Goldman Sachs Funds

 

 

 
Annual Report      

August 31, 2023

 
     

Goldman Sachs ActiveBeta® ETFs

     

ActiveBeta® Emerging Markets Equity ETF (GEM)

     

ActiveBeta® Europe Equity ETF (GSEU)

     

ActiveBeta® International Equity ETF (GSIE)

     

ActiveBeta® Japan Equity ETF (GSJY)

     

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

     

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

     

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

     

ActiveBeta® World Low Vol Plus Equity ETF (GLOV)

 

LOGO


Goldman Sachs ActiveBeta® ETFs

 

 

ACTIVEBETA® EMERGING MARKETS EQUITY ETF (GEM)

 

 

ACTIVEBETA® EUROPE EQUITY ETF (GSEU)

 

 

ACTIVEBETA® INTERNATIONAL EQUITY ETF (GSIE)

 

 

ACTIVEBETA® JAPAN EQUITY ETF (GSJY)

 

 

ACTIVEBETA® PARIS-ALIGNED CLIMATE U.S. LARGE CAP EQUITY ETF (GPAL)

 

 

ACTIVEBETA® U.S. LARGE CAP EQUITY ETF (GSLC)

 

 

ACTIVEBETA® U.S. SMALL CAP EQUITY ETF (GSSC)

 

 

ACTIVEBETA® WORLD LOW VOL PLUS EQUITY ETF (GLOV)

 

TABLE OF CONTENTS

 

Investment Process

    1  

Portfolio Management Discussion and Performance Summaries

    4  

Schedules of Investments

    42  

Financial Statements

    107  

Financial Highlights

    115  

ActiveBeta® Emerging Markets Equity ETF (GEM)

    115  

ActiveBeta® Europe Equity ETF (GSEU)

    116  

ActiveBeta® International Equity ETF (GSIE)

    117  

ActiveBeta® Japan Equity ETF (GSJY)

    118  

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

    119  

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

    120  

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

    121  

ActiveBeta® World Low Vol Plus Equity ETF (GLOV)

    122  

Notes to Financial Statements

    123  

Report of Independent Registered Public Accounting Firm

    140  

Other Information

    142  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


INVESTMENT PROCESS

 

Goldman Sachs ActiveBeta® ETFs

 

Principal Investment Strategies

The investment objective of each of the ActiveBeta® Emerging Markets Equity ETF, ActiveBeta® Europe Equity ETF, ActiveBeta® International Equity ETF, ActiveBeta® Japan Equity ETF, ActiveBeta® Paris-Aligned Climate U.S. Large Cap Equity ETF, ActiveBeta® U.S. Large Cap Equity ETF, ActiveBeta® U.S. Small Cap Equity ETF and ActiveBeta® World Low Vol Plus Equity ETF (each, a “Fund”), is to seek to provide investment results that closely correspond, before fees and expenses, to the performance of its respective underlying index (each, an “Index”).

Each 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, in depositary receipts representing securities included in its underlying index and in underlying stocks in respect of depositary receipts included in its underlying index.

Each Index is designed to deliver exposure to equity securities within its applicable universe of issuers. Each Index is constructed using the patented ActiveBeta® Portfolio Construction Methodology, which was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns. These factors include value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). Given each Fund’s investment objective of attempting to track its Index, each 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.

Each Index is rebalanced on a quarterly basis in accordance with the published rebalancing schedule of the applicable Reference Index. The rules-based process used to construct each Index incorporates the ActiveBeta® Turnover Minimization Technique, which seeks to reduce turnover within each Index.

For the ActiveBeta® Emerging Markets Equity ETF, ActiveBeta® Europe Equity ETF, ActiveBeta® International Equity ETF, ActiveBeta® Japan Equity ETF, ActiveBeta® U.S. Large Cap Equity ETF and ActiveBeta® U.S. Small Cap Equity ETF, Goldman Sachs Asset Management, L.P. (the “Index Provider”) constructs each Index in accordance with a rules-based methodology that involves two steps.

Step 1

In the first step, individual factor subindexes for value, momentum, quality and low volatility (the “ActiveBeta® Factor Subindexes”) are created from the constituents of the applicable Reference Index, a market capitalization-weighted index. To construct each ActiveBeta® Factor Subindex, all constituents in the applicable Reference Index are assigned a “factor score” based on certain specified measurements (for example, in the case of the value factor, the factor score is based on a composite of book value-to-price, sales-to-price and free cash flow-to-price). Securities with a factor score that is above a fixed “Cut-off Score” receive an overweight in the applicable ActiveBeta® Factor Subindex relative to the applicable Reference Index and securities with a factor score that is below the Cut-off Score receive an underweight in the ActiveBeta® Factor Subindex relative to the applicable Reference Index. Accordingly, the magnitude of overweight or underweight that a security receives in constructing the applicable ActiveBeta® Factor Subindex is determined by its attractiveness when evaluated based on the relevant factor. Each Index only includes long positions (i.e., short positions are impermissible), so the smallest weight for any given security is zero.

Step 2

The ActiveBeta® Factor Subindexes are combined in equal weights to form each Index.

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

For the Goldman Sachs ActiveBeta® Paris-Aligned Climate U.S. Large Cap Equity ETF, the Index aims to meet the minimum requirements to be an “EU Paris-Aligned Benchmark” as defined by the European Commission Delegated Regulation C(2020)4757. An “EU Paris-Aligned Benchmark” is an index whose constituent companies are aligned with the goals of the Paris Climate Agreement, an international treaty that seeks to combat climate change and its effects. The Index Provider constructs the Fund’s Index in accordance with a rules-based methodology that involves three steps.

 

1


INVESTMENT PROCESS

 

Step 1

In the first step, the following types of issuers are excluded from the constituents of the Solactive US Large Cap Index (the “Reference Index”) per the requirements for an “EU Paris-Aligned Benchmark”: companies involved with controversial weapons or tobacco, companies that violate global norms as indicated by violations of the United Nations Global Compact principles or the Organisation for Economic Co-operation and Development (“OECD”) Guidelines for Multinational Enterprises, and companies that derive more than 50% of revenue from fossil fuel activities or engage in activities that significantly obstruct the United Nations Sustainable Development Goals that correspond to the EU’s six environmental objectives.

In addition, issuers who derive significant revenue from the following activities are excluded (revenue percentages are shown in parentheses): exploration, mining, extraction, distribution or refining of hard coal and lignite (≥ 1%); exploration, extraction, distribution or refining of oil fuels (≥ 10%); exploration, extraction, manufacturing or distribution of gaseous fuels (≥ 50%); and electricity generation with a greenhouse gas (GHG) intensity of more than 100g CO2e/kWh (≥ 50%).

Step 2

In the second step, the ActiveBeta® Factor Subindexes are created from the Reference Index, a market capitalization-weighted index. To construct each ActiveBeta® Factor Subindex, all non-excluded constituents in the Reference Index are assigned a “factor score” based on certain specified measurements (for example, in the case of the value factor, the factor score is based on a composite of book value-to-price, sales-to-price and free cash flow-to-price). Securities with a factor score that is above a fixed “Cut-off Score” receive an overweight in the applicable ActiveBeta® Factor Subindex relative to the Reference Index and securities with a factor score that is below the Cut-off Score receive an underweight in the ActiveBeta® Factor Subindex relative to the Reference Index. Accordingly, the magnitude of overweight or underweight that a security receives in constructing the applicable ActiveBeta® Factor Subindex is determined by its attractiveness when evaluated based on the relevant factor. The ActiveBeta® Factor Subindexes are combined in equal weights to form the Factor Diversity Portfolio.

Step 3

In the third step, the weights of the individual issuers in the Factor Diversity Portfolio are adjusted upwards and downwards to target the following requirements: a 50-percent reduction in aggregate GHG emissions intensity relative to the Reference Index, where an issuer’s emission intensity is defined as the sum of the issuer’s direct and indirect emissions divided by the issuer’s enterprise value including cash; an inflation-adjusted seven-percent annualized reduction in absolute GHG emissions intensity; non-negative exposure to high carbon impact sectors relative to the Reference Index; and exposure to each of the four factors (value, momentum, quality, and low volatility) that are no lower than the corresponding factor exposures for the Factor Diversity Portfolio. The resulting Index only includes long positions (i.e., short positions are impermissible), so the smallest weight for any given security is zero.

Goldman Sachs ActiveBeta® World Low Vol Plus Equity ETF

For the ActiveBeta® World Low Vol Plus Equity ETF, the Index seeks to provide exposure to these factors with an emphasis on the low volatility factor. The Index Provider constructs the Fund’s Index in accordance with a rules-based methodology that involves three steps.

Step 1

In the first step, the individual factor subindex for low volatility (the “ActiveBeta® Low Volatility Factor Subindex”) is created from the constituents of the Solactive GBS Developed Markets Large & Mid Cap Index (the “Reference Index”), a market capitalization-weighted index. To construct the ActiveBeta® Low Volatility Factor Subindex, an equal-weighted index is constructed by equally weighting stocks within sectors by country (e.g. U.S. Financials). The weight of a stock in the reweighted Reference Index is the average of its weight in the Reference Index and its weight in the equal-weighted index. Each constituent is then assigned a “factor score” based on a specified volatility measurement that is a function of the volatility in the daily total stock returns over the past 12 months. Securities with a factor score that is above a fixed “Cut-off Score” receive an overweight in the ActiveBeta® Low Volatility Factor Subindex relative to the reweighted Reference Index and securities with a factor score that is

 

2


INVESTMENT PROCESS

 

below the Cut-off Score receive an underweight in the ActiveBeta® Low Volatility Factor Subindex relative to the reweighted Reference Index. Accordingly, the magnitude of overweight or underweight that a security receives in constructing the ActiveBeta® Low Volatility Factor Subindex is determined by the performance of its factor score relative to the fixed “Cut-off Score.” The Index includes only long positions (i.e., short positions are impermissible), so the smallest weight for any given security is zero.

Step 2

In the second step, individual factor subindexes for value, momentum and quality (the “ActiveBeta® Value Factor Subindex, ActiveBeta® Momentum Factor Subindex and ActiveBeta® Quality Factor Subindex,” respectively) are created from the constituents of the ActiveBeta® Low Volatility Factor Subindex. To construct each of these subindexes, all constituents in the ActiveBeta® Low Volatility Factor Subindex are assigned a “factor score” based on certain specified measurements (i.e., in the case of the value factor, the factor score is based on a composite of book value-to-price, sales-to-price and free cash flow-to-price). Securities with a factor score that is above a fixed “Cut-off Score” receive an overweight in the applicable ActiveBeta® Factor Subindex relative to the ActiveBeta® Low Volatility Factor Subindex and securities with a factor score that is below the Cut-off Score receive an underweight the applicable ActiveBeta® Factor Subindex relative to the Active- Beta® Low Volatility Factor Subindex.

Step 3

In the third step, the ActiveBeta® Value Factor Subindex, ActiveBeta® Momentum Factor Subindex, and ActiveBeta® Quality Factor Subindex are combined in equal weights to form the Index.

* * *

At the end of the Reporting Period, i.e. the 12 months ended August 31, 2023, we continued to believe in the existence and persistence of certain equity common factors. We further believed that in capturing common factors, investment efficiency (risk-adjusted returns) can be improved by enhancing the informational efficiency and diversification of individual common factor portfolios. Additionally, we advocate the pursuit of factor diversification strategies, which combine individual common factor portfolios, as such strategies tend to dominate individual factors. A passive capture of informationally-efficient and diversified common factor strategies potentially delivers attractive after-cost information ratios.

 

3


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® Emerging Markets Equity ETF

 

Investment Objective

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

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 3.50% based on net asset value (“NAV”) and 4.36% based on market price. The Index returned 3.91%, and the MSCI Emerging Markets Index (Net, Unhedged) (“MSCI Emerging Markets Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned 1.25% during the same period.

 

  

The Fund had an NAV of $29.42 per share on August 31, 2022 and ended the Reporting Period with an NAV of $29.61 per share. The Fund’s market price on August 31, 2023 was $29.48 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 constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI Emerging Markets Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compared the performance of the Fund to that of the MSCI Emerging Markets Index. 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 Fund does not follow a strategy of seeking to outperform the MSCI Emerging Markets Index.

 

  

During the Reporting Period, the Fund posted positive absolute returns that outperformed the MSCI Emerging Markets Index, as measured by NAV. Amongst underlying factors, Value and Low Volatility contributed most positively to relative results, followed by Quality. Momentum detracted from results during the Reporting Period. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time. Quality refers to sustainable profitability over time. Momentum is whether a company’s share price is trending up or down.

 

Q   Which sectors and countries contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A   Index constituents in the information technology, consumer staples and financials sectors contributed most positively to the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period. Index constituents in materials was the only sector to detract from the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period.

 

    

From a country perspective, Index constituents in China, India and Taiwan contributed most positively to the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period. Conversely, Index constituents in

 

4


PORTFOLIO RESULTS

 

  South Africa, Peru and Greece detracted the most from the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period.

