Goldman Sachs Funds

 

 

 
Annual Report      

August 31, 2023

 
     

Goldman Sachs Future Thematic Equity ETFs

     

Goldman Sachs Future Consumer Equity ETF (GBUY)

     

Goldman Sachs Future Health Care Equity ETF (GDOC)

     

Goldman Sachs Future Planet Equity ETF (GSFP)

     

Goldman Sachs Future Real Estate and Infrastructure Equity ETF (GREI)

     

Goldman Sachs Future Tech Leaders Equity ETF (GTEK)

 

 

 

LOGO


Goldman Sachs Future Thematic Equity ETFs

 

 

GOLDMAN SACHS FUTURE CONSUMER EQUITY ETF

 

 

GOLDMAN SACHS FUTURE HEALTH CARE EQUITY ETF

 

 

GOLDMAN SACHS FUTURE PLANET EQUITY ETF

 

 

GOLDMAN SACHS FUTURE REAL ESTATE AND INFRASTRUCTURE EQUITY ETF

 

 

GOLDMAN SACHS FUTURE TECH LEADERS EQUITY ETF

 

TABLE OF CONTENTS

 

Investment Process

    1  

Portfolio Results and Fund Basics

    4  

Schedules of Investments

    27  

Financial Statements

    34  

Financial Highlights

    41  

Goldman Sachs Future Consumer Equity ETF

    41  

Goldman Sachs Future Health Care Equity ETF

    42  

Goldman Sachs Future Planet Equity ETF

    43  

Goldman Sachs Future Real Estate and Infrastructure Equity ETF

    44  

Goldman Sachs Future Tech Leaders Equity ETF

    45  

Notes to Financial Statements

    46  

Report of Independent Registered Public Accounting Firm

    59  

Other Information

    60  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


INVESTMENT PROCESS

 

Goldman Sachs Future Thematic Equity ETFs

 

Principal Investment Strategies

The Goldman Sachs Future Consumer Equity ETF, the Goldman Sachs Future Health Care Equity ETF, the Goldman Sachs Future Planet Equity ETF and the Goldman Sachs Future Real Estate and Infrastructure Equity ETF (each, a “Fund” and together the “Funds”) seek to achieve their respective investment objectives by investing, under normal circumstances, at least 80% of their net assets plus any borrowings for investment purposes (measured at the time of purchase) in equity investments in U.S. and non-U.S. companies that Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) believes are aligned, at the time the investment is first added to a Fund’s portfolio, with certain key themes (the “Key Themes”). The Goldman Sachs Future Tech Leaders Equity ETF does not use Key Themes within its investment process, but instead seeks to achieve its investment objective by investing in companies that the Investment Adviser believes are driving technological innovation or benefiting from the enablement of technology and have the potential to grow their business over many years.

The Key Themes and related areas of investment may change over time at the sole discretion of the Investment Adviser without prior notice to shareholders. In addition, each Fund is permitted to make investments that are not aligned with the Key Themes. In selecting investments, the Investment Adviser will not seek to allocate a specified portion of the Fund’s portfolio to each particular Key Theme, and the allocation of the Fund’s investments across the Key Themes will vary over time in the Investment Adviser’s sole discretion. Each Fund may not allocate its investments to each Key Theme at all times and an investment may be aligned with multiple Key Themes at the same time.

The Investment Adviser’s belief may be informed by, among other things, company disclosure, third-party research, engagement with the companies, or subjective criteria including the Investment Adviser’s own research, expectations or opinions.

Goldman Sachs Future Consumer Equity ETF

The Goldman Sachs Future Consumer Equity ETF (the “Fund”) intends to invest in companies that the Investment Adviser believes are aligned with the Key Themes associated with the different and evolving priorities and spending habits of younger consumers, which include, but are not limited to:

 

 

Tech-Enabled Consumption

 

   

Digital Enabler — Companies that provide or help create products, services or technologies in areas including but not limited to Internet and communications infrastructure, digital components and fintech infrastructure.

 

   

Digital Services — Companies that provide or help create products, services or technologies in areas including but not limited to e-commerce, social media, digital entertainment and gaming, fintech services, mobility and the digital workforce.

 

 

Lifestyle and Values

 

   

Consumption — Companies that provide or help create products, services or technologies in areas including but not limited to health and wellness, luxury and sustainable living.

 

   

Lifestyle — Companies that provide or help create products, services or technologies in areas including but not limited to experiences, health and wellness, sustainable living, education, pet care and childcare.

Goldman Sachs Future Health Care Equity ETF

The Goldman Sachs Future Health Care Equity ETF (the “Fund”) intends to invest in companies that the Investment Adviser believes are aligned with the Key Themes associated with innovation in health care, which include, but are not limited to:

 

 

Genomics — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to sequencing, diagnostic testing and the genomics supply chain.

 

 

Precision Medicine — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to targeted oncology, gene/cell therapy and rare diseases.

 

 

Technology-Enabled Procedures — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to robotic surgery and minimally invasive procedures.

 

1


INVESTMENT PROCESS

 

 

Digital Healthcare — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to connected devices, digital transformation and online health.

Goldman Sachs Future Planet Equity ETF

The Goldman Sachs Future Planet Equity ETF (the “Fund”) intends to invest in companies that the Investment Adviser are aligned with the Key Themes associated with seeking to address environmental problems, which include, but are not limited to:

 

 

Clean Energy — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to solar energy, wind energy, bioenergy, energy storage, grid services and carbon sequestration.

 

 

Resource Efficiency — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to electric and autonomous vehicles, sustainable manufacturing, logistics and smart cities.

 

 

Sustainable Consumption — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to agriculture, food, tourism and fashion.

 

 

Circular Economy — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to recycling and reuse, waste management and single-use substitution.

 

 

Water Sustainability — Companies that provide, invest in or help create products, services or technologies in areas including but not limited to water treatment, water distribution and desalination.

Goldman Sachs Future Real Estate and Infrastructure Equity ETF

The Goldman Sachs Future Real Estate and Infrastructure Equity ETF (the “Fund”) intends to invest in companies that the Investment Adviser are aligned with the Key Themes associated with secular growth drivers for real estate and infrastructure assets, which include, but are not limited to:

 

 

Technological Innovation — Real estate and infrastructure companies that facilitate technological innovation-driven demand including but not limited to towers and digital storage.

 

 

Environmental Sustainability — Real estate and infrastructure companies that facilitate environmental sustainability-driven demand drivers in areas including but not limited to utilities enabling energy transition, alternative energy producers, water utilities, energy storage and grid services.

 

 

New Age Consumer — Real estate and infrastructure companies that facilitate different and evolving priorities and spending habits of younger consumers, including but not limited to logistics, cold storage, transportation infrastructure, self storage, rental housing, leisure hotels and studio office.

 

 

Future of Health Care — Real estate and infrastructure companies that facilitate health care innovation and aging demographic trends including but not limited to lab office, life science office and senior housing.

Goldman Sachs Future Tech Leaders Equity ETF

The Goldman Sachs Future Tech Leaders Equity ETF (the “Fund”) intends to invest in companies that the Investment Adviser believes are driving technological innovation or benefiting from the enablement of technology and have the potential to grow their business over many years.

The Investment Adviser seeks to:

 

 

Identify companies at various growth stages that are developing differentiated technology to either disrupt existing markets, serve existing markets more efficiently or apply proven business models to new geographies.

 

 

Invest in companies that use technology to drive long-term compounding revenue growth, as well as more mature technology companies that are evolving their business models to exploit new growth opportunities.

* * *

 

2


INVESTMENT PROCESS

 

At the end of the Reporting Period, i.e., the 12-month period ended August 31, 2023, we noted that during the 2022 calendar year, innovation equities — which we define as companies on the right side of long-term secular growth themes — had experienced some of the sharpest declines in the broad equity market. This was, in our view, due to their greater sensitivity to interest rate movements and their starting point of elevated valuations. However, during the 2023 calendar year to date, innovation equities had generally rebounded, driven by key tailwinds, such as the rise of generative artificial intelligence and softening recessionary concerns. We believed at the end of the Reporting Period that going forward, innovation equities were likely to offer higher margins and faster earnings growth than the equity market broadly, and we thought the equities in which the Funds invest could offer even faster earnings growth than market consensus estimates. In our view, innovation equities may also be well-positioned in an inflationary environment given that companies with innovative products typically exert greater pricing power and that inflation encourages businesses to invest in innovative solutions to reduce costs and improve efficiency. Additionally, global events may further accelerate key secular themes, providing additional tailwinds to certain innovation equities, in our opinion.

In our view, active management is especially critical in this environment, as the market was, at the end of the Reporting Period, differentiating between profitable and unprofitable as well as between high-growth, high-margin and high-growth, low-margin stocks. In managing the Funds, we intended to continue following our disciplined process of stock-level due diligence, portfolio construction and risk management. We planned to remain highly focused on understanding the fundamental drivers of the companies in which we consider investing and expected to invest in them only if we have conviction that their business models can be successful over the long term. Additionally, we intended to maintain balanced and diversified allocations across Key Themes, market capitalizations, regions and sectors to avoid concentrated risk exposures.

 

3


PORTFOLIO RESULTS

 

Goldman Sachs Future Consumer Equity ETF

 

Investment Objective

The Goldman Sachs Future Consumer Equity ETF (the “Fund”) seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Equity 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 6.84% based on net asset value (“NAV”) and 7.51% based on market price. The Fund’s benchmark, the MSCI All Country World Index Growth Index (the “MSCI ACWI Growth Index”), returned 17.86% during the same period.

 

  

The Fund had an NAV of $25.43 per share on August 31, 2022 and ended the Reporting Period with an NAV of $27.17 per share. The Fund’s market price on August 31, 2023 was $27.20 per share.

 

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

 

A   The Fund is an actively managed exchange-traded fund (“ETF”) that seeks long-term growth of capital by investing in companies that may be aligned, at the time a given investment is first added to the Fund’s portfolio, with the key themes associated with the different and evolving priorities and spending habits of younger consumers, which include, but are not limited to, Tech-Enabled Consumption and Lifestyle and Values (the “Key Themes”). Additionally, as part of its investment process, the Goldman Sachs Fundamental Equity Team divides these Key Themes into multiple sub-themes.

 

  

During the Reporting Period, the Fund produced a positive absolute return, as the broad global equity market advanced. At the start of 2023, investors pivoted away from energy stocks and into other segments of the global equity market; energy had been the only sector in the MSCI ACWI Growth Index to generate gains during calendar year 2022. Growth-oriented stocks, in which the Fund holds a considerable position, also performed well during the Reporting Period overall, bolstering the Fund’s absolute performance.

 

  

On a relative basis, the Fund underperformed the MSCI ACWI Growth Index during the Reporting Period. The Lifestyle and Values Key Theme detracted from the Fund’s relative performance, though this was offset somewhat by the Tech-Enabled Consumption Key Theme, which contributed positively. Among sub-themes, sustainable consumption detracted most, while digital components and luxury each added to returns. In addition, the Fund was hampered by its limited exposure to certain mega-cap stocks and to stocks that were, in our opinion, already overvalued. Recession worries, driven by high inflation, also dampened the performance of some of the Fund’s holdings among consumer discretionary stocks.

 

  

Within sectors, the Fund was hurt by stock selection in the communication services and utilities sectors. On the positive side, the Fund benefited from stock selection in the information technology and consumer staples sectors.

 

  

From a country perspective, stock selection in the U.S., Netherlands and China detracted from relative performance. Stock selection in Italy and France added to the Fund’s returns during the Reporting Period.

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A   Relative to the MSCI ACWI Growth Index, the Fund’s overweight positions in American Tower, a real estate investment trust that owns and operates wireless communications and broadcast towers in the U.S.; NextEra Energy, a U.S. electric utility and renewable energy company; and EDP Renovaveis, a Spanish renewable energy company (3.01%, 3.27% and 2.17% of Fund net assets as of August 31, 2023, respectively) detracted most from relative performance. All three stocks generated double-digit negative returns within the MSCI ACWI Growth Index during the Reporting Period.

 

4


PORTFOLIO RESULTS

 

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

 

A   Compared to the MSCI ACWI Growth Index, the Fund was helped most by overweight positions in NVIDIA, a U.S. designer and manufacturer of graphics processors, chipsets and related multimedia software; Meta Platforms, U.S. technology company; and Moncler, an Italian apparel manufacturer (6.10%, 5.10% and 2.48% of Fund net assets as of August 31, 2023, respectively). NVIDIA delivered a triple-digit positive return within the MSCI ACWI Growth Index, while Meta Platforms and Moncler each produced a double-digit positive return within the MSCI ACWI Growth Index during the Reporting Period.

