Period, as the Fed’s rapid responses to inflation heightened expectations it would move policy into restrictive territory and slow future economic growth, the two-year to 10-year portion of the

 

35


PORTFOLIO RESULTS

 

  U.S. Treasury yield curve actually inverted, meaning 10-year U.S. Treasury yields were lower than those of two-year U.S. Treasury yields, historically a foreshadow of a recession. All told, yields rose rapidly across the U.S. Treasury yield curve as the Fed began unwinding the COVID-19-related stimulus.

 

 

The Fund had a duration of six to seven years during the Reporting Period, which means moves in the U.S. Treasury yield curve, particularly in the five-year to 10-year segment of the maturity spectrum, made the Fund sensitive to moves in this intermediate segment of the curve. During the Reporting Period, five-year U.S. Treasury yields increased approximately 257 basis points, and the bellwether 10-year U.S. Treasury yield was up 185 basis points during the Reporting Period, from 1.30% to 3.15%.

 

 

During the Reporting Period, investment grade corporate spreads ended August 2022 at approximately 319 basis points, widening by approximately 233 basis points. U.S. mortgage-backed securities spreads ended August 2022 at approximately 40 basis points, widening by approximately seven basis points during the Reporting Period.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 6.46 years, a weighted average maturity of 13.97 years and a weighted average coupon of 2.74% as of August 31, 2022. The Fund’s weighted average yield to maturity was 3.89% on August 31, 2022. The 30-day standardized yield of the Fund at the end of the Reporting Period was 3.22%.
  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.

 

36


PORTFOLIO RESULTS

 

Q   What was the Fund’s credit allocation at the end of the Reporting Period?2

 

A  

 

U.S. Treasuries     44.94  
Agency Securities                 26.57  
AAA     0.41  
AA     2.52  
A     10.32  
BBB     13.95  
BB     0.49  
B     0.00  
Not Rated     0.03  
Cash     0.76  

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?3

 

A  

 

     Sector   Fund      Index  
  U.S. Treasuries     44.94      41.40
  Quasi-Government Securities     0.36      3.65
  Asset-Backed Securities     0.00      0.17
  Commercial Mortgage-Backed Securities     0.00      0.00
  Residential Mortgage-Backed Securities     26.57      27.21
  Investment Grade Corporate Bonds     24.31      24.49
  High Yield Corporate Bonds     0.38      0.28
  Emerging Markets Debt     2.68      2.80
    Cash     0.76      0.00

 

  2    The Fund and the Index have not been rated by an independent rating agency. The credit allocation provided refers to the Fund’s underlying portfolio securities. For the purpose of determining compliance with any credit rating requirement, the Fund assigns a security, at the time of purchase, the highest rating by a Nationally Recognized Statistical Rating Organization (“NRSRO”) if the security is rated by more than one NRSRO. For this purpose, the Fund relies only on the ratings of the following NRSROs: S&P, Moody’s and Fitch, Inc. This method may differ from the method independently used by the Index Provider. GSAM will use a single rating if that is the only one available. Securities that are not rated by all three agencies are reflected as such in the breakdown. Unrated securities may be purchased by the Fund if they are determined by the Investment Adviser to be of a credit quality consistent with the Fund’s credit rate requirements. Unrated securities do not necessarily indicate low quality, and for such securities the Investment Adviser will evaluate the credit quality. GSAM converts all ratings to the equivalent S&P major rating category when illustrating credit rating breakdowns. Ratings and Fund/Index credit quality may change over time.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the FTSE Goldman Sachs US Broad Bond Market Index.

 

 

 

37


FUND BASICS

 

Access U.S. Aggregate Bond ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 42.93  
    Net Asset Value (NAV)1   $ 42.88  

 

1    The Market Price is the price at which the Fund’s shares are trading on the NYSE Arca, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222

 

     Holding   % of Net Assets  
  U.S. Treasury Note, 2.00%, 11/15/26     12.1
  Federal National Mortgage Association, 2.00%, 09/15/50     6.2  
  U.S. Treasury Note, 2.75%, 02/15/28     4.8  
  U.S. Treasury Note, 2.88%, 08/15/28     4.3  
  Federal National Mortgage Association, 2.50%, 09/15/51     3.9  
  U.S. Treasury Note, 2.00%, 02/15/25     3.6  
  U.S. Treasury Note, 0.25%, 05/15/24     3.3  
  U.S. Treasury Note, 2.13%, 05/31/26     2.8  
  U.S. Treasury Note, 2.50%, 01/31/25     2.5  
    Federal National Mortgage Association, 3.00%, 09/15/51     2.4  

 

2    The top 10 holdings may not be representative of the Fund’s future investments.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

  INDUSTRY ALLOCATION AS OF 8/31/223

 

     Sector Name   Fund  
  U.S. Treasury Notes     26.9
  Mortgage-Backed Securities     22.0  
  Investment Company     18.9  
  Corporate Obligations     16.7  
  U.S. Treasury Bonds     5.5  
  U.S. Treasury Obligations     4.4  
  Foreign Corporate Debt     4.1  
    Foreign Debt Obligations     1.5  

 

3    The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities.

 

38


GOLDMAN SACHS ACCESS U.S. AGGREGATE BOND ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on September 8, 2020 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of a broad-based securities market index, the FTSE Goldman Sachs US Broad Bond Market Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Certain factors may affect Fund performance including, but not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access U.S. Aggregate Bond ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from September 8, 2020 through August 31, 2022.

 

 

LOGO

 

Average Annual Total Return through August 31, 2022*    1 Year Return    Since Inception

Shares based on NAV (Commenced September 8, 2020)

   -12.12%    -6.57%

 

Shares based on Market Price (Commenced September 8, 2020)

   -11.99%    -6.51%

 

FTSE Goldman Sachs US Broad Bond Market Index

   -12.07%    -6.40%

 

 

*   Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

39


PORTFOLIO RESULTS

 

Goldman Sachs Access Ultra Short Bond ETF

 

Investment Objective

The Goldman Sachs Access Ultra Short Bond ETF (the “Fund”) seeks to provide current income with preservation of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income and Liquidity Solutions Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -0.58% based on net asset value (“NAV”) and -0.59% based on market price. The Fund’s benchmark, the FTSE Three-Month U.S. Treasury Bill Index (the “Index”), returned 0.44% for the same period.

 

   

The Fund had an NAV of $50.71 per share on August 31, 2021 and ended the Reporting Period with an NAV of $49.95 per share. The Fund’s market price on August 31, 2022 was $49.95 per share.

 

Q   What key factors were responsible for the Fund’s performance during the Reporting Period?

 

A   The Fund seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at the time of purchase) (“Net Assets”) in a broad range of U.S. dollar denominated bonds. The Fund primarily invests in obligations issued or guaranteed by the U.S. Government, its agencies, authorities, instrumentalities or sponsored enterprises (“U.S. Government Securities”), obligations of U.S. banks, corporate notes, commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities, fixed and floating rate mortgage-backed securities, asset-backed securities, collateralized loan obligations and repurchase agreements. The Fund may also invest in U.S. dollar-denominated obligations issued or guaranteed by foreign banks, companies and governments or their agencies, authorities, instrumentalities or sponsored enterprises.

 

   

The Fund will generally focus its investments in securities of issuers that, at the time of purchase, have a short-term credit rating of at least investment grade by at least one nationally recognized statistical rating organization (“NRSRO”) (at least A-2, P-2, or F2 by S&P Global Ratings (“S&P”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch Ratings, Inc. (“Fitch”), respectively), have a long-term credit rating of at least investment grade by at least one NRSRO (at least BBB-, Baa3, or BBB by S&P, Moody’s or Fitch, respectively) if such securities only maintain long-term ratings, or, if unrated, are determined by the Investment Adviser to be of comparable credit quality at the time of purchase. The Fund may also rely on the credit quality of a guarantee or demand feature in determining the credit quality of a security supported by the guarantee or demand feature.

 

   

The Fund will concentrate its investments in the financial services group of industries. Therefore, under normal circumstances, the Fund will invest more than 25% of its total assets in securities issued by companies in the financial services group of industries and repurchase agreements secured by such obligations.