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A   Relative to the MSCI Emerging Markets Index, underweight positions in Chinese car company NIO, Chinese shopping platform Meituan and Chinese e-commerce company JD.com contributed most positively (0.00%1, 0.80% and 0.38% of Fund net assets as of August 31, 2023, respectively). NIO was not held in the Index during the Reporting Period; Meituan and JD.com each produced a double-digit negative return within the Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A   Relative to the MSCI Emerging Markets Index, underweight positions in Chinese car company Li Auto, Singapore-based travel website Trip.com Group and Chinese e-commerce platform Pinduoduo detracted most (0.00%1, 0.08% and 0.00% of Fund net assets as of August 31, 2023, respectively). Li Auto posted a single-digit negative return within the Index during the Reporting Period, and Trip.com Group and Pinduoduo each delivered a double-digit positive return within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3     

GS
ActiveBeta®
Emerging

Markets
Equity Index

     MSCI Emerging
Markets Index
 
  Consumer Discretionary     11.91      11.71      13.88
  Consumer Staples     11.13        11.52        6.28  
  Energy     4.82        4.73        5.09  
  Financials     20.80        20.66        21.82  
  Health Care     4.88        4.96        3.79  
  Industrials     5.80        6.24        6.66  
  Information Technology     20.65        20.47        20.62  
  Materials     7.38        7.09        7.94  
  Real Estate     0.99        1.11        1.74  
  Communication Services     9.08        8.96        9.66  
    Utilities     2.56        2.55        2.53  

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Country and sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

5


PORTFOLIO RESULTS

 

Q   What was the Fund’s country positioning relative to the Index and the reference index at the end of the Reporting Period?2

 

     Country Name   Fund3      GS
ActiveBeta®
Emerging
Markets
Equity Index
     MSCI Emerging
Markets Index
 
  Brazil     5.33      5.33      5.32
  Chile     0.65        0.64        0.53  
  China     31.66        31.17        29.79  
  Colombia     0.06        0.06        0.10  
  Czech     0.19        0.19        0.16  
  Egypt     0.47        0.46        0.09  
  Greece     0.84        0.83        0.47  
  Hong Kong     0.00        0.00        0.00  
  Hungary     0.23        0.22        0.25  
  India     13.90        13.56        14.86  
  Indonesia     1.97        1.94        2.02  
  Korea     12.08        11.97        12.23  
  Kuwait     0.57        0.61        0.82  
  Malaysia     0.56        1.39        1.43  
  Mexico     2.91        2.95        2.81  
  Peru     0.00        0.00        0.28  
  Philippines     0.15        0.15        0.61  
  Poland     0.93        0.87        0.83  
  Qatar     0.98        0.99        0.91  
  Saudi Arabia     4.06        3.97        4.21  
  South Africa     3.62        3.65        3.20  
  Taiwan     14.74        14.73        15.02  
  Thailand     1.76        1.78        2.03  
  Turkey     0.84        0.96        0.72  
    United Arab Emirates     1.51        1.57        1.32  

 

  2    Country and sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

6


FUND BASICS

 

ActiveBeta® Emerging Markets Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023       
  Market Price1   $ 29.48  
    Net Asset Value (NAV)1   $ 29.61  

 

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 each 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 10 HOLDINGS AS OF 8/31/232
     Holding   % of Net Assets        Line of Business      Country
  Taiwan Semiconductor Manufacturing Co. Ltd.     5.7      Information Technology      Taiwan
  Samsung Electronics Co. Ltd.     3.3        Information Technology      South Korea
  Tencent Holdings Ltd.     3.3        Communication Services      China
  Alibaba Group Holding Ltd.     2.2        Consumer Discretionary      China
  Reliance Industries Ltd.     0.9        Energy      India
  Infosys Ltd.     0.8        Information Technology      India
  Meituan, Class B     0.8        Consumer Discretionary      China
  Vale SA     0.7        Materials      Brazil
  China Construction Bank Corp., Class H     0.7        Financials      China
    Tata Consultancy Services Ltd.     0.7        Information Technology      India

 

 

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.

 

7


ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on September 25, 2015 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Emerging Markets Equity Index and the MSCI Emerging Markets Index (Net, Unhedged), respectively, are 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.

 

ActiveBeta® Emerging Markets Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from September 25, 2015 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced September 25, 2015)

     3.50%        0.63%      4.59%

 

Shares based on Market Price (Commenced September 25, 2015)

     4.36%        0.61%      4.53%

 

Goldman Sachs ActiveBeta® Emerging Markets Equity Index

     3.91%        0.84%      4.88%

 

MSCI Emerging Markets Index (Net, Unhedged)

     1.25%        0.98%      5.27%

 

 

*   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 calculation assumes all management fees and operating expenses incurred by the Fund. Market Price returns are based upon the last trade as of 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.

 

8


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® Europe Equity ETF

 

Investment Objective

The Goldman Sachs ActiveBeta® Europe Equity ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® Europe Equity Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 24.40% based on net asset value (“NAV”) and 25.14% based on market price. The Index returned 23.57%, and the MSCI Europe Index (Net, Unhedged) (“MSCI Europe Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned 22.51% during the same period.

 

     The Fund had an NAV of $27.47 per share on August 31, 2022 and ended the Reporting Period with an NAV of $33.11 per share. The Fund’s market price on August 31, 2023 was $33.05 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 constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI Europe Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compared the performance of the Fund to that of the MSCI Europe Index. 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 Fund does not follow a strategy of seeking to outperform the MSCI Europe Index.

 

     During the Reporting Period, the Fund posted double-digit positive absolute returns that outperformed the MSCI Europe Index, as measured by NAV. Amongst underlying factors, Value and Quality contributed positively to relative results during the Reporting Period. Low Volatility detracted most from relative results during the Reporting Period, followed by Momentum. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Quality refers to sustainable profitability over time. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time. Momentum is whether a company’s share price is trending up or down.

 

Q   Which sectors and countries contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A   Index constituents in the consumer discretionary, consumer staples and materials sectors contributed most positively to the Index’s results relative to the MSCI Europe Index during the Reporting Period. Index constituents in the financials, communication services and industrials sectors detracted most from the Index’s results relative to the MSCI Europe Index during the Reporting Period.

 

     From a country perspective, Index constituents in the U.K., Germany and Sweden contributed most positively to the Index’s results relative to the MSCI Europe Index during the Reporting Period. Conversely, Index constituents in France, Italy and Norway detracted the most from the Index’s results relative to the MSCI Europe Index during the Reporting Period.

 

9


PORTFOLIO RESULTS

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A   Relative to the MSCI Europe Index, underweight positions in Dutch financial services company Adyen and Swiss multinational banking institution Credit Suisse Group and an overweight position in Spanish fashion retailer Industria de Diseno Textil contributed most positively (0.06%, 0.00%1 and 0.69% of Fund net assets as of August 31, 2023, respectively). Adyen and Credit Suisse Group each generated a double-digit negative return within the Index during the Reporting Period. Industria de Diseno Textil posted a robust double-digit gain within the Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A   Relative to the MSCI Europe Index, an overweight position in Danish shipping and logistics company AP Moller-Maersk and underweight positions in Italian banking and financial services company UniCredit and Swiss investment bank and financial services company UBS Group detracted most (0.30%, 0.42% and 0.51% of Fund net assets as of August 31, 2023, respectively). AP Moller-Maersk posted a single-digit positive return within the Index during the Reporting Period, while UniCredit generated a triple-digit gain and UBS Group delivered a robust double-digit gain within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3     

GS
ActiveBeta®

Europe
Equity Index

     MSCI Europe
Index
 
  Consumer Discretionary     12.97      13.43      11.32
  Consumer Staples     13.44        13.63        12.42  
  Energy     5.66        5.68        5.95  
  Financials     16.47        16.10        17.49  
  Health Care     16.15        16.29        16.10  
  Industrials     15.96        15.70        14.95  
  Information Technology     6.46        6.46        6.69  
  Materials     5.37        5.30        6.94  
  Real Estate     0.23        0.31        0.81  
  Communication Services     3.21        3.20        3.12  
    Utilities     4.07        3.90        4.21  

 

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Country and sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® Europe Equity Index.

 

10


PORTFOLIO RESULTS

 

Q   What was the Fund’s country positioning relative to the Index and the reference index at the end of the Reporting Period?2

 

     Country Name   Fund3     

GS
ActiveBeta®

Europe
Equity
Index

     MSCI
Europe
Index
 
  Austria     0.80      0.51      0.28
  Belgium     1.20        1.19        1.48  
  Denmark     4.90        5.11        4.97  
  Finland     1.30        1.20        1.34  
  France     17.20        20.24        18.83  
  Germany     13.80        14.00        13.07  
  Ireland     1.00        0.98        1.30  
  Italy     4.10        4.55        4.00  
  Netherlands     8.00        6.96        6.71  
  Norway     1.10        1.27        1.03  
  Portugal     0.50        0.66        0.32  
  Spain     4.30        4.51        4.00  
  Sweden     3.30        3.72        4.76  
  Switzerland     8.40        14.11        15.54  
    UK     17.50        20.99        22.38  

 

  2    Country and sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® Europe Equity Index.

 

11


FUND BASICS

 

ActiveBeta® Europe Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT  
     As of August 31, 2023       
  Market Price1   $ 33.05  
    Net Asset Value (NAV)1   $ 33.11  

 

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 each 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 10 HOLDINGS AS OF 8/31/232
    

Holding

 

% of Net Assets

      

Line of Business

    

Country

 

Novo Nordisk A/S, Class B

    2.9      Health Care      Denmark
 

Nestle SA

    2.7        Consumer Staples      United States
 

ASML Holding NV

    2.2        Information Technology      Netherlands
 

LVMH Moet Hennessy Louis Vuitton SE

    2.1        Consumer Discretionary      France
 

Roche Holding AG

    2.0        Health Care      United States
 

Novartis AG

    1.9        Health Care      Switzerland
 

AstraZeneca PLC

    1.7        Health Care      United Kingdom
 

Shell PLC

    1.6        Energy      Netherlands
 

TotalEnergies SE

    1.3        Energy      France
   

SAP SE

    1.2        Information Technology      Germany

 

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.

 

12


ACTIVEBETA® EUROPE EQUITY ETF

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on March 2, 2016 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Europe Equity Index and the MSCI Europe Index (Net, Unhedged), respectively, are 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.

 

ActiveBeta® Europe Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from March 2, 2016 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced March 2, 2016)

     24.40%        4.75%      7.08%

 

Shares based on Market Price (Commenced March 2, 2016)

     25.14%        4.77%      7.05%

 

Goldman Sachs ActiveBeta® Europe Equity Index

     23.57%        4.72%      7.08%

 

MSCI Europe Index (Net, Unhedged)

     22.51%        4.87%      6.91%

 

 

*   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 calculation assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade as of 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.

 

13


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® International Equity ETF

 

 

Investment Objective

The Goldman Sachs ActiveBeta® International Equity ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® International Equity Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 16.40% based on net asset value (“NAV”) and 16.95% based on market price. The Index returned 16.39%, and the MSCI World ex USA Index (Net, Unhedged, USD) (“MSCI World ex USA Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned 16.45% during the same period.

 

     The Fund had an NAV of $27.64 per share on August 31, 2022 and ended the Reporting Period with an NAV of $31.20 per share. The Fund’s market price on August 31, 2023 was $31.21 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 constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI World ex USA Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compared the performance of the Fund to that of the MSCI World ex USA Index. 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 Fund does not follow a strategy of seeking to outperform the MSCI World ex USA Index.

 

     During the Reporting Period, the Fund posted double-digit positive absolute returns that closely tracked the MSCI World ex USA Index, as measured by NAV. Amongst underlying factors, Value contributed positively to relative results during the Reporting Period. Low Volatility and Momentum detracted most from relative results during the Reporting Period, followed by Quality. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time. Momentum is whether a company’s share price is trending up or down. Quality refers to sustainable profitability over time.

 

Q   Which sectors and countries contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A   Index constituents in the consumer discretionary, energy and health care sectors contributed most positively to the Index’s results relative to the MSCI World ex USA Index during the Reporting Period. Index constituents in the consumer staples, materials and financials sectors detracted the most from the Index’s results relative to the MSCI World ex USA Index during the Reporting Period.

 

    

From a country perspective, Index constituents in the U.K., Sweden and Australia contributed most positively to the Fund’s results relative to the MSCI World ex USA Index

 

14


PORTFOLIO RESULTS

 

  during the Reporting Period. Conversely, Index constituents in Japan, Canada and France detracted the most from the Fund’s results relative to the MSCI World ex USA Index during the Reporting Period.

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A   Relative to the MSCI World ex USA Index, underweight positions in Dutch financial services company Adyen, Swiss multinational banking institution Credit Suisse Group and Australia-based biopharmaceutical company CSL contributed most positively (0.00%,1 0.00% and 0.15% of Fund net assets as of August 31, 2023, respectively). Adyen and CSL each generated a double-digit negative return within the Index during the Reporting Period. Credit Suisse Group was not held in the Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A   Relative to the MSCI World ex USA Index, an underweight position in Canadian e-commerce company Shopify and overweight positions in Canadian forestry company West Fraser Timber and Canadian conglomerate engaged mostly in food retail and corporate investments Empire detracted most (0.11%, 0.00%1 and 0.39% of Fund net assets as of August 31, 2023, respectively). Shopify posted a double-digit positive return within the Index during the Reporting Period, while West Fraser Timber and Empire each generated a negative return within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3      GS
ActiveBeta®
International
Equity Index
     MSCI World ex
USA Index
 
  Consumer Discretionary     12.21      12.34      11.38
  Consumer Staples     12.53        12.14        9.43  
  Energy     5.84        6.15        5.98  
  Financials     18.78        18.66        20.29  
  Health Care     12.46        12.48        11.99  
  Industrials     16.32        16.10        15.71  
  Information Technology     7.82        7.77        8.08  
  Materials     5.73        6.20        7.82  
  Real Estate     1.29        1.41        2.17  
  Communication Services     4.08        4.04        3.81  
    Utilities     2.93        2.72        3.36  

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Country and sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® International Equity Index.

 

15


PORTFOLIO RESULTS

 

Q   What was the Fund’s country positioning relative to the Index and the reference index at the end of the Reporting Period?2

 

     Country Name   Fund3      GS ActiveBeta®
International
Equity Index
     MSCI World ex
USA Index
 
  Australia     6.10      6.17      6.56
  Austria     0.40        0.23        0.16  
  Belgium     0.70        0.77        0.87  
  Canada     10.80        11.47        10.45  
  Denmark     3.00        3.10        2.91  
  Finland     0.70        0.71        0.78  
  France     10.40        12.09        11.02  
  Germany     7.80        7.74        7.65  
  Hong Kong     1.30        2.02        2.11  
  Ireland     0.60        0.62        0.76  
  Israel     0.80        0.80        0.59  
  Italy     2.40        2.58        2.34  
  Japan     20.40        20.20        20.37  
  Netherlands     4.50        3.90        3.92  
  New Zealand     0.20        0.18        0.17  
  Norway     0.70        0.76        0.60  
  Portugal     0.40        0.40        0.19  
  Singapore     1.60        1.41        1.24  
  Spain     2.50        2.59        2.34  
  Sweden     1.90        2.18        2.78  
  Switzerland     4.90        7.91        9.09  
    UK     10.50        12.18        13.09  

 

  2    Country and sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® International Equity Index.

 

16


FUND BASICS

 

ActiveBeta® International Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 31.21  
    Net Asset Value (NAV)1   $ 31.20  

 

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 each 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 10 HOLDINGS AS OF 8/31/232
     Holding   % of Net Assets        Line of Business      Country
  Novo Nordisk A/S, Class B     1.7      Health Care      Denmark
  Nestle SA     1.5        Consumer Staples      United States
  LVMH Moet Hennessy Louis Vuitton SE     1.3        Consumer Discretionary      France
  Roche Holding AG     1.1        Health Care      United States
  ASML Holding NV     1.1        Information Technology      Netherlands
  Novartis AG     1.0        Health Care      Switzerland
  Shell PLC     0.9        Energy      Netherlands
  AstraZeneca PLC     0.9        Health Care      United Kingdom
  TotalEnergies SE     0.7        Energy      France
    L’Oreal SA     0.7        Consumer Staples      France

 

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.