 

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

 

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

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   Effective January 3, 2023, Laura Destribats no longer served as a portfolio manager for the Fund. As of February 2, 2023, Jennifer Sullivan became a portfolio manager for the Fund, joining Alexis Deladerrière, Raj Garigipati and Nathan Lin. Mr. Deladerrière, Mr. Garigipati and Mr. Lin have been portfolio managers for the Fund since 2021. By design, the Fund is managed within a team structure. This has been a cornerstone of our approach and helps ensure continuity in the Fund.

 

Q   What was the Fund’s sector positioning relative to the MSCI ACWI Growth Index at the end of the Reporting Period?1

 

     Sector Name   Fund      MSCI ACWI
Growth Index
 
  Communication Services     30.40      10.95
  Consumer Discretionary     26.54        14.80  
  Information Technology     14.23        33.36  
  Financials     5.89        8.52  
  Consumer Staples     5.52        5.97  
  Utilities     5.44        0.34  
  Materials     4.48        2.75  
  Real Estate     3.01        0.88  
  Industrials     2.53        9.90  
  Health Care     1.32        10.78  
  Energy     0.00        1.75  
    Cash     0.62        0.00  

 

Q   What was the Fund’s country positioning relative to the MSCI ACWI Growth Index at the end of the Reporting Period?1

 

     Country Name   Fund      MSCI ACWI
Growth Index
 
  U.S.     61.45      64.08
  China     8.79        3.18  
  Italy     5.60        0.31  
  Taiwan     5.08        1.58  
  Netherlands     3.56        1.49  
  France     3.22        3.32  
  U.K.     2.82        2.26  
  Hong Kong     2.62        0.58  
  Portugal     2.17        0.04  
  Germany     1.88        1.67  
  South Korea     1.01        1.15  
  Brazil     0.68        0.53  
    Singapore     0.48        0.30  

 

  1    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 country and 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. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

5


FUND BASICS

 

Goldman Sachs Future Consumer Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 27.20  
    Net Asset Value (NAV)1   $ 27.17  

 

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

 

  TOP TEN HOLDINGS AS OF 8/31/232
     Holding   % of Net Assets        Line of Business      Country
  Amazon.com, Inc.     7.7      Consumer Discretionary      United States
  Alphabet, Inc., Class C     7.1        Communication Services      United States
  NVIDIA Corp.     6.1        Information Technology      United States
  Meta Platforms, Inc., Class A     5.1        Communication Services      United States
  Mastercard, Inc., Class A     5.1        Financials      United States
  Taiwan Semiconductor Manufacturing Co. Ltd.     4.3        Information Technology      Taiwan
  NextEra Energy, Inc.     3.3        Utilities      United States
  LVMH Moet Hennessy Louis Vuitton SE     3.2        Consumer Discretionary      France
  Davide Campari-Milano NV     3.1        Consumer Staples      Italy
    American Tower Corp. REIT     3.0        Real Estate      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.

 

6


GOLDMAN SACHS FUTURE CONSUMER 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 9, 2021 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI ACWI Growth Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Certain factors may affect Fund performance including, but not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Future Consumer Equity ETF’s Lifetime Performance   

Performance of a $10,000 Investment, with distributions reinvested, from November 9, 2021 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      1 Year Return      Since Inception

Shares based on NAV (Commenced November 9, 2021)

     6.84%      -19.15%

 

Shares based on Market Price (Commenced November 9, 2021)

     7.51%      -19.10%

 

MSCI ACWI Growth Index

     17.86%      -6.69%

 

 

*   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 at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

7


PORTFOLIO RESULTS

 

Goldman Sachs Future Health Care Equity ETF

 

Investment Objective

The Goldman Sachs Future Health Care Equity ETF (the “Fund”) seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Equity 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 8.28% based on net asset value (“NAV”) and 8.06% based on market price. The Fund’s benchmark, the MSCI All Country World Index Health Care Index (the “MSCI ACWI Health Care Index”), returned 9.41% during the same period.

 

  

The Fund had an NAV of $29.94 per share on August 31, 2022 and ended the Reporting Period with an NAV of $32.42 per share. The Fund’s market price on August 31, 2023 was $32.42 per share.

 

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

 

A   The Fund is an actively managed exchange-traded fund (“ETF”) that seeks long-term growth of capital by investing in companies that may be aligned, at the time a given investment is first added to the Fund’s portfolio, with the key themes associated with innovation in health care, which include, but are not limited to, Genomics, Precision Medicine, Technology-Enabled Procedures and Digital Healthcare (the “Key Themes”). Additionally, as part of its investment process, the Goldman Sachs Fundamental Equity Team divides these Key Themes into multiple sub-themes.

 

  

During the Reporting Period, the Fund generated a positive absolute return, as ongoing innovation across the health care ecosystem, coupled with demand normalization and a favorable mergers and acquisitions backdrop, fueled gains. In addition, sectors that had lagged during 2022, including health care, generally rebounded in 2023, adding further to the Fund’s absolute performance.

 

  

Relative to the MSCI ACWI Health Care Index, the Fund underperformed during the Reporting Period. These results can be largely attributed to persistent inflation, elevated interest rates, recession concerns and elongated supply-chain disruptions. Given that the Fund is primarily invested in what we consider the most innovative parts of the health care ecosystem, it is acutely sensitive to rising interest rates and inflation. When inflation is heightened, investors tend to apply a steeper discount to future earnings, which can hurt the growth outlook for innovative companies. In addition, the MSCI ACWI Health Care Index’s market capitalization weighting skews towards the more defensive parts of the health care ecosystem, which remained resilient relative to innovation equities during the Reporting Period.

 

  

Two of the Fund’s four Key Themes detracted from relative returns during the Reporting Period. The largest detractor was Genomics, which was hurt by a slowdown in COVID-19-related business segments and revenues amid waning demand for COVID-19 vaccines and diagnostic supplies. On the positive side, the Fund was helped by its two other Key Themes. Precision Medicine added most to relative performance, driven primarily by the development of novel drugs and treatments for chronic diseases, such as diabetes and Alzheimer’s disease. Within sub-themes, genomics supply chain detracted most from relative performance. The chronic diseases sub-theme contributed most positively to results.

 

  

From an industry perspective, the Fund was hampered by stock selection and an overweight position versus the MSCI ACWI Health Care Index in biotechnology. Biotechnology, which is generally considered the growth engine of the health care ecosystem, was weak amid elevated interest rates. On the positive side, the Fund was aided by its lack of exposure to health care providers and services as well as by stock selection among leading pharmaceutical companies.

 

  

From a country perspective, stock selection and an underweight position relative to the MSCI ACWI Health Care Index in Denmark detracted from the Fund’s relative returns. The Fund benefited from stock selection in and an overweight allocation to the U.S., as well as from an underweight position in China, during the Reporting Period.

 

8


PORTFOLIO RESULTS

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A   Relative to the MSCI ACWI Health Care Index, the Fund was hurt by its lack of exposure to Novo Nordisk, a Danish pharmaceutical company, as well as by overweight positions in Insulet, a U.S. medical device company that specializes in insulin-delivery systems, and 2seventy Bio, a U.S. immuno-oncology cell therapy company (0.00%,1 2.33% and 0.41% of Fund net assets as of August 31, 2023, respectively). During the Reporting Period, Novo Nordisk posted a double-digit positive return within the MSCI ACWI Health Care Index. Insulet and 2seventy Bio each generated a double-digit negative return within the MSCI ACWI Health Care Index during the Reporting Period.

 

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

 

A   Relative to the MSCI ACWI Health Care Index, the Fund benefited most from an overweight position in Intuitive Surgical, a U.S. company that develops, manufactures and markets robotic products for minimally invasive surgery, as well as from its lack of exposure to United Health Group. a U.S. managed health care and insurance company, and Pfizer, a U.S. pharmaceutical and biotechnology company (5.05%, 0.00%1 and 0.00%1 of Fund net assets as of August 31, 2023, respectively). During the Reporting Period, Intuitive Surgical delivered a double-digit positive return within the MSCI ACWI Health Care Index. United Health Group recorded a single-digit negative return, and Pfizer produced a double-digit negative return within the MSCI ACWI Health Care Index during the Reporting Period.

 

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

 

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

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   Effective January 18, 2023, Anant Padmanabhan no longer served as a portfolio manager for the Fund. Jenny Chang and Raj Garigipati continued to serve as portfolio managers for the Fund. Ms. Chang and Mr. Garigipati have been portfolio managers for the Fund since 2021. By design, the Fund is managed within a team structure. This has been a cornerstone of our approach and helps ensure continuity in the Fund.

 

Q   What was the Fund’s industry positioning relative to the MSCI ACWI Health Care Index at the end of the Reporting Period?2

 

     Industry Name   Fund     MSCI ACWI
Health
Care Index
 
  Health Care Equipment and Supplies     29.34     17.71
  Biotechnology     28.37       14.44  
  Pharmaceuticals     22.28       41.58  
  Life Sciences Tools and Services     12.32       10.33  
  Health Care Technology     2.31       0.52  
  Electronic Equipment Instruments and Components     2.03       0.00  
  Office Real Estate Investment Trusts     1.66       0.00  
  Health Care Providers & Services     0.00       15.42  
    Cash     1.69       0.00  

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were eliminated during the most recent rebalance given the Index construction methodology or were not held at all during the Reporting Period as they did not meet the Fund’s investment criteria.

 

 

9


PORTFOLIO RESULTS

 

Q   What was the Fund’s country positioning relative to the MSCI ACWI Health Care Index at the end of the Reporting Period?2

 

     Country Name   Fund      MSCI ACWI
Health
Care Index
 
  U.S.     81.8      69.17
  Japan     6.01        4.10  
  U.K.     5.29        3.97  
  Australia     2.86        1.50  
  Denmark     1.76        4.66  
  Belgium     1.00        0.53  
  Switzerland     0.80        7.22  
  France     0.61        2.69  
  Brazil     0.00        0.15  
  China     0.00        1.47  
  Finland     0.00        0.06  
  Germany     0.00        1.87  
  Hungary     0.00        0.05  
  India     0.00        0.70  
  Indonesia     0.00        0.03  
  Israel     0.00        0.14  
  Italy     0.00        0.16  
  Malaysia     0.00        0.05  
  Netherlands     0.00        0.28  
  New Zealand     0.00        0.15  
  Saudi Arabia     0.00        0.13  
  South Korea     0.00        0.51  
  South Africa     0.00        0.05  
  Spain     0.00        0.05  
  Sweden     0.00        0.10  
  Taiwan     0.00        0.04  
    Thailand     0.00        0.18  

 

  2    Country and industry 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 country and industry 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. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

10


FUND BASICS

 

Goldman Sachs Future Health Care Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 32.42  
    Net Asset Value (NAV)1   $ 32.42  

 

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

 

  TOP TEN HOLDINGS AS OF 8/31/232
     Holding   % of Net Assets        Line of Business      Country
  Eli Lilly & Co.     7.9      Health Care      United States
  Boston Scientific Corp.     5.5        Health Care      United States
  Intuitive Surgical, Inc.     5.1        Health Care      United States
  AstraZeneca PLC     5.0        Health Care      United Kingdom
  Biogen, Inc.     3.5        Health Care      United States
  Chugai Pharmaceutical Co. Ltd.     3.2        Health Care      Japan
  Seagen, Inc.     3.0        Health Care      United States
  Dexcom, Inc.     3.0        Health Care      United States
  Gilead Sciences, Inc.     2.9        Health Care      United States
    BioMarin Pharmaceutical, Inc.     2.9        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.

 

11


GOLDMAN SACHS FUTURE HEALTH CARE 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 9, 2021 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI ACWI Health Care Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Certain factors may affect Fund performance including, but not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Future Health Care Equity ETF’s Lifetime Performance   

Performance of a $10,000 Investment, with distributions reinvested, from November 9, 2021 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      1 Year Return      Since Inception

Shares based on NAV (Commenced November 9, 2021)

     8.28%      -10.57%

 

Shares based on Market Price (Commenced November 9, 2021)

     8.06%      -10.57%

 

MSCI ACWI Health Care Index

     9.41%      -1.42%

 

 

*   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 at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

12


PORTFOLIO RESULTS

 

Goldman Sachs Future Planet Equity ETF

 

Investment Objective

The Goldman Sachs Future Planet Equity ETF (the “Fund”) seeks long-term capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Equity 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 0.13% based on net asset value (“NAV”) and 0.26% based on market price. The Fund’s benchmark, the MSCI All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”), returned 13.95% during the same period.

