Goldman Sachs Funds

 

 

 
Annual Report      

August 31, 2022

 
     

Goldman Sachs ActiveBeta® ETFs

     

ActiveBeta® Emerging Markets Equity ETF (GEM)

     

ActiveBeta® Europe Equity ETF (GSEU)

     

ActiveBeta® International Equity ETF (GSIE)

     

ActiveBeta® Japan Equity ETF (GSJY)

     

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

     

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

     

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

     

ActiveBeta® World Low Vol Plus Equity ETF (GLOV)

 

LOGO


Goldman Sachs ActiveBeta® ETFs

 

 

ACTIVEBETA® EMERGING MARKETS EQUITY ETF (GEM)

 

 

ACTIVEBETA® EUROPE EQUITY ETF (GSEU)

 

 

ACTIVEBETA® INTERNATIONAL EQUITY ETF (GSIE)

 

 

ACTIVEBETA® JAPAN EQUITY ETF (GSJY)

 

 

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

 

 

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

 

 

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

 

 

ACTIVEBETA® WORLD LOW VOL PLUS EQUITY ETF (GLOV)

 

TABLE OF CONTENTS

 

Investment Process

    1  

Portfolio Management Discussion and Performance Summaries

    4  

Schedules of Investments

    42  

Financial Statements

    106  

Financial Highlights

    114  

ActiveBeta® Emerging Markets Equity ETF (GEM)

    114  

ActiveBeta® Europe Equity ETF (GSEU)

    115  

ActiveBeta® International Equity ETF (GSIE)

    116  

ActiveBeta® Japan Equity ETF (GSJY)

    117  

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

    118  

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

    119  

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

    120  

ActiveBeta® World Low Vol Plus Equity ETF (GLOV)

    121  

Notes to Financial Statements

    122  

Report of Independent Registered Public Accounting Firm

    140  

Other Information

    145  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


INVESTMENT PROCESS

 

Goldman Sachs ActiveBeta® ETFs

 

Principal Investment Strategies

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

Each Fund seeks to achieve its investment objective by investing at least 80% of its assets (exclusive of collateral held from securities lending) in securities included in its underlying index, in depositary receipts representing securities included in its underlying index and in underlying stocks in respect of depositary receipts included in its underlying index.

Each Index is designed to deliver exposure to equity securities within its applicable universe of issuers. Each Index is constructed using the patented ActiveBeta® Portfolio Construction Methodology, which was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns. These factors include value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e., profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). Given each Fund’s investment objective of attempting to track its Index, each Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors.

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

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

Step 1

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

Step 2

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

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

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

 

1


INVESTMENT PROCESS

 

Step 1

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

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

Step 2

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

Step 3

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

Goldman Sachs ActiveBeta® World Low Vol Plus Equity ETF

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

Step 1

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

 

2


INVESTMENT PROCESS

 

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

Step 2

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

Step 3

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

* * *

At the end of the Reporting Period, i.e. the 12 months ended August 31, 2022, we continued to believe in the existence and persistence of certain equity common factors. We further believed that in capturing common factors, investment efficiency (risk-adjusted returns) can be improved by enhancing the informational efficiency and diversification of individual common factor portfolios. Additionally, we advocate the pursuit of factor diversification strategies, which combine individual common factor portfolios, as such strategies tend to dominate individual factors. A passive capture of informationally-efficient and diversified common factor strategies potentially delivers attractive after-cost information ratios.

 

Effective on April 4, 2022, Jamie McGregor no longer served as a portfolio manager for the Funds. In addition, effective the same date, Matthew Maillet began to serve as a portfolio manager for the Funds. Effective June 17, 2022, Matthew Maillet no longer served as a portfolio manager for the Funds. Raj Garigipati, Managing Director, continues to serve as a portfolio manager for the Funds, as he has since their inception.

 

3


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® Emerging Markets Equity ETF

 

Investment Objective

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

Portfolio Management Discussion and Analysis

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

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -21.97% based on net asset value (“NAV”) and -22.65% based on market price. The Index returned -21.84%, and the MSCI Emerging Markets Index (Net, Unhedged) (“MSCI Emerging Markets Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned -21.80% during the same period.

 

   

The Fund had an NAV of $39.33 per share on August 31, 2021 and ended the Reporting Period with an NAV of $29.42 per share. The Fund’s market price on August 31, 2022 was $29.03 per share.

 

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

 

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

 

   

The Index is constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI Emerging Markets Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compares the performance of the Fund to that of the MSCI Emerging Markets Index. Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the MSCI Emerging Markets Index.

 

   

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

 

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

 

A   Index constituents in the communication services, consumer discretionary and information technology sectors contributed most positively to the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period. Index constituents in the financials, industrials and real estate sectors detracted most from the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period.

 

4


PORTFOLIO RESULTS

 

   

From a country perspective, Index constituents in China, Russia and Qatar contributed most positively to the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period. Conversely, Index constituents in India, Saudi Arabia and Thailand detracted the most from the Index’s results relative to the MSCI Emerging Markets Index during the Reporting Period.

 

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

 

A   Relative to the MSCI Emerging Markets Index, underweight positions in Russian energy companies Gazprom and Lukoil and in Chinese e-commerce retailer Alibaba Group Holding contributed most positively (0.50%, 0.42% and 2.22% of Fund net assets as of August 31, 2022, respectively). Each produced a double-digit negative return within the Index during the Reporting Period.

 

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

 

A   Relative to the MSCI Emerging Markets Index, underweight positions in Indian conglomerate Reliance Industries and Indian bank ICICI Bank and an overweight position in South Korean consumer goods company LG Household and Health Care detracted most (0.94%, 0.48% and 0.00%1 of Fund net assets as of August 31, 2022, respectively). Reliance Industries and ICICI Bank each posted a positive return within the Index during the Reporting Period, and LG Household and Health Care delivered a double-digit negative return within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3     

GS
ActiveBeta®
Emerging

Markets
Equity Index

     MSCI Emerging
Markets Index
 
  Consumer Discretionary     11.45      11.31      14.17
  Consumer Staples     10.76        11.55        6.18  
  Energy     5.66        4.01        5.29  
  Financials     21.28        21.47        21.64  
  Health Care     4.63        4.75        3.92  
  Industrials     5.16        5.04        5.89  
  Information Technology     18.81        19.67        19.44  
  Materials     8.45        8.24        8.41  
  Real Estate     1.08        1.03        1.81  
  Communication Services     9.10        9.59        10.10  
    Utilities     3.15        3.34        3.14  

 

  1    Some weights are 0.00% at August 31, 2022 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 1.0% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

5


PORTFOLIO RESULTS

 

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

 

     Country Name   Fund3      GS
ActiveBeta®
Emerging
Markets
Equity Index
     MSCI Emerging
Markets Index
 
  China     31.69      31.36      32.09
  Russia     3.00        
  Qatar     1.32        1.39        1.13  
  Mexico     2.08        2.33        2.00  
  Hungary     0.14        0.14        0.16  
  Greece     0.41        0.42        0.25  
  United Arab Emirates     1.56        1.60        1.31  
  Czech     0.19        0.20        0.14  
  Poland     0.68        0.69        0.54  
  Pakistan        
  Turkey     0.48        0.51        0.34  
  Argentina        
  Colombia     0.11        0.11        0.15  
  Brazil     5.20        5.11        5.29  
  Kuwait     0.79        0.78        0.85  
  Philippines     0.29        0.35        0.75  
  South Africa     3.73        3.88        3.40  
  Egypt     0.33        0.34        0.07  
  Peru     0.00        0.00        0.22  
  Korea     11.98        12.50        11.58  
  Taiwan     14.04        14.86        14.60  
  Indonesia     1.77        1.76        1.98  
  Chile     0.54        0.55        0.58  
  Malaysia     0.00        1.40        1.51  
  Thailand     1.54        1.41        1.97  
  Saudi Arabia     4.17        4.23        4.60  
    India     13.27        14.08        14.47  

 

  2    Country classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 1.0% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

6


FUND BASICS

 

ActiveBeta® Emerging Markets Equity ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 29.03  
    Net Asset Value (NAV)1   $ 29.42  

 

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 each Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP 10 HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets        Line of Business      Country
 

Taiwan Semiconductor Manufacturing Co. Ltd.

    5.6      Information Technology      Taiwan
 

Tencent Holdings Ltd.

    3.2        Communication Services      China
 

Samsung Electronics Co. Ltd.

    3.0        Information Technology      South Korea
 

Alibaba Group Holding Ltd.

    2.3        Consumer Discretionary      China
 

Infosys Ltd.

    1.0        Information Technology      India
 

Meituan, Class B

    1.0        Consumer Discretionary      China
 

Reliance Industries Ltd.

    1.0        Energy      India
 

Vale SA

    0.8        Materials      Brazil
 

China Construction Bank Corp., Class H

    0.8        Financials      China
  JD.com, Inc., Class A     0.7        Consumer Discretionary      China

 

 

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

 

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

 

7


ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on September 25, 2015 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Emerging Markets Equity Index and the MSCI Emerging Markets Index (Net, Unhedged), respectively, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

ActiveBeta® Emerging Markets Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from September 25, 2015 through August 31, 2022.

 

LOGO

 

Average Annual Total Return through August 31, 2022*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced September 25, 2015)

     -21.97%        -0.11%      4.75%

 

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

     -22.65%        -0.37%      4.56%

 

Goldman Sachs ActiveBeta® Emerging Markets Equity Index

     -21.84%        0.12%      5.02%

 

MSCI Emerging Markets Index (Net, Unhedged)

     -21.80%        0.59%      5.86%

 

 

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

 

8


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® Europe Equity ETF

 

Investment Objective

 

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

Portfolio Management Discussion and Analysis

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

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -24.81% based on net asset value (“NAV”) and -25.51% based on market price. The Index returned -24.61%, and the MSCI Europe Index (Net, Unhedged) (“MSCI Europe Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned -21.57% during the same period.

 

      The Fund had an NAV of $37.99 per share on August 31, 2021 and ended the Reporting Period with an NAV of $27.47 per share. The Fund’s market price on August 31, 2022 was $27.26 per share.

 

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

 

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

 

      The Index is constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI Europe Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compares the performance of the Fund to that of the MSCI Europe Index. Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the MSCI Europe Index.

 

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

 

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

 

A   Index constituents in the financials, energy and consumer discretionary sectors detracted most from the Index’s results relative to the MSCI Europe Index during the Reporting Period. Index constituents in the information technology, real estate and communication services sectors contributed most positively to the Index’s results relative to the MSCI Europe Index during the Reporting Period.

 

     

From a country perspective, Index constituents in the U.K., Germany and Switzerland detracted the most from the Index’s results relative to the MSCI Europe Index during the

 

9


PORTFOLIO RESULTS

 

  Reporting Period. Conversely, Index constituents in the Netherlands, Spain and Denmark contributed most positively to the Index’s results relative to the MSCI Europe Index during the Reporting Period.

 

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

 

A   Relative to the MSCI Europe Index, overweight positions in German meal-kit provider HelloFresh and German shoe and fashion e-commerce retailer Zalando and an underweight position in U.K. financial services holding company HSBC Holdings detracted most (0.34%, 0.30% and 0.75% of Fund net assets as of August 31, 2022, respectively). HelloFresh and Zalando each posted a double-digit negative return within the Index during the Reporting Period, while HSBC Holdings generated a double-digit gain within the Index during the Reporting Period.