 

   

Under normal circumstances, the Fund’s effective duration is expected to be one year or less. “Duration” is a measure of a debt security’s price sensitivity to changes in interest rates. The longer the duration of the Fund (or an individual debt security), the more sensitive its market price to changes in interest rates. In computing duration, the Fund will estimate the duration of obligations that are subject to prepayment or redemption by the issuer, taking into account the influence of interest rates on prepayments and coupon flows. This method of computing duration is known as “option-adjusted” duration.

 

   

The Fund is an actively managed exchange-traded fund (“ETF”), which is a fund that trades like other publicly-traded securities. The Fund is not an index fund and does not seek to replicate the performance of a specified index.

 

   

THE FUND IS NOT A MONEY MARKET FUND AND DOES NOT ATTEMPT TO MAINTAIN A STABLE NET ASSET VALUE.

 

   

During the Reporting Period, the Fund posted negative absolute returns that modestly underperformed the Index. The Fund, as an actively managed, broadly diversified

 

40


PORTFOLIO RESULTS

 

  portfolio of high quality short-term holdings across multiple spread, or non-U.S. Treasury, sectors, slightly underperformed the Index during the Reporting Period due primarily to differences in sector positioning and duration and yield curve positioning relative to that of the Index.

 

   

Overall, short term bond returns are driven by two primary factors--short-term interest rates and sector yields.

 

   

During the Reporting Period, the U.S. Federal Reserve (the “Fed”), after having kept its monetary policy accommodative for an extended span, with the targeted federal funds rate in a range of 0.00% to 0.25%, began raising interest rates in March 2022. In total, the Fed raised the targeted federal funds rate four times in the first eight months of 2022 for a total of 225 basis points, bringing the targeted federal funds to a range of 2.25% to 2.50% by the end of the Reporting Period. (A basis point is 1/100th of a percentage point.) As investors feared an economic slowdown in reaction to the interest rate hikes, the U.S. Treasury yield curve, or spectrum of maturities, flattened, meaning the spread, or yield differential, between shorter-term and longer-term maturities narrowed. Toward the end of the Reporting Period, as the Fed’s rapid responses to inflation heightened expectations it would move policy into restrictive territory and slow future economic growth, the two-year to 10-year portion of the U.S. Treasury yield curve actually inverted, meaning 10-year U.S. Treasury yields were lower than those of two-year U.S. Treasury yields, historically a foreshadow of a recession. All told, yields rose rapidly across the U.S. Treasury yield curve as the Fed began unwinding the COVID-19-related stimulus. The bellwether 10-year U.S. Treasury yield was up 185 basis points during the Reporting Period, from 1.30% to 3.15%. Short-term U.S. interest rates increased even more significantly, with six-month U.S. Treasury yields up from 0.05% to 3.33% during the Reporting Period.

 

   

The increase in short-term interest rates put downward pressure on bond prices during the Reporting Period, but since the Fund is an ultra-short bond fund, i.e. it maintains an effective duration of less than one year, its NAV has a low sensitivity to interest rate changes, thus mitigating the impact of higher rates. The Fund’s allocation to floating rate assets also helped reduce the effect of rising rates, enabling the yield of the strategy to increase along with the market. However, credit spread widening was a detracting factor. During the Reporting Period, short-dated, i.e. maturities of one to three years, investment grade credit yields widened by approximately 43 basis points, from 33 basis points to 76 basis points.

 

   

A broad diversified portfolio of high quality short-term holdings, across investment grade corporate credit, U.S. Treasuries, mortgage-backed securities and other securitized credit, helped the Fund achieve a high level of current income for investors while also providing reduced volatility as yields of various individual sectors fluctuated during the Reporting Period.

 

Q   How did the Fund use derivatives and similar instruments during the Reporting Period?

 

A   The Fund does not employ derivatives. During the Reporting Period, the Fund did not invest in derivatives or similar instruments. The Fund does not employ derivatives as a source of alpha generation, although it may use them to equitize excess cash.

 

Q   What was the Fund’s weighted average duration, weighted average maturity, weighted average coupon, weighted average yield to maturity and 30-day standardized yield at the end of the Reporting Period?1

 

A   The Fund had a weighted average duration of 0.47 years, a weighted average maturity of 9.03 years and a weighted average coupon of 2.70% as of August 31, 2022. The Fund’s weighted average yield to maturity was 4.18% on August 31, 2022. The 30-day standardized yield of the Fund at the end of the Reporting Period was 2.69%.

 

  1    Duration is a time measure of a bond’s interest-rate sensitivity, based on the weighted average of the time periods over which a bond’s cash flows accrue to the bondholder. Time periods are weighted by multiplying by the present value of its cash flow divided by the bond’s price. (A bond’s cash flows consist of coupon payments and repayment of capital.)

 

      A bond’s duration will almost always be shorter than its maturity, with the exception of zero-coupon bonds, for which maturity and duration are equal. Weighted average duration is a measure of the duration for the securities in the portfolio overall. Weighted average maturity (“WAM”) is the weighted average amount of time until the debt securities in a portfolio mature, or the weighted average of the remaining terms to maturity of the debt securities within a portfolio. The higher the WAM, the longer it takes for all of the bonds in the portfolio to mature, and WAM is used to manage debt portfolios and to assess the performance of debt portfolio managers. Coupons are fixed percentages paid out on a fixed income security on an annual basis. Weighted average coupon is calculated by weighting the coupon of each debt security by its relative size in the portfolio. Yield to maturity is the annual return that a bond is expected to generate if it is held till its maturity given its coupon rate, payment frequency and current market price. Yield to maturity is essentially the internal rate of return of a bond, i.e. the discount rate at which the present value of a bond’s coupon payments and maturity value is equal to its current market price. The 30-day standardized yield calculation is based on a 30-day period ending on the last day of the Reporting Period. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.

 

41


PORTFOLIO RESULTS

 

Q   What was the Fund’s credit allocation at the end of the Reporting Period?2

 

A  

 

U.S. Treasuries     4.39  
Agency Securities                 29.42  
AAA     16.79  
AA     3.76  
A     23.20  
BBB     12.24  
Not Rated     4.59  
Cash     5.60  

 

Q   What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period?2

 

A   While the Index was 100% allocated to U.S. Treasury securities, the Fund was 4.39% invested in U.S. Treasury securities, 1.31% in quasi-government securities, 14.44% in asset-backed securities, 5.75% in commercial mortgage-backed securities, 29.42% in residential mortgage-backed securities, 39.09% in investment grade corporate bonds and 5.60% in cash at the end of the Reporting Period.

 

 

    On June 30, 2022, David Fishman, Managing Director and Head of Liquidity Solutions within Goldman Sachs Asset Management, L.P. (“GSAM”), announced his intention to retire from GSAM, effective December 31, 2022. On October 1, 2022, Mr. Fishman will no longer serve as a portfolio manager for the Fund. Todd Henry and David Westbrook, each a Vice President within GSAM’s Fixed Income Team, will continue to serve as portfolio managers for the Fund. By design, all investment decisions for the Fund are performed within a co-lead or team structure, with multiple subject matter experts. This strategic decision making has been a cornerstone of our approach and helps to ensure continuity in the Fund.

 

  2    The Fund and the Index have not been rated by an independent rating agency. The credit allocation provided refers to the Fund’s underlying portfolio securities. For the purpose of determining compliance with any credit rating requirement, the Fund assigns a security, at the time of purchase, the highest rating by a Nationally Recognized Statistical Rating Organization (“NRSRO”) if the security is rated by more than one NRSRO. For this purpose, the Fund relies only on the ratings of the following NRSROs: S&P, Moody’s and Fitch, Inc. This method may differ from the method independently used by the Index Provider. GSAM will use a single rating if that is the only one available. Securities that are not rated by all three agencies are reflected as such in the breakdown. Unrated securities may be purchased by the Fund if they are determined by the Investment Adviser to be of a credit quality consistent with the Fund’s credit rating requirements. Unrated securities do not necessarily indicate low quality, and for such securities the Investment Adviser will evaluate the credit quality. GSAM converts all ratings to the equivalent S&P major rating category when illustrating credit rating breakdowns. Ratings and Fund/Index credit quality may change over time.