 

  

The Fund had an NAV of $30.23 per share on August 31, 2022 and ended the Reporting Period with an NAV of $30.15 per share. The Fund’s market price on August 31, 2023 was $30.11 per share.

 

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

 

A   The Fund is an actively managed exchange-traded fund (“ETF”) that seeks long-term capital appreciation by investing in companies that may be associated, at the time a given investment is first added to the Fund’s portfolio, with seeking to address environmental problems, which include, but are not limited to, Clean Energy, Resource Efficiency, Sustainable Consumption, Circular Economy and Water Sustainability (the “Key Themes”). Additionally, as part of its investment process, the Goldman Sachs Fundamental Equity Team divides these Key Themes into multiple sub-themes.

 

  

During the Reporting Period, the Fund generated a slightly positive absolute return, with gains limited by a broad-based sell-off among clean energy and clean technology stocks. The decline was driven by slowing growth and earnings per share due to tough supply and demand fundamentals, certain end markets experiencing a destocking cycle, rising interest rates and increased geopolitical risk factors that dampened sentiment about Asian supply chains. (Destocking refers to the process of reducing inventory or of stocking less.)

 

  

On a relative basis, the Fund underperformed the MSCI ACWI Index during the Reporting Period overall. U.S. large-cap technology stocks drove more than 50% of MSCI ACWI Index returns between the beginning of 2023 and the end of the Reporting Period. However, the Fund had no exposure to that market segment because it is not aligned with any of the Fund’s Key Themes.

 

  

Among Key Themes, Sustainable Consumption, Clean Energy and Circular Economy detracted from relative performance, while Resource Efficiency and Water Sustainability contributed positively during the Reporting Period. Food and agriculture was the leading detractor among sub-themes, and smart cities was the most successful sub-theme during the Reporting Period.

 

  

Regarding sectors, stock selection in information technology, especially U.S. large-cap companies, had a negative impact on the Fund’s relative results. In addition, the Fund’s lack of exposure to real estate, which does not align with the Key Themes, also hampered its performance. Overweight positions versus the MSCI ACWI Index in materials, industrials and utilities, which were hurt more than other sectors by supply-chain disruptions, inflation and rising interest rates, detracted further from the Fund’s relative returns.

 

  

From a country perspective, the Fund’s allocation to the U.S. hurt its relative performance most given the rally in the information technology sector during the Reporting Period. Also detracting was stock selection in the Netherlands, specifically an investment in a bioscience company that was struggling amid restocking challenges and the completion of a merger. On the positive side, the Fund benefited from stock selection in Italy and Switzerland. In Switzerland, stock selection driven by the grid services and smart cities sub-themes was particularly advantageous.

 

13


PORTFOLIO RESULTS

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A   Relative to the MSCI ACWI Index, the Fund was hampered by its overweight positions in DSM Firmenich, a Swiss-Dutch health, nutrition and bioscience company; Wolfspeed, a U.S. developer and manufacturer of wide bandgap semiconductors; and NextEra Energy, a U.S. electric utility and renewable energy company (3.76%, 0.83% and 3.14% of Fund net assets as of August 31, 2023, respectively). All three stocks produced double-digit negative returns within the MSCI ACWI Index during the Reporting Period.

 

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

 

A   Relative to the MSCI ACWI Index, the Fund benefited most from overweight positions in Enel, an Italian company involved in electricity generation and distribution as well as natural gas distribution; Schneider Electric, a French company engaged in energy and automation digital solutions for efficiency and sustainability; and Infineon Technologies, a German semiconductor manufacturer (4.23%, 3.36% and 3.15% of Fund net assets as of August 31, 2023, respectively). Each of these stocks recorded a double-digit positive return within the MSCI ACWI Index during the Reporting Period.

 

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

 

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

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   Effective May 1, 2023, Saurabh Jain became a portfolio manager for the Fund, joining Alexis Deladerrière and Raj Garigipati. Mr. Deladerrière and Mr. Garigipati have been portfolio managers for the Fund since 2021. By design, the Fund is managed within a team structure. This has been a cornerstone of our approach and helps ensure continuity in the Fund.

 

Q   What was the Fund’s sector positioning relative to the MSCI ACWI Index at the end of the Reporting Period?1

 

     Sector Name   Fund      MSCI ACWI Index  
  Industrials     34.82      10.45
  Materials     24.89        4.48  
  Information Technology     16.61        22.06  
  Utilities     12.50        2.63  
  Health Care     3.68        11.76  
  Consumer Staples     2.39        7.15  
  Consumer Discretionary     1.90        11.32  
  Communication Services     0.00        7.51  
  Energy     0.00        4.90  
  Financials     0.00        15.42  
  Real Estate     0.00        2.33  
    Cash     3.22        0.00  

 

Q   What was the Fund’s country positioning relative to the MSCI ACWI Index at the end of the Reporting Period?1

 

     Country Name   Fund      MSCI ACWI Index  
  U.S.     41.96      62.21
  Japan     9.95        5.49  
  Netherlands     5.58        1.06  
  Denmark     4.48        0.78  
  China     4.48        3.10  
  France     4.33        2.97  
  Italy     4.23        0.63  
  Switzerland     4.13        2.45  
  Spain     3.99        0.63  
  U.K.     3.18        3.53  
  Germany     3.15        2.06  
  Ireland     2.67        0.50  
  Taiwan     2.05        1.56  
  Belgium     1.03        0.23  
  Norway     0.83        0.16  
  Sweden     0.70        0.75  
    Australia     0.05        1.82  

 

  1    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 country and 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. Investments in the securities lending vehicle represented 0.80% 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.

 

14


FUND BASICS

 

Goldman Sachs Future Planet Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT  
     As of August 31, 2023       
  Market Price1   $ 30.11  
    Net Asset Value (NAV)1   $ 30.15  

 

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

 

  TOP TEN HOLDINGS AS OF 8/31/232
     Holding   % of Net Assets      Line of Business    Country
  Enel SpA     4.2    Utilities    Italy
  Iberdrola SA     4.0      Utilities    Spain
  DSM-Firmenich AG     3.8      Materials    Switzerland
  Danaher Corp.     3.7      Health Care    United States
  Contemporary Amperex Technology Co. Ltd., Class A     3.4      Industrials    China
  Schneider Electric SE     3.4      Industrials    United States
  Waste Management, Inc.     3.4      Industrials    United States
  Ecolab, Inc.     3.2      Materials    United States
  DS Smith PLC     3.2      Materials    United Kingdom
    Infineon Technologies AG     3.2      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.

 

15


GOLDMAN SACH FUTURE PLANET 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 July 13, 2021 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI ACWI Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Certain factors may affect Fund performance including, but not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Future Planet Equity ETF’s Lifetime Performance   

Performance of a $10,000 Investment, with distributions reinvested, from July 13, 2021 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      1 Year Return      Since Inception

Shares based on NAV (Commenced July 13, 2021)

     0.13%      -11.92%

 

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

     0.26%      -11.98%

 

MSCI ACWI Index

     13.95%      -1.99%

 

 

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

 

16


PORTFOLIO RESULTS

 

Goldman Sachs Future Real Estate and Infrastructure Equity ETF

 

 

Investment Objective

The Goldman Sachs Future Real Estate and Infrastructure Equity ETF (the “Fund”) seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Fundamental Equity 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 -3.77% based on net asset value (“NAV”) and -4.15% based on market price. The Fund’s benchmark, which is comprised 50% of FTSE Global Core Infrastructure 50/50 Index and 50% of FTSE EPRA Nareit Developed Index (the “Index”), returned -5.10% during the same period.

 

  

The Fund had an NAV of $34.25 per share on August 31, 2022 and ended the Reporting Period with an NAV of $32.32 per share. The Fund’s market price on August 31, 2023 was $32.19 per share.

 

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

 

A   The Fund is an actively managed exchange-traded fund (“ETF”) that seeks long-term growth of capital by investing in companies that may be aligned, at the time a given investment is first added to the Fund’s portfolio, with the key themes associated with secular growth drivers for real estate and infrastructure assets, which include, but are not limited to, Technological Innovation, Environmental Sustainability, New Age Consumer and Future of Health Care (the “Key Themes”). Additionally, as part of its investment process, the Goldman Sachs Fundamental Equity Team divides these Key Themes into multiple sub-themes.

 

  

During the Reporting Period, the Fund generated a negative absolute return, as real estate and infrastructure equities, which tend to be characterized by steady compounding growth, lagged the strong rally in growth-oriented, technology-focused stocks.

 

  

On a relative basis, the Fund outperformed the Index during the Reporting Period, benefiting from its focus on sectors exposed to secular growth and its avoidance of sectors we consider to be on the wrong side of disruption. For example, the Fund was helped by its smaller allocation than the Index in retail and office real estate investment trusts (“REITs”), which generally posted negative returns during the Reporting Period, and by its selective exposure to health care real estate securities, which performed well overall. That said, at the sector level as a whole, the Fund benefited most during the Reporting Period from its allocation to utilities. The utilities sector outperformed the broader equity market during the Reporting Period, as many investors adopted defensive stances heading into 2023. Conversely, the Fund was hurt by its underweight position compared to the Index in hotel real estate securities, which gained on positive U.S. employment news, driven by an increase in nonfarm payrolls, led, in turn, by leisure, hospitality, professional and business services.

 

  

Among Key Themes, New Age Consumer contributed most positively to the Fund’s relative returns during the Reporting Period, as young consumers, with different lifestyles and values from previous generations, fueled demand for experiences over things. The Fund’s three other Key Themes detracted from relative results. Tech Innovation was the weakest performing Key Theme during the Reporting Period, as central bank interest rate hikes put downward pressure on sectors with longer-duration assets, such as telecommunications towers. (Duration is a measure of interest rate sensitivity.) Among sub-themes, the Fund’s best performer was increased leisure time, while its most notable detractor was digitization.

 

  

On the country level, an overweight exposure relative to the Index in France contributed most positively to the Fund’s relative returns. European utilities performed well amid relatively milder weather, which reduced energy demand and calmed fears about potential shortages. However, an underweight position in Japan weighed on the Fund’s performance, as Japanese stocks rose in line with global equities on expectations of the potential peaking of inflation in the U.S. and Europe, the slowing pace of central bank interest rate hikes and receding concerns about recession. Additionally, as Japan relaxed entry rules from China, inbound tourism saw a sharp recovery, with the number of foreign visitors reaching 60% of pre-COVID levels.

 

17


PORTFOLIO RESULTS

 

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

 

A   Relative to the Index, the Fund benefited most from overweight positions in VINCI, a French infrastructure and construction firm; ENGIE, a France-based power, gas and infrastructure company; and Veolia Environnement, a French environmental management services provider (2.00%, 1.54% and 1.56% of Fund net assets as of August 31, 2023, respectively). Each of these stocks generated a double-digit positive return within the Index during the Reporting Period.

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A   Relative to the Index, the Fund’s overweight positions in American Tower, a REIT that owns and operates wireless communications and broadcast towers in the U.S.; SBA Communications, a U.S. provider of wireless communications infrastructure; and Eversource Energy, a U.S. utility company that provides electricity, natural gas and water services (3.70%, 2.50% and 1.72% of Fund net assets as of August 31, 2023, respectively) detracted most from relative performance. All three stocks recorded double-digit negative returns within the Index during the Reporting Period.

 

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

 

A

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

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   There were no changes to the Fund’s portfolio management team during the Reporting Period.