 

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

 

A   Relative to the MSCI Europe Index, overweight positions in Sweden-based tobacco company Swedish Match, Finland-based pharmaceuticals company Orion and Portugal-based food distribution and food manufacturing business Jeronimo Martins contributed most positively (0.66%, 0.00%1 and 0.00% of Fund net assets as of August 31, 2022, respectively). Each generated a solid gain within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3     

GS
ActiveBeta®

Europe
Equity Index

     MSCI Europe
Index
 
  Consumer Discretionary     12.26      11.62      10.39
  Consumer Staples     15.30        15.76        14.16  
  Energy     5.69        5.38        6.61  
  Financials     14.25        14.01        15.75  
  Health Care     15.82        16.16        15.56  
  Industrials     15.08        14.75        14.18  
  Information Technology     6.47        6.57        7.09  
  Materials     5.82        6.67        7.12  
  Real Estate     0.66        0.72        1.01  
  Communication Services     4.26        3.96        3.80  
    Utilities     4.41        4.39        4.34  

 

  1    Some weights are 0.00% at August 31, 2022 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.5% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

10


PORTFOLIO RESULTS

 

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

 

    

Country Name

  Fund3     

GS

ActiveBeta®
Europe
Equity Index

     MSCI Europe
Index
 
  Netherlands     7.57      6.82      6.45
  Spain     3.69        3.65        3.72  
  Denmark     4.52        4.69        4.36  
  Portugal     0.69        0.66        0.37  
  Ireland     1.06        0.55        0.97  
  Sweden     4.24        4.60        5.35  
  Finland     1.84        1.67        1.61  
  Norway     1.55        1.51        1.39  
  Italy     3.59        3.77        3.54  
  Belgium     1.18        1.06        1.48  
  Austria     0.56        0.62        0.26  
  France     18.70        19.16        17.73  
  Switzerland     15.96        15.77        16.39  
  Germany     12.49        12.44        11.85  
    UK     22.36        23.03        24.54  

 

  2    Country classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.5% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

11


FUND BASICS

 

ActiveBeta® Europe Equity ETF

as of August 31, 2022

 

  FUND SNAPSHOT  
     As of August 31, 2022       
  Market Price1   $ 27.26  
    Net Asset Value (NAV)1   $ 27.47  

 

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

 

  TOP 10 HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets        Line of Business      Country
  Nestle SA     3.3      Consumer Staples      United States
  Roche Holding AG     2.6        Health Care      United States
  Novo Nordisk A/S, Class B     2.2        Health Care      Denmark
  ASML Holding NV     2.0        Information Technology      Netherlands
  LVMH Moet Hennessy Louis Vuitton SE     1.9        Consumer Discretionary      France
  AstraZeneca PLC     1.8        Health Care      United Kingdom
  Novartis AG     1.8        Health Care      Switzerland
  Shell PLC     1.7        Energy      Netherlands
  TotalEnergies SE     1.2        Energy      France
    L’Oreal SA     1.1        Consumer Staples      France

 

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

 

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

 

12


ACTIVEBETA® EUROPE EQUITY ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on March 2, 2016 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Europe Equity Index and the MSCI Europe Index (Net, Unhedged), respectively, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

ActiveBeta® Europe Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from March 2, 2016 through August 31, 2022.    

 

LOGO

 

Average Annual Total Return through August 31, 2022*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced March 2, 2016)

     -24.81%        1.14%      4.64%

 

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

     -25.51%        0.88%      4.51%

 

Goldman Sachs ActiveBeta® Europe Equity Index

     -24.61%        1.25%      4.75%

 

MSCI Europe Index (Net, Unhedged)

     -21.57%        1.23%      4.69%

 

 

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

 

13


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® International Equity ETF

 

 

Investment Objective

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

Portfolio Management Discussion and Analysis

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

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -20.18% based on net asset value (“NAV”) and -20.53% based on market price. The Index returned -20.11%, and the MSCI World ex USA Index (Net, Unhedged, USD) (“MSCI World ex USA Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned -18.56% during the same period.

 

      The Fund had an NAV of $35.76 per share on August 31, 2021 and ended the Reporting Period with an NAV of $27.64 per share. The Fund’s market price on August 31, 2021 was $27.52 per share.

 

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

 

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

 

      The Index is constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI World ex USA Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compares the performance of the Fund to that of the MSCI World ex USA Index. Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the MSCI World ex USA Index.

 

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

 

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

 

A   Index constituents in the financials, health care and energy sectors detracted the most from the Index’s results relative to the MSCI World ex USA Index during the Reporting Period. Index constituents in the information technology, communication services and real estate sectors contributed most positively to the Index’s results relative to the MSCI World ex USA Index during the Reporting Period.

 

     

From a country perspective, Index constituents in the U.K., Germany and Japan detracted the most from the Fund’s results relative to the MSCI World ex USA Index during the Reporting Period. Conversely, Index constituents in Canada, the Netherlands and Singapore contributed most positively to

 

14


PORTFOLIO RESULTS

 

  the Fund’s results relative to the MSCI World ex USA Index during the Reporting Period.

 

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

 

A   Relative to the MSCI World ex USA Index, overweight positions in German meal-kit provider HelloFresh and German shoe and fashion e-commerce retailer Zalando and an underweight position in U.K. financial services holding company HSBC Holdings detracted most (0.16%, 0.14% and 0.36% of Fund net assets as of August 31, 2022, respectively). HelloFresh and Zalando each posted a double-digit negative return within the Index during the Reporting Period, while HSBC Holdings generated a double-digit gain within the Index during the Reporting Period.

 

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

 

A   Relative to the MSCI World ex USA Index, underweight positions in Canadian e-commerce company Shopify and Singapore-based digital entertainment, e-commerce and digital financial service business Sea and an overweight position in Canadian supermarket retailer Loblaw contributed most positively (0.00%,1 0.00% and 0.00% of Fund net assets as of August 31, 2022, respectively). Shopify and Sea each generated a double-digit negative return within the Index during the Reporting Period, and Loblaw posted a double-digit gain within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

 

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

 

    

Sector Name

  Fund3     

GS

ActiveBeta®

International

Equity Index

     MSCI World ex
USA Index
 
  Consumer Discretionary     11.21      10.92      10.67
  Consumer Staples     13.41        13.82        10.27  
  Energy     6.15        5.61        6.61  
  Financials     17.88        17.94        19.70  
  Health Care     11.66        11.82        11.63  
  Industrials     14.51        14.13        14.84  
  Information Technology     7.55        7.69        7.80  
  Materials     7.08        7.72        7.79  
  Real Estate     1.96        2.19        2.59  
  Communication Services     5.22        4.87        4.57  
    Utilities     3.38        3.30        3.53  

 

  1    Some weights are 0.00% at August 31, 2022 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 2.2% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

15


PORTFOLIO RESULTS

 

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

 

     Country Name   Fund3      GS ActiveBeta®
International
Equity Index
     MSCI World ex
USA Index
 
  Canada     12.60      12.86      11.56
  Netherlands     4.21        3.71        3.60  
  Singapore     1.46        1.32        1.33  
  Spain     1.96        1.90        2.08  
  Denmark     2.59        2.61        2.43  
  Portugal     0.39        0.36        0.21  
  Ireland     0.77        0.33        0.54  
  Israel     1.10        0.99        0.75  
  Hong Kong     2.68        2.88        2.74  
  Sweden     2.35        2.57        2.99  
  Italy     1.97        2.21        1.97  
  Finland     1.12        0.92        0.90  
  New Zealand     0.21        0.14        0.17  
  Norway     0.88        0.79        0.77  
  Belgium     0.71        0.66        0.82  
  Austria     0.25        0.45        0.15  
  Australia     6.55        6.78        7.30  
  France     10.75        11.21        9.90  
  Switzerland     8.70        8.42        9.15  
  Japan     19.41        18.83        20.33  
  Germany     6.70        6.82        6.62  
    UK     12.61        13.22        13.70  

 

  2    Country classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 2.2% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

16


FUND BASICS

 

ActiveBeta® International Equity ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022  
  Market Price1   $ 27.52  
    Net Asset Value (NAV)1   $ 27.64  

 

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

 

  TOP 10 HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets        Line of Business      Country
  Nestle SA     1.8      Consumer Staples      United States
  Roche Holding AG     1.4        Health Care      United States
  Novo Nordisk A/S, Class B     1.2        Health Care      Denmark
  Shell PLC     1.2        Energy      Netherlands
  LVMH Moet Hennessy Louis Vuitton SE     1.1        Consumer Discretionary      France
  Novartis AG     0.9        Health Care      Switzerland
  ASML Holding NV     0.9        Information Technology      Netherlands
  AstraZeneca PLC     0.9        Health Care      United Kingdom
  BHP Group Ltd.     0.8        Materials      Australia
    Royal Bank of Canada     0.7        Financials      Canada
2    The top 10 holdings may not be representative of the Fund’s future investments.

 

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

 

17


ACTIVEBETA® INTERNATIONAL EQUITY ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on November 6, 2015 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® International Equity Index and the MSCI World ex USA Index (Net, Unhedged, USD), respectively, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

ActiveBeta® International Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from November 6, 2015 through August 31, 2022.

 

LOGO

 

Average Annual Total Return through August 31, 2022*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced November 6, 2015)

     -20.18%        2.07%      4.09%

 

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

     -20.53%        1.86%      4.02%

 

Goldman Sachs ActiveBeta® International Equity Index

     -20.11%        2.13%      4.18%

 

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

     -18.56%        2.08%      3.90%

 

 

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

 

18


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® Japan Equity ETF

 

Investment Objective

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

Portfolio Management Discussion and Analysis

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

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -18.76% based on net asset value (“NAV”) and -19.44% based on market price. The Index returned -18.91%, while the MSCI Japan Index (Unhedged) (“MSCI Japan Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned -18.96% during the same period.

 

      The Fund had an NAV of $37.91 per share on August 31, 2021 and ended the Reporting Period with an NAV of $30.15 per share. The Fund’s market price on August 31, 2022 was $29.78 per share.

 

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

 

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

 

      The Index is constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the MSCI Japan Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compares the performance of the Fund to that of the MSCI Japan Index. Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the MSCI Japan Index.

 

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

 

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

 

A   Index constituents in the industrials, energy and information technology sectors contributed most positively to the Index’s results relative to the MSCI Japan Index during the Reporting Period. Conversely, Index constituents in the consumer discretionary, utilities and consumer staples sectors detracted most from results relative to the MSCI Japan Index during the Reporting Period.

 

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

 

A  

Relative to the MSCI Japan Index, overweight positions in integrated trading and investment company Marubeni, energy company Inpex and auto manufacturer Mazda Motor

 

19


PORTFOLIO RESULTS

 

  contributed most positively (1.19%, 1.13% and 0.30% of Fund net assets as of August 31, 2022, respectively). Marubeni and Inpex each posted a double-digit gain within the Index during the Reporting Period, and Mazda Motor generated a single-digit positive return within the Index during the Reporting Period.

 

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

 

A   Relative to the MSCI Japan Index, overweight positions in real estate business Iida Group Holdings and home appliance retailer Yamada Holdings and an underweight position in pharmaceutical company Daiichi Sankyo detracted most (0.08%, 0.00%1 and 1.38% of Fund net assets as of August 31, 2022, respectively). Iida Group Holdings and Yamada Holdings each posted a double-digit negative return within the Index during the Reporting Period. Daiichi Sankyo delivered a double-digit gain within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3     

GS

ActiveBeta®

Japan
Equity Index

    

MSCI Japan

Index

 
  Consumer Discretionary     18.07      17.96      18.94
  Consumer Staples     7.53        7.47        6.54  
  Energy     1.76        1.54        0.93  
  Financials     10.99        11.09        10.17  
  Health Care     10.02        9.79        9.85  
  Industrials     21.28        20.94        22.58  
  Information Technology     14.78        15.15        13.49  
  Materials     3.59        4.38        4.60  
  Real Estate     2.51        2.55        3.46  
  Communication Services     8.82        8.56        8.37  
    Utilities     0.67        0.55        1.07  

 

  1    Some weights are 0.00% at August 31, 2022 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by MSCI. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 6.7% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

20


FUND BASICS

 

ActiveBeta® Japan Equity ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022  
  Market Price1   $ 29.78  
    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 each Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.GSAMFUNDS.com/ETFs.

 

  TOP 10 HOLDINGS AS OF 8/31/222     
     Holding   % of Net Assets        Line of Business      Country
  Toyota Motor Corp.     4.3      Consumer Discretionary      Japan
  Sony Group Corp.     2.8        Consumer Discretionary      Japan
  Honda Motor Co. Ltd.     2.2        Consumer Discretionary      Japan
  Mitsubishi Corp.     1.8        Industrials      Japan
  Keyence Corp.     1.8        Information Technology      Japan
  Mitsui & Co. Ltd.     1.6        Industrials      Japan
  KDDI Corp.     1.5        Communication Services      Japan
  Nippon Telegraph & Telephone Corp.     1.5        Communication Services      Japan
  Takeda Pharmaceutical Co. Ltd.     1.5        Health Care      Japan
    Mitsubishi UFJ Financial Group, Inc.     1.5        Financials      Japan

 

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

 

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

 

21


ACTIVEBETA® JAPAN EQUITY ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on March 2, 2016 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Japan Index and the MSCI Japan Index (Unhedged), respectively, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

ActiveBeta® Japan Equity ETF’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from March 2, 2016 through August 31, 2022.    

 

LOGO

 

Average Annual Total Return through August 31, 2022*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced March 2, 2016)

     -18.76%        1.85%      4.69%

 

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

     -19.44%        1.56%      4.50%

 

Goldman Sachs ActiveBeta® Japan Equity Index

     -18.91%        1.65%      4.51%

 

MSCI Japan Index (Unhedged)

     -18.96%        1.97%      5.00%

 

 

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

 

22


PORTFOLIO RESULTS

 

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

 

Investment Objective

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

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the for the period since its inception on December 13, 2021 through August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -17.52% based on net asset value (“NAV”) and -17.39% based on market price. The Index returned -17.46%, and the Solactive US Large Cap Index (“Solactive Index”), a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned -16.46% during the same period.

 

   

The Fund had an NAV of $39.67 on December 13, 2021 and ended the Reporting Period with an NAV of $32.50 per share. The Fund’s market price on August 31, 2022 was $32.55 per share.