 

 

 

42


FUND BASICS

 

Access Ultra Short Bond ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 49.95  
    Net Asset Value (NAV)1   $ 49.95  

 

1    The Market Price is the price at which the Fund’s shares are trading on the Cboe BZX Exchange, Inc. The Market Price of the Fund’s shares will fluctuate and, at the time of sale, shares may be worth more or less than the original investment or the Fund’s then current net asset value (“NAV”). The NAV is the market value of one share of the Fund. This amount is derived by dividing the total value of all the securities in the Fund’s portfolio, plus other assets, less any liabilities, by the number of Fund shares outstanding. Fund shares are not individually redeemable and are issued and redeemed by the Fund at their NAV only in large, specified blocks of shares called creation units. Shares otherwise can be bought and sold only through exchange trading at market price (not NAV). Shares may trade at a premium or discount to their NAV in the secondary market. Information regarding how often shares of the Fund traded on Cboe BZX Exchange, Inc. at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP TEN HOLDINGS AS OF 8/31/222

 

     Holding   % of Net Assets  
  FNMA REMIC, Class BM, Series 2020-6347, 2.31%, 02/01/41     2.3
  FNMA REMIC, Class AF, Series 2015-66, 2.69%, 09/25/45     2.3  
  U.S. Treasury Floating Rate Note, 2.94%, 10/31/23     2.2  
  FHLMC REMIC, Class F, Series 2019-4944, 2.89%, 01/25/50     2.1  
  FNMA REMIC, Class FG, Series 2017-82, 2.69%, 11/25/32     1.8  
  FNMA REMIC, Class FC, Series 2005-103, 2.94%, 07/25/35     1.8  
  FHLMC REMIC, 2.74%, 01/01/46     1.6  
  FNMA REMIC, Class NF, Series 2011-86, 2.99%, 09/25/41     1.2  
  Capital One Financial Corp., 2.99%, 12/06/24     1.1  
    Federal Home Loan Bank Discount Note, 1.86%, 09/16/22     1.0  

 

2    The top 10 holdings may not be representative of the Fund’s future investments.

 

For more information about the Fund, please refer to www.GSAMFUNDS.com/ETFs. There, you can learn more about the Fund’s investment strategies, holdings, and performance.

 

  SECTOR ALLOCATION AS OF 8/31/223

 

     Sector Name   Fund  
  Mortgage-Backed Securities     31.1
  Corporate Obligations     21.5  
  Asset- Backed Securities     18.7  
  Foreign Corporate Debt     17.6  
  U.S. Treasury Notes     3.1  
  Commercial Papers     2.9  
  Certificate of Deposits     1.7  
  U.S. Treasury Bills     1.3  
  U.S. Government Agency Obligations     1.2  
    Investment Company     0.9  

 

3    The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the table may not sum to 100% due to the exclusion of other assets and liabilities.

 

43


GOLDMAN SACHS ACCESS ULTRA SHORT BOND ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on April 15, 2019 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of a broad-based securities market index, the FTSE 3 Month T-Bill Index is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Certain factors may affect Fund performance including, but not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Access Ultra Short Bond ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from April 15, 2019 through August 31, 2022.

 

 

LOGO

 

Average Annual Total Return through August 31, 2022*    1 Year Return    Since Inception

Shares based on NAV (Commenced April 15, 2019)

   -0.58%    1.19%

 

Shares based on Market Price (Commenced April 15, 2019)

   -0.59%    1.19%

 

FTSE Three-Month U.S. Treasury Bill Index

   0.44%    0.76%

 

 

*   Total returns are calculated assuming purchase of a share at the market price or NAV on the first day and sale of a share at the market price or NAV on the last day of each period reported. The Total Returns based on NAV and Market Price assume the reinvestment of dividends and do not reflect brokerage commissions in connection with the purchase or sale of Fund shares, which if included would lower the performance shown above. The NAV used in the Total Return calculations assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

44


FUND BASICS

 

Index Definitions and Industry Terms

Alpha: The excess returns of a fund relative to the return of a benchmark index is the fund’s alpha.

Access Emerging Markets USD Bond ETF

The Index was developed and is calculated and maintained by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). FTSE is not affiliated with the Fund or GSAM. The Fund is not sponsored, endorsed, sold or promoted by FTSE or any of its affiliates and FTSE makes no representation to any owner or prospective owner of the Fund regarding the advisability of investing in securities generally or in the Fund particularly, or the ability of the Fund to track the price and yield performance of the Index or the ability of the Index to track general bond market performance. FTSE’s only relationship to GSAM (“Licensee”) is the licensing of certain information, data, trademarks and trade names of FTSE or its affiliates. The Index is determined, composed and calculated by FTSE without regard to the Fund. FTSE has no obligation to take the needs of the owners or prospective owners of the Fund into consideration in determining, composing or calculating the Index. FTSE is not responsible for and has not participated in the determination of the prices and amount of the shares to be issued by the Fund or the timing of the issuance or sale of the shares to be issued by the Fund or in the determination or calculation of the equation by which the shares to be issued by the Fund are to be converted into cash. FTSE has no obligation or liability in connection with the administration, marketing or trading of the Fund.

Access High Yield Corporate Bond ETF

The Index was developed and is calculated and maintained by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). FTSE is not affiliated with the Fund or GSAM. The Fund is not sponsored, endorsed, sold or promoted by FTSE or any of its affiliates and FTSE makes no representation to any owner or prospective owner of the Fund regarding the advisability of investing in securities generally or in the Fund particularly, or the ability of the Fund to track the price and yield performance of the Index or the ability of the Index to track general bond market performance. FTSE’s only relationship to GSAM (“Licensee”) is the licensing of certain information, data, trademarks and trade names of FTSE or its affiliates. The Index is determined, composed and calculated by FTSE without regard to the Fund. FTSE has no obligation to take the needs of the owners or prospective owners of the Fund into consideration in determining, composing or calculating the Index. FTSE is not responsible for and has not participated in the determination of the prices and amount of the shares to be issued by the Fund or the timing of the issuance or sale of the shares to be issued by the Fund or in the determination or calculation of the equation by which the shares to be issued by the Fund are to be converted into cash. FTSE has no obligation or liability in connection with the administration, marketing or trading of the Fund.

Access Inflation Protected USD Bond ETF

The Index was developed and is calculated and maintained by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). FTSE is not affiliated with the Fund or GSAM. The Fund is not sponsored, endorsed, sold or promoted by FTSE or any of its affiliates and FTSE makes no representation to any owner or prospective owner of the Fund regarding the advisability of investing in securities generally or in the Fund particularly, or the ability of the Fund to track the price and yield performance of the Index or the ability of the Index to track general bond market performance. FTSE’s only relationship to GSAM (“Licensee”) is the licensing of certain information, data, trademarks and trade names of FTSE or its affiliates. The Index is determined, composed and calculated by FTSE without regard to the Fund. FTSE has no obligation to take the needs of the owners or prospective owners of the Fund into consideration in determining, composing or calculating the Index. FTSE is not responsible for and has not participated in the determination of the prices and amount of the shares to be issued by the Fund or the timing of the issuance or sale of the shares to be issued by the Fund or in the determination or calculation of the equation by which the shares to be issued by the Fund are to be converted into cash. FTSE has no obligation or liability in connection with the administration, marketing or trading of the Fund.

Access Investment Grade Corporate 1-5 Year Bond ETF

The Index was developed and is calculated and maintained by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). FTSE is not affiliated with the Fund or GSAM. The Fund is not sponsored, endorsed, sold or promoted by FTSE or any of its affiliates and FTSE makes no representation to any owner or prospective owner of the Fund regarding the advisability of investing in securities generally or in the Fund particularly, or the ability of the Fund to track the price and yield performance of the Index or the ability of the Index to track general bond market performance. FTSE’s only relationship to GSAM (“Licensee”) is the licensing of certain information, data, trademarks and trade names of

 

45


FUND BASICS

 

FTSE or its affiliates. The Index is determined, composed and calculated by FTSE without regard to the Fund. FTSE has no obligation to take the needs of the owners or prospective owners of the Fund into consideration in determining, composing or calculating the Index. FTSE is not responsible for and has not participated in the determination of the prices and amount of the shares to be issued by the Fund or the timing of the issuance or sale of the shares to be issued by the Fund or in the determination or calculation of the equation by which the shares to be issued by the Fund are to be converted into cash. FTSE has no obligation or liability in connection with the administration, marketing or trading of the Fund.