 

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

 

     Sector Name   Fund      Index  
  Real Estate     53.35      52.88
  Utilities     24.79        25.34  
  Industrials     13.56        15.21  
  Energy     2.28        5.45  
  Communication Services     2.16        1.04  
  Health Care     1.51        0.06  
  Materials     1.26        0.00  
  Financials     0.00        0.02  
  Consumer Discretionary     0.00        0.00  
    Cash     1.08        0.00  

 

Q   What was the Fund’s country positioning relative to the Index at the end of the Reporting Period?1

 

     Country Name   Fund      Index  
  U.S.     62.07      58.07
  U.K.     10.31        3.59  
  Australia     5.81        4.75  
  France     5.11        1.18  
  Spain     3.97        1.83  
  Japan     2.87        6.59  
  Italy     2.33        0.60  
  Germany     1.71        1.10  
  Canada     1.51        5.49  
  Thailand     1.28        1.03  
  Netherlands     1.19        0.29  
  Denmark     0.77        0.00  
    Cash     1.08        0.00  

 

  1    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 FTSE Russell Group. The Fund’s composition may differ over time. Consequently, the Fund’s overall country and 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. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

18


FUND BASICS

 

Goldman Sachs Future Real Estate and Infrastructure Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023  
  Market Price1   $ 32.19  
    Net Asset Value (NAV)1   $ 32.32  

 

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

 

 

  TOP TEN HOLDINGS AS OF 8/31/232
     Holding   % of Net Assets        Line of Business      Country
  Prologis, Inc. REIT     5.6      Real Estate      United States
  Transurban Group     4.3        Industrials      Australia
  National Grid PLC     4.1        Utilities      United Kingdom
  NextEra Energy, Inc.     3.9        Utilities      United States
  Equinix, Inc. REIT     3.7        Real Estate      United States
  American Tower Corp. REIT     3.7        Real Estate      United States
  AvalonBay Communities, Inc. REIT     2.8        Real Estate      United States
  Alexandria Real Estate Equities, Inc. REIT     2.8        Real Estate      United States
  Welltower, Inc. REIT     2.7        Real Estate      United States
    Digital Realty Trust, Inc. REIT     2.6        Real Estate      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.

 

19


GOLDMAN SACHS FUTURE REAL ESTATE AND INFRASTRUCTURE 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 9, 2021 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the 50% FTSE Global Core Infrastructure 50/50 Index and 50% FTSE EPRA Nareit Developed Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Certain factors may affect Fund performance including, but not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Future Real Estate and Infrastructure Equity ETF’s Lifetime Performance   

Performance of a $10,000 Investment, with distributions reinvested, from November 9, 2021 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      1 Year Return      Since Inception

Shares based on NAV (Commenced November 9, 2021)

     -3.77%      -9.66%

 

Shares based on Market Price (Commenced November 9, 2021)

     -4.15%      -9.86%

 

50% FTSE Global Core Infrastructure 50/50 Index and 50% FTSE EPRA Nareit Developed Index

     -5.10%      -7.13%

 

 

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

 

20


PORTFOLIO RESULTS

 

Goldman Sachs Future Tech Leaders Equity ETF

 

Investment Objective

The Goldman Sachs Future Tech Leaders Equity ETF (the “Fund”) seeks long-term growth of capital.

Portfolio Management Discussion and Analysis

Effective June 1, 2023, the Fund’s secondary benchmark changed from the custom MSCI ACWI Select Information Technology + Communication Services + Internet & Direct Marketing Retail (Excluding >$100B Market Capitalization) Index to the custom MSCI ACWI Select Information Technology + Communication Services (excluding >$100B Market Cap) Index. Below, the Goldman Sachs Fundamental Equity 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 4.05% based on net asset value (“NAV”) and 4.09% based on market price. The Fund’s primary benchmark, the MSCI All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”), returned 13.95% during the same period. The Fund’s new secondary benchmark, which returned 10.12% during the Reporting Period, is comprised of those companies classified within the information technology sector and communication services sector within the MSCI ACWI Index and excludes companies with a market capitalization more than $100 billion.

 

  

The Fund had an NAV of $24.12 per share on August 31, 2022 and ended the Reporting Period with an NAV of $25.09 per share. The Fund’s market price on August 31, 2023 was $25.06 per share.

 

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

 

A   The Fund is an actively managed exchange-traded fund (“ETF”) that seeks long-term growth of capital by investing in companies that, at the time a given investment is first added to the Fund’s portfolio, are driving technological innovation or benefiting from the enablement of technology and have the potential to grow their business over many years.

 

  

During the Reporting Period, the Fund recorded a positive absolute return, as global information technology stocks

  advanced. The gains were driven primarily by rising investor enthusiasm around generative artificial intelligence (“AI”) as well as by resilient fundamentals and corporate earnings. Easing market concerns about interest rates provided an additional tailwind for the sector overall and for large-cap and mid-cap companies in particular. Investors continued to focus on identifying early winners among semiconductor companies and public cloud companies that offered technologies critical for the buildout of AI. (A public cloud company provides computing resources to users over the public internet.) Moreover, multiple compression during 2022 appeared to have created compelling investment opportunities across the information technology sector, though stock dispersion continued to be a factor. (Multiple compression is when a company’s multiples, such as the price/earnings ratio, is reduced due to increased earnings without an increase in stock price. Stock dispersion is a measure of how much a stock’s return differs from the market average; the higher the dispersion, the riskier the investment is considered.)

 

  

On a relative basis, the Fund underperformed the MSCI ACWI Index during the Reporting Period. The underperformance can be attributed to persistent inflation, elevated interest rates, recessionary concerns and China’s weaker than market expected economic recovery. Overall, growth stocks tend to be sensitive to interest rate movements, and as interest rates rose during the Reporting Period, investors seemed to retreat from more growth-oriented sectors into more value- and defensive-oriented sectors. This trend was exacerbated by sticky inflation data that heightened investors’ recessionary concerns, further increasing the appeal of more defensive positioning. Additionally, investors may have been discouraged by the weak macroeconomic recovery in China following the reopening of that country’s economy. Lastly, large-cap equities broadly outperformed equities further down the market capitalization spectrum, which benefited market-cap weighted indices and contributed to the relative

 

21


PORTFOLIO RESULTS

 

  underperformance of the Fund, which focuses on small-cap and mid-cap equities.

 

  

From a sector perspective, the Fund’s overweight compared to the MSCI ACWI Index in information technology hurt relative performance the most, with exposure to China a notable detractor. The Fund benefited from stock selection and an underweight position in the consumer discretionary sector.

 

  

As for countries, stock selection in the U.S., along with an overweight position in China, detracted from the Fund’s relative returns during the Reporting Period. The Fund’s lack of exposure to large-cap and mega-cap U.S. stocks was the primary driver of its relative underperformance. On the positive side, the Fund was helped by stock selection in Taiwan and by an overweight allocation versus the MSCI ACWI Index to Argentina.

 

Q   Which individual stock positions detracted most from the Fund’s relative returns during the Reporting Period?

 

A   During the Reporting Period, the Fund was hindered by its exposure to U.S.-based BILL Holdings, a provider of software-as-a-service, cloud-based payments, and spending and expense management products; NVIDIA, a U.S. supplier of AI hardware and software; and Silergy, a China-headquartered semiconductor manufacturer (0.00%,1 0.00% and 0.86% of Fund net assets as of August 31, 2023, respectively.) All three stocks posted single-digit negative returns within the MSCI ACWI Index during the Reporting Period.

 

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

 

A   Compared to the Index, the Fund benefited most from its exposure to HubSpot, a U.S. provider of cloud-based marketing, sales and consumer services platforms; AppLovin, a creator of software platforms for mobile application developers to enhance the marketing and monetization of their applications; and MercadoLibre, an Argentina-based operator of online marketplaces dedicated to e-commerce and online auctions (2.76%, 2.11% and 2.57% of Fund net assets as of August 31, 2023, respectively). During the Reporting Period, HubSpot recorded a single-digit positive return with the MSCI ACWI Index. AppLovin and MercadoLibre each recorded a modest positive return within the MSCI ACWI Index during the Reporting Period.

 

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

 

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

 

Q   Were there any changes to the Fund’s portfolio management team during the Reporting Period?

 

A   There were no changes to the Fund’s portfolio management team during the Reporting Period.

 

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

 

     Sector Name   Fund      MSCI ACWI
Index
 
  Information Technology     71.14      22.06
  Communication Services     12.34        7.51  
  Consumer Discretionary     5.41        11.32  
  Financials     3.81        15.42  
  Industrials     3.46        10.45  
  Real Estate     1.43        2.33  
  Health Care     1.02        11.76  
  Consumer Staples     0.00        7.15  
  Energy     0.00        4.90  
  Materials     0.00        4.48  
  Utilities     0.00        2.63  
    Cash     1.39        0.00  

 

  1    Some weights are 0.00% at August 31, 2023 either because those positions were eliminated during the most recent rebalance given the Index construction methodology or were not held at all during the Reporting Period as they did not meet the Fund’s investment criteria.

 

 

22


PORTFOLIO RESULTS

 

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

 

     Country Name   Fund      MSCI ACWI
Index
 
  U.S.     61.10      62.21
  Taiwan     9.81        1.56  
  China     9.62        3.10  
  Japan     6.68        5.49  
  Argentina     2.57        0.10  
  Netherlands     2.47        1.06  
  Spain     1.70        0.63  
  Germany     1.47        2.06  
  South Korea     1.39        1.27  
  Australia     1.20        1.82  
  Singapore     0.58        0.34  
  Austria     0.00        0.04  
  Belgium     0.00        0.23  
  Brazil     0.00        0.55  
  Canada     0.00        2.82  
  Chile     0.00        0.05  
  Colombia     0.00        0.01  
  Czech Republic     0.00        0.02  
  Denmark     0.00        0.78  
  Egypt     0.00        0.01  
  Finland     0.00        0.21  
  France     0.00        2.97  
  Greece     0.00        0.05  
  Hong Kong     0.00        0.57  
  Hungary     0.00        0.03  
  India     0.00        1.54  
  Indonesia     0.00        0.21  
  Ireland     0.00        0.50  
  Israel     0.00        0.16  
  Italy     0.00        0.63  
  Kuwait     0.00        0.09  
  Malaysia     0.00        0.15  
  Mexico     0.00        0.29  
  New Zealand     0.00        0.05  
  Norway     0.00        0.16  
  Peru     0.00        0.03  
  Philippines     0.00        0.06  
  Poland     0.00        0.09  
  Portugal     0.00        0.05  
  Qatar     0.00        0.09  
  Saudi Arabia     0.00        0.44  
  South Africa     0.00        0.33  
  Sweden     0.00        0.75  
  Switzerland     0.00        2.45  
  Thailand     0.00        0.21  
  Turkey     0.00        0.07  
  United Arab Emirates     0.00        0.14  
    U.K.     0.00        3.53  

 

  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 country and 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. Investments in the securities lending vehicle represented 0.00% 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.

 

23


FUND BASICS

 

Goldman Sachs Future Tech Leaders Equity ETF

as of August 31, 2023

 

  FUND SNAPSHOT

 

     As of August 31, 2023       
  Market Price1   $ 25.06  
    Net Asset Value (NAV)1   $ 25.09  

 

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

 

  TOP TEN HOLDINGS AS OF 8/31/232

 

         
     Holding   % of Net Assets        Line of Business      Country
  Workday, Inc., Class A     3.3      Information Technology      United States
  KLA Corp.     3.1        Information Technology      United States
  Marvell Technology, Inc.     3.0        Information Technology      United States
  Motorola Solutions, Inc.     2.8        Information Technology      United States
  HubSpot, Inc.     2.8        Information Technology      United States
  Datadog, Inc., Class A     2.6        Information Technology      United States
  MercadoLibre, Inc.     2.6        Consumer Discretionary      Brazil
  NetEase, Inc.     2.4        Communication Services      China
  United Microelectronics Corp.     2.3        Information Technology      Taiwan
    Dynatrace, Inc.     2.3        Information Technology      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.

 

24


GOLDMAN SACHS FUTURE TECH LEADERS 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 14, 2021 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI ACWI Index, and the Fund’s secondary custom benchmark, MSCI ACWI Select Information Technology + Communication Services (excluding >$100B Market Cap) Index, 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. Certain factors may affect Fund performance including, but not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

Goldman Sachs Future Tech Leaders Equity ETF’s Lifetime Performance   

Performance of a $10,000 Investment, with distributions reinvested, from September 14, 2021 through August 31, 2023.

 

 

LOGO

 

Average Annual Total Return through August 31, 2023*      1 Year Return      Since Inception

Shares based on NAV (Commenced September 14, 2021)

     4.05%      -21.37%

 

Shares based on Market Price (Commenced September 14, 2021)

     4.09%      -21.42%

 

MSCI ACWI Index

     13.95%      -1.76%

 

MSCI ACWI Select Information Technology + Communication Services (excluding >$100B Market Cap) Index

     10.12%      -11.18%

 

 

*   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 at 4:00 pm EST and do not reflect the returns you would receive if you traded shares at other times. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.