 

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

 

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

 

   

The Index is designed to deliver exposure to equity securities of large capitalization U.S. issuers. The Index is constructed using the patented ActiveBeta® Portfolio Construction Methodology, which was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns. These factors include Value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), Momentum (i.e., whether a company’s share price is trending up or down), Quality (i.e., profitability) and Low Volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). Given the Fund’s investment objective of attempting to track its Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the Solactive Index.

 

   

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

 

   

During the Reporting Period, the Fund posted double-digit negative absolute returns that underperformed the Solactive Index, as measured by NAV. Amongst underlying factors, Low Volatility detracted most from results relative to the Solactive Index, followed by Momentum and Value. Quality contributed positively to results relative to the Solactive Index.

 

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

 

A  

Having no exposure to the energy sector detracted most from the Index’s results relative to the Solactive Index during the Reporting Period. Index constituents in the utilities, industrials and consumer discretionary sectors also detracted from the Index’s results relative to the Solactive Index during the Reporting Period. Conversely, Index constituents in the

 

23


PORTFOLIO RESULTS

 

  information technology, communication services and health care sectors contributed most positively to the Index’s results relative to the Solactive Index during the Reporting Period.

 

   

From a country perspective, Index constituents in the U.S. detracted most from the Fund’s results relative to the Solactive Index during the Reporting Period, followed at some distance by Index constituents in Curacao and Switzerland. Index constituents in Panama, Liberia and Bermuda contributed most positively to the Fund’s results relative to the Solactive Index during the Reporting Period.

 

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

 

A   Relative to the Solactive Index, having no exposure to integrated energy companies Exxon Mobil and Chevron and an underweight position in e-commerce retailer behemoth Amazon.com detracted most (0.00%1, 0.00% and 0.00% of Fund net assets as of August 31, 2022, respectively). Each of these holdings posted a return during the Reporting Period that outperformed the Solactive Index.

 

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

 

A   Relative to the Solactive Index, underweight positions in entertainment content streaming company Netflix and payment transactions company PayPal Holdings and an overweight position in consumer staples company Hershey contributed most positively (0.03%, 0.23% and 0.48% of Fund net assets as of August 31, 2022, respectively). Netflix and PayPal Holdings each generated a double-digit negative return within the Index during the Reporting Period. Hershey delivered a double-digit positive return within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3    

GS
ActiveBeta®

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

    Solactive
US Large
Cap Index
 
  Consumer Discretionary     9.36     9.34     11.26
  Consumer Staples     8.66       8.66       6.68  
  Financials     11.76       11.74       10.47  
  Health Care     18.62       18.62       14.25  
  Industrials     5.14       5.15       7.84  
  Information Technology     31.67       31.69       28.37  
  Materials     2.20       2.20       2.07  
  Real Estate     4.79       4.80       2.90  
  Communication Services     7.13       7.14       8.25  
  Utilities     0.66       0.66       3.06  
    Energy                 4.84  

 

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

 

     Country Name   Fund3     

GS
ActiveBeta®

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

     Solactive
US Large
Cap Index
 
  Panama     0.00      0.00      0.02
  Liberia     0.00        0.00        0.03  
  Bermuda     0.15        0.15        0.09  
  Netherlands     0.00        0.00        0.16  
  U.K.     0.12        0.12        0.04  
  Ireland     1.55        1.55        1.67  
  Switzerland     0.36        0.36        0.26  
  Curacao     0.00        0.00        0.16  
    U.S.     97.83        97.83        97.56  

 

  1    Some weights are 0.00% at August 31, 2022 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

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

 

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

 

24


FUND BASICS

 

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

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022       
  Market Price1   $ 32.55  
    Net Asset Value (NAV)1   $ 32.50  

 

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

 

  TOP 10 HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets         Line of Business      Country
  Apple, Inc.     7.8      Information Technology      United States
  Microsoft Corp.     5.9        Information Technology      United States
  Alphabet, Inc., Class C     2.0        Communication Services      United States
  Alphabet, Inc., Class A     1.9        Communication Services      United States
  Johnson & Johnson     1.4        Health Care      United States
  Berkshire Hathaway, Inc., Class B     1.4        Financials      United States
  UnitedHealth Group, Inc.     1.3        Health Care      United States
  Meta Platforms, Inc., Class A     1.1        Communication Services      United States
  NVIDIA Corp.     1.0        Information Technology      United States
  CVS Health Corp.     0.9        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.

 

25


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

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on December 13, 2021 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® Paris-Aligned U.S. Large Cap Equity Index (USD, Unhedged) and Solactive US Large Cap Index, respectively, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

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

Performance of a $10,000 Investment, with distributions reinvested, from December 13, 2021 through August 31, 2022.

 

LOGO

 

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

Shares based on NAV (Commenced December 13, 2021)

   -17.52%

 

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

   -17.39%

 

Goldman Sachs ActiveBeta® Paris-Aligned U.S. Large Cap Equity Index (USD, Unhedged)

   -17.46%

 

Solactive US Large Cap Index

   -16.46%

 

 

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

 

26


PORTFOLIO RESULTS

 

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

 

Investment Objective

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

Portfolio Management Discussion and Analysis

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

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -12.70% based on net asset value (“NAV”) and -12.70% based on market price. The Index returned -12.64%, and the S&P 500 Index (Total Return, USD) (“S&P 500 Index”), a market-cap based index against which the performance of the Fund is measured, returned -11.23% during the same period.

 

   

The Fund had an NAV of $90.95 on August 31, 2021 and ended the Reporting Period with an NAV of $78.36 per share. The Fund’s market price on August 31, 2022 was $78.33 per share.

 

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

 

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

 

   

The Index is constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the S&P 500 Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compares the performance of the Fund to that of the S&P 500 Index. Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the S&P 500 Index.

 

   

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

 

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

 

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

 

27


PORTFOLIO RESULTS

 

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

 

A   Relative to the S&P 500 Index, underweight positions in integrated energy companies Exxon Mobil and Chevron and in electric vehicle manufacturer Tesla detracted most (0.76%, 0.45% and 1.46% of Fund net assets as of August 31, 2022, respectively). Each generated a double-digit gain within the Index during the Reporting Period.

 

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

 

A   Relative to the S&P 500 Index, underweight positions in payment transactions company PayPal Holdings and entertainment content streaming company Netflix and an overweight position in auto parts retailer AutoZone contributed most positively (0.16%, 0.08% and 0.61% of Fund net assets as of August 31, 2022, respectively). PayPal Holdings and Netflix each posted a double-digit negative return within the Index during the Reporting Period, while AutoZone generated a double-digit gain within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index and the S&P 500 Index at the end of the Reporting Period?1

 

     Sector Name   Fund2     

GS

ActiveBeta®
U.S. Large Cap
Equity Index

     S&P 500
Index
 
  Consumer
Discretionary
    13.22      13.22      11.43
  Consumer Staples     9.14        9.14        6.77  
  Energy     4.33        4.33        4.67  
  Financials     9.12        9.10        10.86  
  Health Care     14.95        14.92        14.07  
  Industrials     7.52        7.52        7.92  
  Information Technology     26.91        26.95        27.32  
  Materials     1.68        1.68        2.54  
  Real Estate     3.13        3.12        2.86  
  Communication Services     6.77        6.79        8.42  
    Utilities     3.23        3.23        3.13  

 

  1    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Standard & Poor’s. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.2% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

28


FUND BASICS

 

ActiveBeta® U.S. Large Cap Equity ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022  
  Market Price1   $ 78.33  
    Net Asset Value (NAV)1   $ 78.36  

 

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

 

  TOP 10 HOLDINGS AS OF 8/31/222
     Holding   % of Net Assets       Line of Business
  Apple, Inc.     6.4    Information Technology
  Microsoft Corp.     5.1      Information Technology
  Amazon.com, Inc.     2.8      Consumer Discretionary
  Alphabet, Inc., Class A     1.7      Communication Services
  Alphabet, Inc., Class C     1.6      Communication Services
  Tesla, Inc.     1.5      Consumer Discretionary
  UnitedHealth Group, Inc.     1.2      Health Care
  Johnson & Johnson     1.1      Health Care
  Meta Platforms, Inc., Class A     1.1      Communication Services
    Berkshire Hathaway, Inc., Class B     1.0      Financials

 

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

 

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

 

 

29


ACTIVEBETA® U.S. LARGE CAP EQUITY ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on September 17, 2015 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® U.S. Large Cap Equity Index and the S&P 500 Index (Total Return, USD), respectively, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

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

Performance of a $10,000 Investment, with distributions reinvested, from September 17, 2015 through August 31, 2022.

 

LOGO

 

Average Annual Total Return through August 31, 2022*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced September 17, 2015)

     -12.70%        11.53%      11.60%

 

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

     -12.70%        11.52%      11.59%

 

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

     -12.64%        11.64%      11.71%

 

S&P 500 Index (Total Return, USD)

     -11.23%        11.82%      12.46%

 

 

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

 

30


PORTFOLIO RESULTS

 

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

 

Investment Objective

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

Portfolio Management Discussion and Analysis

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

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -12.95% based on net asset value (“NAV”) and -12.83% based on market price. The Index returned -12.77%, and the Russell 2000® Index, a market-cap based index against which the performance of the Fund is measured, and the reference index for the Index, returned -17.88% during the same period.

 

   

The Fund had an NAV of $64.97 on August 31, 2021 and ended the Reporting Period with an NAV of $55.87 per share. The Fund’s market price on August 31, 2022 was $55.92 per share.

 

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

 

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

 

   

The Index is constructed using a rules-based methodology that was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns, and its performance is compared to that of the Russell 2000® Index. Because the Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Index, the discussion below compares the performance of the Fund to that of the Russell 2000® Index. Given the Fund’s investment objective of attempting to track the Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the Russell 2000® Index.

 

   

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

 

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

 

A   Index constituents in the health care, information technology and financials sectors contributed most positively to the Index’s results relative to the Russell 2000® Index during the Reporting Period. Partially offsetting these positive contributors were Index constituents in energy and real estate — the only two sectors to detract from the Index’s results relative to the Russell 2000® Index during the Reporting Period.

 

31


PORTFOLIO RESULTS

 

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

 

A   Relative to the Russell 2000® Index, underweight positions in movie theater operator AMC Entertainment Holdings and medical genetic testing company Invitae and an overweight position in fiber optic management, protection and delivery products for communications networks manufacturer and distributor Clearfield contributed most positively (0.00%1, 0.00% and 0.28% of Fund net assets as of August 31, 2022, respectively). AMC Entertainment Holdings and Invitae each posted a double-digit negative return within the Index during the Reporting Period. Clearfield generated a triple-digit positive return within the Index during the Reporting Period.

 

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

 

A   Relative to the Russell 2000® Index, overweight positions in cloud-based real estate brokerage services provider eXp World Holdings and chiropractic clinics franchisor Joint and an underweight position in clinical-stage biopharmaceutical company Karuna Therapeutics detracted most (0.19%, 0.00%1 and 0.07% of Fund net assets as of August 31, 2022, respectively). eXp World Holdings and Joint each posted a double-digit negative return within the Index during the Reporting Period. Karuna Therapeutics generated a triple-digit gain within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

Q   What was the Fund’s sector positioning relative to the Index and the Russell 2000® Index at the end of the Reporting Period?2

 

     Sector Name   Fund3     

GS

ActiveBeta®
U.S. Small Cap
Equity Index

     Russell 2000®
Index
 
  Consumer Discretionary     10.85      10.80      10.39
  Consumer Staples     3.67        3.62        3.52  
  Energy     5.95        5.97        6.27  
  Financials     19.65        19.67        17.06  
  Health Care     13.10        13.08        17.66  
  Industrials     16.46        16.46        15.12  
  Information Technology     13.13        13.14        12.89  
  Materials     4.13        4.15        4.21  
  Real Estate     6.70        6.71        6.65  
  Communication Services     2.37        2.40        2.78  
    Utilities     4.00        3.99        3.44  

 

  1    Some weights are 0.00% at August 31, 2022 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.

 

  2    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Russell Investments. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Investments in the securities lending vehicle represented 0.6% of the Fund’s net assets as of August 31, 2022. Figures above may not sum to 100% due to rounding due to the presence of cash.

 

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

 

32


FUND BASICS

 

ActiveBeta® U.S. Small Cap Equity ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022  
  Market Price1   $ 55.92  
    Net Asset Value (NAV)1   $ 55.87  

 

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

 

  TOP 10 HOLDINGS AS OF 8/31/222     
    

Holding

 

% of Net Assets

      

Line of Business

     Country
 

Murphy USA, Inc.

    0.4      Consumer Discretionary      United States
 

SM Energy Co.

    0.4        Energy      United States
 

Corcept Therapeutics, Inc.

    0.3        Health Care      United States
 

Chord Energy Corp.

    0.3        Energy      United States
 

Shockwave Medical, Inc.

    0.3        Health Care      United States
 

EMCOR Group, Inc.

    0.3        Industrials      United States
 

Applied Industrial Technologies, Inc.

    0.3        Industrials      United States
 

Mr Cooper Group, Inc.