 

17


ACTIVEBETA® INTERNATIONAL EQUITY ETF

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on November 6, 2015 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® International Equity Index and the MSCI World ex USA Index (Net, Unhedged, USD), respectively, are 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.

 

ActiveBeta® International Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from November 6, 2015 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced November 6, 2015)

     16.40%        3.93%      5.59%

 

Shares based on Market Price (Commenced November 6, 2015)

     16.95%        3.92%      5.59%

 

Goldman Sachs ActiveBeta® International Equity Index

     16.39%        3.99%      5.67%

 

MSCI World ex USA Index (Net, Unhedged, USD)

     16.45%        4.31%      5.42%

 

 

*   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 calculation assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade as of 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.

 

18


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® Japan Equity ETF

 

Investment Objective

The Goldman Sachs ActiveBeta® Japan Equity ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® Japan Equity Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 15.69% based on net asset value (“NAV”) and 17.15% based on market price. The Index returned 15.70%, while the MSCI Japan Index (Unhedged) (“MSCI Japan Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned 15.30% during the same period.

 

     The Fund had an NAV of $30.15 per share on August 31, 2022 and ended the Reporting Period with an NAV of $34.18 per share. The Fund’s market price on August 31, 2023 was $34.18 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 constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI Japan Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compared the performance of the Fund to that of the MSCI Japan Index. 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 Fund does not follow a strategy of seeking to outperform the MSCI Japan Index.

 

     During the Reporting Period, the Fund posted double-digit positive absolute returns that outperformed the MSCI Japan Index, as measured by NAV. Amongst underlying factors, Value contributed most positively to results relative to the MSCI Japan Index, followed by Momentum. Quality detracted most from results relative to the MSCI Japan Index, followed by Low Volatility. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Momentum is whether a company’s share price is trending up or down. Quality refers to sustainable profitability over time. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time.

 

Q   Which sectors contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A   Index constituents in the industrials, consumer discretionary and real estate sectors contributed most positively to the Index’s results relative to the MSCI Japan Index during the Reporting Period. Conversely, Index constituents in the financials, materials and consumer staples sectors detracted most from results relative to the MSCI Japan Index during the Reporting Period.

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A  

Relative to the MSCI Japan Index, overweight positions in integrated trading and investment company Marubeni and

 

19


PORTFOLIO RESULTS

 

  trading company Mitsui & Co. and an underweight position in electric motor manufacturer Nidec contributed most positively (1.16%, 1.68% and 0.20% of Fund net assets as of August 31, 2023, respectively). Marubeni and Mitsui & Co. each posted a double-digit gain within the Index during the Reporting Period, while Nidec generated a double-digit negative return within the Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A   Relative to the MSCI Japan Index, underweight positions in bank holding and financial services company Mitsubishi UFJ Financial Group and industrial chemicals manufacturer Shin-Etsu Chemical and an overweight position in information security company Trend Micro detracted most (2.19%, 1.25% and 0.30% of Fund net assets as of August 31, 2023, respectively). Mitsubishi UFJ Financial Group and Shin-Etsu Chemical each posted a robust double-digit gain within the Index during the Reporting Period. Trend Micro delivered a double-digit negative return within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index and the reference index at the end of the Reporting Period?1

 

     Sector Name   Fund2     

GS

ActiveBeta®

Japan
Equity Index

    

MSCI Japan

Index

 
  Consumer Discretionary     18.53      18.34      18.73
  Consumer Staples     7.71        7.81        6.28  
  Energy     1.15        1.19        0.82  
  Financials     12.03        11.93        11.88  
  Health Care     8.88        8.97        8.77  
  Industrials     22.76        23.04        23.51  
  Information Technology     14.38        14.31        13.96  
  Materials     4.05        3.96        4.67  
  Real Estate     1.70        1.70        3.01  
  Communication Services     7.46        7.45        7.20  
    Utilities     1.34        1.30        1.15  

 

  1    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  2    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® Japan Equity Index.

 

20


FUND BASICS

 

ActiveBeta® Japan Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 34.18  
    Net Asset Value (NAV)1   $ 34.18  

 

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 each 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 10 HOLDINGS AS OF 8/31/232     
     Holding   % of Net Assets        Line of Business      Country
  Toyota Motor Corp.     4.0      Consumer Discretionary      Japan
  Mitsubishi UFJ Financial Group, Inc.     2.2        Financials      Japan
  Mitsubishi Corp.     2.2        Industrials      Japan
  Sony Group Corp.     2.2        Consumer Discretionary      Japan
  Honda Motor Co. Ltd.     2.1        Consumer Discretionary      Japan
  Keyence Corp.     1.8        Information Technology      Japan
  Mitsui & Co. Ltd.     1.7        Industrials      Japan
  Tokyo Electron Ltd.     1.7        Information Technology      Japan
  Hitachi Ltd.     1.6        Industrials      Japan
    Takeda Pharmaceutical Co. Ltd.     1.6        Health Care      Japan

 

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.

 

21


ACTIVEBETA® JAPAN EQUITY ETF

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on March 2, 2016 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Japan Index and the MSCI Japan Index (Unhedged), respectively, are 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.

 

ActiveBeta® Japan Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from March 2, 2016 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced March 2, 2016)

     15.69%        2.99%      6.10%

 

Shares based on Market Price (Commenced March 2, 2016)

     17.15%        3.06%      6.11%

 

Goldman Sachs ActiveBeta® Japan Equity Index

     15.70%        2.82%      5.93%

 

MSCI Japan Index (Unhedged)

     15.30%        3.11%      6.31%

 

 

*   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 calculation assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade as of 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.

 

22


PORTFOLIO RESULTS

 

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

 

Investment Objective

The Goldman Sachs ActiveBeta® Paris-Aligned Climate U.S. Large Cap Equity ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® Paris-Aligned U.S. Large Cap Equity Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 15.48% based on net asset value (“NAV”) and 15.36% based on market price. The Index returned 15.68%, and the Solactive US Large Cap Index (“Solactive Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned 15.85% during the same period.

 

   

The Fund had an NAV of $32.50 on August 31, 2022 and ended the Reporting Period with an NAV of $36.99 per share. The Fund’s market price on August 31, 2023 was $37.01 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 deliver exposure to equity securities of large capitalization U.S. issuers. The Index is constructed using the patented ActiveBeta® Portfolio Construction Methodology, which was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns. These factors include Value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), Momentum (i.e., whether a company’s share price is trending up or down), Quality (i.e., profitability) and Low Volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). Given the Fund’s investment objective of attempting to track its 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 Fund does not follow a strategy of seeking to outperform the Solactive Index.

 

   

The Index aims to meet the minimum requirements to be an “EU Paris-Aligned Benchmark” as defined by the European Commission Delegated Regulation C(2020)4757. An “EU Paris-Aligned Benchmark” is an index whose constituent companies are aligned with the goals of the Paris Climate Agreement, an international treaty that seeks to combat climate change and its effects.

 

   

During the Reporting Period, the Fund posted double-digit positive absolute returns that closely tracked the Solactive Index, as measured by NAV. Step 1 of the construction of the Fund’s Index, wherein certain companies are excluded per the requirements for an “EU Paris-Aligned Benchmark,” contributed most positively to results relative to the Solactive Index. In the second step, wherein Factor Subindexes are created, Quality contributed positively to results relative to the Solactive Index. Low Volatility detracted most from results relative to the Solactive Index, followed by Value and then Momentum. Quality refers to sustainable profitability over time. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Momentum is whether a company’s share price is trending up or down. The third step, wherein the weights of the individual issuers are adjusted to target certain emissions constraints, detracted modestly from results relative to the Solactive Index.

 

23


PORTFOLIO RESULTS

 

Q   Which sectors contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A   Index constituents in the utilities, consumer discretionary and communication services sectors contributed most positively to the Index’s results relative to the Solactive Index during the Reporting Period. Conversely, Index constituents in the health care, consumer staples and real estate sectors detracted from the Index’s results relative to the Solactive Index during the Reporting Period.

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A   Relative to the Solactive Index, underweight positions in electric vehicle maker Tesla, e-commerce retailer behemoth Amazon.com and entertainment and media company Walt Disney Company contributed most positively (0.00%,1 0.00% and 0.03% of Fund net assets as of August 31, 2023, respectively). Tesla and Amazon.com were not held in the Index during the Reporting Period. Walt Disney Company generated a double-digit negative return within the Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A   Relative to the Solactive Index, an overweight position in health care and retail pharmacy company CVS Health and underweight positions in entertainment content streaming company Netflix and semiconductor company NVIDIA detracted most (0.48%, 0.31% and 2.96% of Fund net assets as of August 31, 2023, respectively). CVS Health posted a double-digit negative return within the Index during the Reporting Period. Netflix generated a robust double-digit gain within the Index and NVIDIA delivered a triple-digit gain within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index and the Solactive US Large Cap Index at the end of the Reporting Period?2

 

     Sector Name   Fund3    

GS
ActiveBeta®

Paris-Aligned
Climate U.S.
Large Cap
Equity Index

    Solactive
US Large
Cap Index
 
  Consumer Discretionary     8.87     8.84     10.48
  Consumer Staples     6.92       6.93       6.31  
  Financials     12.39       12.40       12.25  
  Health Care     17.54       17.52       13.42  
  Industrials     7.00       7.01       8.63  
  Information Technology     33.40       33.41       28.44  
  Materials     1.28       1.28       2.40  
  Real Estate     3.36       3.36       2.46  
  Communication Services     9.06       9.07       8.78  
  Utilities     0.18       0.18       2.38  
    Energy                 4.47  

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector and country classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Solactive. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® Paris-Aligned U.S. Large Cap Equity Index.

 

24


FUND BASICS

 

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

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023       
  Market Price1   $ 37.01  
    Net Asset Value (NAV)1   $ 36.99  

 

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 each 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 10 HOLDINGS AS OF 8/31/232
     Holding   % of Net Assets        Line of Business      Country
  Apple, Inc.     7.8      Information Technology      United States
  Microsoft Corp.     6.5        Information Technology      United States
  NVIDIA Corp.     3.0        Information Technology      United States
  Alphabet, Inc., Class A     2.1        Communication Services      United States
  Alphabet, Inc., Class C     2.1        Communication Services      United States
  Meta Platforms, Inc., Class A     1.8        Communication Services      United States
  Eli Lilly & Co.     1.4        Health Care      United States
  Johnson & Johnson     1.1        Health Care      United States
  JPMorgan Chase & Co.     1.1        Financials      United States
    UnitedHealth Group, Inc.     1.0        Health Care      United States

 

 

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.

 

25


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

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on December 13, 2021 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Paris-Aligned U.S. Large Cap Equity Index (USD, Unhedged) and Solactive US Large Cap Index, respectively, are 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.

 

ActiveBeta® Paris-Aligned Climate U.S. Large Cap Equity ETF’s Lifetime Performance

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year      Since Inception

Shares based on NAV (Commenced December 13, 2021)

     15.48%      -2.80%

 

Shares based on Market Price (Commenced December 13, 2021)

     15.36%      -2.77%

 

Goldman Sachs ActiveBeta® Paris-Aligned U.S. Large Cap Equity Index

     15.68%      -2.66%

 

Solactive U.S. Large Cap Index

     15.85%      -1.34%

 

 

*   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 calculation assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade as of 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.

 

26


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® U.S. Large Cap Equity ETF

 

Investment Objective

The Goldman Sachs ActiveBeta® U.S. Large Cap Equity ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® U.S. Large Cap Equity Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 14.83% based on net asset value (“NAV”) and 14.90% based on market price. The Index returned 14.94%, and the S&P 500 Index (Total Return, USD) (“S&P 500 Index”), a market-cap based index against which the performance of the Fund is measured, returned 15.94% during the same period.

 

   

The Fund had an NAV of $78.36 on August 31, 2022 and ended the Reporting Period with an NAV of $88.55 per share. The Fund’s market price on August 31, 2023 was $88.57 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 constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the S&P 500 Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compared the performance of the Fund to that of the S&P 500 Index. 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 Fund does not follow a strategy of seeking to outperform the S&P 500 Index.

 

   

During the Reporting Period, the Fund posted double-digit positive absolute returns that underperformed the S&P 500 Index, as measured by NAV. Amongst underlying factors, Low Volatility detracted most from relative returns, followed by Momentum and Value. Quality contributed positively to relative returns. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time. Momentum is whether a company’s share price is trending up or down. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Quality refers to sustainable profitability over time.

 

Q   Which sectors contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A   Index constituents in the information technology, consumer staples and energy sectors detracted most from the Index’s results relative to the S&P 500 Index during the Reporting Period. Partially offsetting these detractors were Index constituents in financials, industrials and consumer discretionary, which contributed positively to the Index’s results relative to the S&P 500 Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A  

Relative to the S&P 500 Index, underweight positions in semiconductor company NVIDIA and entertainment content

 

27


PORTFOLIO RESULTS

 

  streaming company Netflix and an overweight position in health care and retail pharmacy company CVS Health detracted most (2.46%, 0.22% and 0.39% of Fund net assets as of August 31, 2023, respectively). NVIDIA generated a triple-digit gain and Netflix delivered a robust double-digit gain within the Index during the Reporting Period. CVS Health posted a double-digit negative return within the Index during the Reporting Period.

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A   Relative to the S&P 500 Index, underweight positions in Walt Disney Company and payment transactions company PayPal Holdings and an overweight position in building materials manufacturer and supplier Builders FirstSource contributed most positively (0.09%, 0.00%1 and 0.65% of Fund net assets as of August 31, 2023, respectively). Walt Disney Company and PayPal Holdings each generated a double-digit negative return within the Index during the Reporting Period, while Builders FirstSource posted a robust double-digit gain within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index and the S&P 500 Index at the end of the Reporting Period?2

 

     Sector Name   Fund3     

GS

ActiveBeta®

U.S. Large Cap
Equity Index

     S&P 500
Index
 
  Consumer Discretionary     12.12      12.48      10.61
  Consumer Staples     8.58        8.55        6.56  
  Energy     3.79        3.78        4.42  
  Financials     9.79        9.75        12.46  
  Health Care     13.97        13.91        13.16  
  Industrials     9.90        9.87        8.43  
  Information Technology     27.59        27.48        28.21  
  Materials     2.05        2.04        2.46  
  Real Estate     1.81        1.80        2.44  
  Communication Services     7.88        7.85        8.81  
    Utilities     2.52        2.51        2.43  

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Standard & Poor’s. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® U.S. Large Cap Equity Index.