 

25


FUND BASICS

 

Index Definitions and Industry Terms

 

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

Goldman Sachs Future Consumer Equity ETF

MSCI ACWI Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across 23 developed markets and 24 emerging markets countries.

Goldman Sachs Future Health Care ETF

MSCI ACWI Health Care Index includes large and mid cap securities across 23 developed markets and 24 emerging markets countries.

Goldman Sachs Future Planet Equity ETF

MSCI ACWI Index captures large, mid and small cap representation across 23 developed markets and 24 emerging markets countries.

Goldman Sachs Future Real Estate and Infrastructure Equity ETF

50% FTSE Global Core Infrastructure 50/50 Index give participants an industry-defined interpretation of infrastructure and adjust the exposure to certain infrastructure sub-sectors.

50% FTSE EPRA Nareit Developed Index is designed to represent general trends in eligible real estate equities worldwide.

Goldman Sachs Future Tech Leaders Equity ETF

MSCI ACWI Index captures large, mid and small cap representation across 23 developed markets and 24 emerging markets countries.

 

MSCI ACWI Select Information Technology + Communication Services (excluding >$100B Market Cap) Index is comprised of those companies classified within the Information Technology sector and Communication Services sector within the MSCI ACWI Index and excludes companies with a market capitalization over $100 billion.

 

26


GOLDMAN SACHS FUTURE CONSUMER EQUITY ETF

 

Schedule of Investments

August 31, 2023

 

Shares     Description  
Value
 
Common Stocks – 99.4%  
Communication Services – 30.4%  
  80,378     Alphabet, Inc., Class C*   $ 11,039,918  
  82,112     Bumble, Inc., Class A*     1,377,839  
  47,131     CTS Eventim AG & Co. KGaA (Germany)     2,941,335  
  25,726     Electronic Arts, Inc.     3,086,606  
  44,783     Live Nation Entertainment, Inc.*     3,785,507  
  26,942     Meta Platforms, Inc., Class A*     7,971,868  
  9,758     NAVER Corp. (South Korea)     1,583,576  
  110,160     NetEase, Inc. (China)     2,301,044  
  20,063     Sea Ltd. ADR (Singapore)*     754,971  
  63,143     Snap, Inc., Class A*     653,530  
  98,247     Tencent Holdings Ltd. (China)     4,071,830  
  32,633     T-Mobile US, Inc.*     4,446,246  
  41,678     Walt Disney Co. (The)*     3,487,615  
   

 

 

 
      47,501,885  

 

 

 
Consumer Discretionary – 26.6%  
  87,256     Amazon.com, Inc.*     12,042,201  
  23,781     Basic-Fit NV (Netherlands)*(a)     726,830  
  10,415     Etsy, Inc.*     766,231  
  158,716     Farfetch Ltd., Class A (United Kingdom)*(b)     452,341  
  44,629     Foot Locker, Inc.     875,621  
  5,929     LVMH Moet Hennessy Louis Vuitton SE (France)     5,033,490  
  201,194     Meituan, Class B (China)*(a)     3,296,895  
  2,028     MercadoLibre, Inc. (Brazil)*     2,783,146  
  56,961     Moncler SpA (Italy)     3,872,570  
  44,026     NIKE, Inc., Class B     4,477,884  
  660,939     Samsonite International SA*(a)     2,212,472  
  241,626     Shenzhou International Group Holdings Ltd. (China)     2,480,428  
  5,901     Ulta Beauty, Inc.*     2,449,092  
   

 

 

 
      41,469,201  

 

 

 
Consumer Staples – 5.5%  
  866,367     Budweiser Brewing Co. APAC Ltd. (China)(a)     1,878,183  
  372,560     Davide Campari-Milano NV (Italy)     4,880,602  
  6,735     Oddity Tech Ltd., Class A (Israel)*(b)     280,109  
  103,068     Proya Cosmetics Co. Ltd., Class A (China)     1,582,448  
   

 

 

 
      8,621,342  

 

 

 
Financials – 5.9%  
  1,553     Adyen NV (Netherlands)*(a)     1,302,087  
  19,140     Mastercard, Inc., Class A     7,897,929  
   

 

 

 
      9,200,016  

 

 

 
Health Care – 1.3%  
  12,526     Illumina, Inc.*     2,069,546  

 

 

 
Industrials – 2.5%  
  113,138     Experian PLC     3,959,684  

 

 

 
Common Stocks – (continued)  
Information Technology – 14.2%  
  19,643     Apple, Inc.   3,690,330  
  745,725     Locaweb Servicos de Internet SA (Brazil)(a)     1,064,902  
  58,835     MediaTek, Inc. (Taiwan)     1,302,456  
  19,322     NVIDIA Corp.     9,536,373  
  384,742     Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan)     6,632,546  
   

 

 

 
      22,226,607  

 

 

 
Materials – 4.5%  
  63,658     Ball Corp.     3,466,178  
  38,252     DSM-Firmenich AG (Switzerland)     3,535,157  
   

 

 

 
      7,001,335  

 

 

 
Real Estate – 3.0%  
  25,964     American Tower Corp. REIT     4,707,792  

 

 

 
Utilities – 5.5%  
  184,890     EDP Renovaveis SA (Spain)     3,392,333  
  76,521     NextEra Energy, Inc.     5,111,603  
   

 

 

 
      8,503,936  

 

 

 
  TOTAL COMMON STOCKS  
  (Cost $161,557,638)   $ 155,261,344  

 

 

 
 
TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE
 
 
  (Cost $161,557,638)   $ 155,261,344  

 

 

 

 

Shares  

Dividend

Rate

    Value  
Securities Lending Reinvestment Vehicle – 0.5%(c)  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

747,637     5.234   $ 747,637  
(Cost $747,637)

 

 

 

 
TOTAL INVESTMENTS – 99.9%

 

(Cost $162,305,275)

 

  $ 156,008,981  

 

 
OTHER ASSETS IN EXCESS OF
 LIABILITIES – 0.1%

 

    199,549  

 

 
NET ASSETS – 100.0%

 

  $ 156,208,530  

 

 

 

The accompanying notes are an integral part of these financial statements.   27


GOLDMAN SACHS FUTURE CONSUMER EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2023

 

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

*

  Non-income producing security.

(a)

 

Exempt from registration under Rule 144A of the Securities Act

of 1933.

(b)

  All or a portion of security is on loan.

(c)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

PLC

 

—Public Limited Company

REIT

 

—Real Estate Investment Trust

 

 

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


GOLDMAN SACHS FUTURE HEALTH CARE EQUITY ETF

 

Schedule of Investments

August 31, 2023

 


Shares
    Description   Value  
Common Stocks – 98.3%  
Denmark – 1.7%  
  51,327     Genmab A/S ADR (Health Care)*   $ 1,965,311  

 

 

 
France – 0.6%  
  2,411     Sartorius Stedim Biotech (Health Care)     685,858  

 

 

 
Italy – 1.1%  
  37,056     Stevanato Group SpA (Health Care)     1,187,274  

 

 

 
Japan – 6.0%  
  115,978     Chugai Pharmaceutical Co. Ltd. (Health Care)     3,550,599  
  18,565     Hoya Corp. (Health Care)     2,060,086  
  60,307     Kyowa Kirin Co. Ltd. (Health Care)     1,106,225  
   

 

 

 
      6,716,910  

 

 

 
Netherlands – 1.0%  
  2,227     Argenx SE ADR (Health Care)*     1,119,045  

 

 

 
Switzerland – 0.8%  
  1,625     Lonza Group AG (Health Care)     899,477  

 

 

 
United Kingdom – 5.3%  
  41,396     AstraZeneca PLC (Health Care)     5,592,750  
  108,317     Oxford Nanopore Technologies PLC (Health Care)*     326,664  
   

 

 

 
      5,919,414  

 

 

 
United States – 81.8%  
  87,574     2seventy bio, Inc. (Health Care)*     454,509  
  6,932     Agilent Technologies, Inc. (Health Care)     839,257  
  15,965     Alexandria Real Estate Equities, Inc. REIT (Real Estate)     1,857,368  
  4,597     Align Technology, Inc. (Health Care)*     1,701,534  
  8,456     Alnylam Pharmaceuticals, Inc. (Health Care)*     1,672,766  
  10,722     Axonics, Inc. (Health Care)*     614,371  
  13,043     Beam Therapeutics, Inc. (Health Care)*     302,337  
  14,487     Biogen, Inc. (Health Care)*     3,873,244  
  35,133     BioMarin Pharmaceutical, Inc. (Health Care)*     3,210,453  
  113,839     Boston Scientific Corp. (Health Care)*     6,140,476  
  52,004     Bristol-Myers Squibb Co. (Health Care)     3,206,047  
  8,216     Cooper Cos., Inc. (The) (Health Care)     3,039,838  
  18,054     CSL Ltd. (Health Care)     3,198,298  
  6,358     Cytokinetics, Inc. (Health Care)*     222,148  
  9,119     Danaher Corp. (Health Care)     2,416,535  
  32,623     Dexcom, Inc. (Health Care)*     3,294,271  
  25,867     Edwards Lifesciences Corp. (Health Care)*     1,978,049  
  15,872     Eli Lilly & Co. (Health Care)     8,796,262  
  25,262     Exact Sciences Corp. (Health Care)*     2,113,672  
  42,258     Gilead Sciences, Inc. (Health Care)     3,231,892  
  34,086     Halozyme Therapeutics, Inc. (Health Care)*     1,450,700  
  3,250     IDEXX Laboratories, Inc. (Health Care)*     1,662,082  
  12,760     Illumina, Inc. (Health Care)*     2,108,207  
  13,599     Insulet Corp. (Health Care)*     2,607,064  

 

 

 
Common Stocks – (continued)  
United States – (continued)  
  18,051     Intuitive Surgical, Inc. (Health Care)*   $ 5,644,187  
  3,852     iRhythm Technologies, Inc. (Health Care)*     398,181  
  2,088     Mettler-Toledo International, Inc. (Health Care)*     2,533,746  
  7,676     MoonLake Immunotherapeutics (Health Care)*     441,907  
  26,683     Neurocrine Biosciences, Inc. (Health Care)*     2,905,512  
  13,599     Novanta, Inc. (Information Technology)*     2,270,761  
  13,366     Sarepta Therapeutics, Inc. (Health Care)*     1,617,420  
  16,334     Seagen, Inc. (Health Care)*     3,365,947  
  3,251     Shockwave Medical, Inc. (Health Care)*     716,488  
  15,916     Ultragenyx Pharmaceutical, Inc. (Health Care)*     585,550  
  12,388     Veeva Systems, Inc., Class A (Health Care)*     2,585,376  
  6,825     West Pharmaceutical Services, Inc. (Health Care)     2,777,092  
  24,799     Zimmer Biomet Holdings, Inc. (Health Care)     2,954,057  
  13,968     Zoetis, Inc. (Health Care)     2,661,044  
   

 

 

 
      91,448,648  

 

 

 
  TOTAL INVESTMENTS – 98.3%  
  (Cost $109,924,337)   $ 109,941,937  

 

 

 
 
OTHER ASSETS IN EXCESS OF
 LIABILITIES – 1.7%
    1,898,708  

 

 

 
  NET ASSETS – 100.0%   $ 111,840,645  

 

 

 

 

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

*

  Non-income producing security.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

PLC

 

—Public Limited Company

REIT

 

—Real Estate Investment Trust

 

The below table represents the sector breakdown of investments as a percentage of total market value of the Fund.