    0.3        Financials      United States
 

Biohaven Pharmaceutical Holding Co. Ltd.

    0.3        Health Care      United States
   

Magnolia Oil & Gas Corp., Class A

    0.3        Energy      United States

 

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

 

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

 

33


ACTIVEBETA® U.S. SMALL CAP EQUITY ETF

 

Performance Summary

August 31, 2022

 

The following graph shows the value, as of August 31, 2022, of a $10,000 investment made on June 28, 2017 (commencement of operations) in Shares at NAV. For comparative purposes, the performance of the Fund’s underlying index and a market-cap based index against which the performance of the Fund is measured, the Goldman Sachs ActiveBeta® U.S. Small Cap Equity Index and the Russell 2000® Index, respectively, are shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. In addition to the performance of constituents of the underlying index, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and creation and redemption in-kind transactions. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s NAV and investment return may fluctuate. These fluctuations may cause an investor’s shares to be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com/ETFs to obtain the most recent month-end returns.

 

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

Performance of a $10,000 Investment, with distributions reinvested, from June 28, 2017 through August 31, 2022.

 

LOGO

 

Average Annual Total Return through August 31, 2022*      One Year        Five Years      Since Inception

Shares based on NAV (Commenced June 28, 2017)

     -12.95%        8.39%      7.72%

 

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

     -12.83%        8.79%      7.74%

 

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

     -12.77%        8.55%      7.89%

 

Russell 2000® Index

     -17.88%        6.95%      6.45%

 

 

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

 

34


PORTFOLIO RESULTS

 

Goldman Sachs ActiveBeta® World Low Vol Plus Equity ETF

 

Investment Objective

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

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Fund’s performance and positioning for the for the period since its inception on March 15, 2022 through August 31, 2022 (the “Reporting Period”).

 

Q   How did the Fund perform during the Reporting Period?

 

A   During the Reporting Period, the Fund returned -5.65% based on net asset value (“NAV”) and -5.63% based on market price. The Index returned -5.79% during the same period.

 

   

The Fund had an NAV of $40.57 on March 15, 2022 and ended the Reporting Period with an NAV of $37.97 per share. The Fund’s market price on August 31, 2022 was $37.98 per share.

 

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

 

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

 

   

The Index is designed to deliver exposure to large and mid-capitalization equity securities of developed market issuers, including the United States. The Index is constructed using the patented ActiveBeta® Portfolio Construction Methodology, which was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns. These factors include Low Volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time), Value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), Momentum (i.e., whether a company’s share price is trending up or down), and Quality (i.e., profitability). The Index seeks to provide exposure to these factors with an emphasis on the low volatility factor. Given the Fund’s investment objective of attempting to track its Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. The Fund does not follow a strategy of seeking to outperform the Solactive Index.

 

   

During the Reporting Period, the Fund posted negative absolute returns but outperformed the Solactive Index, as measured by NAV. Amongst underlying factors, Momentum and Low Volatility contributed positively to relative returns. Value and Quality detracted from relative returns.

 

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

 

A   Index constituents in the industrials, information technology and communication services sectors contributed most positively to the Index’s results relative to the Solactive Index during the Reporting Period. Index constituents in the energy sector detracted most from the Index’s results relative to the Solactive Index, followed at some distance by Index constituents in the real estate and health care sectors.

 

   

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

 

35


PORTFOLIO RESULTS

 

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

 

A   Relative to the Solactive Index, an underweight position in semiconductor company NVIDIA and overweight positions in auto parts retailers Genuine Parts and AutoZone contributed most positively (0.19%, 0.80% and 1.25% of Fund net assets as of August 31, 2022, respectively). NVIDIA posted a double-digit negative return within the Index during the Reporting Period. Genuine Parts and AutoZone each generated a double-digit gain within the Index during the Reporting Period.

 

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

 

A   Relative to the Solactive Index, underweight positions in information technology giant Apple and integrated energy company Exxon Mobil and having no exposure to electric vehicle manufacturer Tesla detracted most (2.97%, 0.40% and 0.00%1 of Fund net assets as of August 31, 2022, respectively). Each of these holdings posted a gain within the Index during the Reporting Period.

 

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

 

A   The Fund does not employ derivatives as a source of alpha generation, although it did use index futures to equitize excess cash. The use of futures was not material to the performance of the Fund during the Reporting Period.

 

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

 

     Sector Name   Fund3    

GS
ActiveBeta®

World Low
Vol Plus
Equity Index

    Solactive GBS
Developed Markets
Large & Mid Cap
Index
 
  Consumer Discretionary     10.44     10.44     11.35
  Consumer Staples     13.72       13.73       7.71  
  Energy     1.56       1.56       5.13  
  Financials     15.23       15.23       13.20  
  Health Care     12.25       12.24       13.28  
  Industrials     10.39       10.38       10.18  
  Information Technology     21.59       21.59       21.71  
  Materials     1.27       1.27       4.12  
  Real Estate     1.88       1.88       2.72  
  Communication Services     7.70       7.70       7.41  
    Utilities     3.98       3.98       3.20  

 

  1    Some weights are 0.00% at August 31, 2022 either because those positions were taken out during the most recent rebalance given the Fund’s index construction methodology or because they were not components of the Index during the Reporting Period.
  2    Sector classifications for securities may differ between the above listing and the Schedule of Investments due to differing classification methodologies. The classification methodology used for the above listing is as set forth by Solactive Investments. The Fund’s composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the chart above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investment in the securities lending reinvestment vehicle, if any). Underlying sector allocation of exchange-traded funds held by the Fund are not reflected in the chart above. Figures above may not sum to 100% due to rounding due to the presence of cash.
  3    The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta® World Low Vol Plus Equity Index.

 

36


PORTFOLIO RESULTS

 

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

 

     Country Name   Fund3    

GS
ActiveBeta®

World Low
Vol Plus
Equity Index

    Solactive GBS
Developed Markets
Large & Mid Cap
Index
 
  U.S.     66.91     66.90     65.99
  Germany     1.29       1.29       1.92  
  Israel     1.46       1.46       0.32  
  Ireland     0.84       0.84       1.70  
  Netherlands     1.80       1.80       1.53  
  Spain     0.41       0.41       0.65  
  Guernsey     0.00       0.00       0.02  
  Australia     2.48       2.48       2.37  
  Singapore     0.76       0.76       0.42  
  Finland     0.42       0.42       0.35  
  Poland     0.00       0.00       0.06  
  Jersey     0.00       0.00       0.33  
  Sweden     1.60       1.60       0.94  
  Luxembourg     0.00       0.00       0.10  
  Cayman Islands     0.00       0.00       0.28  
  Panama     0.00       0.00       0.02  
  Liberia     0.00       0.00       0.02  
  Isle of Man     0.00       0.00       0.02  
  Faroe Islands     0.00       0.00       0.01  
  Bermuda     0.09       0.09       0.13  
  Curacao     0.09       0.09       0.11  
  Portugal     0.00       0.00       0.05  
  Japan     5.72       5.72       6.84  
  New Zealand     0.23       0.23       0.12  
  Austria     0.27       0.27       0.08  
  Canada     4.62       4.63       3.73  
  Denmark     0.03       0.03       0.73  
  Switzerland     2.60       2.60       2.78  
  Norway     0.75       0.75       0.29  
  Hong Kong     0.66       0.66       0.66  
  France     2.32       2.32       2.59  
  Italy     1.04       1.04       0.47  
  Belgium     0.53       0.53       0.22  
    U.K.     3.08       3.08       4.14  

 

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

 

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

 

37


FUND BASICS

 

ActiveBeta® World Low Vol Plus Equity ETF

as of August 31, 2022

 

  FUND SNAPSHOT

 

     As of August 31, 2022  
  Market Price1   $ 37.98  
    Net Asset Value (NAV)1   $ 37.97  

 

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

 

  TOP 10 HOLDINGS AS OF 8/31/222     
    

Holding

 

% of Net Assets

      

Line of Business

     Country
 

Apple, Inc.

    3.0      Information Technology      United States
 

Microsoft Corp.

    2.2        Information Technology      United States
 

O’Reilly Automotive, Inc.

    1.4        Consumer Discretionary      United States
 

AutoZone, Inc.

    1.3        Consumer Discretionary      United States
 

Nippon Telegraph & Telephone Corp.

    1.2        Communication Services      United States
 

Berkshire Hathaway, Inc., Class B

    1.1        Financials      United States
 

Amazon.com, Inc.

    1.0        Consumer Discretionary      United States
 

UnitedHealth Group, Inc.

    1.0        Health Care      United States
 

Home Depot, Inc. (The)

    1.0        Consumer Discretionary      United States
   

Johnson & Johnson

    1.0        Health Care      United States

 

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

 

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

 

38


ACTIVEBETA® WORLD LOW VOL PLUS EQUITY ETF

 

Performance Summary

August 31, 2022

 

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

Shares based on NAV (Commenced March 15, 2022)

   -5.65%

 

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

   -5.63%

 

 

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

 

39


FUND BASICS

 

Index Definitions and Industry Terms

 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

 

40


FUND BASICS

 

Index Definitions and Industry Terms (continued)

 

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

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

 

41


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments

August 31, 2022

 

Shares     Description       
Value
 
Common Stocks – 96.6%  
Brazil – 3.6%      
  759,166     Ambev SA (Consumer Staples)   $ 2,237,496  
  205,564     Atacadao SA (Consumer Staples)     783,611  
  688,107     B3 SA – Brasil Bolsa Balcao (Financials)     1,573,841  
  458,194     Banco Bradesco SA (Financials)     1,400,848  
  104,600     Banco do Brasil SA (Financials)     841,686  
  655,696     BB Seguridade Participacoes SA (Financials)     3,579,055  
  56,500     Centrais Eletricas Brasileiras SA (Utilities)     502,840  
  320,623     Cia Siderurgica Nacional SA (Materials)     854,004  
  113,343     Energisa SA (Utilities)     925,164  
  129,001     Engie Brasil Energia SA (Utilities)     1,008,404  
  313,145     Equatorial Energia SA (Utilities)     1,461,464  
  55,700     Hypera SA (Health Care)     463,038  
  160,920     Klabin SA (Materials)     584,853  
  151,843     Lojas Renner SA (Consumer Discretionary)     775,774  
  194,931     Natura & Co. Holding SA (Consumer Staples)     542,541  
  560,909     Petroleo Brasileiro SA (Energy)     4,024,124  
  608,642     Raia Drogasil SA (Consumer Staples)     2,556,273  
  154,197     Suzano SA (Materials)     1,317,267  
  229,259     Telefonica Brasil SA (Communication Services)     1,820,443  
  191,910     TIM SA (Communication Services)     438,196  
  648,867     Vale SA (Materials)     8,077,962  
  269,214     WEG SA (Industrials)     1,469,999  
   

 

 

 
      37,238,883  

 

 

 
Chile – 0.5%      
  923,902     Cencosud SA (Consumer Staples)     1,296,941  
  269,280     Cia Cervecerias Unidas SA (Consumer Staples)     1,469,365  
  263,240     Empresas CMPC SA (Materials)     501,353  
  93,257     Empresas Copec SA (Energy)     807,719  
  6,868,372     Enel Americas SA (Utilities)     747,164  
   

 

 

 
      4,822,542  

 

 

 
China – 32.2%      
  64,790     360 DigiTech, Inc. ADR (Financials)     1,035,344  
  389,700     360 Security Technology, Inc., Class A (Information Technology)     413,808  
  418,506     37 Interactive Entertainment Network Technology Group Co. Ltd., Class A (Communication Services)     1,236,658  
  1,299,869     3SBio, Inc. (Health Care)(a)     866,154  
  3,088,218     Agricultural Bank of China Ltd., Class A (Financials)     1,276,762  
  4,845,114     Agricultural Bank of China Ltd., Class H (Financials)     1,586,467  
  109,892     Aier Eye Hospital Group Co. Ltd., Class A (Health Care)     468,992  

 

 