Access Investment Grade Corporate Bond ETF

The Index was developed and is calculated and maintained by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). FTSE is not affiliated with the Fund or GSAM. The Fund is not sponsored, endorsed, sold or promoted by FTSE or any of its affiliates and FTSE makes no representation to any owner or prospective owner of the Fund regarding the advisability of investing in securities generally or in the Fund particularly, or the ability of the Fund to track the price and yield performance of the Index or the ability of the Index to track general bond market performance. FTSE’s only relationship to GSAM (“Licensee”) is the licensing of certain information, data, trademarks and trade names of FTSE or its affiliates. The Index is determined, composed and calculated by FTSE without regard to the Fund. FTSE has no obligation to take the needs of the owners or prospective owners of the Fund into consideration in determining, composing or calculating the Index. FTSE is not responsible for and has not participated in the determination of the prices and amount of the shares to be issued by the Fund or the timing of the issuance or sale of the shares to be issued by the Fund or in the determination or calculation of the equation by which the shares to be issued by the Fund are to be converted into cash. FTSE has no obligation or liability in connection with the administration, marketing or trading of the Fund.

Access Treasury 0-1 Year ETF

The Index is designed to measure the performance of U.S. Treasury Securities with a maximum remaining maturity of 12 months. “U.S. Treasury Securities” refer to securities issued or guaranteed by the U.S. Treasury where the payment of principal and interest is backed by the full faith and credit of the U.S. government. U.S. Treasury Securities include U.S. Treasury notes, U.S. Treasury bills and U.S. Treasury floating rate bonds. The Index is sponsored by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). FTSE is not affiliated with the Fund or GSAM. The Index is determined, composed and calculated by FTSE without regard to the Fund. It is not possible to invest directly in an unmanaged index.

Access U.S. Aggregate Bond ETF

The Index was developed and is calculated and maintained by FTSE Fixed Income LLC (“FTSE”), a trading name of the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group” or the “Index Provider”). FTSE is not affiliated with the Fund or GSAM. The Fund is not sponsored, endorsed, sold or promoted by FTSE or any of its affiliates and FTSE makes no representation to any owner or prospective owner of the Fund regarding the advisability of investing in securities generally or in the Fund particularly, or the ability of the Fund to track the price and yield performance of the Index or the ability of the Index to track general bond market performance. FTSE’s only relationship to GSAM (“Licensee”) is the licensing of certain information, data, trademarks and trade names of FTSE or its affiliates. The Index is determined, composed and calculated by FTSE without regard to the Fund. FTSE has no obligation to take the needs of the owners or prospective owners of the Fund into consideration in determining, composing or calculating the Index. FTSE is not responsible for and has not participated in the determination of the prices and amount of the shares to be issued by the Fund or the timing of the issuance or sale of the shares to be issued by the Fund or in the determination or calculation of the equation by which the shares to be issued by the Fund are to be converted into cash. FTSE has no obligation or liability in connection with the administration, marketing or trading of the Fund.

Access Ultra Short Bond ETF

The FTSE Three-Month U.S. Treasury Bill Index is intended to track the daily performance of 3 month US Treasury bills. The index is designed to operate as a reference rate for a series of funds.

Goldman Sachs Access Ultra Short Bond ETF (GSST) does not attempt to track an index and takes a more active approach.

 

46


GOLDMAN SACHS ACCESS EMERGING MARKETS USD BOND ETF

 

Schedule of Investments

August 31, 2022

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Sovereign Debt Obligations – 82.9%  
Angola – 1.1%  
 

Angolan Government International Bond (NR/B3)

 
$ 400,000       8.250     05/09/28     $ 349,632  

 

 

 
Bahrain – 2.6%  
 

Bahrain Government International Bond (B+/NR)

 
  350,000       7.000       01/26/26       360,225  
  225,000       7.375       05/14/30       227,119  
  325,000       6.000       09/19/44       244,793  
     

 

 

 
        832,137  

 

 

 
Chile – 3.4%  
 

Chile Government International Bond (A/A1)

 
  400,000       3.125       01/21/26       382,841  
  200,000       3.240       02/06/28       186,272  
  600,000       3.500       01/31/34       521,533  
     

 

 

 
        1,090,646  

 

 

 
China – 2.3%  
 

China Government International Bond (NR/NR)

 
  400,000       2.750       12/03/39       344,802  
  250,000       4.000       10/19/48       255,677  
  200,000       2.250       10/21/50       145,837  
     

 

 

 
        746,316  

 

 

 
Colombia – 5.4%  
 

Colombia Government International Bond (BB+/Baa2)

 
  300,000       3.875       04/25/27       269,130  
  200,000       3.000       01/30/30       155,085  
  250,000       3.125       04/15/31       188,739  
  250,000       3.250       04/22/32       184,622  
  200,000       7.375       09/18/37       190,395  
  100,000       6.125       01/18/41       80,575  
  275,000       5.625       02/26/44       200,307  
  550,000       5.000       06/15/45       368,748  
  200,000       4.125       05/15/51       118,327  
     

 

 

 
        1,755,928  

 

 

 
Costa Rica – 1.3%  
 

Costa Rica Government International Bond (B/B2)

 
  250,000       6.125       02/19/31       235,625  
  200,000       7.158       03/12/45       178,500  
     

 

 

 
        414,125  

 

 

 
Croatia – 1.1%  
 

Croatia Government International Bond (BBB+/Baa2)

 
  350,000       6.000       01/26/24       360,059  

 

 

 
Dominican Republic – 4.7%  
 

Dominican Republic International Bond (BB-/Ba3)

 
  250,000       5.950       01/25/27       245,625  
  225,000       6.000       07/19/28       216,281  
  225,000       4.500       01/30/30       189,562  
  200,000       4.875       09/23/32       163,000  
  175,000       7.450       04/30/44       160,563  
  225,000       6.850       01/27/45       191,813  
  200,000       6.400       06/05/49       158,500  
  300,000       5.875       01/30/60       214,500  
     

 

 

 
        1,539,844  

 

 

 
Sovereign Debt Obligations – (continued)  
Ecuador – 1.5%  
 

Ecuador Government International Bond (B-/NR)(a)

 
250,000       5.500       07/31/30     134,375  
  650,000       2.500       07/31/35       258,375  
  250,000       1.500       07/31/40       88,750  
     

 

 

 
        481,500  

 

 

 
Egypt – 5.3%  
 

Egypt Government International Bond (B/NR)

 
  300,000       5.750       05/29/24       278,316  
  200,000       7.500       01/31/27       171,998  
  300,000       5.800       09/30/27       238,489  
  200,000       6.588       02/21/28       159,482  
  350,000       7.625       05/29/32       249,548  
  200,000       7.300       09/30/33       137,568  
  200,000       8.500       01/31/47       128,100  
  200,000       8.700       03/01/49       127,783  
  200,000       8.875       05/29/50       129,986  
  200,000       7.500       02/16/61       116,359  
     

 

 

 
        1,737,629  

 

 

 
Ghana – 0.7%  
 

Ghana Government International Bond (CCC+/Caa1)

 
  300,000       8.125       03/26/32       118,125  
  275,000       8.950       03/26/51       99,688  
     

 

 

 
        217,813  

 

 

 
Guatemala – 0.6%  
 

Guatemala Government Bond (BB-/Ba1)

 
  200,000       6.125       06/01/50       183,000  

 

 

 
Hungary – 2.6%  
 

Hungary Government International Bond (BBB/Baa2)

 
  200,000       5.750       11/22/23       203,249  
  400,000       5.375       03/25/24       403,502  
  200,000       7.625       03/29/41       233,363  
     