 

28


FUND BASICS

 

ActiveBeta® U.S. Large Cap Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 88.57  
    Net Asset Value (NAV)1   $ 88.55  

 

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 each 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 10 HOLDINGS AS OF 8/31/232   
     Holding   % of Net Assets      Line of Business    Country
  Apple, Inc.     6.6    Information Technology    United States
  Microsoft Corp.     5.6      Information Technology    United States
  Amazon.com, Inc.     2.7      Consumer Discretionary    United States
  NVIDIA Corp.     2.5      Information Technology    United States
  Alphabet, Inc., Class A     1.9      Communication Services    United States
  Alphabet, Inc., Class C     1.8      Communication Services    United States
  Meta Platforms, Inc., Class A     1.7      Communication Services    United States
  Eli Lilly & Co.     1.2      Health Care    United States
  UnitedHealth Group, Inc.     1.0      Health Care    United States
    Home Depot, Inc. (The)     0.9      Consumer Discretionary    United States

 

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.

 

 

29


ACTIVEBETA® U.S. LARGE CAP EQUITY ETF

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on September 17, 2015 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® U.S. Large Cap Equity Index and the S&P 500 Index (Total Return, USD), respectively, are 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.

 

ActiveBeta® U.S. Large Cap Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from September 17, 2015 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced September 17, 2015)

     14.83%        10.25%      12.00%

 

Shares based on Market Price (Commenced September 17, 2015)

     14.90%        10.26%      12.00%

 

Goldman Sachs ActiveBeta® U.S. Large Cap Equity Index

     14.94%        10.35%      12.11%

 

S&P 500 Index (Total Return, USD)

     15.94%        11.12%      12.89%

 

 

*   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 calculation assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade as of 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 ActiveBeta® U.S. Small Cap Equity ETF

 

Investment Objective

The Goldman Sachs ActiveBeta® U.S. Small Cap Equity ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® U.S. Small Cap Equity Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 6.95% based on net asset value (“NAV”) and 6.81% based on market price. The Index returned 7.24%, and the Russell 2000® Index, a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned 4.65% during the same period.

 

     The Fund had an NAV of $55.87 on August 31, 2022 and ended the Reporting Period with an NAV of $58.88 per share. The Fund’s market price on August 31, 2023 was $58.85 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 constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the Russell 2000® Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compared the performance of the Fund to that of the Russell 2000® Index. 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 Fund does not follow a strategy of seeking to outperform the Russell 2000® Index.

 

     During the Reporting Period, the Fund posted solid positive absolute returns that outperformed the Russell 2000® Index, as measured by NAV. All four underlying factors contributed positively to relative returns, led by Value and then followed by Quality, Momentum and Low Volatility. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Quality refers to sustainable profitability over time. Momentum is whether a company’s share price is trending up or down. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time.

 

Q   Which sectors contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A   Index constituents in the industrials, health care and materials sectors contributed most positively to the Index’s results relative to the Russell 2000® Index during the Reporting Period. Partially offsetting these positive contributors were Index constituents in the energy, real estate and utilities sectors, which detracted from the Index’s results relative to the Russell 2000® Index during the Reporting Period.

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A  

Relative to the Russell 2000® Index, overweight positions in pulp and paper products company Boise Cascade, capital

 

31


PORTFOLIO RESULTS

 

  equipment manufacturer for the semiconductor manufacturing industry Axcelis Technologies and software-driven networking solutions provider Extreme Networks contributed most positively (0.43%, 0.36% and 0.30% of Fund net assets as of August 31, 2023, respectively). Each generated either a robust double-digit or triple-digit gain within the Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A   Relative to the Russell 2000® Index, underweight positions in biotechnology company Immunogen, pharmaceutical company Reata Pharmaceuticals and oil and natural gas service company Weatherford International detracted most (0.04%, 0.09% and 0.14% of Fund net assets as of August 31, 2023, respectively). Immunogen generated a double-digit negative return within the Index during the Reporting Period. Reata Pharmaceuticals and Weatherford International each delivered a triple-digit gain within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index and the Russell 2000® Index at the end of the Reporting Period?1

 

     Sector Name  

Fund2

    

GS

ActiveBeta®

U.S. Small Cap
Equity Index

     Russell 2000®
Index
 
  Consumer Discretionary     11.21      11.20      10.73
  Consumer Staples     3.63        3.74        3.53  
  Energy     7.15        7.13        7.76  
  Financials     17.13        17.04        15.89  
  Health Care     12.46        12.57        15.40  
  Industrials     19.39        19.36        17.13  
  Information Technology     13.41        13.41        13.57  
  Materials     4.67        4.65        4.54  
  Real Estate     5.67        5.65        6.13  
  Communication Services     2.07        2.06        2.48  
    Utilities     3.19        3.18        2.83  

 

  1    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Russell Investments. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  2    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® U.S. Small Cap Equity Index.

 

32


FUND BASICS

 

ActiveBeta® U.S. Small Cap Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 58.85  
    Net Asset Value (NAV)1   $ 58.88  

 

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 each 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 10 HOLDINGS AS OF 8/31/232     
     Holding   % of Net Assets        Line of Business      Country
  Super Micro Computer, Inc.     0.4      Information Technology      United States
  Atkore, Inc.     0.4        Industrials      United States
  Boise Cascade Co.     0.4        Industrials      United States
  Corcept Therapeutics, Inc.     0.4        Health Care      United States
  Applied Industrial Technologies, Inc.     0.4        Industrials      United States
  Simpson Manufacturing Co., Inc.     0.4        Industrials      United States
  UFP Industries, Inc.     0.4        Industrials      United States
  Axcelis Technologies, Inc.     0.4        Information Technology      United States
  Comfort Systems USA, Inc.     0.4        Industrials      United States
    Veritiv Corp.     0.4        Industrials      United States

 

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


ACTIVEBETA® U.S. SMALL CAP EQUITY ETF

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on June 28, 2017 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® U.S. Small Cap Equity Index and the Russell 2000® Index, respectively, are 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.

 

ActiveBeta® U.S. Small Cap Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from June 28, 2017 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced June 28, 2017)

     6.95%        4.85%      7.60%

 

Shares based on Market Price (Commenced June 28, 2017)

     6.81%        4.81%      7.59%

 

Goldman Sachs ActiveBeta® U.S. Small Cap Equity Index

     7.24%        5.01%      7.79%

 

Russell 2000® Index

     4.65%        3.14%      6.15%

 

 

*   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 calculation assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade as of 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 ActiveBeta® World Low Vol Plus Equity ETF

 

Investment Objective

The Goldman Sachs ActiveBeta® World Low Vol Plus Equity ETF (the “Fund”) seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® World Low Vol Plus Equity Index (the “Index”).

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the 12-month period ended August 31, 2023 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned 11.15% based on net asset value (“NAV”) and 11.22% based on market price. The Index returned 10.92%, and the Solactive GBS Developed Markets Large & Mid Cap Index (the “Solactive Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned 15.69% during the same period.

 

     The Fund had an NAV of $37.97 on August 31, 2022 and ended the Reporting Period with an NAV of $41.30 per share. The Fund’s market price on August 31, 2023 was $41.34 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 deliver exposure to large and mid-capitalization equity securities of developed market issuers, including the United States. The Index is constructed using the patented ActiveBeta® Portfolio Construction Methodology, which was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns. These factors include Low Volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time), Value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), Momentum (i.e., whether a company’s share price is trending up or down), and Quality (i.e., profitability). The Index seeks to provide exposure to these factors with an emphasis on the Low Volatility factor. Given the Fund’s investment objective of attempting to track its 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 Fund does not follow a strategy of seeking to outperform the Solactive Index.

 

     During the Reporting Period, the Fund posted double-digit positive absolute returns but underperformed the Solactive Index, as measured by NAV. Step 1 of the construction of the Fund’s Index, wherein the individual factor subindex for Low Volatility is created from the constituents of the Solactive Index, detracted most from relative returns. Low Volatility is a relatively low degree of fluctuation in a company’s share price over time. In the second step, wherein individual factor subindexes for Value, Momentum and Quality are created, Quality contributed most positively to results relative to the Solactive Index, followed by Value. Momentum detracted from relative returns. Quality refers to sustainable profitability over time. Value refers to how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow. Momentum is whether a company’s share price is trending up or down.

 

Q   Which sectors and countries contributed most positively to the Index’s relative performance during the Reporting Period, and which detracted most?

 

A  

Index constituents in the information technology sector detracted most from the Index’s results relative to the

 

35


PORTFOLIO RESULTS

 

  Solactive Index, followed at some distance by Index constituents in the industrials and consumer staples sectors. Index constituents in the consumer discretionary, real estate and financials sectors contributed most positively to the Index’s results relative to the Solactive Index during the Reporting Period.

 

      From a country perspective, Index constituents in the U.S. detracted most from the Index’s results relative to the Solactive Index during the Reporting Period, followed at some distance by Israel and France. Conversely, Index constituents in the U.K., Hong Kong and Belgium contributed most positively to the Index’s results relative to the Solactive Index during the Reporting Period.

 

Q   Which individual stock positions detracted the most from the Index’s results during the Reporting Period?

 

A   Relative to the Solactive Index, an underweight position in semiconductor company NVIDIA, an overweight position in health care and retail pharmacy company CVS Health and having no exposure to Danish pharmaceutical company Novo Nordisk detracted most (0.59%, 0.55% and 0.00%1 of Fund net assets as of August 31, 2023, respectively). NVIDIA delivered a triple digit gain within the Index during the Reporting Period. CVS Health posted a double-digit negative return within the Index during the Reporting Period. Novo Nordisk was not held in the Index during the Reporting Period.

 

Q   Which individual stock positions contributed the most to the Index’s relative returns during the Reporting Period?

 

A   Relative to the Solactive Index, having no exposure to electric vehicle maker Tesla and entertainment and media company Walt Disney Company and an overweight position in automotive parts company O’Reilly Automotive contributed most positively (0.00%,1 0.00% and 1.34% of Fund net assets as of August 31, 2023, respectively). Tesla and Walt Disney Company were not held in the Index during the Reporting Period. O’Reilly Automotive generated a robust double-digit gain within the Index 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 as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3    

GS

ActiveBeta®

World Low

Vol Plus
Equity Index

    Solactive GBS
Developed Markets
Large & Mid Cap
Index
 
  Consumer Discretionary     9.85     9.85     11.19
  Consumer Staples     12.30       12.31       7.26  
  Energy     1.03       1.02       4.77  
  Financials     16.88       16.88       14.55  
  Health Care     14.00       14.00       12.87  
  Industrials     13.03       13.03       10.78  
  Information Technology     21.16       21.16       22.11  
  Materials     1.89       1.88       4.02  
  Real Estate     0.93       0.93       2.29  
  Communication Services     7.57       7.57       7.51  
    Utilities     1.36       1.36       2.64  

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector and country classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Solactive Investments. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® World Low Vol Plus Equity Index.

 

36


PORTFOLIO RESULTS

 

Q   What was the Fund’s country positioning relative to the Index and the reference index at the end of the Reporting Period?2

 

     Country Name   Fund3    

GS

ActiveBeta®

World Low

Vol Plus
Equity Index

    Solactive GBS
Developed Markets
Large & Mid Cap
Index
 
  UK     2.62     2.62     3.86
  Hong Kong     0.16       0.16       0.52  
  Belgium     0.21       0.21       0.23  
  Bermuda     0.41       0.41       0.15  
  Italy     0.66       0.65       0.55  
  Isle of Man     0.00       0.00       0.02  
  Faroe Islands     0.00       0.00       0.00  
  Cyprus     0.00       0.00       0.00  
  Austria     0.14       0.14       0.08  
  Jersey     0.00       0.00       0.24  
  Portugal     0.01       0.01       0.05  
  Panama     0.00       0.00       0.03  
  Luxembourg     0.00       0.00       0.11  
  Norway     0.52       0.52       0.22  
  Liberia     0.00       0.00       0.04  
  Poland     0.00       0.00       0.08  
  Guernsey     0.38       0.38       0.02  
  Curacao     0.00       0.00       0.15  
  Singapore     1.05       1.05       0.38  
  Cayman Islands     0.47       0.47       0.20  
  Finland     0.50       0.51       0.31  
  New Zealand     0.22       0.22       0.10  
  Ireland     1.46       1.46       1.85  
  Netherlands     1.34       1.34       1.70  
  Canada     3.92       3.93       3.35  
  Australia     2.31       2.31       2.10  
  Switzerland     2.50       2.49       2.75  
  Spain     0.54       0.54       0.70  
  Denmark     0.02       0.02       0.86  
  Germany     1.90       1.90       2.17  
  Japan     8.58       8.58       6.98  
  Sweden     0.83       0.82       0.87  
  France     2.79       2.79       2.76  
  Israel     0.72       0.72       0.25  
    US     65.76       65.77       66.29  

 

  2    Sector and country classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Solactive Investments. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.0% of the Fund’s net assets as of August 31, 2023. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® World Low Vol Plus Equity Index.

 

37


FUND BASICS

 

ActiveBeta® World Low Vol Plus Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 41.34  
    Net Asset Value (NAV)1   $ 41.30  

 

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 each 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 10 HOLDINGS AS OF 8/31/232     
     Holding   % of Net Assets        Line of Business      Country
  Apple, Inc.     3.3      Information Technology      United States
  Microsoft Corp.     2.5        Information Technology      United States
  O’Reilly Automotive, Inc.     1.3        Consumer Discretionary      United States
  Walmart, Inc.     1.1        Consumer Staples      United States
  AutoZone, Inc.     1.0        Consumer Discretionary      United States
  Amazon.com, Inc.     1.0        Consumer Discretionary      United States
  PepsiCo, Inc.     0.9        Consumer Staples      United States
  Cisco Systems, Inc.     0.9        Information Technology      United States
  Johnson & Johnson     0.9        Health Care      United States
    Meta Platforms, Inc., Class A     0.9        Communication Services      United States

 

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.