 

Sector Name   % of Market
Value
 

 

 

Health Care

    96.2

Information Technology

    2.1  

Real Estate

    1.7  

 

 
TOTAL INVESTMENTS     100.0

 

 

 

The accompanying notes are an integral part of these financial statements.   29


GOLDMAN SACHS FUTURE PLANET EQUITY ETF

 

Schedule of Investments

August 31, 2023

 

Shares    
Description
  Value  
Common Stocks – 96.6%  
Australia – 0.0%  
  590,949     Carbon Revolution Ltd. (Consumer Discretionary)*   $ 65,064  

 

 

 
Belgium – 1.0%  
  55,405     Umicore SA (Materials)     1,471,475  

 

 

 
China – 4.5%  
  149,788     Contemporary Amperex Technology Co. Ltd., Class A (Industrials)     4,868,084  
  1,803,246     Xinyi Solar Holdings Ltd. (Information Technology)     1,506,202  
   

 

 

 
      6,374,286  

 

 

 
Denmark – 4.5%  
  39,008     Chr Hansen Holding A/S (Materials)     2,552,836  
  50,642     Novozymes A/S, Class B (Materials)     2,201,361  
  25,045     Orsted AS (Utilities)(a)     1,613,877  
   

 

 

 
      6,368,074  

 

 

 
France – 1.0%  
  40,181     Imerys SA (Materials)     1,371,985  

 

 

 
Germany – 3.1%  
  125,075     Infineon Technologies AG (Information Technology)     4,481,793  

 

 

 
Ireland – 2.7%  
  44,740     Kingspan Group PLC (Industrials)     3,791,453  

 

 

 
Italy – 4.2%  
  893,357     Enel SpA (Utilities)     6,021,249  

 

 

 
Japan – 9.9%  
  21,953     Daikin Industries Ltd. (Industrials)     3,803,719  
  51,175     Horiba Ltd. (Information Technology)     2,665,171  
  7,306     Keyence Corp. (Information Technology)     3,037,120  
  73,110     Kurita Water Industries Ltd. (Industrials)     2,853,894  
  34,111     NIDEC Corp. (Industrials)     1,788,200  
   

 

 

 
      14,148,104  

 

 

 
Netherlands – 1.8%  
  62,169     Aalberts NV (Industrials)     2,591,720  

 

 

 
Norway – 0.8%  
  975,479     Aker Carbon Capture ASA (Industrials)*     1,129,804  
  146,428     Circa Group AS (Materials)*     55,063  
   

 

 

 
      1,184,867  

 

 

 
Spain – 4.0%  
  477,155     Iberdrola SA (Utilities)     5,675,968  

 

 

 
Sweden – 0.4%  
  62,049     Re:NewCell AB (Materials)*(b)     524,163  

 

 

 
Switzerland – 7.9%  
  77,980     ABB Ltd. (Industrials)     2,974,408  
  57,867     DSM-Firmenich AG (Materials)     5,347,928  

 

 

 
Common Stocks – (continued)  
Switzerland – (continued)  
  10,213     Sika AG (Materials)   2,895,370  
   

 

 

 
      11,217,706  

 

 

 
Taiwan – 2.0%  
  268,299     Delta Electronics, Inc. (Information Technology)     2,914,966  

 

 

 
United Kingdom – 3.2%  
  1,141,063     DS Smith PLC (Materials)     4,515,543  

 

 

 
United States – 45.6%  
  9,537     Albemarle Corp. (Materials)     1,895,097  
  25,970     Aptiv PLC (Consumer Discretionary)*     2,634,657  
  76,300     Ball Corp. (Materials)     4,154,535  
  140,905     Bloom Energy Corp., Class A (Industrials)*     2,112,166  
  19,730     Danaher Corp. (Health Care)     5,228,450  
  53,300     Danimer Scientific, Inc. (Materials)*(b)     103,935  
  47,437     Darling Ingredients, Inc. (Consumer Staples)*     2,929,709  
  46,642     DocuSign, Inc. (Information Technology)*     2,346,093  
  24,899     Ecolab, Inc. (Materials)     4,576,685  
  54,446     Energy Recovery, Inc. (Industrials)*     1,479,842  
  39,061     Itron, Inc. (Information Technology)*     2,672,163  
  66,844     NextEra Energy, Inc. (Utilities)     4,465,179  
  107,862     Nuvve Holding Corp. (Industrials)*     52,745  
  377,706     Oatly Group AB ADR (Consumer Staples)*(b)     464,578  
  27,845     Schneider Electric SE (Industrials)     4,792,538  
  128,687     Shoals Technologies Group, Inc., Class A (Industrials)*     2,532,560  
  17,345     SolarEdge Technologies, Inc. (Information Technology)*     2,819,777  
  15,864     Trane Technologies PLC (Industrials)     3,256,245  
  19,926     Waste Connections, Inc. (Industrials)     2,729,663  
  30,413     Waste Management, Inc. (Industrials)     4,768,150  
  114,135     Westrock Co. (Materials)     3,733,356  
  24,681     Wolfspeed, Inc. (Information Technology)*     1,180,245  
  38,643     Xylem, Inc. (Industrials)     4,001,096  
   

 

 

 
      64,929,464  

 

 

 
 
TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE
 
 
  (Cost $171,789,377)   $ 137,647,880  

 

 

 

 

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


GOLDMAN SACHS FUTURE PLANET EQUITY ETF

 

 

 

Shares   Dividend
Rate
    Value  
Securities Lending Reinvestment Vehicle – 0.8%(c)  

Goldman Sachs Financial Square Government Fund – Institutional Shares

 

1,110,381     5.234   $ 1,110,381  
(Cost $1,110,381)

 

 

 

 
TOTAL INVESTMENTS – 97.4%

 

(Cost $172,899,758)

 

  $ 138,758,261  

 

 
OTHER ASSETS IN EXCESS OF  LIABILITIES – 2.6%

 

    3,711,632  

 

 
NET ASSETS – 100.0%

 

  $ 142,469,893  

 

 

 

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

*

  Non-income producing security.

(a)

 

Exempt from registration under Rule 144A of the Securities Act

of 1933.

(b)

  All or a portion of security is on loan.

(c)

  Represents an affiliated issuer.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

PLC

 

—Public Limited Company

 

The below table represents the sector breakdown of investments as a percentage of total market value of the Fund.

 

Sector Name   % of Market
Value
 

 

 

Industrials

    35.7

Materials

    25.5  

Information Technology

    17.0  

Utilities

    12.8  

Health Care

    3.8  

Consumer Staples

    2.5  

Consumer Discretionary

    1.9  

Securities Lending Reinvestment Vehicle

    0.8  

 

 
TOTAL INVESTMENTS     100.0

 

 

 

The accompanying notes are an integral part of these financial statements.   31


GOLDMAN SACHS FUTURE REAL ESTATE AND INFRASTRUCTURE EQUITY ETF

 

Schedule of Investments

August 31, 2023

 


Shares
    Description   Value  
Common Stocks – 98.8%  
Communication Services – 2.2%  
  13,217     Cellnex Telecom SA (Spain)*(a)   $ 506,381  

 

 

 
Energy – 2.3%  
  3,264     Cheniere Energy, Inc.     532,685  

 

 

 
Health Care – 1.5%  
  46,566     Chartwell Retirement Residences (Canada)     353,474  

 

 

 
Industrials – 13.5%  
  144,950     Airports of Thailand PCL NVDR (Thailand)*     300,103  
  134,630     Enav SpA (Italy)(a)     544,154  
  13,296     Ferrovial SE     422,101  
  2,106     Norfolk Southern Corp.     431,751  
  117,285     Transurban Group (Australia)     1,007,225  
  4,189     Vinci SA (France)     468,111  
   

 

 

 
      3,173,445  

 

 

 
Materials – 1.2%  
  763     Linde PLC     295,311  

 

 

 
Real Estate – 53.3%  
  5,626     Alexandria Real Estate Equities, Inc. REIT     654,529  
  10,068     American Homes 4 Rent, Class A REIT     362,851  
  4,781     American Tower Corp. REIT     866,891  
  3,590     AvalonBay Communities, Inc. REIT     659,914  
  27,467     Big Yellow Group PLC REIT (United Kingdom)     374,152  
  19,516     CTP NV (Netherlands)(a)     277,480  
  4,692     Digital Realty Trust, Inc. REIT     618,030  
  1,116     Equinix, Inc. REIT     872,020  
  8,970     Equity LifeStyle Properties, Inc. REIT     600,631  
  3,309     Extra Space Storage, Inc. REIT     425,802  
  23,340     Goodman Group REIT (Australia)     353,113  
  68     Hoshino Resorts REIT, Inc. REIT (Japan)     292,860  
  14,375     Invitation Homes, Inc. REIT     490,044  
  188     Nippon Prologis REIT, Inc. REIT (Japan)     378,234  
  10,495     Prologis, Inc. REIT     1,303,479  
  847     Public Storage REIT     234,094  
  2,611     SBA Communications Corp. REIT     586,248  
  45,779     Segro PLC REIT (United Kingdom)     427,758  
  6,761     Terreno Realty Corp. REIT     411,677  
  32,429     UNITE Group PLC (The) REIT (United Kingdom)     386,474  
  7,571     Ventas, Inc. REIT     330,701  
  18,101     VICI Properties, Inc. REIT     558,235  
  16,710     Vonovia SE (Germany)     400,992  
  7,484     Welltower, Inc. REIT     620,274  
   

 

 

 
      12,486,483  

 

 

 
Utilities – 24.8%  
  15,571     AES Corp. (The)     279,188  
  4,140     Ameren Corp.     328,178  
  2,893     American Water Works Co., Inc.     401,375  
  8,020     CMS Energy Corp.     450,644  

 

 

 
Common Stocks – (continued)  
Utilities – (continued)  
  22,369     Engie SA (France)   $ 361,502  
  6,307     Eversource Energy     402,513  
  76,120     National Grid PLC (United Kingdom)     955,103  
  13,568     NextEra Energy, Inc.     906,342  
  2,784     Orsted AS (Denmark)(a)     179,398  
  8,848     Severn Trent PLC (United Kingdom)     269,082  
  11,676     Veolia Environnement SA (France)     365,730  
  5,423     WEC Energy Group, Inc.     456,183  
  7,831     Xcel Energy, Inc.     447,385  
   

 

 

 
      5,802,623  

 

 

 
  TOTAL INVESTMENTS – 98.8%  
  (Cost $25,754,590)   $ 23,150,402  

 

 

 
 
OTHER ASSETS IN EXCESS OF
 LIABILITIES – 1.2%
    279,643  

 

 

 
  NET ASSETS – 100.0%   $ 23,430,045  

 

 

 

 

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

*

  Non-income producing security.

(a)

  Exempt from registration under Rule 144A of the Securities Act of 1933.

 

 

Investment Abbreviations:

NVDR

 

—Non-Voting Depository Receipt

PLC

 

—Public Limited Company

REIT

 

—Real Estate Investment Trust

 

 

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


GOLDMAN SACHS FUTURE TECH LEADERS EQUITY ETF

 

Schedule of Investments

August 31, 2023

 

Shares     Description  
Value
 
Common Stocks – 98.6%  
Communication Services – 12.3%  
  113,804     Cellnex Telecom SA (Spain)*(a)   $ 4,360,157  
  30,355     Electronic Arts, Inc.     3,641,993  
  80,551     Match Group, Inc.*     3,775,425  
  21,972     NAVER Corp. (South Korea)     3,565,723  
  292,774     NetEase, Inc. (China)     6,115,520  
  39,296     Sea Ltd. ADR (Singapore)*     1,478,709  
  316,886     Snap, Inc., Class A*     3,279,770  
  66,994     Trade Desk, Inc. (The), Class A*     5,361,530  
   

 

 

 
      31,578,827  

 

 

 
Consumer Discretionary – 5.4%  
  30,503     Etsy, Inc.*     2,244,106  
  4,785     MercadoLibre, Inc. (Brazil)*     6,566,742  
  60,713     Mobileye Global, Inc., Class A (Israel)*     2,155,919  
  72,680     Trip.com Group Ltd. (China)*     2,867,624  
   

 

 

 
      13,834,391  

 

 

 
Financials – 3.8%  
  3,232     Adyen NV (Netherlands)*(a)     2,709,816  
  81,612     Fidelity National Information Services, Inc.     4,558,846  
  15,868     Jack Henry & Associates, Inc.     2,487,785  
   

 

 

 
      9,756,447  

 

 

 
Health Care – 1.0%  
  23,488     Hoya Corp. (Japan)     2,606,372  

 

 

 
Industrials – 3.5%  
  29,052     Booz Allen Hamilton Holding Corp.     3,291,882  
  154,057     Daifuku Co. Ltd. (Japan)     2,850,242  
  51,885     NIDEC Corp. (Japan)     2,719,967  
   

 

 

 
      8,862,091  

 

 