 

 

 
        840,114  

 

 

 
Indonesia – 4.4%  
 

Indonesia Government International Bond (BBB/Baa2)

 
  330,000       4.125       01/15/25       332,024  
  350,000       2.850       02/14/30       320,988  
  125,000       8.500       10/12/35       161,567  
  325,000       7.750       01/17/38       400,546  
  275,000       3.050       03/12/51       209,897  
     

 

 

 
        1,425,022  

 

 

 
Ivory Coast – 0.3%  
 

Ivory Coast Government International Bond(a) (BB-/NR)

 
  94,042       5.750       12/31/32       85,108  

 

 

 
Jamaica – 0.4%  
 

Jamaica Government International Bond (B+/B2)

 
  100,000       8.000       03/15/39       118,250  

 

 

 
Jordan – 1.5%  
 

Jordan Government International Bond (B+/B1)

 
  200,000       6.125       01/29/26       194,440  
  350,000       5.850       07/07/30       308,529  
     

 

 

 
        502,969  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   47


GOLDMAN SACHS ACCESS EMERGING MARKETS USD BOND ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Sovereign Debt Obligations – (continued)  
Kazakhstan – 0.7%  
 

Kazakhstan Government International Bond (BBB-/Baa2)

 
$ 225,000       6.500 %       07/21/45     $ 226,800  

 

 

 
Kenya – 0.8%  
 

Republic of Kenya Government International Bond (B/NR)

 
  350,000       7.000       05/22/27       277,564  

 

 

 
Mexico – 2.4%  
 

Mexico Government International Bond (BBB/Baa2)

 
  325,000       4.500       04/22/29       318,900  
  50,000       6.050       01/11/40       50,054  
  150,000       5.550       01/21/45       140,297  
 

Mexico Government International Bond, MTN (BBB/Baa2)

 
  50,000       8.300       08/15/31       62,358  
  75,000       7.500       04/08/33       88,640  
  150,000       4.750       03/08/44       127,228  
     

 

 

 
        787,477  

 

 

 
Morocco – 0.7%  
 

Morocco Government International Bond (BB+/NR)

 
  350,000       4.000       12/15/50       230,541  

 

 

 
Nigeria – 2.7%  
 

Nigeria Government International Bond (B-/B2)

 
  200,000       6.500       11/28/27       154,480  
  275,000       7.875       02/16/32       200,617  
  200,000       7.375       09/28/33       134,909  
  200,000       7.696       02/23/38       129,469  
  200,000       7.625       11/28/47       124,148  
  200,000       8.250       09/28/51       128,149  
     

 

 

 
        871,772  

 

 

 
Pakistan – 1.3%  
 

Pakistan Government International Bond (NR/B3)

 
  200,000       8.250       04/15/24       145,750  
  300,000       7.375       04/08/31       173,190  
  200,000       8.875       04/08/51       109,024  
     

 

 

 
        427,964  

 

 

 
Panama – 4.5%  
 

Panama Government International Bond (BBB/Baa2)

 
  150,000       8.875       09/30/27       178,500  
  50,000       9.375       04/01/29       61,250  
  200,000       3.160       01/23/30       176,750  
  200,000       2.252       09/29/32       156,500  
  150,000       6.700       01/26/36       162,375  
  250,000       4.500       04/16/50       199,688  
  200,000       4.300       04/29/53       154,000  
  275,000       4.500       04/01/56       214,500  
  245,000       3.870       07/23/60       170,581  
     

 

 

 
        1,474,144  

 

 

 
Paraguay – 0.9%  
 

Paraguay Government International Bond (BB/Ba1)

 
  100,000       5.000       04/15/26       99,860  
  225,000       5.400       03/30/50       188,438  
     

 

 

 
        288,298  

 

 

 
Sovereign Debt Obligations – (continued)  
Peru – 4.0%  
 

Peruvian Government International Bond (BBB/Baa1)

 
350,000       2.783       01/23/31     298,634  
  100,000       1.862       12/01/32       76,102  
  200,000       8.750       11/21/33       257,877  
  150,000       3.000       01/15/34       122,717  
  75,000       6.550       03/14/37       82,266  
  250,000       5.625       11/18/50       259,382  
  150,000       3.550       03/10/51       111,647  
  100,000       2.780       12/01/60       62,336  
  60,000       3.600       01/15/72       41,439  
     

 

 

 
        1,312,400  

 

 

 
Qatar – 4.2%  
 

Qatar Government International Bond (AA-/Aa3)

 
  200,000       3.400       04/16/25       198,878  
  350,000       3.750       04/16/30       352,741  
  200,000       4.625       06/02/46       202,968  
  220,000       5.103       04/23/48       237,209  
  350,000       4.817       03/14/49       362,605  
     

 

 

 
        1,354,401  

 

 

 
Romania – 2.4%  
 

Romanian Government International Bond (BBB-/Baa3)

 
  150,000       4.375       08/22/23       150,188  
  170,000       4.875       01/22/24       171,085  
  170,000       3.000       02/14/31       135,588  
  180,000       6.125       01/22/44       171,579  
  180,000       5.125       06/15/48       149,397  
     

 

 

 
        777,837  

 

 

 
Saudi Arabia – 3.0%  
 

Saudi Government International Bond (NR/A1)

 
  225,000       4.375       04/16/29       234,095  
  225,000       4.500       04/17/30       235,015  
  350,000       4.500       10/26/46       328,352  
  200,000       4.625       10/04/47       189,582  
     

 

 

 
        987,044  

 

 

 
South Africa – 5.3%  
 

Republic of South Africa Government International Bond
(BB-/Ba2)

 
 
  350,000       5.875       09/16/25       356,426  
  335,000       4.850       09/27/27       317,199  
  350,000       4.300       10/12/28       311,848  
  350,000       5.875       06/22/30       330,947  
  200,000       5.375       07/24/44       145,138  
  350,000       5.750       09/30/49       251,399  
     

 

 

 
        1,712,957  

 

 

 
Trinidad and Tobago – 0.8%  
 

Trinidad & Tobago Government International Bond (BBB-/Ba2)

 
  250,000       4.375       01/16/24       248,299  

 

 

 
Turkey – 5.2%  
 

Turkey Government International Bond (NR/B3)

 
  325,000       6.350       08/10/24       308,486  
  325,000       5.600       11/14/24       300,266  
  350,000       7.375       02/05/25       334,787  

 

 

 

 

48   The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS ACCESS EMERGING MARKETS USD BOND ETF

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Sovereign Debt Obligations – (continued)  
Turkey – (continued)  
 

Turkey Government International Bond (NR/B3) – (continued)

 
$ 330,000       4.250 %       03/13/25     $ 290,078  
  325,000       4.875       10/09/26       271,693  
  100,000       11.875       01/15/30       108,403  
  100,000       6.875       03/17/36       76,201  
     

 

 

 
        1,689,914  

 

 

 
United Arab Emirates – 1.8%  
 

UAE Government International Bond (NR/Aa2)

 
  350,000       2.000       10/19/31       303,229  
  375,000       3.250       10/19/61       300,088  
     

 

 

 
        603,317  

 

 

 
Uruguay – 3.0%  
 

Uruguay Government International Bond (BBB/Baa2)

 
  150,000       4.375       10/27/27       154,875  
  200,000       4.375       01/23/31       205,500  
  350,000       5.100       06/18/50       358,531  
  240,000       4.975       04/20/55       243,600  
     

 

 

 
        962,506  

 

 

 
  TOTAL SOVEREIGN DEBT OBLIGATIONS  
  (Cost $30,751,710)       $ 26,913,327  

 

 

 
     
Corporate Obligations – 13.9%  
Chile – 2.7%  
 

Corp. Nacional del Cobre de Chile (A/A3)

 
$ 200,000       3.625     08/01/27     $ 190,478  
  200,000       3.000       09/30/29       177,500  
  200,000       3.150       01/14/30       177,750  
  400,000       4.500       08/01/47       339,780  
     

 

 

 
        885,508  

 

 

 
China – 1.7%  
 

China Development Bank Financial Leasing Co. Ltd.(b) (BBB+/NR)