 

38


ACTIVEBETA® WORLD LOW VOL PLUS EQUITY ETF

 

Performance Summary

August 31, 2023

 

The following graph shows the value, as of August 31, 2023, of a $10,000 investment made on March 15, 2022 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® World Low Vol Plus Equity Index and the Solactive GBS Developed Markets Large & Mid Cap Index, respectively, are 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.

 

ActiveBeta® World Low Vol Plus Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from March 15, 2022 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      One Year      Since Inception

Shares based on NAV (Commenced March 15, 2022)

     11.15%      3.30%

 

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

     11.22%      3.36%

 

Goldman Sachs ActiveBeta® World Low Vol Plus Equity Index

     10.92%      3.05%

 

Solactive GBS Developed Markets Large & Mid Cap Index

     -2.39%      2.68%

 

 

*   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 calculation assumes all management fees incurred by the Fund. Market Price returns are based upon the last trade as of 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


FUND BASICS

 

Index Definitions and Industry Terms

 

Book Value: The total value of the company’s assets that shareholders would theoretically receive if a company were liquidated.

Free Cash Flow: A measure of financial performance calculated as operating cash flow minus capital expenditures.

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

The Goldman Sachs ActiveBeta® Emerging Markets Equity Index is designed to deliver exposure to equity securities of emerging market issuers. The Index seeks to capture common sources of active equity returns, including value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). The Index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets countries. It is not possible to invest directly in an unmanaged index.

The Goldman Sachs ActiveBeta® Europe Equity Index is designed to deliver exposure to equity securities of developed market issuers in Europe. The Index seeks to capture common sources of active equity returns, including value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). The Index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The MSCI Europe Index captures large and mid-cap representation across 15 Developed Markets countries. It is not possible to invest directly in an unmanaged index.

The Goldman Sachs ActiveBeta® International Equity Index is designed to deliver exposure to equity securities of developed markets issuers outside of the United States. The Index seeks to capture common sources of active equity returns, including value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). The Index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The MSCI World ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries. It is not possible to invest directly in an unmanaged index.

The Goldman Sachs ActiveBeta® Japan Equity Index is designed to deliver exposure to equity securities of Japanese issuers. The Index seeks to capture common sources of active equity returns, including value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). The Index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The MSCI Japan Index is designed to measure the performance of the large and mid cap segments of the Japanese market. It is not possible to invest directly in an unmanaged index.

The Goldman Sachs ActiveBeta® Paris-Aligned U.S. Large Cap Equity Index is designed to deliver exposure to equity securities of large capitalization U.S. issuers. The Index seeks to capture common sources of active equity returns, including value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). The Index aims to meet the minimum requirements to be an “EU Paris-Aligned Benchmark” as defined by the European Commission Delegated Regulation C(2020)4757. An “EU Paris-Aligned Benchmark” is an index whose constituent companies are aligned with the goals of the Paris Climate Agreement, an international treaty that seeks to combat climate change and its effects. The Index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The Solactive US Large Cap Index intends to track the performance of the large cap segment in the United States. Constituents are selected and weighted based on free-float market capitalization. The index is calculated as a total return index in USD and reconstituted semi-annually with quarterly IPO reviews.

The Goldman Sachs ActiveBeta® U.S. Large Cap Equity Index is designed to deliver exposure to equity securities of large capitalization U.S. issuers. The Index seeks to capture common sources of active equity returns, including value (i.e., how attractively a

 

40


FUND BASICS

 

Index Definitions and Industry Terms (continued)

 

stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). The Index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.

The Goldman Sachs ActiveBeta® U.S. Small Cap Equity Index is designed to deliver exposure to equity securities of small capitalization U.S. issuers. The Index seeks to capture common sources of active equity returns, including value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). The Index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.

The Goldman Sachs ActiveBeta® World Low Vol Plus Equity Index is designed to deliver exposure to large and mid-capitalization equity securities of developed market issuers, including the United States. The Index seeks to capture common sources of active equity returns, including low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time), value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), and quality (i.e., profitability). The Index seeks to provide exposure to these factors with an emphasis on the low volatility factor. The index is reconstituted and rebalanced quarterly. It is not possible to invest directly in an unmanaged index.

The Solactive GBS Developed Markets Large & Mid Cap Index is part of the Solactive Global Benchmark Series which includes benchmark indices for developed and emerging market countries. The index intends to track the performance of the large and mid cap segment covering approximately the largest 85% of the free-float market capitalization in the developed European market. It is calculated as a total return index in EUR and weighted by free-float market capitalization

 

41


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments

August 31, 2023

 

Shares     Description       
Value
 
Common Stocks – 97.4%  
Australia – 0.1%  
  28,700     AngloGold Ashanti Ltd. (Materials)   $ 489,196  

 

 

 
Brazil – 3.9%  
  724,808     Ambev SA (Consumer Staples)     2,026,145  
  656,909     B3 SA – Brasil Bolsa Balcao (Financials)     1,715,597  
  437,338     Banco Bradesco SA (Financials)     1,169,544  
  99,860     Banco do Brasil SA (Financials)     950,001  
  70,430     Banco Santander Brasil SA (Financials)     385,655  
  594,717     BB Seguridade Participacoes SA (Financials)     3,649,300  
  206,138     CCR SA (Industrials)     518,785  
  131,782     Centrais Eletricas Brasileiras SA (Utilities)     938,534  
  102,109     CPFL Energia SA (Utilities)     704,314  
  52,148     Energisa SA (Utilities)     485,568  
  83,326     Engie Brasil Energia SA (Utilities)     708,892  
  303,101     Equatorial Energia SA (Utilities)     1,938,250  
  52,209     Hypera SA (Health Care)     411,159  
  91,954     Klabin SA (Materials)     422,722  
  144,994     Lojas Renner SA (Consumer Discretionary)     469,456  
  186,007     Natura & Co. Holding SA (Consumer Staples)*     570,312  
  535,525     Petroleo Brasileiro SA (Energy)     3,736,057  
  82,517     PRIO SA (Energy)*     773,678  
  604,332     Raia Drogasil SA (Consumer Staples)     3,354,315  
  147,217     Suzano SA (Materials)     1,491,215  
  218,870     Telefonica Brasil SA (Communication Services)     1,827,987  
  296,944     TIM SA (Communication Services)     864,271  
  499,962     Vale SA (Materials)     6,571,976  
  145,231     Vibra Energia SA (Consumer Discretionary)     541,505  
  256,975     WEG SA (Industrials)     1,862,322  
   

 

 

 
      38,087,560  

 

 

 
Chile – 0.6%  
  996,909     Cencosud SA (Consumer Staples)     2,123,807  
  200,892     Cia Cervecerias Unidas SA (Consumer Staples)     1,477,640  
  251,234     Empresas CMPC SA (Materials)     453,990  
  89,026     Empresas Copec SA (Energy)     639,960  
  6,557,016     Enel Americas SA (Utilities)*     775,529  
   

 

 

 
      5,470,926  

 

 

 
China – 31.6%  
  210,500     360 Security Technology, Inc., Class A (Information Technology)*     323,334  
  389,045     37 Interactive Entertainment Network Technology Group Co. Ltd., Class A (Communication Services)     1,319,177  
  1,240,869     3SBio, Inc. (Health Care)*(a)     1,038,046  
  2,948,146     Agricultural Bank of China Ltd., Class A (Financials)     1,401,468  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  4,625,520     Agricultural Bank of China Ltd., Class H (Financials)   1,586,718  
  136,315     Aier Eye Hospital Group Co. Ltd., Class A (Health Care)     337,487  
  21,568     Airtac International Group (Industrials)     623,069  
  89,422     Akeso, Inc. (Health Care)*(a)     392,844  
  1,850,974     Alibaba Group Holding Ltd. (Consumer Discretionary)*     21,290,892  
  666,738     Alibaba Health Information Technology Ltd. (Consumer Staples)*     393,662  
  487,500     Aluminum Corp. of China Ltd., Class A (Materials)     396,510  
  1,361,576     Aluminum Corp. of China Ltd., Class H (Materials)     658,064  
  68,579     Anhui Conch Cement Co. Ltd., Class A (Materials)     241,960  
  185,191     ANTA Sports Products Ltd. (Consumer Discretionary)     2,086,476  
  17,387     Autohome, Inc. ADR (Communication Services)     502,484  
  614,111     AVIC Industry-Finance Holdings Co. Ltd., Class A (Financials)     310,494  
  176,234     Baidu, Inc., Class A (Communication Services)*     3,132,849  
  1,977,428     Bank of Beijing Co. Ltd., Class A (Financials)     1,214,413  
  403,932     Bank of Changsha Co. Ltd., Class A (Financials)     451,187  
  3,171,742     Bank of China Ltd., Class A (Financials)     1,634,132  
  9,805,493     Bank of China Ltd., Class H (Financials)     3,326,121  
  2,097,834     Bank of Communications Co. Ltd., Class A (Financials)     1,599,640  
  2,587,460     Bank of Communications Co. Ltd., Class H (Financials)     1,481,518  
  210,104     Bank of Hangzhou Co. Ltd., Class A (Financials)     323,304  
  1,430,102     Bank of Jiangsu Co. Ltd., Class A (Financials)     1,400,924  
  660,264     Bank of Nanjing Co. Ltd., Class A (Financials)     718,457  
  1,082,468     Bank of Shanghai Co. Ltd., Class A (Financials)     884,892  
  372,420     Bank of Suzhou Co. Ltd., Class A (Financials)     344,866  
  495,006     Baoshan Iron & Steel Co. Ltd., Class A (Materials)     412,137  
  40,692     BeiGene Ltd. (Health Care)*     660,060  
  330,313     Beijing Enterprises Holdings Ltd. (Utilities)     1,238,397  
  6,982     Beijing Kingsoft Office Software, Inc., Class A (Information Technology)     378,525  
  70,268     Beijing Wantai Biological Pharmacy Enterprise Co. Ltd., Class A (Health Care)     481,647  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description  
Value
 
Common Stocks – (continued)  
China – (continued)  
  203,058     Beijing Yanjing Brewery Co. Ltd., Class A (Consumer Staples)   $ 289,585  
  511,300     Beijing-Shanghai High Speed Railway Co. Ltd., Class A (Industrials)     358,265  
  67,585     Bloomage Biotechnology Corp. Ltd., Class A (Health Care)     859,472  
  47,940     BOC Aviation Ltd. (Industrials)(a)     359,775  
  1,131,218     BOE Technology Group Co. Ltd., Class A (Information Technology)     623,231  
  2,204,777     Bosideng International Holdings Ltd. (Consumer Discretionary)     865,969  
  13,523     BYD Co. Ltd., Class A (Consumer Discretionary)     463,370  
  61,251     BYD Co. Ltd., Class H (Consumer Discretionary)     1,919,915  
  124,516     BYD Electronic International Co. Ltd. (Information Technology)     577,187  
  181,093     By-health Co. Ltd., Class A (Consumer Staples)     480,941  
  147,662     C&D International Investment Group Ltd. (Real Estate)     375,852  
  394,044     Caitong Securities Co. Ltd., Class A (Financials)     433,646  
  102,526     Canmax Technologies Co. Ltd., Class A (Materials)     380,326  
  478,500     CECEP Solar Energy Co. Ltd., Class A (Utilities)     396,422  
  867,660     CECEP Wind-Power Corp., Class A (Utilities)     400,541  
  3,899,375     CGN Power Co. Ltd., Class H (Utilities)(a)     974,626  
  13,399     Changchun High & New Technology Industry Group, Inc., Class A (Health Care)     253,124  
  436,616     Changjiang Securities Co. Ltd., Class A (Financials)     358,723  
  4,083,915     China Cinda Asset Management Co. Ltd., Class H (Financials)     401,009  
  2,928,958     China CITIC Bank Corp. Ltd., Class H (Financials)     1,303,544  
  1,255,851     China Communications Services Corp. Ltd., Class H (Industrials)     565,327  
  1,263,813     China Construction Bank Corp., Class A (Financials)     1,041,819  
  12,130,170     China Construction Bank Corp., Class H (Financials)     6,496,855  
  1,363,524     China Everbright Bank Co. Ltd., Class A (Financials)     563,881  
  2,686,594     China Everbright Bank Co. Ltd., Class H (Financials)     774,279  
  1,671,434     China Feihe Ltd. (Consumer Staples)(a)     1,006,047  
  316,718     China Galaxy Securities Co. Ltd., Class A (Financials)     501,719  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  1,147,321     China Galaxy Securities Co. Ltd., Class H (Financials)   617,425  
  327,700     China Great Wall Securities Co. Ltd., Class A (Financials)     395,302  
  73,800     China Life Insurance Co. Ltd., Class A (Financials)     361,269  
  636,029     China Life Insurance Co. Ltd., Class H (Financials)     965,186  
  1,275,665     China Medical System Holdings Ltd. (Health Care)     1,841,493  
  581,120     China Mengniu Dairy Co. Ltd. (Consumer Staples)*     1,956,396  
  217,230     China Merchants Bank Co. Ltd., Class A (Financials)     941,623  
  420,866     China Merchants Bank Co. Ltd., Class H (Financials)     1,663,767  
  318,130     China Merchants Port Holdings Co. Ltd. (Industrials)     380,535  
  188,296     China Merchants Securities Co. Ltd., Class A (Financials)     367,615  
  293,995     China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A (Real Estate)     551,758  
  1,864,957     China Minsheng Banking Corp. Ltd., Class A (Financials)     968,543  
  3,164,903     China Minsheng Banking Corp. Ltd., Class H (Financials)     1,017,063  
  72,200     China National Medicines Corp. Ltd., Class A (Health Care)     322,884  
  422,045     China National Nuclear Power Co. Ltd., Class A (Utilities)     417,493  
  45,396     China National Software & Service Co. Ltd., Class A (Information Technology)     269,438  
  310,169     China Oilfield Services Ltd., Class H (Energy)     351,631  
  133,800     China Pacific Insurance Group Co. Ltd., Class A (Financials)     509,207  
  184,990     China Pacific Insurance Group Co. Ltd., Class H (Financials)     423,684  
  1,889,414     China Petroleum & Chemical Corp., Class A (Energy)     1,575,701  
  3,807,864     China Petroleum & Chemical Corp., Class H (Energy)     2,228,851  
  624,604     China Railway Group Ltd., Class A (Industrials)     574,960  
  987,655     China Railway Group Ltd., Class H (Industrials)     522,685  
  626,251     China Railway Signal & Communication Corp. Ltd., Class A (Information Technology)     482,691  
  92,356     China Resources Beer Holdings Co. Ltd. (Consumer Staples)     542,942  
  81,666     China Resources Land Ltd. (Real Estate)     345,233  
  806,656     China Resources Pharmaceutical Group Ltd. (Health Care)(a)     539,022  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   43