 
Common Stocks – (continued)  
China – (continued)      
  516,500     Air China Ltd., Class H (Industrials)*   415,235  
  22,556     Airtac International Group (Industrials)*     610,633  
  1,938,955     Alibaba Group Holding Ltd. (Consumer Discretionary)*     23,295,573  
  32,274     Amlogic Shanghai Co. Ltd., Class A (Information Technology)*     403,381  
  71,789     Anhui Conch Cement Co. Ltd., Class A (Materials)     332,413  
  159,592     Anhui Conch Cement Co. Ltd., Class H (Materials)     609,995  
  193,922     ANTA Sports Products Ltd. (Consumer Discretionary)     2,344,700  
  18,203     Autohome, Inc. ADR (Communication Services)     648,209  
  1,078,941     AVIC Industry-Finance Holdings Co. Ltd., Class A (Financials)     529,019  
  202,800     Baidu, Inc., Class A (Communication Services)*     3,656,102  
  2,071,275     Bank of Beijing Co. Ltd., Class A (Financials)     1,240,923  
  423,023     Bank of Changsha Co. Ltd., Class A (Financials)     418,510  
  3,322,389     Bank of China Ltd., Class A (Financials)     1,465,147  
  10,271,202     Bank of China Ltd., Class H (Financials)     3,611,805  
  2,197,507     Bank of Communications Co. Ltd., Class A (Financials)     1,460,000  
  2,710,366     Bank of Communications Co. Ltd., Class H (Financials)     1,547,034  
  1,498,049     Bank of Jiangsu Co. Ltd., Class A (Financials)     1,575,510  
  691,661     Bank of Nanjing Co. Ltd., Class A (Financials)     1,065,553  
  1,133,935     Bank of Shanghai Co. Ltd., Class A (Financials)     972,149  
  1,578,865     BBMG Corp., Class A (Materials)     600,072  
  608,898     Beijing Enterprises Holdings Ltd. (Utilities)     1,815,325  
  1,384,978     Beijing Enterprises Water Group Ltd. (Utilities)     356,441  
  459,380     Beijing Originwater Technology Co. Ltd., Class A (Industrials)     367,181  
  52,592     Beijing Wantai Biological Pharmacy Enterprise Co. Ltd., Class A (Health Care)     973,862  
  744,911     Beijing-Shanghai High Speed Railway Co. Ltd., Class A (Industrials)     500,314  
  78,405     BGI Genomics Co. Ltd., Class A (Health Care)     686,743  
  21,824     Bloomage Biotechnology Corp. Ltd., Class A (Health Care)     452,876  
  1,680,876     BOE Technology Group Co. Ltd., Class A (Information Technology)     902,183  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description       
Value
 
Common Stocks – (continued)  
China – (continued)      
  2,309,423     Bosideng International Holdings Ltd. (Consumer Discretionary)   $ 1,300,528  
  24,955     BYD Co. Ltd., Class A (Consumer Discretionary)     1,042,502  
  64,196     BYD Co. Ltd., Class H (Consumer Discretionary)     1,980,962  
  189,689     By-health Co. Ltd., Class A (Consumer Staples)     513,190  
  412,796     Caitong Securities Co. Ltd., Class A (Financials)     454,500  
  4,084,531     CGN Power Co. Ltd., Class H (Utilities)(a)     973,145  
  14,007     Changchun High & New Technology Industry Group, Inc., Class A (Health Care)     359,809  
  457,376     Changjiang Securities Co. Ltd., Class A (Financials)     377,522  
  60,153     Chengxin Lithium Group Co. Ltd., Class A (Materials)     464,048  
  4,277,824     China Cinda Asset Management Co. Ltd., Class H (Financials)     588,628  
  3,068,134     China CITIC Bank Corp. Ltd., Class H (Financials)     1,317,341  
  1,315,478     China Communications Services Corp. Ltd., Class H (Industrials)     564,817  
  136,512     China Conch Venture Holdings Ltd. (Industrials)     279,325  
  1,323,773     China Construction Bank Corp., Class A (Financials)     1,060,009  
  12,706,349     China Construction Bank Corp., Class H (Financials)     7,883,947  
  1,428,307     China Everbright Bank Co. Ltd., Class A (Financials)     594,649  
  2,814,165     China Everbright Bank Co. Ltd., Class H (Financials)     864,093  
  1,750,854     China Feihe Ltd. (Consumer Staples)*(a)     1,452,195  
  331,742     China Galaxy Securities Co. Ltd., Class A (Financials)     476,423  
  1,201,803     China Galaxy Securities Co. Ltd., Class H (Financials)     658,409  
  537,636     China Hongqiao Group Ltd. (Materials)     524,700  
  705,510     China Life Insurance Co. Ltd., Class H (Financials)     1,013,926  
  1,336,291     China Medical System Holdings Ltd. (Health Care)     1,981,746  
  608,635     China Mengniu Dairy Co. Ltd. (Consumer Staples)*     2,764,461  
  227,597     China Merchants Bank Co. Ltd., Class A (Financials)     1,157,209  
  589,294     China Merchants Bank Co. Ltd., Class H (Financials)     3,025,736  
  333,306     China Merchants Port Holdings Co. Ltd. (Industrials)     501,094  
  197,316     China Merchants Securities Co. Ltd., Class A (Financials)     379,258  

 

 

 
Common Stocks – (continued)  
China – (continued)      
  307,928     China Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A (Real Estate)   653,061  
  1,953,574     China Minsheng Banking Corp. Ltd., Class A (Financials)     1,020,210  
  3,315,279     China Minsheng Banking Corp. Ltd., Class H (Financials)     1,055,976  
  1,013,392     China National Building Material Co. Ltd., Class H (Materials)     960,604  
  678,188     China National Nuclear Power Co. Ltd., Class A (Utilities)     626,681  
  65,546     China Northern Rare Earth Group High-Tech Co. Ltd., Class A (Materials)     286,580  
  230,186     China Overseas Land & Investment Ltd. (Real Estate)     621,740  
  140,200     China Pacific Insurance Group Co. Ltd., Class A (Financials)     426,485  
  193,740     China Pacific Insurance Group Co. Ltd., Class H (Financials)     411,233  
  1,979,143     China Petroleum & Chemical Corp., Class A (Energy)     1,225,920  
  4,369,330     China Petroleum & Chemical Corp., Class H (Energy)     2,065,298  
  1,544,323     China Power International Development Ltd. (Utilities)     865,735  
  654,231     China Railway Group Ltd., Class A (Industrials)     545,703  
  1,034,507     China Railway Group Ltd., Class H (Industrials)     593,116  
  655,997     China Railway Signal & Communication Corp. Ltd., Class A (Information Technology)     421,563  
  190,615     China Resources Beer Holdings Co. Ltd. (Consumer Staples)     1,332,072  
  532,809     China Resources Cement Holdings Ltd. (Materials)     329,236  
  90,956     China Resources Gas Group Ltd. (Utilities)     355,186  
  146,757     China Resources Land Ltd. (Real Estate)     603,007  
  186,877     China Resources Sanjiu Medical & Pharmaceutical Co. Ltd., Class A (Health Care)     1,070,533  
  179,760     China Shenhua Energy Co. Ltd., Class A (Energy)     791,163  
  833,303     China Shenhua Energy Co. Ltd., Class H (Energy)     2,622,369  
  1,077,442     China State Construction Engineering Corp. Ltd., Class A (Industrials)     803,367  
  350,200     China State Construction International Holdings Ltd. (Industrials)     405,131  
  751,435     China Suntien Green Energy Corp. Ltd., Class H (Energy)     337,956  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Shares     Description       
Value
 
Common Stocks – (continued)  
China – (continued)      
  44,225     China Tourism Group Duty Free Corp. Ltd., Class A (Consumer Discretionary)   $ 1,254,214  
  12,912,662     China Tower Corp. Ltd., Class H (Communication Services)(a)     1,612,263  
  1,707,212     China Traditional Chinese Medicine Holdings Co. Ltd. (Health Care)     739,538  
  1,969,085     China United Network Communications Ltd., Class A (Communication Services)     1,014,028  
  378,575     China Yangtze Power Co. Ltd., Class A (Utilities)     1,316,916  
  2,242,940     China Zheshang Bank Co. Ltd., Class A (Financials)*     1,057,446  
  69,902     Chongqing Brewery Co. Ltd., Class A (Consumer Staples)     1,132,661  
  836,129     Chongqing Rural Commercial Bank Co. Ltd., Class A (Financials)     434,224  
  53,088     Chongqing Zhifei Biological Products Co. Ltd., Class A (Health Care)     724,290  
  1,212,863     CITIC Ltd. (Industrials)     1,253,218  
  158,166     CITIC Securities Co. Ltd., Class A (Financials)     447,868  
  238,092     CITIC Securities Co. Ltd., Class H (Financials)     484,141  
  11,363     Contemporary Amperex Technology Co. Ltd., Class A (Industrials)*     796,154  
  167,500     COSCO SHIPPING Energy Transportation Co. Ltd., Class A (Energy)*     342,603  
  294,406     COSCO SHIPPING Holdings Co. Ltd., Class A (Industrials)     606,446  
  543,309     COSCO SHIPPING Holdings Co. Ltd., Class H (Industrials)     815,429  
  1,088,306     Country Garden Holdings Co. Ltd. (Real Estate)(b)     323,073  
  546,132     CRRC Corp. Ltd., Class A (Industrials)     396,910  
  2,257,305     CRRC Corp. Ltd., Class H (Industrials)     845,535  
  2,473,523     CSPC Pharmaceutical Group Ltd. (Health Care)     2,518,006  
  265,686     Daan Gene Co. Ltd., Class A (Health Care)     680,638  
  1,471,525     Dali Foods Group Co. Ltd. (Consumer Staples)(a)     673,064  
  464,414     Daqin Railway Co. Ltd., Class A (Industrials)     434,532  
  14,458     Daqo New Energy Corp. ADR (Information Technology)*     963,915  
  491,644     DHC Software Co. Ltd., Class A (Information Technology)     415,079  
  123,854     Dong-E-E-Jiao Co. Ltd., Class A (Health Care)     615,537  

 

 

 
Common Stocks – (continued)  
China – (continued)      
  967,922     Dongfeng Motor Group Co. Ltd., Class H (Consumer Discretionary)   615,368  
  364,092     Dongxing Securities Co. Ltd., Class A (Financials)     438,904  
  323,115     Dongyue Group Ltd. (Materials)     364,741  
  70,459     Ecovacs Robotics Co. Ltd., Class A (Consumer Discretionary)     834,034  
  65,937     ENN Energy Holdings Ltd. (Utilities)     961,057  
  199,100     ENN Natural Gas Co. Ltd., Class A (Utilities)     593,238  
  510,457     Far East Horizon Ltd. (Financials)     386,964  
  566,631     FAW Jiefang Group Co. Ltd., Class A (Consumer Discretionary)     670,730  
  183,836     Fiberhome Telecommunication Technologies Co. Ltd., Class A (Information Technology)     383,750  
  625,293     Focus Media Information Technology Co. Ltd., Class A (Communication Services)     549,684  
  359,982     Fosun International Ltd. (Industrials)     265,554  
  463,468     Founder Securities Co. Ltd., Class A (Financials)     467,263  
  286,014     Foxconn Industrial Internet Co. Ltd., Class A (Information Technology)     385,443  
  70,549     Fuyao Glass Industry Group Co. Ltd., Class A (Consumer Discretionary)     399,742  
  12,597     G-bits Network Technology Xiamen Co. Ltd., Class A (Communication Services)     521,437  
  1,305,843     GD Power Development Co. Ltd., Class A (Utilities)*     824,019  
  387,200     Geely Automobile Holdings Ltd. (Consumer Discretionary)     784,380  
  111,848     Genscript Biotech Corp. (Health Care)*     362,669  
  135,746     GF Securities Co. Ltd., Class A (Financials)     323,732  
  258,856     Giant Network Group Co. Ltd., Class A (Communication Services)     323,685  
  155,212     Great Wall Motor Co. Ltd., Class H (Consumer Discretionary)     234,928  
  85,183     Gree Electric Appliances Inc of Zhuhai, Class A (Consumer Discretionary)     394,556  
  382,979     Guangdong Investment Ltd. (Utilities)     351,319  
  34,709     Guangdong Kinlong Hardware Products Co. Ltd., Class A (Industrials)     480,691  
  256,497     Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class A (Health Care)     1,012,065  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description       
Value
 
Common Stocks – (continued)  
China – (continued)      
  312,651     Guangzhou Haige Co.mmunications Group Inc Co., Class A (Information Technology)   $ 396,395  
  86,083     Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A (Health Care)     832,540  
  114,350     Guangzhou Tinci Materials Technology Co. Ltd., Class A (Materials)     788,758  
  283,889     Guosen Securities Co. Ltd., Class A (Financials)     380,932  
  204,779     Guotai Junan Securities Co. Ltd., Class A (Financials)     439,350  
  433,797     Guoyuan Securities Co. Ltd., Class A (Financials)     460,633  
  640,222     Haidilao International Holding Ltd. (Consumer Discretionary)*(a)(b)     1,517,181  
  246,124     Haier Smart Home Co. Ltd., Class A (Consumer Discretionary)     923,650  
  489,005     Haier Smart Home Co. Ltd., Class H (Consumer Discretionary)     1,607,411  
  152,189     Haitian International Holdings Ltd. (Industrials)     374,226  
  309,338     Haitong Securities Co. Ltd., Class A (Financials)     425,401  
  584,950     Haitong Securities Co. Ltd., Class H (Financials)     383,813  
  83,806     Hangzhou Robam Appliances Co. Ltd., Class A (Consumer Discretionary)     305,753  
  146,855     Hansoh Pharmaceutical Group Co. Ltd. (Health Care)(a)     293,753  
  234,368     Heilongjiang Agriculture Co. Ltd., Class A (Consumer Staples)     499,093  
  85,128     Hengan International Group Co. Ltd. (Consumer Staples)     407,807  
  1,385,817     Hesteel Co. Ltd., Class A (Materials)     486,495  
  55,730     Hithink RoyalFlush Information Network Co. Ltd., Class A (Financials)     688,222  
  317,700     Hopson Development Holdings Ltd. (Real Estate)     437,154  
  26,276     Hoshine Silicon Industry Co. Ltd., Class A (Materials)     427,670  
  685,391     Huadian Power International Corp. Ltd., Class A (Utilities)     542,860  
  128,402     Huadong Medicine Co. Ltd., Class A (Health Care)     785,475  
  215,559     Huatai Securities Co. Ltd., Class A (Financials)     410,883  
  375,474     Huatai Securities Co. Ltd., Class H (Financials)(a)     503,257  
  349,310     Huaxi Securities Co. Ltd., Class A (Financials)     406,389  
  1,511,277     Huaxia Bank Co. Ltd., Class A (Financials)     1,126,845  