 
 

(US 5 Year CMT T-Note + 2.750%)

 
  200,000       2.875       09/28/30       188,746  
 

Export-Import Bank of China (The) (A+/A1)

 
  350,000       3.625       07/31/24       349,013  
     

 

 

 
        537,759  

 

 

 
India – 3.0%  
 

Export-Import Bank of India (BBB-/Baa3)

 
  200,000       3.875       02/01/28       190,255  
  250,000       3.250       01/15/30       223,102  
 

Export-Import Bank of India, GMTN (NR/Baa3)

 
  275,000       3.875       03/12/24       273,085  
 

Indian Railway Finance Corp Ltd. (BBB-/Baa3)

 
  350,000       2.800       02/10/31       290,418  
     

 

 

 
        976,860  

 

 

 
Indonesia – 1.5%  
 

Pertamina Persero PT (NR/Baa2)

 
  325,000       3.100       08/27/30       292,094  
  200,000       6.450       05/30/44       207,750  
     

 

 

 
        499,844  

 

 

 
Corporate Obligations – (continued)  
Mexico – 2.1%  
 

Petroleos Mexicanos (BBB/B1)

 
100,000       6.875       10/16/25     97,306  
  180,000       6.500       03/13/27       158,548  
  25,000       5.350       02/12/28       20,308  
  50,000       6.500       01/23/29       41,618  
  100,000       6.840       01/23/30       81,265  
  50,000       5.950       01/28/31       37,495  
  25,000       6.625       06/15/35       17,873  
  25,000       6.500       06/02/41       16,031  
  50,000       5.625       01/23/46       29,552  
  100,000       6.750       09/21/47       62,934  
  75,000       7.690       01/23/50       51,836  
  100,000       6.950       01/28/60       62,917  
     

 

 

 
        677,683  

 

 

 
Peru – 0.4%  
 

Petroleos del Peru SA (BB/NR)

 
  200,000       5.625       06/19/47       141,631  

 

 

 
Qatar – 0.8%  
 

Qatar Energy (AA-/Aa3)

 
  300,000       3.300       07/12/51       241,358  

 

 

 
Saudi Arabia – 1.1%  
 

Saudi Arabian Oil Co. (NR/A1)

 
  375,000       3.500       04/16/29       362,345  

 

 

 
South Africa – 0.6%  
 

Eskom Holdings SOC Ltd. (BB-/Ba2)

 
  200,000       4.314       07/23/27       177,250  

 

 

 
  TOTAL CORPORATE OBLIGATIONS  
  (Cost $4,862,563)       $ 4,500,238  

 

 

 

 

Shares   Dividend
Rate
    Value  
Investment Company – 1.5%(c)  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

483,412     2.154   $ 483,412  
(Cost $483,412)

 

 

 
TOTAL INVESTMENTS – 98.3%

 

(Cost $36,097,685)

 

  $ 31,896,977  

 

 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 1.7%

 

    565,269  

 

 
NET ASSETS – 100.0%

 

  $ 32,462,246  

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)

  Step coupon.

(b)

  Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on August 31, 2022.

(c)

  Represents an affiliated issuer.

 

The accompanying notes are an integral part of these financial statements.   49


GOLDMAN SACHS ACCESS EMERGING MARKETS USD BOND ETF

 

Schedule of Investments (continued)

August 31, 2022

 

 

Investment Abbreviations:

CMT

 

—Constant Maturity Treasury Index

GMTN

 

—Global Medium Term Note

MTN

 

—Medium Term Note

 

 

50   The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS ACCESS HIGH YIELD CORPORATE BOND ETF

 

Schedule of Investments

August 31, 2022

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – 90.8%  
Advertising – 1.6%  
 

Clear Channel Outdoor Holdings, Inc.(a) (B/B1)

 
$ 476,000       5.125     08/15/27     $ 427,805  
  260,000       7.500       06/01/29       210,925  
 

Lamar Media Corp. (BB/Ba3)

 
  179,000       3.750       02/15/28       161,100  
  536,000       4.000       02/15/30       474,360  
 

Nielsen Finance LLC / Nielsen Finance Co.(a) (BB/B2)

 
  540,000       5.625       10/01/28       543,375  
 

Outfront Media Capital LLC / Outfront Media Capital Corp.(a)
(B+/B2)

 
 
  375,000       6.250       06/15/25       373,594  
     

 

 

 
        2,191,159  

 

 

 
Aerospace – 0.2%  
 

Triumph Group, Inc.(a) (B/B1)

 
  200,000       8.875       06/01/24       202,000  

 

 

 
Aerospace & Defense – 2.5%  
 

Howmet Aerospace, Inc. (BB+/Ba1)

 
  600,000       6.875       05/01/25       619,500  
 

Spirit AeroSystems, Inc. (CCC+/Caa1)

 
  245,000       4.600       06/15/28       195,387  
 

TransDigm, Inc. (B+/Ba3)

 
  101,000       8.000 (a)      12/15/25       103,336  
  1,405,000       6.250 (a)      03/15/26       1,383,925  
  180,000       6.375       06/15/26       173,700  
  46,000       7.500       03/15/27       45,080  
  300,000       5.500       11/15/27       271,500  
  542,000       4.625       01/15/29       462,055  
 

Wesco Aircraft Holdings, Inc.(a) (CCC-/WR)

 
  97,000       9.000       11/15/26       59,655  
     

 

 

 
        3,314,138  

 

 

 
Banks – 0.5%  
 

Freedom Mortgage Corp.(a) (B/B2)

 
  642,000       8.250       04/15/25       560,947  
  197,000       7.625       05/01/26       162,279  
     

 

 

 
        723,226  

 

 

 
Basic Industry – 1.3%  
 

Chemours Co. (The)(a) (BB/B1)

 
  455,000       5.750       11/15/28       411,206  
 

Olin Corp. (BB+/Ba1)

 
  386,000       5.625       08/01/29       369,112  
  70,000       5.000       02/01/30       64,925  
 

SCIH Salt Holdings, Inc.(a) (CCC+/Caa2)

 
  303,000       6.625       05/01/29       250,733  
 

Tronox, Inc.(a) (BB-/B1)

 
  279,000       4.625       03/15/29       232,268  
 

Valvoline, Inc.(a) (BB-/Ba3)

 
  340,000       3.625       06/15/31       274,550  
 

WR Grace Holdings LLC(a) (CCC+/B3)

 
  200,000       5.625       08/15/29       159,500  
     

 

 

 
        1,762,294  

 

 

 
Broadcasting – 3.9%  
 

Audacy Capital Corp.(a) (CCC-/B3)

 
  100,000       6.750       03/31/29       33,000  

 

 

 
Corporate Obligations – (continued)  
Broadcasting – (continued)  
 

CMG Media Corp.(a) (CCC+/Caa1)

 
301,000       8.875       12/15/27     263,375  
 

Diamond Sports Group LLC / Diamond Sports Finance Co.(a)
(CCC+/Caa2)

 
 
  632,000       5.375       08/15/26       121,660  
  382,000       6.625       08/15/27       36,290  
 

iHeartCommunications, Inc. (BB-/B1)

 
  229,000       8.375       05/01/27       201,520  
  666,000       4.750 (a)      01/15/28       577,755  
 

Nexstar Media, Inc.(a) (B+/B2)

 
  730,000       5.625       07/15/27       699,887  
 

Scripps Escrow, Inc.(a) (B/B3)

 
  154,000       5.875       07/15/27       141,488  
 

Sinclair Television Group, Inc.(a) (B+/Ba2)

 
  299,000       4.125       12/01/30       243,685  
 

Sirius XM Radio, Inc.(a) (BB/Ba3)

 
  200,000       5.000       08/01/27       188,500  
  838,000       4.000       07/15/28       735,345  
  730,000       3.875       09/01/31       590,388  
 

TEGNA, Inc. (BB/Ba3)

 
  140,000       4.625       03/15/28       134,050  
  361,000       5.000       09/15/29       346,560  
 

Univision Communications, Inc.(a) (B+/B1)