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2023

 

Shares     Description  
Value
 
Common Stocks – (continued)  
China – (continued)  
  109,048     China Resources Sanjiu Medical & Pharmaceutical Co. Ltd., Class A (Health Care)   $ 712,853  
  171,599     China Shenhua Energy Co. Ltd., Class A (Energy)     664,140  
  592,894     China Shenhua Energy Co. Ltd., Class H (Energy)     1,727,628  
  1,028,537     China State Construction Engineering Corp. Ltd., Class A (Industrials)     795,585  
  319,414     China Taiping Insurance Holdings Co. Ltd. (Financials)     336,450  
  616,600     China Three Gorges Renewables Group Co. Ltd., Class A (Utilities)     416,799  
  12,327,016     China Tower Corp. Ltd., Class H (Communication Services)(a)     1,194,699  
  1,629,881     China Traditional Chinese Medicine Holdings Co. Ltd. (Health Care)     636,011  
  1,879,779     China United Network Communications Ltd., Class A (Communication Services)     1,345,559  
  262,727     China Yangtze Power Co. Ltd., Class A (Utilities)     796,285  
  2,783,727     China Zheshang Bank Co. Ltd., Class A (Financials)     982,919  
  66,708     Chongqing Brewery Co. Ltd., Class A (Consumer Staples)     837,505  
  798,239     Chongqing Rural Commercial Bank Co. Ltd., Class A (Financials)     412,362  
  75,968     Chongqing Zhifei Biological Products Co. Ltd., Class A (Health Care)     461,329  
  238,694     Chow Tai Fook Jewellery Group Ltd. (Consumer Discretionary)     362,223  
  1,471,308     CITIC Ltd. (Industrials)     1,461,598  
  150,982     CITIC Securities Co. Ltd., Class A (Financials)     460,507  
  103,336     CITIC Securities Co. Ltd., Class H (Financials)     201,882  
  1,182,300     COSCO SHIPPING Development Co. Ltd., Class A (Industrials)     386,601  
  281,098     COSCO SHIPPING Holdings Co. Ltd., Class A (Industrials)     378,479  
  518,595     COSCO SHIPPING Holdings Co. Ltd., Class H (Industrials)     532,367  
  776,785     CRRC Corp. Ltd., Class A (Industrials)     633,936  
  2,154,876     CRRC Corp. Ltd., Class H (Industrials)     1,060,710  
  2,361,298     CSPC Pharmaceutical Group Ltd. (Health Care)     1,776,601  
  1,382,466     Dali Foods Group Co. Ltd. (Consumer Staples)(a)     661,108  
  443,290     Daqin Railway Co. Ltd., Class A (Industrials)     434,246  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  32,062     Daqo New Energy Corp. ADR (Information Technology)*   1,185,332  
  99,858     DaShenLin Pharmaceutical Group Co. Ltd., Class A (Consumer Staples)     364,804  
  469,331     DHC Software Co. Ltd., Class A (Information Technology)     433,318  
  112,996     Dong-E-E-Jiao Co. Ltd., Class A (Health Care)     804,641  
  924,049     Dongfeng Motor Group Co. Ltd., Class H (Consumer Discretionary)     339,371  
  347,546     Dongxing Securities Co. Ltd., Class A (Financials)     395,845  
  308,457     Dongyue Group Ltd. (Materials)     265,119  
  147,074     East Buy Holding Ltd. (Consumer Discretionary)*(a)(b)     745,521  
  86,017     Ecovacs Robotics Co. Ltd., Class A (Consumer Discretionary)     626,706  
  36,906     ENN Energy Holdings Ltd. (Utilities)     289,440  
  190,058     ENN Natural Gas Co. Ltd., Class A (Utilities)     455,920  
  441,919     Fangda Carbon New Material Co. Ltd., Class A (Industrials)*     353,972  
  487,349     Far East Horizon Ltd. (Financials)     333,113  
  464,400     First Capital Securities Co. Ltd., Class A (Financials)     384,102  
  414,100     Founder Securities Co. Ltd., Class A (Financials)     410,772  
  273,034     Foxconn Industrial Internet Co. Ltd., Class A (Information Technology)     821,897  
  67,297     Fuyao Glass Industry Group Co. Ltd., Class A (Consumer Discretionary)     351,348  
  12,057     G-bits Network Technology Xiamen Co. Ltd., Class A (Communication Services)     691,929  
  369,634     Geely Automobile Holdings Ltd. (Consumer Discretionary)     459,111  
  459,095     GEM Co. Ltd., Class A (Materials)     394,853  
  129,578     GF Securities Co. Ltd., Class A (Financials)     268,111  
  164,700     Giant Network Group Co. Ltd., Class A (Communication Services)     330,373  
  305,800     Goldwind Science & Technology Co. Ltd., Class A (Industrials)     399,134  
  81,247     Gree Electric Appliances Inc of Zhuhai, Class A (Consumer Discretionary)     399,510  
  56,000     Guangdong Haid Group Co. Ltd., Class A (Consumer Staples)     371,153  
  281,500     Guangzhou Automobile Group Co. Ltd., Class A (Consumer Discretionary)     389,850  
  172,204     Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class A (Health Care)     731,545  
  298,431     Guangzhou Haige Communications Group, Inc. Co., Class A (Information Technology)     434,208  
  82,014     Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A (Health Care)     672,248  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description  
Value
 
Common Stocks – (continued)  
China – (continued)  
  66,586     Guangzhou Tinci Materials Technology Co. Ltd., Class A (Materials)   $ 300,339  
  271,067     Guosen Securities Co. Ltd., Class A (Financials)     345,607  
  195,437     Guotai Junan Securities Co. Ltd., Class A (Financials)     390,955  
  414,097     Guoyuan Securities Co. Ltd., Class A (Financials)     395,408  
  13,026     H World Group Ltd. ADR (Consumer Discretionary)*     524,687  
  692,129     Haidilao International Holding Ltd. (Consumer Discretionary)(a)     1,884,395  
  234,901     Haier Smart Home Co. Ltd., Class A (Consumer Discretionary)     758,745  
  466,854     Haier Smart Home Co. Ltd., Class H (Consumer Discretionary)     1,443,710  
  295,330     Haitong Securities Co. Ltd., Class A (Financials)     398,859  
  558,493     Haitong Securities Co. Ltd., Class H (Financials)     346,844  
  238,400     Hangzhou Binjiang Real Estate Group Co. Ltd., Class A (Real Estate)     343,589  
  79,940     Hangzhou Robam Appliances Co. Ltd., Class A (Consumer Discretionary)     301,924  
  223,742     Heilongjiang Agriculture Co. Ltd., Class A (Consumer Staples)     412,532  
  110,523     Henan Shuanghui Investment & Development Co. Ltd., Class A (Consumer Staples)     407,865  
  81,210     Hengan International Group Co. Ltd. (Consumer Staples)     301,363  
  458,800     Hengyi Petrochemical Co. Ltd., Class A (Materials)*     483,478  
  1,322,980     Hesteel Co. Ltd., Class A (Materials)     410,790  
  53,157     Hithink RoyalFlush Information Network Co. Ltd., Class A (Financials)     1,222,206  
  122,584     Huadong Medicine Co. Ltd., Class A (Health Care)     639,825  
  408,900     Huafon Chemical Co. Ltd., Class A (Materials)     393,254  
  283,600     Huaibei Mining Holdings Co. Ltd., Class A (Materials)     457,049  
  205,825     Huatai Securities Co. Ltd., Class A (Financials)     449,062  
  358,529     Huatai Securities Co. Ltd., Class H (Financials)(a)     471,836  
  333,456     Huaxi Securities Co. Ltd., Class A (Financials)     390,334  
  1,442,777     Huaxia Bank Co. Ltd., Class A (Financials)     1,098,164  
  186,426     Huayu Automotive Systems Co. Ltd., Class A (Consumer Discretionary)     481,273  
  157,100     Hubei Jumpcan Pharmaceutical Co. Ltd., Class A (Health Care)     565,072  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  99,242     Hubei Xingfa Chemicals Group Co. Ltd., Class A (Materials)   276,790  
  70,716     Hygeia Healthcare Holdings Co. Ltd. (Health Care)(a)(b)     357,559  
  1,982,248     Industrial & Commercial Bank of China Ltd., Class A (Financials)     1,258,224  
  6,741,668     Industrial & Commercial Bank of China Ltd., Class H (Financials)     3,094,973  
  451,024     Industrial Bank Co. Ltd., Class A (Financials)     979,692  
  1,603,100     Inner Mongolia BaoTou Steel Union Co. Ltd., Class A (Materials)*     394,250  
  109,554     Inner Mongolia Yili Industrial Group Co. Ltd., Class A (Consumer Staples)     391,345  
  138,304     iQIYI, Inc. ADR (Communication Services)*     697,052  
  162,300     JA Solar Technology Co. Ltd., Class A (Information Technology)     620,569  
  57,496     JD Health International, Inc. (Consumer Staples)*(a)     310,145  
  223,488     JD.com, Inc., Class A (Consumer Discretionary)     3,670,769  
  445,504     Jiangsu Expressway Co. Ltd., Class H (Industrials)     402,228  
  269,676     Jiangsu Hengrui Pharmaceuticals Co. Ltd., Class A (Health Care)     1,547,992  
  40,332     Jiangsu Pacific Quartz Co. Ltd., Class A (Information Technology)     530,076  
  199,775     Jiangxi Copper Co. Ltd., Class A (Materials)     518,754  
  344,897     Jiangxi Copper Co. Ltd., Class H (Materials)     538,341  
  26,835     JiuGui Liquor Co. Ltd., Class A (Consumer Staples)     330,345  
  463,378     Jiumaojiu International Holdings Ltd. (Consumer Discretionary)(a)     743,367  
  236,032     Joincare Pharmaceutical Group Industry Co. Ltd., Class A (Health Care)     369,687  
  489,776     Jointown Pharmaceutical Group Co. Ltd., Class A (Health Care)     695,114  
  16,860     JOYY, Inc. ADR (Communication Services)     578,635  
  319,131     Kingboard Holdings Ltd. (Information Technology)     724,396  
  105,500     Kingsoft Corp. Ltd. (Communication Services)     421,099  
  225,193     Kuaishou Technology (Communication Services)*(a)     1,843,643  
  66,000     Kunlun Tech Co. Ltd., Class A (Communication Services)*     328,073  
  10,353     Kweichow Moutai Co. Ltd., Class A (Consumer Staples)     2,627,188  
  2,392,771     Lenovo Group Ltd. (Information Technology)     2,706,523  
  279,113     Li Ning Co. Ltd. (Consumer Discretionary)     1,318,728  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   45


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2023

 

Shares     Description  
Value
 
Common Stocks – (continued)  
China – (continued)  
  1,630,067     Liaoning Port Co. Ltd., Class A (Industrials)   $ 353,851  
  163,436     Longfor Group Holdings Ltd. (Real Estate)(a)     344,306  
  196,800     LONGi Green Energy Technology Co. Ltd., Class A (Information Technology)     717,873  
  16,705     Luzhou Laojiao Co. Ltd., Class A (Consumer Staples)     533,155  
  468,989     Meituan, Class B (Consumer Discretionary)*(a)     7,685,158  
  1,182,296     Metallurgical Corp. of China Ltd., Class A (Industrials)     591,270  
  24,518     MINISO Group Holding Ltd. ADR (Consumer Discretionary)*     635,016  
  45,430     Muyuan Foods Co. Ltd., Class A (Consumer Staples)     253,287  
  214,876     NetEase, Inc. (Communication Services)     4,488,372  
  81,441     New China Life Insurance Co. Ltd., Class A (Financials)     453,165  
  177,184     New China Life Insurance Co. Ltd., Class H (Financials)     443,765  
  240,500     New Hope Liuhe Co. Ltd., Class A (Consumer Staples)*     385,606  
  274,714     New Oriental Education & Technology Group, Inc. (Consumer Discretionary)*     1,483,615  
  341,824     Nongfu Spring Co. Ltd., Class H (Consumer Staples)(a)     1,920,151  
  760,292     Offshore Oil Engineering Co. Ltd., Class A (Energy)     607,941  
  367,100     Oriental Pearl Group Co. Ltd., Class A (Communication Services)     401,977  
  57,148     PDD Holdings, Inc. ADR (Consumer Discretionary)*     5,655,938  
  548,723     People’s Insurance Co. Group of China Ltd. (The), Class A (Financials)     440,275  
  2,482,376     People’s Insurance Co. Group of China Ltd. (The), Class H (Financials)     845,212  
  2,822,830     PetroChina Co. Ltd., Class A (Energy)     3,005,692  
  4,758,089     PetroChina Co. Ltd., Class H (Energy)     3,434,282  
  1,665,960     PICC Property & Casualty Co. Ltd., Class H (Financials)     1,916,276  
  214,907     Ping An Bank Co. Ltd., Class A (Financials)     328,627  
  128,232     Ping An Insurance Group Co. of China Ltd., Class A (Financials)     859,578  
  632,977     Ping An Insurance Group Co. of China Ltd., Class H (Financials)     3,789,750  
  1,451,284     Postal Savings Bank of China Co. Ltd., Class A (Financials)     969,051  
  1,398,905     Postal Savings Bank of China Co. Ltd., Class H (Financials)(a)     690,377  
  61,914     Qifu Technology, Inc. ADR (Financials)     1,052,538  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  281,496     Qinghai Salt Lake Industry Co. Ltd., Class A (Materials)*   692,283  
  211,167     SAIC Motor Corp. Ltd., Class A (Consumer Discretionary)     416,619  
  34,724     Sangfor Technologies, Inc., Class A (Information Technology)*     520,395  
  485,700     SDIC Capital Co. Ltd., Class A (Financials)     489,137  
  220,600     SDIC Power Holdings Co. Ltd., Class A (Utilities)     385,220  
  184,329     Seazen Holdings Co. Ltd., Class A (Real Estate)*     367,214  
  29,364     SG Micro Corp., Class A (Information Technology)     312,380  
  136,379     Shaanxi Coal Industry Co. Ltd., Class A (Energy)     311,788  
  193,997     Shandong Buchang Pharmaceuticals Co. Ltd., Class A (Health Care)     466,169  
  184,678     Shandong Gold Mining Co. Ltd., Class A (Materials)     665,536  
  229,792     Shandong Weigao Group Medical Polymer Co. Ltd., Class H (Health Care)     228,569  
  1,072,200     Shanghai Construction Group Co. Ltd., Class A (Industrials)     412,470  
  650,866     Shanghai Electric Group Co. Ltd., Class A (Industrials)*     399,721  
  704,498     Shanghai International Port Group Co. Ltd., Class A (Industrials)     493,637  
  189,383     Shanghai Lingang Holdings Corp. Ltd., Class A (Real Estate)     309,112  
  211,108     Shanghai Pharmaceuticals Holding Co. Ltd., Class A (Health Care)     518,597  
  1,052,592     Shanghai Pudong Development Bank Co. Ltd., Class A (Financials)     1,009,424  
  456,423     Shanghai RAAS Blood Products Co. Ltd., Class A (Health Care)     445,857  
  503,008     Shanghai Rural Commercial Bank Co. Ltd., Class A (Financials)     402,213  
  336,110     Shanghai Yuyuan Tourist Mart Group Co. Ltd., Class A (Consumer Discretionary)     339,874  
  489,739     Shanxi Securities Co. Ltd., Class A (Financials)     407,751  
  848,376     Shanxi Taigang Stainless Steel Co. Ltd., Class A (Materials)     459,243  
  28,941     Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A (Consumer Staples)     962,447  
  718,069     Shenwan Hongyuan Group Co. Ltd., Class A (Financials)     430,141  
  417,900     Shenzhen Energy Group Co. Ltd., Class A (Utilities)     372,054  
  331,876     Shenzhen International Holdings Ltd. (Industrials)     236,155  
  54,704     Shenzhen Kstar Science And Technology Co. Ltd., Class A (Industrials)     227,579  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description  
Value
 