 

 

 
Common Stocks – (continued)  
China – (continued)      
  195,320     Huayu Automotive Systems Co. Ltd., Class A (Consumer Discretionary)   528,991  
  103,948     Hubei Xingfa Chemicals Group Co. Ltd., Class A (Materials)     582,804  
  19,300     Huizhou Desay Sv Automotive Co. Ltd., Class A (Consumer Discretionary)     428,357  
  2,076,413     Industrial & Commercial Bank of China Ltd., Class A (Financials)     1,319,304  
  7,061,808     Industrial & Commercial Bank of China Ltd., Class H (Financials)     3,598,901  
  472,464     Industrial Bank Co. Ltd., Class A (Financials)     1,172,670  
  114,774     Inner Mongolia Yili Industrial Group Co. Ltd., Class A (Consumer Staples)     595,052  
  282,353     Inner Mongolia Yuan Xing Energy Co. Ltd., Class A (Materials)     348,561  
  124,863     Intco Medical Technology Co. Ltd., Class A (Health Care)     397,762  
  108,497     Jafron Biomedical Co. Ltd., Class A (Health Care)     739,099  
  234,080     JD.com, Inc., Class A (Consumer Discretionary)     7,360,434  
  466,628     Jiangsu Expressway Co. Ltd., Class H (Industrials)     400,110  
  282,422     Jiangsu Hengrui Medicine Co. Ltd., Class A (Health Care)     1,419,986  
  136,900     Jiangsu Zhongtian Technology Co. Ltd., Class A (Industrials)     442,065  
  28,151     JiuGui Liquor Co. Ltd., Class A (Consumer Staples)     609,529  
  355,661     Jiumaojiu International Holdings Ltd. (Consumer Discretionary)(a)(b)     704,176  
  247,328     Joincare Pharmaceutical Group Industry Co. Ltd., Class A (Health Care)     391,431  
  354,824     Jointown Pharmaceutical Group Co. Ltd., Class A (Health Care)     611,486  
  17,642     JOYY, Inc. ADR (Communication Services)     534,905  
  412,728     Kingboard Holdings Ltd. (Information Technology)     1,306,725  
  235,899     Kuaishou Technology (Communication Services)*(a)     2,067,800  
  10,869     Kweichow Moutai Co. Ltd., Class A (Consumer Staples)     3,033,554  
  2,506,417     Lenovo Group Ltd. (Information Technology)     2,075,681  
  23,400     Li Auto, Inc. ADR (Consumer Discretionary)*     673,218  
  324,604     Li Ning Co. Ltd. (Consumer Discretionary)     2,977,696  
  1,707,512     Liaoning Port Co. Ltd., Class A (Industrials)     413,654  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Shares     Description       
Value
 
Common Stocks – (continued)  
China – (continued)      
  295,274     Longfor Group Holdings Ltd. (Real Estate)(a)   $ 963,073  
  17,432     Luzhou Laojiao Co. Ltd., Class A (Consumer Staples)     592,231  
  413,055     Meituan, Class B (Consumer Discretionary)*(a)     9,988,449  
  1,238,474     Metallurgical Corp. of China Ltd., Class A (Industrials)     576,699  
  47,600     Muyuan Foods Co. Ltd., Class A (Consumer Staples)     404,771  
  225,111     NetEase, Inc. (Communication Services)     4,066,932  
  85,277     New China Life Insurance Co. Ltd., Class A (Financials)     356,396  
  185,640     New China Life Insurance Co. Ltd., Class H (Financials)     437,560  
  448,200     New Oriental Education & Technology Group, Inc. (Consumer Discretionary)*     1,341,942  
  40,200     Ningbo Orient Wires & Cables Co. Ltd., Class A (Industrials)     417,946  
  40,000     Ningbo Tuopu Group Co. Ltd., Class A (Consumer Discretionary)     458,748  
  358,033     Nongfu Spring Co. Ltd., Class H (Consumer Staples)(a)     2,137,109  
  107,708     North Industries Group Red Arrow Co. Ltd., Class A (Industrials)     477,640  
  400,759     Northeast Securities Co. Ltd., Class A (Financials)     417,993  
  796,349     Offshore Oil Engineering Co. Ltd., Class A (Energy)     518,689  
  574,820     People’s Insurance Co. Group of China Ltd. (The), Class A (Financials)     416,092  
  2,600,299     People’s Insurance Co. Group of China Ltd. (The), Class H (Financials)     805,051  
  2,956,839     PetroChina Co. Ltd., Class A (Energy)     2,290,477  
  4,984,129     PetroChina Co. Ltd., Class H (Energy)     2,355,902  
  1,994,664     PICC Property & Casualty Co. Ltd., Class H (Financials)     2,160,144  
  42,638     Pinduoduo, Inc. ADR (Consumer Discretionary)*     3,040,089  
  225,100     Ping An Bank Co. Ltd., Class A (Financials)     416,335  
  134,260     Ping An Insurance Group Co. of China Ltd., Class A (Financials)     853,836  
  663,036     Ping An Insurance Group Co. of China Ltd., Class H (Financials)     3,915,442  
  1,520,119     Postal Savings Bank of China Co. Ltd., Class A (Financials)     994,515  
  1,897,528     Postal Savings Bank of China Co. Ltd., Class H (Financials)(a)     1,136,266  
  540,012     Power Construction Corp. of China Ltd., Class A (Industrials)     604,753  

 

 

 
Common Stocks – (continued)  
China – (continued)      
  26,703     Proya Cosmetics Co. Ltd., Class A (Consumer Staples)   619,779  
  871,880     Qingdao Rural Commercial Bank Corp., Class A (Financials)     385,757  
  178,500     Qinghai Salt Lake Industry Co. Ltd., Class A (Materials)*     719,847  
  221,199     SAIC Motor Corp. Ltd., Class A (Consumer Discretionary)     496,399  
  36,347     Sangfor Technologies, Inc., Class A (Information Technology)     509,176  
  218,276     SDIC Power Holdings Co. Ltd., Class A (Utilities)     353,051  
  839,697     Sealand Securities Co. Ltd., Class A (Financials)     434,858  
  1,217,300     Seazen Group Ltd. (Real Estate)*     406,343  
  23,663     SG Micro Corp., Class A (Information Technology)     549,907  
  216,155     Shandong Buchang Pharmaceuticals Co. Ltd., Class A (Health Care)     564,410  
  193,508     Shandong Gold Mining Co. Ltd., Class A (Materials)     502,469  
  737,986     Shanghai International Port Group Co. Ltd., Class A (Industrials)     579,165  
  198,441     Shanghai Lingang Holdings Corp. Ltd., Class A (Real Estate)     364,149  
  159,966     Shanghai Pharmaceuticals Holding Co. Ltd., Class A (Health Care)     400,985  
  1,102,551     Shanghai Pudong Development Bank Co. Ltd., Class A (Financials)     1,162,760  
  478,099     Shanghai RAAS Blood Products Co. Ltd., Class A (Health Care)     405,031  
  352,100     Shanghai Yuyuan Tourist Mart Group Co. Ltd., Class A (Consumer Discretionary)     409,635  
  243,700     Shanghai Zhangjiang High-Tech Park Development Co. Ltd., Class A (Real Estate)     410,082  
  512,945     Shanxi Securities Co. Ltd., Class A (Financials)     433,063  
  888,737     Shanxi Taigang Stainless Steel Co. Ltd., Class A (Materials)     631,723  
  30,334     Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A (Consumer Staples)     1,289,301  
  176,300     Shengyi Technology Co. Ltd., Class A (Information Technology)     406,637  
  752,170     Shenwan Hongyuan Group Co. Ltd., Class A (Financials)     456,089  
  347,632     Shenzhen International Holdings Ltd. (Industrials)     300,292  
  16,460     Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A (Health Care)     712,740  
  20,866     Shenzhou International Group Holdings Ltd. (Consumer Discretionary)     218,926  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description       
Value
 
Common Stocks – (continued)  
China – (continued)      
  228,781     Shijiazhuang Yiling Pharmaceutical Co. Ltd., Class A (Health Care)   $ 709,885  
  459,262     Shimao Group Holdings Ltd. (Real Estate)(b)(c)     258,629  
  188,294     Sichuan Chuantou Energy Co. Ltd., Class A (Utilities)     360,279  
  222,826     Sichuan Kelun Pharmaceutical Co. Ltd., Class A (Health Care)     693,993  
  314,066     Sichuan Road & Bridge Co. Ltd., Class A (Industrials)     486,119  
  83,803     Sichuan Swellfun Co. Ltd., Class A (Consumer Staples)     887,198  
  68,592     Silergy Corp. (Information Technology)     1,201,135  
  325,400     Sinolink Securities Co. Ltd., Class A (Financials)     407,839  
  270,104     Sinopharm Group Co. Ltd., Class H (Health Care)     601,543  
  829,288     Sinotrans Ltd., Class A (Industrials)     453,528  
  195,740     Smoore International Holdings Ltd. (Consumer Staples)(a)(b)     351,137  
  404,700     SooChow Securities Co. Ltd., Class A (Financials)     402,730  
  664,049     Southwest Securities Co. Ltd., Class A (Financials)     378,573  
  237,920     Sunac China Holdings Ltd. (Real Estate)*(c)     138,832  
  38,387     Sunny Optical Technology Group Co. Ltd. (Information Technology)     527,715  
  82,600     Suzhou TA&A Ultra Clean Technology Co. Ltd., Class A (Materials)     934,733  
  115,200     TAL Education Group ADR (Consumer Discretionary)*     665,856  
  69,759     TBEA Co. Ltd., Class A (Industrials)     250,760  
  660,944     TCL Technology Group Corp., Class A (Consumer Discretionary)     397,896  
  781,771     Tencent Holdings Ltd. (Communication Services)     32,590,185  
  146,021     Tencent Music Entertainment Group ADR (Communication Services)*     746,167  
  291,700     Tianma Microelectronics Co. Ltd., Class A (Information Technology)     399,453  
  1,197,818     Tingyi Cayman Islands Holding Corp. (Consumer Staples)     2,130,444  
  174,023     Titan Wind Energy Suzhou Co. Ltd., Class A (Industrials)     349,634  
  1,301,523     Topsports International Holdings Ltd. (Consumer Discretionary)(a)     1,029,763  
  12,077     Trip.com Group Ltd. ADR (Consumer Discretionary)*     310,620  
  60,700     Tsingtao Brewery Co. Ltd., Class H (Consumer Staples)     591,622  

 

 

 
Common Stocks – (continued)  
China – (continued)      
  1,424,277     Uni-President China Holdings Ltd. (Consumer Staples)   1,228,505  
  197,268     Vipshop Holdings Ltd. ADR (Consumer Discretionary)*     2,290,281  
  1,938,165     Want Want China Holdings Ltd. (Consumer Staples)     1,368,026  
  246,701     Weichai Power Co. Ltd., Class H (Industrials)     330,659  
  257,152     Wens Foodstuffs Group Co. Ltd., Class A (Consumer Staples)*     884,834  
  414,844     Western Securities Co. Ltd., Class A (Financials)     389,957  
  228,831     Wharf Holdings Ltd. (The) (Real Estate)     862,980  
  611,000     Wuchan Zhongda Group Co. Ltd., Class A (Consumer Discretionary)     407,714  
  30,841     Wuliangye Yibin Co. Ltd., Class A (Consumer Staples)     747,990  
  120,104     Wuxi Biologics Cayman, Inc. (Health Care)*(a)     1,066,557  
  554,900     XCMG Construction Machinery Co. Ltd., Class A (Industrials)*     419,382  
  438,385     Xiamen C & D, Inc., Class A (Industrials)     746,588  
  12,896     Xiamen Faratronic Co. Ltd., Class A (Information Technology)     332,504  
  129,685     Xiamen Intretech, Inc., Class A (Consumer Discretionary)     382,835  
  604,550     Xiaomi Corp., Class B (Information Technology)*(a)     890,398  
  298,259     Yadea Group Holdings Ltd. (Consumer Discretionary)(a)     570,765  
  153,200     Yankuang Energy Group Co. Ltd., Class H (Energy)     608,986  
  239,930     Yihai International Holding Ltd. (Consumer Staples)*(b)     605,874  
  24,737     YongXing Special Materials Technology Co. Ltd., Class A (Materials)     482,966  
  481,988     Youngor Group Co. Ltd., Class A (Real Estate)     447,480  
  26,996     Youngy Co. Ltd., Class A (Materials)*     469,896  
  146,900     YTO Express Group Co. Ltd., Class A (Industrials)     418,098  
  583,622     Yuexiu Property Co. Ltd. (Real Estate)     731,679  
  66,018     Yum China Holdings, Inc. (Consumer Discretionary)     3,308,162  
  53,400     Yunnan Baiyao Group Co. Ltd., Class A (Health Care)     405,600  
  31,912     Yunnan Botanee Bio-Technology Group Co. Ltd., Class A (Consumer Staples)     861,967  
  9,551     Zhangzhou Pientzehuang Pharmaceutical Co. Ltd., Class A (Health Care)     417,021  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Shares     Description       
Value
 