 
  176,000       5.125       02/15/25       171,380  
  254,000       6.625       06/01/27       246,380  
  540,000       4.500       05/01/29       475,200  
     

 

 

 
        5,206,463  

 

 

 
Brokerage – 0.6%  
 

Coinbase Global, Inc.(a) (BB/Ba1)

 
  130,000       3.375       10/01/28       85,313  
 

Jefferies Finance LLC / JFIN Co.-Issuer Corp.(a) (BB-/B1)

 
  470,000       5.000       08/15/28       412,819  
 

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance
Corp.(a) (BB-/Ba2)

 
 
  383,000       4.750       06/15/29       323,635  
     

 

 

 
        821,767  

 

 

 
Building Materials – 0.9%  
 

American Builders & Contractors Supply Co., Inc.(a) (BB+/Ba2)

 
  314,000       4.000       01/15/28       285,347  
 

Builders FirstSource, Inc.(a) (BB-/Ba2)

 
  355,000       4.250       02/01/32       284,000  
 

Standard Industries, Inc. (a) (BB/B1)

 
  369,000       4.375       07/15/30       293,363  
  409,000       3.375       01/15/31       305,263  
     

 

 

 
        1,167,973  

 

 

 
Capital Goods – 3.6%  
 

Ardagh Metal Packaging Finance USA LLC / Ardagh Metal
Packaging Finance PLC(a) (B+/B3)

 
 
  700,000       4.000       09/01/29       575,312  
 

Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.(a)
(B-/Caa1)

 
 
  400,000       5.250       08/15/27       292,390  
  200,000       5.250       08/15/27       146,446  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   51


GOLDMAN SACHS ACCESS HIGH YIELD CORPORATE BOND ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – (continued)  
Capital Goods – (continued)  
 

ASP Unifrax Holdings, Inc.(a) (CCC+/Caa2)

 
$ 204,000       7.500 %       09/30/29     $ 149,940  
 

Ball Corp. (BB+/Ba1)

 
  85,000       4.000       11/15/23       84,362  
  359,000       4.875       03/15/26       349,128  
  452,000       3.125       09/15/31       368,380  
 

Covanta Holding Corp.(a) (B/B2)

 
  440,000       4.875       12/01/29       371,230  
 

Crown Americas LLC / Crown Americas Capital Corp V
(BB+/Ba2)

 
 
  228,000       4.250       09/30/26       214,035  
 

Crown Americas LLC / Crown Americas Capital Corp. VI
(BB+/Ba2)

 
 
  167,000       4.750       02/01/26       161,572  
 

Herc Holdings, Inc.(a) (B+/B1)

 
  488,000       5.500       07/15/27       463,600  
 

LABL, Inc.(a) (B-/B2)

 
  283,000       6.750       07/15/26       270,265  
  152,000       10.500       07/15/27       144,400  
 

Madison IAQ LLC(a) (CCC+/Caa1)

 
  366,000       5.875       06/30/29       301,950  
 

Mauser Packaging Solutions Holding Co.(a) (B-/B2)

 
  350,000       5.500       04/15/24       341,250  
 

Owens-Brockway Glass Container, Inc.(a) (B/B2)

 
  115,000       5.875       08/15/23       114,425  
 

Sealed Air Corp.(a) (BB+/Ba2)

 
  115,000       5.125       12/01/24       114,138  
  130,000       5.500       09/15/25       130,325  
  177,000       6.875       07/15/33       181,425  
     

 

 

 
        4,774,573  

 

 

 
Communications – 4.6%  
 

AMC Networks, Inc. (BB/Ba3)

 
  93,000       5.000       04/01/24       90,617  
  429,000       4.750       08/01/25       400,042  
 

CCO Holdings LLC / CCO Holdings Capital Corp.(a) (BB-/B1)

 
  340,000       5.500       05/01/26       336,600  
  1,000,000       5.125       05/01/27       956,250  
  760,000       5.000       02/01/28       698,250  
  200,000       5.375       06/01/29       184,750  
  700,000       4.750       02/01/32       583,625  
  964,000       4.500       05/01/32       784,455  
 

Directv Financing LLC / Directv Financing Co.-Obligor, Inc.(a)
(BB/Ba3)

 
 
  889,000       5.875       08/15/27       818,991  
 

Lions Gate Capital Holdings LLC(a) (CCC+/B3)

 
  279,000       5.500       04/15/29       222,503  
 

Live Nation Entertainment, Inc.(a) (B-/B3)

 
  518,000       4.750       10/15/27       475,265  
 

Radiate Holdco LLC / Radiate Finance, Inc.(a) (CCC+/Caa1)

 
  396,000       6.500       09/15/28       297,000  
 

WMG Acquisition Corp.(a) (BB+/Ba3)

 
  379,000       3.000       02/15/31       302,726  
     

 

 

 
        6,151,074  

 

 

 
Corporate Obligations – (continued)  
Consumer Cyclical – 18.1%  
 

ADT Security Corp. (The)(a) (BB-/Ba3)

 
258,000       4.125       08/01/29     221,880  
  169,000       4.875       07/15/32       142,805  
 

Allison Transmission, Inc.(a) (NR/Ba2)

 
  454,000       3.750       01/30/31       371,145  
 

AMC Entertainment Holdings, Inc.(a) (b) (PIK 12.000%, Cash
10.000%) (CCC-/Caa3)

 
 
  452,000       10.000       06/15/26       364,990  
 

American Axle & Manufacturing, Inc. (B+/B2)

 
  278,000       6.875       07/01/28       264,447  
  136,000       5.000       10/01/29       116,280  
 

APX Group, Inc.(a) (B/B1)

 
  200,000       6.750       02/15/27       196,500  
 

Asbury Automotive Group, Inc.(a) (BB/B1)

 
  537,000       4.625       11/15/29       461,820  
 

Bath & Body Works, Inc. (BB/Ba2)

 
  333,000       5.250       02/01/28       299,060  
  315,000       6.625 (a)      10/01/30       287,165  
  320,000       6.875       11/01/35       280,928  
 

Boyd Gaming Corp. (BB-/B3)

 
  108,000       4.750       12/01/27       101,054  
  298,000       4.750 (a)      06/15/31       260,750  
 

Caesars Entertainment, Inc.(a) (B/B1)

 
  550,000       6.250       07/01/25       536,587  
  423,000       8.125       07/01/27       416,823  
  185,000       4.625       10/15/29       148,694  
 

Cedar Fair LP / Canada’s Wonderland Co. / Magnum
Management Corp. / Millennium Op(a) (BB-/Ba2)

 
 
  245,000       5.500       05/01/25       240,712  
 

Century Communities, Inc.(a) (BB-/Ba2)

 
  90,000       3.875       08/15/29       72,900  
 

Churchill Downs, Inc.(a) (B+/B1)

 
  241,000       5.500       04/01/27       231,962  
  236,000       4.750       01/15/28       215,350  
 

Fertitta Entertainment LLC / Fertitta Entertainment Finance Co.,
Inc.(a) (B/B2)

 
 
  400,000       4.625       01/15/29       349,500  
  200,000       6.750       01/15/30       163,500  
 

Ford Motor Co. (BB+/Ba2)

 
  119,000       9.000       04/22/25       133,281  
  151,000       4.346       12/08/26       145,924  
  358,000       6.625       10/01/28       367,977  
  301,000       7.450       07/16/31       322,199  
 

Ford Motor Credit Co. LLC (BB+/Ba2)

 
  200,000       3.810       01/09/24       195,482  
  200,000       3.664       09/08/24       192,323  
  200,000       4.063       11/01/24       194,526  
  200,000       4.687       06/09/25       192,457  
  500,000       5.125       06/16/25       488,291  
  400,000       4.134       08/04/25       378,832  
  200,000       4.542       08/01/26       186,966  
  400,000       2.700       08/10/26       349,305  
  200,000       4.271       01/09/27       183,702  
  590,000       5.113       05/03/29       551,608  
  200,000       4.000       11/13/30       167,062  

 

 

 

 

52   The accompanying notes are an integral part of these financial statements.


GOLDMAN SACHS ACCESS HIGH YIELD CORPORATE BOND ETF

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – (continued)  
Consumer Cyclical – (continued)  
 