Common Stocks – (continued)  
China – (continued)  
  15,745     Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A (Health Care)   $ 584,070  
  720,193     Shenzhen Overseas Chinese Town Co. Ltd., Class A (Real Estate)*     430,424  
  75,218     Shenzhen Salubris Pharmaceuticals Co. Ltd., Class A (Health Care)     285,743  
  92,500     Shenzhen SED Industry Co. Ltd., Class A (Information Technology)     348,980  
  218,373     Shijiazhuang Yiling Pharmaceutical Co. Ltd., Class A (Health Care)     698,158  
  179,766     Sichuan Chuantou Energy Co. Ltd., Class A (Utilities)     369,485  
  212,731     Sichuan Kelun Pharmaceutical Co. Ltd., Class A (Health Care)     792,060  
  356,057     Sichuan Road and Bridge Group Co. Ltd., Class A (Industrials)     435,868  
  80,014     Sichuan Swellfun Co. Ltd., Class A (Consumer Staples)     727,310  
  65,469     Silergy Corp. (Information Technology)     590,005  
  227,100     Sinoma International Engineering Co., Class A (Industrials)     366,617  
  883,800     Sinopec Shanghai Petrochemical Co. Ltd., Class A (Materials)*     367,921  
  257,798     Sinopharm Group Co. Ltd., Class H (Health Care)     747,908  
  386,330     SooChow Securities Co. Ltd., Class A (Financials)     434,711  
  633,927     Southwest Securities Co. Ltd., Class A (Financials)     367,544  
  36,647     Sunny Optical Technology Group Co. Ltd. (Information Technology)     299,560  
  109,919     TAL Education Group ADR (Consumer Discretionary)*     774,929  
  318,223     Tangshan Jidong Cement Co. Ltd., Class A (Materials)     331,405  
  694,085     TCL Technology Group Corp., Class A (Information Technology)*     390,980  
  770,543     Tencent Holdings Ltd. (Communication Services)     31,935,024  
  139,443     Tencent Music Entertainment Group ADR (Communication Services)*     951,001  
  278,426     Tianma Microelectronics Co. Ltd., Class A (Information Technology)*     328,978  
  86,800     Tianqi Lithium Corp., Class A (Materials)     686,553  
  1,143,483     Tingyi Cayman Islands Holding Corp. (Consumer Staples)     1,679,845  
  234,227     Tongwei Co. Ltd., Class A (Information Technology)     1,032,356  
  2,081,775     Topsports International Holdings Ltd. (Consumer Discretionary)(a)     1,693,719  
  19,500     Trip.com Group Ltd. (Consumer Discretionary)*     769,382  
  1,359,640     Uni-President China Holdings Ltd. (Consumer Staples)     1,005,632  

 

 

 
Common Stocks – (continued)  
China – (continued)  
  188,339     Vipshop Holdings Ltd. ADR (Consumer Discretionary)*   2,973,873  
  30,600     Wanhua Chemical Group Co. Ltd., Class A (Materials)     394,140  
  1,850,241     Want Want China Holdings Ltd. (Consumer Staples)     1,224,567  
  396,042     Western Securities Co. Ltd., Class A (Financials)     367,285  
  1,844,200     Wintime Energy Group Co. Ltd., Class A (Utilities)*     369,930  
  911,065     Wuchan Zhongda Group Co. Ltd., Class A (Consumer Discretionary)     582,050  
  29,389     Wuliangye Yibin Co. Ltd., Class A (Consumer Staples)     629,531  
  529,717     XCMG Construction Machinery Co. Ltd., Class A (Industrials)     440,309  
  418,487     Xiamen C & D, Inc., Class A (Industrials)     624,410  
  368,994     Xiaomi Corp., Class B (Information Technology)*(a)     581,601  
  284,735     Yadea Group Holdings Ltd. (Consumer Discretionary)(a)     547,557  
  382,575     Yankuang Energy Group Co. Ltd., Class H (Energy)     601,055  
  229,056     Yihai International Holding Ltd. (Consumer Staples)*     429,384  
  81,500     Yihai Kerry Arawana Holdings Co. Ltd., Class A (Consumer Staples)     399,298  
  70,563     YongXing Special Materials Technology Co. Ltd., Class A (Materials)     483,282  
  460,136     Youngor Group Co. Ltd., Class A (Real Estate)     439,369  
  140,188     YTO Express Group Co. Ltd., Class A (Industrials)     290,834  
  724,354     Yuexiu Property Co. Ltd. (Real Estate)     897,851  
  63,053     Yum China Holdings, Inc. (Consumer Discretionary)     3,385,316  
  50,930     Yunnan Baiyao Group Co. Ltd., Class A (Health Care)     382,404  
  63,946     Yunnan Botanee Bio-Technology Group Co. Ltd., Class A (Consumer Staples)     894,286  
  172,869     Yunnan Yuntianhua Co. Ltd., Class A (Materials)     409,461  
  147,100     Zangge Mining Co. Ltd., Class A (Materials)     454,123  
  9,097     Zhangzhou Pientzehuang Pharmaceutical Co. Ltd., Class A (Health Care)     345,382  
  347,000     Zhaojin Mining Industry Co. Ltd., Class H (Materials)     490,294  
  681,300     Zhefu Holding Group Co. Ltd., Class A (Industrials)     369,738  
  352,400     Zhejiang China Commodities City Group Co. Ltd., Class A (Real Estate)     397,984  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2023

 

Shares     Description  
Value
 
Common Stocks – (continued)  
China – (continued)  
  621,241     Zhejiang Expressway Co. Ltd., Class H (Industrials)(b)   $ 464,242  
  298,100     Zhejiang Longsheng Group Co. Ltd., Class A (Materials)     377,617  
  68,836     Zhejiang Supor Co. Ltd., Class A (Consumer Discretionary)     450,269  
  279,281     Zhejiang Weixing New Building Materials Co. Ltd., Class A (Industrials)     775,471  
  270,500     Zheshang Securities Co. Ltd., Class A (Financials)     382,792  
  39,400     Zhongji Innolight Co. Ltd., Class A, 02/28/23 (Information Technology)     620,461  
  332,800     Zhongjin Gold Corp. Ltd., Class A (Materials)     508,448  
  162,762     Zhongsheng Group Holdings Ltd. (Consumer Discretionary)     496,064  
  371,064     Zhongtai Securities Co. Ltd., Class A (Financials)     372,670  
  464,400     Zibo Qixiang Tengda Chemical Co. Ltd., Class A (Materials)     391,121  
  425,540     Zijin Mining Group Co. Ltd., Class H (Materials)     669,642  
  470,937     Zoomlion Heavy Industry Science and Technology Co. Ltd., Class A (Industrials)     417,978  
  138,700     ZTE Corp., Class H, 02/28/23 (Information Technology)     446,606  
  14,100     ZTO Express Cayman, Inc. ADR (Industrials)     354,474  
   

 

 

 
      306,540,977  

 

 

 
Czech Republic – 0.2%  
  14,671     CEZ AS (Utilities)     624,334  
  20,366     Komercni banka AS (Financials)     636,948  
  165,312     Moneta Money Bank AS (Financials)(a)     616,397  
   

 

 

 
      1,877,679  

 

 

 
Egypt – 0.5%  
  1,476,533     Commercial International Bank Egypt SAE (Financials)     2,723,701  
  2,754,243     Eastern Co. SAE (Consumer Staples)     1,809,422  
   

 

 

 
      4,533,123  

 

 

 
Greece – 0.8%  
  613,933     Eurobank Ergasias Services and Holdings SA (Financials)*     1,068,131  
  188,456     Hellenic Telecommunications Organization SA (Communication Services)     2,822,663  
  20,290     JUMBO SA (Consumer Discretionary)     628,060  
  15,332     Motor Oil Hellas Corinth Refineries SA (Energy)     391,054  
  26,298     Mytilineos SA (Industrials)     1,068,633  
  82,200     National Bank of Greece SA (Financials)*     559,740  

 

 

 
Common Stocks – (continued)  
Greece – (continued)  
  93,934     OPAP SA (Consumer Discretionary)   1,588,401  
   

 

 

 
      8,126,682  

 

 

 
Hong Kong – 0.2%  
  52,357     Orient Overseas International Ltd. (Industrials)     702,389  
  2,540,206     Sino Biopharmaceutical Ltd. (Health Care)     965,322  
   

 

 

 
      1,667,711  

 

 

 
Hungary – 0.2%  
  139,096     MOL Hungarian Oil & Gas PLC (Energy)     1,052,790  
  17,260     OTP Bank Nyrt (Financials)     704,962  
  16,810     Richter Gedeon Nyrt (Health Care)     421,795  
   

 

 

 
      2,179,547  

 

 

 
India – 14.2%  
  8,300     ABB India Ltd. (Industrials)     439,286  
  228,797     Adani Power Ltd. (Utilities)*     887,979  
  7,000     Apollo Hospitals Enterprise Ltd. (Health Care)     407,057  
  55,803     Asian Paints Ltd. (Materials)     2,194,811  
  171,656     Aurobindo Pharma Ltd. (Health Care)     1,720,992  
  21,903     Avenue Supermarts Ltd. (Consumer Staples)*(a)     984,317  
  173,503     Axis Bank Ltd. (Financials)     2,040,256  
  13,630     Bajaj Finance Ltd. (Financials)     1,179,322  
  21,225     Bajaj Finserv Ltd. (Financials)     381,729  
  340,494     Bank of Baroda (Financials)     769,735  
  69,934     Berger Paints India Ltd. (Materials)     607,040  
  319,800     Bharat Electronics Ltd. (Industrials)     514,546  
  128,626     Bharat Petroleum Corp. Ltd. (Energy)     529,117  
  172,865     Bharti Airtel Ltd. (Communication Services)     1,788,239  
  52,929     Britannia Industries Ltd. (Consumer Staples)     2,856,435  
  159,292     CG Power & Industrial Solutions Ltd. (Industrials)     826,128  
  40,214     Cholamandalam Investment and Finance Co. Ltd. (Financials)     544,946  
  177,881     Cipla Ltd. (Health Care)     2,702,178  
  207,790     Coal India Ltd. (Energy)     577,416  
  103,464     Colgate-Palmolive India Ltd. (Consumer Staples)     2,427,121  
  208,472     Dabur India Ltd. (Consumer Staples)     1,392,814  
  23,198     Divi’s Laboratories Ltd. (Health Care)     1,006,562  
  33,199     Dr. Reddy’s Laboratories Ltd. (Health Care)     2,248,864  
  12,573     Eicher Motors Ltd. (Consumer Discretionary)     506,740  
  393,420     GAIL India Ltd. (Utilities)     546,507  
  46,272     Grasim Industries Ltd. (Materials)     1,001,022  
  90,913     Havells India Ltd. (Industrials)     1,520,465  
  292,895     HCL Technologies Ltd. (Information Technology)     4,147,028  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description  
Value
 