 
Information Technology – 71.2%  
  125,052     AppLovin Corp., Class A*     5,404,747  
  23,496     Arista Networks, Inc.*     4,587,124  
  7,489     ASM International NV (Netherlands)     3,618,670  
  15,103     Atlassian Corp., Class A*     3,081,918  
  23,923     Cadence Design Systems, Inc.*     5,752,046  
  12,665     CDW Corp.     2,674,215  
  400,057     Chroma ATE, Inc. (Taiwan)     3,517,371  
  69,224     Datadog, Inc., Class A*     6,678,732  
  483,284     Delta Electronics, Inc. (Taiwan)     5,250,695  
  33,547     DocuSign, Inc.*     1,687,414  
  123,299     Dynatrace, Inc.*     5,943,012  
  16,435     Enphase Energy, Inc.*     2,079,521  
  45,277     Entegris, Inc.     4,585,202  
  50,537     Hamamatsu Photonics KK (Japan)     2,341,743  
  12,905     HubSpot, Inc.*     7,052,841  
  334,740     Hundsun Technologies, Inc., Class A (China)     1,655,649  
  105,255     Infineon Technologies AG (Germany)     3,771,586  
  182,482     Jentech Precision Industrial Co. Ltd. (Taiwan)     3,707,342  
  19,226     Keysight Technologies, Inc.*     2,562,826  
  2,251,304     Kingdee International Software Group Co. Ltd. (China)*     3,479,556  

 

 

 
Common Stocks – (continued)  
Information Technology – (continued)  
  15,734     KLA Corp.   7,896,423  
  426,506     Luxshare Precision Industry Co. Ltd., Class A (China)     1,933,736  
  129,986     Marvell Technology, Inc.     7,571,684  
  162,356     MediaTek, Inc. (Taiwan)     3,594,146  
  66,925     Micron Technology, Inc.     4,680,734  
  46,042     MKS Instruments, Inc.     4,614,790  
  6,958     MongoDB, Inc.*     2,653,085  
  25,127     Motorola Solutions, Inc.     7,125,263  
  47,703     Murata Manufacturing Co. Ltd. (Japan)     2,681,932  
  18,665     Palo Alto Networks, Inc.*     4,541,194  
  40,870     Procore Technologies, Inc.*     2,760,768  
  56,633     RingCentral, Inc., Class A*     1,751,659  
  173,362     Sangfor Technologies, Inc., Class A (China)*     2,598,108  
  6,976     ServiceNow, Inc.*     4,107,678  
  242,868     Silergy Corp. (China)     2,188,721  
  22,091     Snowflake, Inc., Class A*     3,464,973  
  26,265     Tokyo Electron Ltd. (Japan)     3,892,347  
  282,148     UiPath, Inc., Class A*     4,460,760  
  528,806     Unimicron Technology Corp. (Taiwan)     3,080,198  
  4,170,932     United Microelectronics Corp. (Taiwan)     5,959,129  
  948,786     Venustech Group, Inc., Class A (China)     3,803,747  
  314,073     Viavi Solutions, Inc.*     3,282,063  
  34,163     Workday, Inc., Class A*     8,352,854  
  36,107     Zscaler, Inc.*     5,634,497  
   

 

 

 
      182,062,699  

 

 

 
Real Estate – 1.4%  
  16,259     SBA Communications Corp. REIT     3,650,633  

 

 

 
  TOTAL INVESTMENTS – 98.6%  
  (Cost $277,361,998)   $ 252,351,460  

 

 

 
 
OTHER ASSETS IN EXCESS OF
 LIABILITIES – 1.4%
    3,543,914  

 

 

 
  NET ASSETS – 100.0%   $ 255,895,374  

 

 

 

 

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

*

  Non-income producing security.

(a)

  Exempt from registration under Rule 144A of the Securities Act of 1933.

 

 

Investment Abbreviations:

ADR

 

—American Depositary Receipt

REIT

 

—Real Estate Investment Trust

 

 

The accompanying notes are an integral part of these financial statements.   33


GOLDMAN SACHS FUTURE ETFS

 

Statements of Assets and Liabilities

August 31, 2023

 

        Future
Consumer
Equity ETF
     Future
Health Care
Equity ETF
     Future
Planet
Equity ETF
     Future Real
Estate and
Infrastructure
Equity ETF
 
  Assets:

 

 

Investments at value (cost $161,557,638, $109,924,337, $171,789,377 and $25,754,590, respectively)(a)

  $ 155,261,344      $ 109,941,937      $ 137,647,880      $ 23,150,402  
 

Investments in affiliated securities lending reinvestment vehicle, at value which equals cost

    747,637               1,110,381         
 

Cash

    1,172,281        1,616,237        4,680,609        257,425  
 

Foreign currency, at value (cost $885,140, $277,807, $— and $102, respectively)

    874,656        277,467               102  
 

Receivables:

          
 

Dividends

    53,393        70,862        114,450        28,675  
 

Foreign tax reclaims

    18,576        4,596        129,670        8,398  
 

Securities lending income

    1,835        185        3,754         
  Total assets     158,129,722        111,911,284        143,686,744        23,445,002  
            
  Liabilities:           
 

Payables:

          
 

Investments purchased

    1,073,501                       
 

Upon return of securities loaned

    747,637               1,110,381         
 

Management fees

    100,054        70,639        91,931        14,957  
 

Foreign bank overdraft (cost $—, $—, $14,511 and $—, respectively)

                  14,539         
  Total liabilities     1,921,192        70,639        1,216,851        14,957  
            
  Net Assets:           
 

Paid-in capital

    170,684,842        122,408,232        183,841,499        27,868,983  
 

Total distributable loss

    (14,476,312      (10,567,587      (41,371,606      (4,438,938
  NET ASSETS   $ 156,208,530      $ 111,840,645      $ 142,469,893      $ 23,430,045  
  SHARES ISSUED AND OUTSTANDING           
 

Shares outstanding no par value (unlimited shares authorized):

    5,750,000        3,450,000        4,725,000        725,000  
 

Net asset value per share:

    $27.17        $32.42        $30.15        $32.32  

 

  (a)   Includes loaned securities having a market value of $710,435, $—, $1,039,913 and $— for Future Consumer Equity ETF, Future Health Care Equity ETF, Future Planet Equity ETF and Future Real Estate and Infrastructure Equity ETF, respectively.

 

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


GOLDMAN SACHS FUTURE ETFS

 

Statements of Assets and Liabilities (continued)

August 31, 2023

 

       
Future
Tech Leaders
Equity ETF
 
  Assets:  
 

Investments at value (cost $277,361,998)

  $ 252,351,460  
 

Cash

    3,562,663  
 

Receivables:

 
 

Dividends

    110,427  
 

Foreign tax reclaims

    32,619  
  Total assets     256,057,169  
   
  Liabilities:  
 

Payables:

 
 

Management fees

    161,598  
 

Foreign bank overdraft (cost $200)

    197  
  Total liabilities     161,795  
   
  Net Assets:  
 

Paid-in capital

    378,032,778  
 

Total distributable loss

    (122,137,404
  NET ASSETS   $ 255,895,374  
  SHARES ISSUED AND OUTSTANDING  
 

Shares outstanding no par value (unlimited shares authorized):

    10,200,000  
 

Net asset value per share:

    $25.09  

 

The accompanying notes are an integral part of these financial statements.   35


GOLDMAN SACHS FUTURE ETFS

 

Statements of Operations

For the Fiscal Year Ended August 31, 2023

 

        Future
Consumer
Equity ETF
     Future
Health Care
Equity ETF
     Future
Planet
Equity ETF
     Future Real
Estate and
Infrastructure
Equity ETF
 
  Investment income:

 

 

Dividends — unaffiliated issuers (net of foreign withholding taxes of $112,131, $13,160, $326,249 and $90,208, respectively)

  $ 1,073,419      $ 655,503      $ 2,722,301      $ 591,426  
 

Non cash dividend income

    146,738                       
 

Securities lending income, net of rebates received or paid to borrowers—unaffiliated issuer

    16,163        1,646        74,601        2,262  
  Total investment income     1,236,320        657,149        2,796,902        593,688  
            
  Expenses:           
 

Management fees

    840,972        775,714        1,186,549        149,454  
 

Trustee fees

    27,376        27,680        29,190        25,681  
  Total expenses     868,348        803,394        1,215,739        175,135  
  NET INVESTMENT INCOME (LOSS)     367,972        (146,245      1,581,163        418,553  
            
  Realized and unrealized gain (loss):

 

 

Net realized gain (loss) from:

          
 

Investments — unaffiliated issuers

    (5,093,639      (7,593,401      (8,043,524      (1,368,943
 

In-kind redemptions

    1,128,072        1,237,202        2,138,533        3,714  
 

Foreign currency transactions

    (7,327      (1,997      (36,864      5,823  
 

Net change in unrealized gain (loss) on:

          
 

Investments — unaffiliated issuers

    12,121,334        14,700,063        5,734,563        36,048  
 

Foreign currency translations

    (8,491      (186      4,484        3,511  
  Net realized and unrealized gain (loss)     8,139,949        8,341,681        (202,808      (1,319,847
  NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 8,507,921      $ 8,195,436      $ 1,378,355      $ (901,294

 

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


GOLDMAN SACHS FUTURE ETFS

 

Statements of Operations (continued)

For the Fiscal Year Ended August 31, 2023

 

       
Future
Tech Leaders
Equity ETF
 
  Investment income:  
 

Dividends — unaffiliated issuers (net of foreign withholding taxes of $348,407)

  $ 2,257,357  
 

Securities lending income, net of rebates received or paid to borrowers — unaffiliated issuer

    366  
  Total investment income     2,257,723  
   
  Expenses:  
 

Management fees

    1,761,177  
 

Trustee fees

    30,796  
  Total expenses     1,791,973  
  NET INVESTMENT INCOME     465,750  
   
  Realized and unrealized gain (loss):

 

 

Net realized gain (loss) from:

 
 

Investments — unaffiliated issuers

    (64,061,816
 

In-kind redemptions

    1,783,598  
 

Foreign currency transactions

    (36,103
 

Net change in unrealized gain (loss) on:

 
 

Investments — unaffiliated issuers

    74,034,201  
 

Foreign currency translations

    (227
  Net realized and unrealized gain     11,719,653  
  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS   $ 12,185,403  

 

The accompanying notes are an integral part of these financial statements.   37


GOLDMAN SACHS FUTURE ETFS

 

Statements of Changes in Net Assets

 

        Future Consumer Equity ETF           Future Health Care Equity ETF  
        For the Fiscal
Year Ended
August 31, 2023
    For the Period
November 9, 2021
*
to
August 31, 2022
          For the Fiscal
Year Ended
August 31, 2023
    For the Period
November 9, 2021
*
to
August 31, 2022
 
  From operations:

 

     
 

Net investment income (loss)

  $ 367,972     $ 198,811       $ (146,245   $ (162,050
 

Net realized loss

    (3,972,894     (4,106,857       (6,358,196     (2,416,068
 

Net change in unrealized gain (loss)

    12,112,843       (18,419,972             14,699,877       (14,682,986
  Net increase (decrease) in net assets resulting from operations     8,507,921       (22,328,018             8,195,436       (17,261,104
           
  Distributions to shareholders:          
 

From distributable earnings

          (202,678       (102      
 

From return of capital

          (74,347                    
  Total distributions to shareholders           (277,025             (102      
           
  From share transactions:

 

     
 

Proceeds from sales of shares

    61,459,027       120,508,199         12,109,470       129,642,436  
 

Cost of shares redeemed

    (2,758,951     (8,902,623             (10,245,168     (10,600,323
  Net increase in net assets resulting from share transactions     58,700,076       111,605,576               1,864,302       119,042,113  
  TOTAL INCREASE     67,207,997       89,000,533               10,059,636       101,781,009  
           
  Net assets:

 

     
 

Beginning of period

  $ 89,000,533     $             $ 101,781,009     $  
 

End of period

  $ 156,208,530     $ 89,000,533             $ 111,840,645     $ 101,781,009  

 

  *   Commencement of operations.

 

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


GOLDMAN SACHS FUTURE ETFS

 

Statements of Changes in Net Assets (continued)

 

        Future Planet Equity ETF             Future Real Estate and Infrastructure
Equity ETF
 
        For the Fiscal
Year Ended
August 31, 2023
     For the Fiscal
Year Ended
August 31, 2022
            For the Fiscal
Year Ended
August 31, 2023
     For the Period
November 9, 2021
*
to
August 31, 2022
 
  From operations:

 

 

Net investment income

  $ 1,581,163      $ 1,061,992         $ 418,553      $ 276,661  
 

Net realized loss

    (5,941,855      (2,878,218         (1,359,406      (547,285
 

Net change in unrealized gain (loss)

    5,739,047        (42,812,576               39,559        (2,643,761
  Net increase (decrease) in net assets resulting from operations     1,378,355        (44,628,802               (901,294      (2,914,385
               
  Distributions to shareholders:              
 

From distributable earnings

    (617,909      (755,496               (445,287      (211,263
               
  From share transactions:

 

 

Proceeds from sales of shares

    7,651,164        191,443,464           1,628,238        27,100,977  
 

Cost of shares redeemed

    (39,765,858      (32,339,953               (826,941       
  Net increase (decrease) in net assets resulting from share transactions     (32,114,694      159,103,511                 801,297        27,100,977  
  TOTAL INCREASE (DECREASE)     (31,354,248      113,719,213                 (545,284      23,975,329  
               
  Net assets:

 

 

Beginning of period

  $ 173,824,141      $ 60,104,928               $ 23,975,329      $  
 

End of period

  $ 142,469,893      $ 173,824,141               $ 23,430,045      $ 23,975,329  

 

  *   Commencement of operations.