Ford Motor Credit Co. LLC, GMTN (BB+/Ba2)

 
$ 200,000       4.389 %       01/08/26     $ 188,506  
 

Goodyear Tire & Rubber Co. (The) (BB-/B2)

 
  469,000       4.875       03/15/27       442,032  
  306,000       5.250       04/30/31       264,690  
 

Hilton Domestic Operating Co., Inc. (BB+/Ba2)

 
  165,000       3.750 (a)      05/01/29       142,718  
  267,000       4.875       01/15/30       243,637  
  429,000       4.000 (a)      05/01/31       365,513  
  299,000       3.625 (a)      02/15/32       241,709  
 

Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand
Vacations Borrower Esc(a) (B/B2)

 
 
  585,000       5.000       06/01/29       520,650  
 

Iron Mountain, Inc.(a) (BB-/Ba3)

 
  242,000       4.875       09/15/27       223,245  
  362,000       5.250       03/15/28       334,850  
  665,000       5.250       07/15/30       591,850  
  551,000       4.500       02/15/31       460,085  
 

Lithia Motors, Inc.(a) (BB+/Ba2)

 
  300,000       3.875       06/01/29       256,500  
 

Macy’s Retail Holdings LLC(a) (BB/Ba2)

 
  480,000       6.125       03/15/32       406,488  
 

MGM Resorts International (B+/B1)

 
  365,000       5.750       06/15/25       355,419  
  210,000       4.625       09/01/26       191,887  
  190,000       5.500       04/15/27       175,513  
  180,000       4.750       10/15/28       158,625  
 

Michaels Cos., Inc. (The)(a) (CCC+/Caa1)

 
  367,000       7.875       05/01/29       245,890  
 

Mohegan Gaming & Entertainment(a) (B-/Caa1)

 
  341,000       8.000       02/01/26       299,227  
 

NCL Corp Ltd.(a) (B-/Caa1)

 
  277,000       3.625       12/15/24       241,682  
 

NCL Corp. Ltd.(a) (B-/Caa1)

 
  130,000       5.875       03/15/26       105,950  
  385,000       7.750       02/15/29       313,775  
 

Nordstrom, Inc. (BB+/Ba1)

 
  350,000       4.375       04/01/30       270,375  
 

Peninsula Pacific Entertainment LLC / Peninsula Pacific
Entertainment Finance In(a) (B/B3)

 
 
  447,000       8.500       11/15/27       481,642  
 

PetSmart, Inc. / PetSmart Finance Corp.(a) (CCC+/B3)

 
  250,000       4.750       02/15/28       225,625  
  250,000       7.750       02/15/29       235,937  
 

Picasso Finance Sub, Inc.(a) (B+/B2)

 
  220,000       6.125       06/15/25       220,825  
 

Premier Entertainment Sub LLC / Premier Entertainment Finance
Corp.(a) (CCC+/B3)

 
 
  255,000       5.625       09/01/29       189,337  
  223,000       5.875       09/01/31       156,379  
 

Prime Security Services Borrower LLC / Prime Finance, Inc.(a)
(B-/B3)

 
 
  272,000       3.375       08/31/27       234,600  
  932,000       6.250       01/15/28       825,985  
 

QVC, Inc. (BB+/Ba2)

 
  240,000       4.750       02/15/27       198,872  

 

 

 
Corporate Obligations – (continued)  
Consumer Cyclical – (continued)  
 

RHP Hotel Properties LP / RHP Finance Corp.(a) (B+/B1)

 
185,000       4.500       02/15/29     161,413  
 

Royal Caribbean Cruises Ltd. (B/B3)

 
  380,000       11.500 (a)      06/01/25       399,950  
  404,000       3.700       03/15/28       275,730  
  627,000       5.500 (a)      04/01/28       476,520  
 

Scientific Games International, Inc.(a) (B+/B3)

 
  145,000       7.000       05/15/28       142,100  
  270,000       7.250       11/15/29       266,288  
 

Six Flags Entertainment Corp.(a) (B-/B3)

 
  150,000       5.500       04/15/27       137,813  
 

Sonic Automotive, Inc.(a) (BB-/B1)

 
  200,000       4.625       11/15/29       170,750  
 

Staples, Inc.(a) (B/B3)

 
  442,000       7.500       04/15/26       375,700  
  202,000       10.750       04/15/27       153,773  
 

Taylor Morrison Communities, Inc.(a) (BB/Ba3)

 
  143,000       5.125       08/01/30       122,801  
 

Tenneco, Inc. (B+/Ba3)

 
  85,000       5.000       07/15/26       81,813  
  400,000       5.125 (a)      04/15/29       393,000  
 

Travel + Leisure Co.(a) (BB-/Ba3)

 
  321,000       6.625       07/31/26       312,162  
 

Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.(a)
(B+/B2)

 
 
  284,000       5.250       05/15/27       257,020  
 

Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.(a)
(B+/B2)

 
 
  282,000       5.125       10/01/29       237,233  
 

Yum! Brands, Inc. (BB/Ba3)

 
  475,000       4.750 (a)      01/15/30       435,813  
  350,000       3.625       03/15/31       299,250  
     

 

 

 
        24,303,934  

 

 

 
Consumer Noncyclical – 4.5%  
 

Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP /
Albertsons LLC(a) (BB/Ba3)

 
 
  240,000       4.625       01/15/27       219,900  
  488,000       3.500       03/15/29       403,210  
  433,000       4.875       02/15/30       380,499  
 

Allied Universal Holdco LLC / Allied Universal Finance Corp.(a)
(CCC+/Caa1)

 
 
  241,000       6.625       07/15/26       225,335  
  680,000       6.000       06/01/29       511,700  
 

Allied Universal Holdco LLC/Allied Universal Finance Corp./
Atlas Luxco 4 Sarl(a) (B/B2)


 
  200,000       4.625       06/01/28       168,000  
 

Avantor Funding, Inc.(a) (BB-/B2)

 
  440,000       4.625       07/15/28       401,500  
 

Change Healthcare Holdings LLC / Change Healthcare Finance,
Inc.(a) (B-/Caa1)

 
 
  170,000       5.750       03/01/25       167,131  
 

Hologic, Inc. (BB+/Ba2)

 
  119,000       4.625 (a)      02/01/28       112,455  
  261,000       3.250 (a)      02/15/29       225,765  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   53


GOLDMAN SACHS ACCESS HIGH YIELD CORPORATE BOND ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Corporate Obligations – (continued)  
Consumer Noncyclical – (continued)  
 

Medline Borrower LP(a) (B+/B1)

 
$ 1,469,000       3.875 %       04/01/29     $ 1,243,141  
  106,000       5.250       10/01/29       89,570  
 

Molina Healthcare, Inc.(a) (BB-/Ba3)

 
  200,000       4.375       06/15/28       185,500  
 

Organon & Co. / Organon Foreign Debt Co.-Issuer BV(a)
(BB/Ba2)

 
 
  900,000       4.125       04/30/28       807,750  
  470,000       5.125       04/30/31       411,838  
 

Perrigo Finance Unlimited Co. (BB-/Ba2)

 
  200,000       3.900       12/15/24       190,750  
 

RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health,
Inc.(a) (CCC+/Caa1)

 
 
  338,000       9.750       12/01/26       323,486  
     

 

 

 
        6,067,530  

 

 

 
Consumer Products – 0.5%  
 

Coty, Inc.(a) (BB-/Ba3)

 
  390,000       5.000       04/15/26       370,988  
 

Mattel, Inc.(a) (BB+/Ba2)

 
  332,000       5.875       12/15/27       332,415  
     

 

 

 
        703,403  

 

 

 
Distribution & Logistics – 0.5%  
 

IAA, Inc.(a) (B/B2)

 
  121,000       5.500       06/15/27       114,345  
 

WESCO Distribution, Inc.(a) (BB/B1)

 
  591,000       7.250       06/15/28       596,910  
     

 

 

 
        711,255  

 

 

 
Electric – 3.3%  
 

Calpine Corp.(a) (B+/B2)

 
  542,000       4.625       02/01/29       464,765