Common Stocks – (continued)  
India – (continued)  
  176,500     HDFC Bank Ltd. (Financials)   $ 3,350,326  
  109,776     HDFC Life Insurance Co. Ltd. (Financials)(a)     854,950  
  217,913     Hindalco Industries Ltd. (Materials)     1,210,434  
  13,500     Hindustan Aeronautics Ltd. (Industrials)     636,024  
  89,335     Hindustan Unilever Ltd. (Consumer Staples)     2,703,210  
  452,387     ICICI Bank Ltd. (Financials)     5,239,107  
  47,039     ICICI Lombard General Insurance Co. Ltd. (Financials)(a)     746,442  
  154,034     Indian Hotels Co. Ltd. (Consumer Discretionary)     783,136  
  939,427     Indian Oil Corp. Ltd. (Energy)     1,011,073  
  449,099     Infosys Ltd. (Information Technology)     7,787,032  
  483,176     ITC Ltd. (Consumer Staples)     2,566,277  
  156,847     Jindal Steel & Power Ltd. (Materials)     1,296,855  
  283,238     Jio Financial Services Ltd. (Financials)*     798,877  
  103,916     JSW Steel Ltd. (Materials)     978,642  
  171,929     Jubilant Foodworks Ltd. (Consumer Discretionary)     1,063,416  
  25,454     Kotak Mahindra Bank Ltd. (Financials)     540,757  
  74,269     Larsen & Toubro Ltd. (Industrials)     2,424,640  
  44,477     LTIMindtree Ltd. (Information Technology)(a)     2,790,160  
  55,630     Lupin Ltd. (Health Care)     737,724  
  116,766     Mahindra & Mahindra Ltd. (Consumer Discretionary)     2,222,025  
  344,901     Marico Ltd. (Consumer Staples)     2,374,921  
  6,382     Maruti Suzuki India Ltd. (Consumer Discretionary)     771,194  
  33,729     Mphasis Ltd. (Information Technology)     989,548  
  412     MRF Ltd. (Consumer Discretionary)     540,896  
  60,896     Muthoot Finance Ltd. (Financials)     927,090  
  10,367     Nestle India Ltd. (Consumer Staples)     2,753,271  
  663,232     NTPC Ltd. (Utilities)     1,764,907  
  599,220     Oil & Natural Gas Corp. Ltd. (Energy)     1,260,525  
  4,617     Page Industries Ltd. (Consumer Discretionary)     2,239,349  
  9,410     PI Industries Ltd. (Materials)     412,415  
  51,754     Pidilite Industries Ltd. (Materials)     1,572,258  
  286,700     Power Finance Corp. Ltd. (Financials)     901,108  
  690,140     Power Grid Corp. of India Ltd. (Utilities)     2,038,669  
  268,900     REC Ltd. (Financials)     775,165  
  283,238     Reliance Industries Ltd. (Energy)     8,235,110  
  49,324     SBI Life Insurance Co. Ltd. (Financials)(a)     770,101  
  22,100     Shriram Finance Ltd. (Financials)     514,765  
  31,923     Siemens Ltd. (Industrials)     1,512,391  
  15,376     SRF Ltd. (Materials)     437,676  
  222,135     State Bank of India (Financials)     1,506,234  
  83,137     Sun Pharmaceutical Industries Ltd. (Health Care)     1,116,310  
  155,504     Tata Consultancy Services Ltd. (Information Technology)     6,305,344  
  80,673     Tata Consumer Products Ltd. (Consumer Staples)     813,052  

 

 

 
Common Stocks – (continued)  
India – (continued)  
  7,952     Tata Elxsi Ltd. (Information Technology)   696,117  
  367,337     Tata Motors Ltd. (Consumer Discretionary)     2,666,742  
  163,921     Tata Power Co. Ltd. (The) (Utilities)     485,310  
  2,086,344     Tata Steel Ltd. (Materials)     3,097,274  
  220,431     Tech Mahindra Ltd. (Information Technology)     3,200,375  
  25,092     Titan Co. Ltd. (Consumer Discretionary)     940,940  
  71,749     Torrent Pharmaceuticals Ltd. (Health Care)     1,596,854  
  21,994     Tube Investments of India Ltd. (Consumer Discretionary)     770,582  
  29,274     TVS Motor Co. Ltd. (Consumer Discretionary)     502,090  
  17,781     UltraTech Cement Ltd. (Materials)     1,782,143  
  149,700     UPL Ltd. (Materials)     1,068,960  
  118,096     Varun Beverages Ltd. (Consumer Staples)     1,283,152  
  385,772     Vedanta Ltd. (Materials)     1,082,484  
  289,060     Wipro Ltd. (Information Technology)     1,425,987  
   

 

 

 
      137,621,068  

 

 

 
Indonesia – 2.0%  
  1,935,925     Adaro Energy Indonesia Tbk PT (Energy)     339,391  
  5,277,009     Aneka Tambang Tbk (Materials)     689,511  
  4,182,509     Astra International Tbk PT (Industrials)     1,771,318  
  4,156,205     Bank Central Asia Tbk PT (Financials)     2,503,820  
  3,135,396     Bank Mandiri Persero Tbk PT (Financials)     1,240,365  
  1,472,866     Bank Negara Indonesia Persero Tbk PT (Financials)     887,298  
  3,440,983     Bank Rakyat Indonesia Persero Tbk PT (Financials)     1,253,937  
  981,900     Indah Kiat Pulp & Paper Tbk PT (Materials)     586,690  
  2,294,037     Indofood CBP Sukses Makmur Tbk PT (Consumer Staples)     1,687,013  
  3,184,553     Indofood Sukses Makmur Tbk PT (Consumer Staples)     1,484,591  
  12,377,253     Kalbe Farma Tbk PT (Health Care)     1,475,030  
  7,139,334     Sumber Alfaria Trijaya Tbk PT (Consumer Staples)     1,359,427  
  10,998,929     Telkom Indonesia Persero Tbk PT (Communication Services)     2,693,763  
  4,256,801     Unilever Indonesia Tbk PT (Consumer Staples)     1,025,769  
   

 

 

 
      18,997,923  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2023

 

Shares     Description  
Value
 
Common Stocks – (continued)  
Kuwait – 0.6%  
  338,699     Agility Public Warehousing Co. KSC (Industrials)*   $ 631,799  
  219,452     Boubyan Bank KSCP (Financials)     434,276  
  640,979     Kuwait Finance House KSCP (Financials)     1,549,163  
  953,098     National Bank of Kuwait SAKP (Financials)     2,844,607  
   

 

 

 
      5,459,845  

 

 

 
Luxembourg – 0.1%  
  44,076     Reinet Investments SCA (Financials)     941,297  

 

 

 
Mexico – 2.9%  
  875,968     Alfa SAB de CV, Class A (Industrials)     586,520  
  3,673,702     America Movil SAB de CV, Series B (Communication Services)     3,503,077  
  55,392     Arca Continental SAB de CV (Consumer Staples)     546,293  
  2,752,752     Cemex SAB de CV, Series CPO (Materials)*     2,199,683  
  112,727     Coca-Cola Femsa SAB de CV (Consumer Staples)     967,556  
  358,189     Fomento Economico Mexicano SAB de CV (Consumer Staples)     4,060,756  
  141,888     Gruma SAB de CV, Class B (Consumer Staples)     2,399,369  
  699,986     Grupo Bimbo SAB de CV, Series A (Consumer Staples)     3,488,338  
  81,494     Grupo Carso SAB de CV, Series A1 (Industrials)     658,033  
  346,648     Grupo Financiero Banorte SAB de CV, Class O (Financials)     2,974,314  
  267,026     Grupo Mexico SAB de CV, Series B (Materials)     1,288,350  
  261,900     Kimberly-Clark de Mexico SAB de CV, Class A (Consumer Staples)     596,877  
  234,503     Orbia Advance Corp. SAB de CV (Materials)     528,726  
  44,502     Promotora y Operadora de Infraestructura SAB de CV (Industrials)     432,944  
  984,782     Wal-Mart de Mexico SAB de CV (Consumer Staples)     3,929,942  
   

 

 

 
      28,160,778  

 

 

 
Philippines – 0.2%  
  624,614     Bank of the Philippine Islands (Financials)     1,213,485  
  41,420     Manila Electric Co. (Utilities)     251,359  
   

 

 

 
      1,464,844  

 

 

 
Poland – 0.9%  
  34,816     Bank Polska Kasa Opieki SA (Financials)     911,531  
  15,868     CD Projekt SA (Communication Services)     568,110  

 

 

 
Common Stocks – (continued)  
Poland – (continued)  
  24,431     Dino Polska SA (Consumer Staples)*(a)   2,246,140  
  533     LPP SA (Consumer Discretionary)     1,795,096  
  27,900     ORLEN SA (Energy)     426,835  
  110,609     Powszechna Kasa Oszczednosci Bank Polski SA (Financials)*     1,002,426  
  199,836     Powszechny Zaklad Ubezpieczen SA (Financials)     2,004,058  
   

 

 

 
      8,954,196  

 

 

 
Qatar – 1.0%  
  556,575     Commercial Bank PSQC (The) (Financials)     868,502  
  99,765     Industries Qatar QSC (Industrials)     338,762  
  711,550     Ooredoo QPSC (Communication Services)     2,111,192  
  397,873     Qatar International Islamic Bank QSC (Financials)     1,081,143  
  353,284     Qatar Islamic Bank (Financials)     1,875,123  
  752,212     Qatar National Bank QPSC (Financials)     3,223,766  
   

 

 

 
      9,498,488  

 

 

 
Romania – 0.1%  
  126,372     NEPI Rockcastle NV (Real Estate)     756,430  

 

 

 
Russia – 0.0%  
  1,256,908     Gazprom PJSC (Energy)(c)      
  35,708,229     Inter RAO UES PJSC (Utilities)(c)      
  62,206     LUKOIL PJSC (Energy)(c)      
  11,906     MMC Norilsk Nickel PJSC (Materials)*(c)      
  824,628     Moscow Exchange MICEX-RTS PJSC (Financials)(c)      
  839,494     Novolipetsk Steel PJSC (Materials)*(c)      
  127,440     PhosAgro PJSC GDR (Materials)*(c)      
  820     PhosAgro PJSC (Materials)*(c)      
  70,023     Polymetal International PLC (Materials)*(c)      
  11,287     Polyus PJSC (Materials)*(c)      
  90,086     Rosneft Oil Co. PJSC (Energy)(c)      
  1,661,273     Sberbank of Russia PJSC (Financials)(c)      
  152,107     Severstal PAO (Materials)*(c)      
  3,362,523     Surgutneftegas PJSC (Energy)(c)      
  277,377     Tatneft PJSC (Energy)(c)      
  1,366     TCS Group Holding PLC GDR (Financials)*(c)      
  799,132,583     VTB Bank PJSC (Financials)*(c)      
  40,500     Yandex NV, Class A (Communication Services)*(c)      
   

 

 

 
       

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description  
Value
 
Common Stocks – (continued)  
Saudi Arabia – 4.0%  
  12,684     ACWA Power Co. (Utilities)   $ 652,690  
  33,713     Advanced Petrochemical Co. (Materials)     382,464  
  216,865     Al Rajhi Bank (Financials)     4,174,651  
  78,414     Alinma Bank (Financials)     771,460  
  31,426     Almarai Co. JSC (Consumer Staples)     531,217  
  58,345     Arab National Bank (Financials)     401,344  
  5,200     Arabian Internet & Co.mmunications Services Co. (Information Technology)     489,408  
  43,996     Bank AlBilad (Financials)     503,227  
  61,208     Bank Al-Jazira (Financials)*     289,504  
  47,956     Banque Saudi Fransi (Financials)     490,345  
  32,869     Bupa Arabia for Cooperative Insurance Co. (Financials)     1,766,731  
  140,430     Dar Al Arkan Real Estate Development Co. (Real Estate)*     697,161  
  11,935     Dr Sulaiman Al Habib Medical Services Group Co. (Health Care)     773,254  
  5,176     Elm Co. (Information Technology)     1,173,023  
  203,477     Etihad Etisalat Co. (Communication Services)     2,449,438  
  95,620     Jarir Marketing Co. (Consumer Discretionary)     376,295  
  186,460     Mobile Telecommunications Co Saudi Arabia (Communication Services)     671,140  
  21,142     Nahdi Medical Co. (Consumer Staples)     855,680  
  160,670     Rabigh Refining & Petrochemical Co. (Energy)*     442,087  
  83,186     Riyad Bank (Financials)     675,353  
  31,590     SABIC Agri-Nutrients Co. (Materials)     1,158,942  
  110,087     Sahara International Petrochemical Co. (Materials)     1,069,860  
  102,725     Saudi Arabian Mining Co. (Materials)*     1,109,238  
  501,274     Saudi Arabian Oil Co. (Energy)(a)     4,664,382  
  113,797     Saudi Awwal Bank (Financials)     1,087,711  
  97,159     Saudi Basic Industries Corp. (Materials)     2,289,965  
  263,025     Saudi Electricity Co. (Utilities)     1,451,646  
  92,330     Saudi Investment Bank (The) (Financials)     408,643  
  315,033     Saudi Kayan Petrochemical Co. (Materials)*     1,023,050  
  303,315     Saudi National Bank (The) (Financials)     2,891,102  
  221,239     Saudi Telecom Co. (Communication Services)     2,347,676  
  113,831     Savola Group (The) (Consumer Staples)     1,150,253  
   

 

 

 
      39,218,940  

 

 

 
South Africa – 3.1%  
  161,189     Absa Group Ltd. (Financials)     1,551,790  
  54,575     African Rainbow Minerals Ltd. (Materials)     515,919  
  121,658     Aspen Pharmacare Holdings Ltd. (Health Care)     1,106,391  
  91,702     Bid Corp. Ltd. (Consumer Staples)     2,057,447  
  46,635     Bidvest Group Ltd. (The) (Industrials)     701,803  
  7,777     Capitec Bank Holdings Ltd. (Financials)     650,869  
  95,507     Clicks Group Ltd. (Consumer Staples)     1,379,518  

 

 

 
Common Stocks – (continued)  
South Africa – (continued)  
  31,054     Discovery Ltd. (Financials)*   240,642  
  586,877     FirstRand Ltd. (Financials)     2,274,981  
  135,191     Gold Fields Ltd. (Materials)     1,734,029  
  202,470     Impala Platinum Holdings Ltd. (Materials)     1,042,130  
  56,544     Kumba Iron Ore Ltd. (Materials)(b)     1,240,414  
  287,467     MTN Group Ltd. (Communication Services)     1,826,672  
  9,670     Naspers Ltd., Class N (Consumer Discretionary)     1,642,899  
  126,320     Nedbank Group Ltd. (Financials)(b)     1,439,721  
  656,580     Old Mutual Ltd. (Financials)     440,032  
  304,522     OUTsurance Group Ltd. (Financials)     643,300  
  321,648     Pepkor Holdings Ltd. (Consumer Discretionary)(a)     276,887  
  99,899     Remgro Ltd. (Financials)     833,855  
  277,866     Sanlam Ltd. (Financials)     1,000,083  
  232,790     Shoprite Holdings Ltd. (Consumer Staples)     3,243,569  
  378,418     Sibanye Stillwater Ltd. (Materials)     574,372  
  205,664     Standard Bank Group Ltd. (Financials)     2,098,566  
  162,742     Vodacom Group Ltd. (Communication Services)     927,032  
  227,736     Woolworths Holdings Ltd. (Consumer Discretionary)     892,181  
   

 

 

 
      30,335,102  

 

 

 
South Korea – 11.5%  
  16,014     Amorepacific Corp. (Consumer Staples)     1,622,300  
  10,544     BGF retail Co. Ltd. (Consumer Staples)     1,247,650