 

The accompanying notes are an integral part of these financial statements.   39


GOLDMAN SACHS FUTURE ETFS

 

Statements of Changes in Net Assets (continued)

 

        Future Tech Leaders Equity ETF  
        For the Fiscal
Year Ended
August 31, 2023
            For the Period
September 14, 2021
*
to
August 31, 2022
 
  From operations:

 

 

Net investment income

  $ 465,750         $ 74,214  
 

Net realized loss

    (62,314,321         (38,383,334
 

Net change in unrealized gain (loss)

    74,033,974                 (99,046,678
  Net increase (decrease) in net assets resulting from operations     12,185,403                 (137,355,798
         
  Distributions to shareholders:        
 

From distributable earnings

    (48,204               (9,965
         
  From share transactions:        
 

Proceeds from sales of shares

    16,960,331           422,677,334  
 

Cost of shares redeemed

    (15,609,588               (42,904,139
  Net increase in net assets resulting from share transactions     1,350,743                 379,773,195  
  TOTAL INCREASE     13,487,942                 242,407,432  
         
  Net assets:

 

 

Beginning of period

  $ 242,407,432               $  
 

End of period

  $ 255,895,374               $ 242,407,432  

 

  *   Commencement of operations.

 

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


GOLDMAN SACHS FUTURE CONSUMER EQUITY ETF

 

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

 

        Future Consumer Equity ETF  
        For the Fiscal
Year Ended
August 31, 2023
    For the Period
November 9, 2021
*
to
August 31, 2022
 
  Per Share Operating Performance:

 

 

Net asset value, beginning of period

  $ 25.43     $ 40.03  
 

Net investment income(a)

    0.08       0.10  
 

Net realized and unrealized gain (loss)

    1.66       (14.62
 

Total gain (loss) from investment operations

    1.74       (14.52
 

Distributions to shareholders from net investment income

          (0.06
 

Distributions to shareholders from return of capital

          (0.02
 

Total distributions to shareholders

          (0.08
 

Net asset value, end of period

  $ 27.17     $ 25.43  
 

Market price, end of period

  $ 27.20     $ 25.30  
  Total Return at Net Asset Value(b)     6.84     (36.28 )% 
 

Net assets, end of period (in 000’s)

  $ 156,209     $ 89,001  
 

Ratio of total expenses to average net assets

    0.75     0.75 %(c) 
 

Ratio of net investment income to average net assets

    0.32     0.46 %(c) 
 

Portfolio turnover rate(d)

    16     24

 

   *   Commencement of operations.
  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete sale of the investment at the net asset value at the end of the period. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the sale of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   Annualized.
  (d)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities received or delivered as a result of in-kind transactions and short-term transactions. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

The accompanying notes are an integral part of these financial statements.   41


GOLDMAN SACHS FUTURE HEALTH CARE EQUITY ETF

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Period

 

        Future Health Care Equity ETF  
        For the Fiscal
Year Ended
August 31, 2023
    For the Period
November 9, 2021
*
to
August 31, 2022
 
  Per Share Operating Performance:    
 

Net asset value, beginning of period

  $ 29.94     $ 39.68  
 

Net investment loss(a)

    (0.04     (0.08
 

Net realized and unrealized gain (loss)

    2.52       (9.66
 

Total gain (loss) from investment operations

    2.48       (9.74
 

Distributions to shareholders from net investment income

    (0.00 )(b)       
 

Net asset value, end of period

  $ 32.42     $ 29.94  
 

Market price, end of period

  $ 32.42     $ 30.00  
  Total Return at Net Asset Value(c)     8.28     (24.55 )% 
 

Net assets, end of period (in 000’s)

  $ 111,841     $ 101,781  
 

Ratio of total expenses to average net assets

    0.75     0.75 %(d) 
 

Ratio of net investment loss to average net assets

    (0.14 )%      (0.33 )%(d) 
 

Portfolio turnover rate(e)

    28     24

 

   *   Commencement of operations.
  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Amount is less than $0.005 per share.
  (c)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete sale of the investment at the net asset value at the end of the period. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the sale of Fund shares. Total returns for periods less than one full year are not annualized.
  (d)   Annualized.
  (e)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities received or delivered as a result of in-kind transactions and short-term transactions. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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


GOLDMAN SACHS FUTURE PLANET EQUITY ETF

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Period

 

        Future Planet Equity ETF  
        For the Fiscal
Year Ended August 31,
    For the Period
July 13, 2021
*
to
August 31, 2021
 
        2023     2022  
  Per Share Operating Performance:

 

 

Net asset value, beginning of period

  $ 30.23     $ 42.18     $ 39.89  
 

Net investment income(a)

    0.30       0.27       0.02  
 

Net realized and unrealized gain (loss)

    (0.27     (12.05     2.27  
 

Total gain (loss) from investment operations

    0.03       (11.78     2.29  
 

Distributions to shareholders from net investment income

    (0.11     (0.17      
 

Net asset value, end of period

  $ 30.15     $ 30.23     $ 42.18  
 

Market price, end of period

  $ 30.11     $ 30.15     $ 42.25  
  Total Return at Net Asset Value(b)     0.13     (27.97 )%      5.74
 

Net assets, end of period (in 000’s)

  $ 142,470     $ 173,824     $ 60,104  
 

Ratio of total expenses to average net assets

    0.75     0.75     0.75 %(c) 
 

Ratio of net investment income to average net assets

    0.97     0.81     0.42 %(c) 
 

Portfolio turnover rate(d)

    20     15     2

 

   *   Commencement of operations.
  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete sale of the investment at the net asset value at the end of the period. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the sale of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   Annualized.
  (d)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities received or delivered as a result of in-kind transactions and short-term transactions. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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


GOLDMAN SACHS FUTURE REAL ESTATE AND INFRASTRUCTURE EQUITY ETF

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Period

 

        Future Real Estate and
Infrastructure Equity ETF
 
        For the Fiscal
Year Ended
August 31, 2023
    For the Period
November 9, 2021
*
to
August 31, 2022
 
  Per Share Operating Performance:    
 

Net asset value, beginning of period

  $ 34.25     $ 40.05  
 

Net investment income(a)

    0.59       0.56  
 

Net realized and unrealized loss

    (1.90     (5.95
 

Total loss from investment operations

    (1.31     (5.39
 

Distributions to shareholders from net investment income

    (0.62     (0.41
 

Net asset value, end of period

  $ 32.32     $ 34.25  
 

Market price, end of period

  $ 32.19     $ 34.25  
  Total Return at Net Asset Value(b)     (3.77 )%      (13.52 )% 
 

Net assets, end of period (in 000’s)

  $ 23,430     $ 23,975  
 

Ratio of total expenses to average net assets

    0.75     0.75 %(c) 
 

Ratio of net investment income to average net assets

    1.79     1.85 %(c) 
 

Portfolio turnover rate(d)

    30     40

 

   *   Commencement of operations.
  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete sale of the investment at the net asset value at the end of the period. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the sale of Fund shares. Total returns for periods less than one full year are not annualized.
  (c)   Annualized.
  (d)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities received or delivered as a result of in-kind transactions and short-term transactions. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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


GOLDMAN SACHS FUTURE TECH LEADERS EQUITY ETF

 

Financial Highlights (continued)

Selected Data for a Share Outstanding Throughout Each Period

 

        Future Tech Leaders Equity ETF  
        For the Fiscal
Year Ended
August 31, 2023
    For the Period
September 14, 2021
*
to
August 31, 2022
 
  Per Share Operating Performance:    
 

Net asset value, beginning of period

  $ 24.12     $ 40.22  
 

Net investment income(a)

    0.05       0.01  
 

Net realized and unrealized gain (loss)

    0.92       (16.11
 

Total gain (loss) from investment operations

    0.97       (16.10
 

Distributions to shareholders from net investment income

    0.00 (b)      0.00 (b) 
 

Net asset value, end of period

  $ 25.09     $ 24.12  
 

Market price, end of period

  $ 25.06     $ 24.08  
  Total Return at Net Asset Value(c)     4.05     (40.03 )% 
 

Net assets, end of period (in 000’s)

  $ 255,895     $ 242,407  
 

Ratio of total expenses to average net assets

    0.75     0.75 %(d) 
 

Ratio of net investment income to average net assets

    0.19     0.03 %(d) 
 

Portfolio turnover rate(e)

    44     55

 

   *   Commencement of operations.
  (a)   Calculated based on the average shares outstanding methodology.
  (b)   Amount is less than $0.005 per share.
  (c)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete sale of the investment at the net asset value at the end of the period. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the sale of Fund shares. Total returns for periods less than one full year are not annualized.
  (d)   Annualized.
  (e)   The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities received or delivered as a result of in-kind transactions and short-term transactions. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

 

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


GOLDMAN SACHS FUTURE ETFS

 

Notes to Financial Statements

August 31, 2023

 

1. ORGANIZATION

 

Goldman Sachs ETF Trust (the “Trust”) is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “Act”), consisting of multiple series. The Trust was organized as a Delaware statutory trust on December 16, 2009. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”) along with their respective diversification status under the Act:

 

Fund          Diversification
Classification

Goldman Sachs Future Consumer Equity ETF

        Non-Diversified

Goldman Sachs Future Health Care Equity ETF

        Non-Diversified

Goldman Sachs Future Planet Equity ETF

        Non-Diversified

Goldman Sachs Future Real Estate and Infrastructure Equity ETF

        Non-Diversified

Goldman Sachs Future Tech Leaders Equity ETF

        Non-Diversified

The investment objective of each Fund (except the Goldman Sachs Future Planet Equity ETF) is to seek long-term growth of capital. The investment objective of the Goldman Sachs Future Planet Equity ETF is to seek long-term capital appreciation.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust. Each Fund is an exchange-traded fund (“ETF”). Shares of the Funds are listed and traded on the NYSE Arca, Inc. (“NYSE Arca”). Market prices for the Funds’ shares may be different from their net asset value (“NAV”). The Funds issue and redeem shares at their respective NAV only in blocks of a specified number of shares, or multiples thereof, referred to as “Creation Units”. Creation Units are issued and redeemed generally for a designated portfolio of securities (including any portion of such securities for which cash may be substituted) and a specified amount of cash. Shares generally trade in the secondary market in quantities less than a Creation Unit at market prices that change throughout the day. Only those that have entered into an authorized participant agreement with ALPS Distributors, Inc. (the “Distributor”) may do business directly with the Funds.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily NAV calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.

 

46


GOLDMAN SACHS FUTURE ETFS

 

 

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

C. Expenses — Expenses incurred directly by a Fund are charged to the Fund, and certain expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis, depending upon the nature of the expenses, and are accrued daily.

D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex- dividend date. For Goldman Sachs Future Consumer Equity ETF, Goldman Sachs Future Health Care Equity ETF, Goldman Sachs Future Planet Equity ETF and Goldman Sachs Future Tech Leaders Equity ETF, income distributions, if any, are declared and paid annually. For Goldman Sachs Future Real Estate and Infrastructure Equity ETF income distributions, if any, are declared and paid semi-annually. Capital gains distributions, if any, are declared and paid annually.

Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

E. Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. With respect to the Funds’

 

47


GOLDMAN SACHS FUTURE ETFS

 

Notes to Financial Statements (continued)

August 31, 2023

 

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

 

investments that do not have readily available market quotations, the Trustees have designated the Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.

Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Money Market Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Money Market Fund’s accounting policies and investment holdings, please see the Underlying Money Market Fund’s shareholder report.

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of August 31, 2023:

FUTURE CONSUMER EQUITY ETF

 

Investment Type    Level 1        Level 2        Level 3  
Assets             

Common Stock and/or Other Equity Investments(a)

            

Asia

   $ 26,164,484        $   —        $   —  

Europe

     26,136,745