Common Stocks – (continued)  
China – (continued)      
  650,727     Zhejiang Expressway Co. Ltd., Class H (Industrials)   $ 495,786  
  31,808     Zhejiang Orient Gene Biotech Co. Ltd., Class A (Health Care)     408,585  
  363,817     Zhejiang Semir Garment Co. Ltd., Class A (Consumer Discretionary)     274,437  
  72,076     Zhejiang Supor Co. Ltd., Class A (Consumer Discretionary)     479,388  
  301,417     Zhejiang Weixing New Building Materials Co. Ltd., Class A (Industrials)     912,093  
  52,879     Zhejiang Wolwo Bio-Pharmaceutical Co. Ltd., Class A (Health Care)     355,004  
  225,574     Zhongsheng Group Holdings Ltd. (Consumer Discretionary)     1,070,556  
  388,700     Zhongtai Securities Co. Ltd., Class A (Financials)     417,821  
   

 

 

 
      330,354,044  

 

 

 
Colombia – 0.1%      
  1,036,435     Ecopetrol SA (Energy)     528,853  

 

 

 
Czech Republic – 0.2%      
  38,113     CEZ AS (Utilities)     1,543,461  
  21,333     Komercni banka AS (Financials)     502,860  
   

 

 

 
      2,046,321  

 

 

 
Egypt – 0.3%      
  1,028,053     Commercial International Bank Egypt SAE (Financials)     2,041,656  
  2,910,935     Eastern Co. SAE (Consumer Staples)     1,477,440  
   

 

 

 
      3,519,096  

 

 

 
Greece – 0.4%      
  643,054     Eurobank Ergasias Services and Holdings SA (Financials)*     601,359  
  197,403     Hellenic Telecommunications Organization SA (Communication Services)     3,148,188  
  38,697     OPAP SA (Consumer Discretionary)     511,690  
   

 

 

 
      4,261,237  

 

 

 
Hong Kong – 0.3%      
  274,649     Kingboard Laminates Holdings Ltd. (Information Technology)     262,792  
  54,824     Orient Overseas International Ltd. (Industrials)     1,535,297  
  2,660,852     Sino Biopharmaceutical Ltd. (Health Care)     1,403,508  
   

 

 

 
      3,201,597  

 

 

 
Hungary – 0.2%      
  107,253     MOL Hungarian Oil & Gas PLC (Energy)     737,630  
  18,079     OTP Bank Nyrt (Financials)     383,956  

 

 

 
Common Stocks – (continued)  
Hungary – (continued)      
  17,597     Richter Gedeon Nyrt (Health Care)   354,047  
   

 

 

 
      1,475,633  

 

 

 
India – 13.6%      
  22,138     ACC Ltd. (Materials)     640,724  
  22,618     Adani Enterprises Ltd. (Industrials)     909,281  
  27,504     Adani Green Energy Ltd. (Utilities)*     843,277  
  8,228     Adani Power Ltd. (Utilities)*     42,865  
  23,100     Adani Total Gas Ltd. (Utilities)     1,088,728  
  19,731     Adani Transmission Ltd. (Utilities)*     983,519  
  76,748     Asian Paints Ltd. (Materials)     3,275,920  
  179,814     Aurobindo Pharma Ltd. (Health Care)     1,234,242  
  23,017     Avenue Supermarts Ltd. (Consumer Staples)*(a)     1,312,617  
  107,594     Axis Bank Ltd. (Financials)     1,017,604  
  14,298     Bajaj Finance Ltd. (Financials)     1,314,714  
  2,210     Bajaj Finserv Ltd. (Financials)     471,775  
  73,320     Berger Paints India Ltd. (Materials)     621,657  
  111,700     Bharat Electronics Ltd. (Industrials)     430,869  
  134,764     Bharat Petroleum Corp. Ltd. (Energy)     557,403  
  181,083     Bharti Airtel Ltd. (Communication Services)     1,655,902  
  169,098     Biocon Ltd. (Health Care)     659,510  
  55,438     Britannia Industries Ltd. (Consumer Staples)     2,614,807  
  42,200     Cholamandalam Investment and Finance Co. Ltd. (Financials)     419,753  
  186,423     Cipla Ltd. (Health Care)     2,436,389  
  147,300     Coal India Ltd. (Energy)     435,274  
  108,428     Colgate-Palmolive India Ltd. (Consumer Staples)     2,285,624  
  218,486     Dabur India Ltd. (Consumer Staples)     1,604,724  
  39,854     Divi’s Laboratories Ltd. (Health Care)     1,819,127  
  34,738     Dr. Reddy’s Laboratories Ltd. (Health Care)     1,855,877  
  274,740     GAIL India Ltd. (Utilities)     470,589  
  48,438     Grasim Industries Ltd. (Materials)     1,023,312  
  111,718     Havells India Ltd. (Industrials)     1,956,446  
  306,842     HCL Technologies Ltd. (Information Technology)     3,625,925  
  115,043     HDFC Life Insurance Co. Ltd. (Financials)(a)     832,800  
  228,234     Hindalco Industries Ltd. (Materials)     1,260,975  
  93,586     Hindustan Unilever Ltd. (Consumer Staples)     3,132,778  
  178,743     Housing Development Finance Corp. Ltd. (Financials)     5,503,235  
  455,903     ICICI Bank Ltd. (Financials)     5,091,016  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description       
Value
 
Common Stocks – (continued)  
India – (continued)      
  49,270     ICICI Lombard General Insurance Co. Ltd. (Financials)(a)   $ 798,842  
  1,932,856     Indian Oil Corp. Ltd. (Energy)     1,739,270  
  544,412     Infosys Ltd. (Information Technology)     10,229,031  
  506,186     ITC Ltd. (Consumer Staples)     2,041,737  
  164,252     Jindal Steel & Power Ltd. (Materials)     895,800  
  58,755     JSW Steel Ltd. (Materials)     493,136  
  180,101     Jubilant Foodworks Ltd. (Consumer Discretionary)     1,396,915  
  26,692     Kotak Mahindra Bank Ltd. (Financials)     643,448  
  41,080     Larsen & Toubro Infotech Ltd. (Information Technology)(a)     2,399,767  
  77,850     Larsen & Toubro Ltd. (Industrials)     1,883,591  
  136,223     Lupin Ltd. (Health Care)     1,147,105  
  146,682     Mahindra & Mahindra Ltd. (Consumer Discretionary)     2,415,897  
  361,300     Marico Ltd. (Consumer Staples)     2,389,928  
  6,700     Maruti Suzuki India Ltd. (Consumer Discretionary)     765,826  
  32,724     Mindtree Ltd. (Information Technology)     1,361,747  
  26,276     Mphasis Ltd. (Information Technology)     704,683  
  63,809     Muthoot Finance Ltd. (Financials)     847,300  
  10,825     Nestle India Ltd. (Consumer Staples)     2,714,603  
  694,829     NTPC Ltd. (Utilities)     1,434,113  
  221,756     Oil & Natural Gas Corp. Ltd. (Energy)     386,812  
  5,363     Page Industries Ltd. (Consumer Discretionary)     3,445,140  
  9,912     PI Industries Ltd. (Materials)     428,648  
  72,321     Pidilite Industries Ltd. (Materials)     2,490,518  
  723,079     Power Grid Corp. Of India Ltd. (Utilities)     2,089,388  
  296,776     Reliance Industries Ltd. (Energy)     9,852,737  
  102,213     SBI Life Insurance Co. Ltd. (Financials)(a)     1,709,721  
  39,441     Siemens Ltd. (Industrials)     1,431,346  
  16,070     SRF Ltd. (Materials)     514,390  
  176,311     State Bank of India (Financials)     1,178,799  
  87,082     Sun Pharmaceutical Industries Ltd. (Health Care)     978,736  
  178,472     Tata Consultancy Services Ltd. (Information Technology)     7,212,606  
  123,026     Tata Consumer Products Ltd. (Consumer Staples)     1,253,591  
  8,356     Tata Elxsi Ltd. (Information Technology)     948,485  
  384,882     Tata Motors Ltd. (Consumer Discretionary)*     2,281,930  
  171,713     Tata Power Co. Ltd. (The) (Utilities)     512,061  

 

 

 
Common Stocks – (continued)  
India – (continued)      
  2,185,872     Tata Steel Ltd. (Materials)   2,979,303  
  257,670     Tech Mahindra Ltd. (Information Technology)     3,489,619  
  16,170     Titan Co. Ltd. (Consumer Discretionary)     530,055  
  75,164     Torrent Pharmaceuticals Ltd. (Health Care)     1,466,754  
  18,629     UltraTech Cement Ltd. (Materials)     1,565,625  
  404,182     Vedanta Ltd. (Materials)     1,374,688  
  302,866     Wipro Ltd. (Information Technology)     1,576,304  
   

 

 

 
      139,429,253  

 

 

 
Indonesia – 1.8%      
  2,027,800     Adaro Energy Indonesia Tbk PT (Energy)     483,639  
  5,527,654     Aneka Tambang Tbk (Materials)     741,117  
  4,381,187     Astra International Tbk PT (Consumer Discretionary)     2,058,870  
  4,353,586     Bank Central Asia Tbk PT (Financials)     2,405,215  
  999,680     Bank Mandiri Persero Tbk PT (Financials)     596,070  
  695,352     Bank Negara Indonesia Persero Tbk PT (Financials)     399,385  
  2,679,472     Bank Rakyat Indonesia Persero Tbk PT (Financials)     783,487  
  234,549     Gudang Garam Tbk PT (Consumer Staples)     374,915  
  2,403,028     Indofood CBP Sukses Makmur Tbk PT (Consumer Staples)     1,343,785  
  3,335,787     Indofood Sukses Makmur Tbk PT (Consumer Staples)     1,399,042  
  12,965,024     Kalbe Farma Tbk PT (Health Care)     1,467,491  
  2,929,502     Merdeka Copper Gold Tbk PT (Materials)*     844,754  
  5,150,848     Sumber Alfaria Trijaya Tbk PT (Consumer Staples)     756,534  
  11,521,369     Telkom Indonesia Persero Tbk PT (Communication Services)     3,539,663  
  4,458,962     Unilever Indonesia Tbk PT (Consumer Staples)     1,378,921  
   

 

 

 
      18,572,888  

 

 

 
Kuwait – 0.8%      
  354,724     Agility Public Warehousing Co. KSC (Industrials)     969,890  
  332,759     Boubyan Bank KSCP (Financials)     902,269  
  1,072,232     Kuwait Finance House KSCP (Financials)     3,133,654  
  950,794     National Bank of Kuwait SAKP (Financials)     3,254,220  
   

 

 

 
      8,260,033  

 

 

 
Luxembourg – 0.1%      
  46,127     Reinet Investments SCA (Financials)     760,818  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Shares     Description       
Value
 
Common Stocks – (continued)  
Mexico – 2.1%      
  917,566     Alfa SAB de CV, Class A (Industrials)   $ 584,885  
  4,333,191     America Movil SAB de CV, Series L (Communication Services)     3,699,328  
  3,334,400     Cemex SAB de CV, Series CPO (Materials)*     1,238,463  
  375,161     Fomento Economico Mexicano SAB de CV (Consumer Staples)     2,355,389  
  203,271     Gruma SAB de CV, Class B (Consumer Staples)     2,218,779  
  1,094,936     Grupo Bimbo SAB de CV, Series A (Consumer Staples)     3,605,144  
  363,167     Grupo Financiero Banorte SAB de CV, Class O (Financials)     2,148,449  
  546,815     Grupo Mexico SAB de CV, Series B (Materials)     2,073,938  
  1,196,330     Wal-Mart de Mexico SAB de CV (Consumer Staples)     3,916,387  
   

 

 

 
      21,840,762  

 

 

 
Philippines – 0.3%      
  364,980     Bank of the Philippine Islands (Financials)     617,129  
  12,654     Globe Telecom, Inc. (Communication Services)     472,765  
  82,040     International Container Terminal Services, Inc. (Industrials)     264,725  
  167,850     Manila Electric Co. (Utilities)     900,301  
  26,285     PLDT, Inc. (Communication Services)     785,905  
   

 

 

 
      3,040,825  

 

 

 
Poland – 0.7%      
  26,856     Bank Pekao SA (Financials)     373,151  
  16,684     CD Projekt SA (Communication Services)     299,086  
  33,198     Dino Polska SA (Consumer Staples)*(a)     2,431,572  
  24,857     KGHM Polska Miedz SA (Materials)     468,800  
  578     LPP SA (Consumer Discretionary)     1,045,758  
  451,813     PGE Polska Grupa Energetyczna SA (Utilities)*     690,549  
  115,825     Powszechna Kasa Oszczednosci Bank Polski SA (Financials)     580,544  
  209,297     Powszechny Zaklad Ubezpieczen SA (Financials)     1,256,005  
   

 

 

 
      7,145,465  

 

 

 
Qatar – 1.4%      
  589,801     Commercial Bank PSQC (The) (Financials)     1,187,133  
  104,230     Industries Qatar QSC (Industrials)     519,469  
  1,079,017     Masraf Al Rayan QSC (Financials)     1,339,531  

 

 

 
Common Stocks – (continued)  
Qatar – (continued)      
  751,965     Ooredoo QPSC (Communication Services)   1,874,879  
  632,475     Qatar International Islamic Bank QSC (Financials)     2,068,450  
  371,598     Qatar Islamic Bank (Financials)     2,613,201  
  777,114     Qatar National Bank QPSC (Financials)     4,404,375  
   

 

 

 
      14,007,038  

 

 

 
Romania – 0.1%      
  132,406     NEPI Rockcastle S.A. (Real Estate)     704,895  

 

 

 
Russia – 0.0%      
  1,256,908     Gazprom PJSC (Energy)*(c)      
  35,708,229     Inter RAO UES PJSC (Utilities)(c)      
  62,206     LUKOIL PJSC (Energy)(c)      
  11,906     MMC Norilsk Nickel PJSC (Materials)(c)      
  824,628     Moscow Exchange MICEX-RTS PJSC (Financials)*(c)      
  5,200     Novatek PJSC GDR (Energy)(c)      
  839,494     Novolipetsk Steel PJSC (Materials)(c)      
  127,440     PhosAgro PJSC GDR (Materials)(c)      
  820     PhosAgro PJSC (Materials)(c)      
  73,809     Polymetal International PLC (Materials)(c)      
  11,287     Polyus PJSC (Materials)(c)      
  90,086     Rosneft Oil Co. PJSC (Energy)(c)      
  1,661,273     Sberbank of Russia PJSC (Financials)*(c)      
  152,107     Severstal PAO (Materials)(c)      
  3,362,523     Surgutneftegas PJSC (Energy)(c)      
  277,377     Tatneft PJSC (Energy)(c)      
  29,482     TCS Group Holding PLC GDR (Financials)*(c)      
  799,132,583     VTB Bank PJSC (Financials)*(c)      
  69,395     X5 Retail Group NV GDR (Consumer Staples)(c)      
  41,484     Yandex NV, Class A (Communication Services)*(c)      
   

 

 

 
       

 

 

 
Saudi Arabia – 4.3%      
  54,322     Advanced Petrochemical Co. (Materials)     722,559  
  288,885     Al Rajhi Bank (Financials)*     6,932,010  
  82,200     Alinma Bank (Financials)     830,966  
  32,932     Almarai Co. JSC (Consumer Staples)     464,325  
  67,000     Arab National Bank (Financials)     534,717  
  46,100     Bank AlBilad (Financials)*     620,553  
  64,200     Bank Al-Jazira (Financials)     402,381  
  46,011     Banque Saudi Fransi (Financials)     608,951  
  27,463     Bupa Arabia for Cooperative Insurance Co. (Financials)     1,201,095  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

 

 

Shares     Description       
Value
 
Common Stocks – (continued)  
Saudi Arabia – (continued)      
  147,052     Dar Al Arkan Real Estate Development Co. (Real Estate)*   $ 553,939  
  213,062     Etihad Etisalat Co. (Communication Services)     2,074,506  
  10,024     Jarir Marketing Co. (Consumer Discretionary)     458,667  
  195,316     Mobile Telecommunications Co Saudi Arabia (Communication Services)*     601,692  
  168,284     Rabigh Refining & Petrochemical Co. (Energy)*     775,387  
  87,205     Riyad Bank (Financials)     823,564  
  33,113     SABIC Agri-Nutrients Co. (Materials)     1,532,765  
  207,740     Sahara International Petrochemical Co. (Materials)     2,638,889  
  48,796     Saudi Arabian Mining Co. (Materials)*     967,093  
  432,530     Saudi Arabian Oil Co. (Energy)(a)     4,314,944  
  110,447     Saudi Basic Industries Corp. (Materials)     2,944,078  
  63,136     Saudi British Bank (The) (Financials)     670,998  
  275,529     Saudi Electricity Co. (Utilities)     1,850,787  
  63,968     Saudi Industrial Investment Group (Materials)     435,643  
  96,700     Saudi Investment Bank (The) (Financials)     514,498  
  330,039     Saudi Kayan Petrochemical Co. (Materials)*     1,290,655  
  294,624     Saudi National Bank (The) (Financials)     5,478,643  
  231,347     Saudi Telecom Co. (Communication Services)     2,572,574  
  119,203     Savola Group (The) (Consumer Staples)     1,035,376  
   

 

 

 
      43,852,255  

 

 

 
Singapore – 0.0%      
  50,200     BOC Aviation Ltd. (Industrials)(a)     403,258  

 

 

 
South Africa – 3.7%      
  168,887     Absa Group Ltd. (Financials)     1,763,938  
  57,183     African Rainbow Minerals Ltd. (Materials)     792,706  
  4,620     Anglo American Platinum Ltd. (Materials)     324,927  
  127,500     Aspen Pharmacare Holdings Ltd. (Health Care)     1,103,368  
  96,111     Bid Corp. Ltd. (Consumer Staples)     1,832,912  
  48,828     Bidvest Group Ltd. (The) (Industrials)     615,779  
  8,111     Capitec Bank Holdings Ltd. (Financials)     972,474  
  100,054     Clicks Group Ltd. (Consumer Staples)     1,749,436  

 

 

 
Common Stocks – (continued)  
South Africa – (continued)      
  32,542     Discovery Ltd. (Financials)*   234,532  
  614,739     FirstRand Ltd. (Financials)     2,314,414  
  172,198     Gold Fields Ltd. (Materials)     1,401,576  
  212,001     Impala Platinum Holdings Ltd. (Materials)     2,243,596  
  59,177     Kumba Iron Ore Ltd. (Materials)(b)     1,321,105  
  152,946     Mr Price Group Ltd. (Consumer Discretionary)     1,671,024  
  301,179     MTN Group Ltd. (Communication Services)     2,195,530  
  370,241     MultiChoice Group (Communication Services)     2,511,298  
  3,500     Naspers Ltd., Class N (Consumer Discretionary)     498,122  
  155,258     Nedbank Group Ltd. (Financials)(b)     1,847,312  
  687,719     Old Mutual Ltd. (Financials)     410,346  
  336,960     Pepkor Holdings Ltd. (Consumer Discretionary)(a)     397,566  
  104,641     Remgro Ltd. (Financials)     781,904  
  291,157     Sanlam Ltd. (Financials)     910,826  
  46,391     Sasol Ltd. (Materials)*     903,166  
  243,879     Shoprite Holdings Ltd. (Consumer Staples)     3,329,863  
  572,493     Sibanye Stillwater Ltd. (Materials)     1,292,815  
  156,455     SPAR Group Ltd. (The) (Consumer Staples)     1,437,289  
  215,347     Standard Bank Group Ltd. (Financials)     1,935,980  
  170,422     Vodacom Group Ltd. (Communication Services)     1,261,337  
   

 

 

 
      38,055,141  

 

 

 
South Korea – 11.6%      
  16,750     Amorepacific Corp. (Consumer Staples)     1,540,316  
  43,647     AMOREPACIFIC Group (Consumer Staples)     1,138,859  
  11,024     BGF retail Co. Ltd. (Consumer Staples)     1,322,831  
  4,595     Celltrion, Inc. (Health Care)     651,006  
  104,476     Cheil Worldwide, Inc. (Communication Services)     1,710,608  
  3,783     CJ CheilJedang Corp. (Consumer Staples)     1,152,534  
  14,207     CJ Corp. (Industrials)     830,614  
  13,524     CJ ENM Co. Ltd. (Communication Services)     993,914  
  9,275     CJ Logistics Corp. (Industrials)*     821,717  
  32,553     Coway Co. Ltd. (Consumer Discretionary)     1,550,317  
  10,204     DB Insurance Co. Ltd. (Financials)     455,444  
  10,114     Doosan Bobcat, Inc. (Industrials)     262,387  

 

 

 

 

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


GOLDMAN SACHS ACTIVEBETA® EMERGING MARKETS EQUITY ETF

 

Schedule of Investments (continued)

August 31, 2022

 

Shares     Description       
Value
 
Common Stocks – (continued)  
South Korea – (continued)      
  32,724     Doosan Enerbility Co. Ltd. (Industrials)*   $ 497,876  
  11,560     Ecopro BM Co. Ltd. (Industrials)     969,707  
  6,599     E-MART, Inc. (Consumer Staples)     482,511  
  8,356     F&F Co. Ltd. (Consumer Discretionary)     890,232  
  31,274     GS Engineering & Construction Corp. (Industrials)     704,954  
  49,082     GS Holdings Corp. (Industrials)     1,689,825  
  58,985     Hana Financial Group, Inc. (Financials)     1,730,897  
  41,606     Hankook Tire & Technology Co. Ltd. (Consumer Discretionary)     1,180,477  
  1,800     Hanmi Pharm Co. Ltd. (Health Care)     414,489  
  21,209     Hanwha Solutions Corp. (Materials)*     834,057  
  18,664     HMM Co. Ltd. (Industrials)     310,474  
  29,036     Hotel Shilla Co. Ltd. (Consumer Discretionary)(b)     1,602,076  
  20,966     Hyundai Engineering & Construction Co. Ltd. (Industrials)     755,532  
  7,465     Hyundai Mobis Co. Ltd. (Consumer Discretionary)     1,199,936  
  12,737     Hyundai Motor Co. (Consumer Discretionary)     1,866,436  
  22,518     Hyundai Steel Co. (Materials)     553,880  
  178,869     Industrial Bank of Korea (Financials)     1,279,785  
  16,548     Kakao Corp. (Communication Services)     908,096  
  42,047     Kangwon Land, Inc. (Consumer Discretionary)*     834,621  
  57,236     KB Financial Group, Inc. (Financials)     2,116,048  
  52,911     Kia Corp. (Consumer Discretionary)     3,196,298  
  17,304     Korea Aerospace Industries Ltd. (Industrials)     789,162  
  49,489     Korea Electric Power Corp. (Utilities)*(b)     775,145  
  6,572     Korea Investment Holdings Co. Ltd. (Financials)     279,085  
  3,279     Korea Shipbuilding & Offshore Engineering Co. Ltd. (Industrials)*     238,286  
  1,299     Korea Zinc Co. Ltd. (Materials)     652,632  
  26,780     Korean Air Lines Co. Ltd. (Industrials)*     537,582  
  22,033     KT&G Corp. (Consumer Staples)     1,370,525  
  6,779     Kumho Petrochemical Co. Ltd. (Materials)     658,869  
  4,374     L&F Co. Ltd. (Information Technology)*     753,771  
  2,204     LG Chem Ltd. (Materials)     1,041,403  

 

 

 
Common Stocks – (continued)  
South Korea – (continued)      
  61,493     LG Display Co. Ltd. (Information Technology)   717,200  
  34,602     LG Electronics, Inc. (Consumer Discretionary)     2,612,838  
  3,204     LG H&H Co. Ltd. (Consumer Staples)     1,705,542  
  2,828     LG Innotek Co. Ltd. (Information Technology)     727,324  
  194,298     LG Uplus Corp. (Communication Services)(b)     1,670,537  
  2,764     Lotte Chemical Corp. (Materials)     361,631  
  17,875     Lotte Shopping Co. Ltd. (Consumer Discretionary)     1,320,362  
  16,070     Meritz Financial Group, Inc. (Financials)     370,047  
  27,831     Meritz Fire & Marine Insurance Co. Ltd. (Financials)     797,966  
  426,921     Meritz Securities Co. Ltd. (Financials)     1,544,838  
  9,211     NAVER Corp. (Communication Services)     1,652,753  
  4,267     NCSoft Corp. (Communication Services)     1,207,476  
  97,526     NH Investment & Securities Co. Ltd. (Financials)     725,493  
  21,411     Orion Corp. (Consume