Address And Details

32 Old Slip , New York, NY 10005
Fund Manager Christopher Hogan
Manager Tenure 12 Years 2 Months

Strategy And Objective

The Goldman Sachs U.S. Mortgages Fund (the Fund ) seeks a high level of total return consisting of income and capital appreciation. The Fund invests, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at the time of purchase) ( Net Assets ) in securities representing direct or indirect interests in or that are collateralized by adjustable rate and fixed rate mortgage loans or other mortgage-related securities ( Mortgage-Backed Securities ) of U.S. issuers, including agency issued Mortgage-Backed Securities ( Agency Mortgage-Backed Securities ). A U.S. issuer is an issuer economically tied to the United States. The Fund may also invest in mortgage dollar rolls, other securities issued or guaranteed by the U.S. government, its agencies, instrumentalities or sponsored enterprises ( U.S. Government Securities ), asset-backed securities (including collateralized loan obligations ( CLOs )) and foreign securities. The Fund also intends to invest in derivatives, including (but not limited to) interest rate futures, interest rate swaps and credit default swaps, primarily to manage the Fund s duration, hedge the Fund s portfolio risks, and/or gain exposure to certain fixed income securities. The Fund may gain exposure to Agency Mortgage-Backed Securities through several methods, including by utilizing to-be-announced ( TBA ) agreements in Agency Mortgage-Backed Securities or through the use of reverse repurchase agreements. TBA agreements for Agency Mortgage-Backed Securities are standardized contracts for future delivery of fixed-rate mortgage pass-through securities in which the exact mortgage pools to be delivered are not specified until shortly before settlement. A reverse repurchase agreement enables the Fund to gain exposure to specified pools of Agency Mortgage-Backed Securities by purchasing them on a forward settling basis and using the proceeds of the reverse repurchase agreement to settle the trade. The Fund may also seek to obtain exposure to fixed income investments through investments in affiliated or unaffiliated investment companies, including exchange-traded funds ( ETFs ). The Fund s investments must be rated, at the time of purchase, at least BBB by Standard & Poor s Ratings Services ( Standard & Poor s ), at least Baa3 by Moody s Investors Service, Inc. ( Moody s ), or have a comparable credit rating by another nationally recognized statistical rating organization ( NRSRO ) or, if unrated, must be determined by the Investment Adviser to be of comparable credit quality. The Fund s target duration range under normal interest rate conditions is expected to approximate that of the Bloomberg Barclays U.S. Securitized Bond Index plus or minus 0.5 years, and over the past five years ended June 30, 2020, the duration of this Index has ranged between 1.59 and 5.37 years. Duration is a measure of a debt security s price sensitivity to changes in interest rates. The longer the duration of the Fund (or an individual debt security), the more sensitive its market price to changes in interest rates. For example, if market interest rates increase by 1%, the market price of a debt security with a positive duration of 3 years will generally decrease by approximately 3%. Conversely, a 1% decline in market interest rates will generally result in an increase of approximately 3% of that security s market price. The Fund may implement short positions and may do so by using swaps, options or futures, TBA agreements in Agency Mortgage-Backed Securities, or through short sales of any instrument that the Fund may purchase for investment. For example, the Fund may enter into a futures contract pursuant to which it agrees to sell an asset (that it does not currently own) at a specified price at a specified point in the future. This gives the Fund a short position with respect to that asset. The Fund may utilize short positions to implement macro views on securities valuations, long term views on relative value or short term views on security mispricings, as well as any other views the Investment Adviser deems appropriate. For example, the Fund may enter into a TBA agreement to sell an Agency Mortgage-Backed Security that it believes will underperform. The Fund will benefit from a short position to the extent the asset decreases in value (and will be harmed to the extent the asset increases in value) between the time it enters into the futures contract and the agreed date of sale. Alternatively, the Fund may sell an instrument (e.g., a bond, or a futures contract) it does not own in anticipation of a decline in the market value of the instrument, and then borrow the instrument to make delivery to the buyer. In these transactions, the Fund is obligated to replace the instrument borrowed by purchasing it at the market price at the time of replacement. The Fund s portfolio managers seek to build a portfolio that reflects their investment views across the U.S. mortgages market consistent with the Fund s overall risk budget and the views of the Investment Adviser s Global Fixed Income top-down teams. As market conditions change, the volatility and attractiveness of sectors, securities and strategies can change as well. To optimize the Fund s risk/return potential within its long-term risk budget, the portfolio managers may dynamically adjust the mix of top-down and bottom-up strategies in the Fund s portfolio. The Fund s benchmark index is the Bloomberg Barclays U.S. Securitized Bond Index.

Net Asset Value

as of 5:28 PM ET 09/16/2021

Performance

  • 1 Week
  • -0.09%
  • 1 Month
  • -0.09%
  • 3 Months
  • +0.48%
  • 1 Yr Return
  • -1.49%
  • 5 Yr Return
  • -1.31%

Equity Sector Breakdown

ConsumerDurables n/a
Energy n/a
Finance n/a
Health n/a
IndustrialCyclical n/a
NonDurables n/a
RetailTrade n/a
Services n/a
Technology n/a
Utilities n/a

Asset Allocation

Asset Type % Of Allocation
Bonds 139.98%
Stocks 0.00%
Cash 0.00%
Preferred 0.00%
Convertible 0.00%
ForeignStocks 0.00%
ForeignBonds 0.00%
ForeignHedged 0.00%
Other -39.98%
Total Net Assets 150.89 M

Risk Measures

Criteria 3 Years 5 Years 10 Years
Alpha 0.88 0.13 0.74
Beta 0.50 0.56 0.59
R Squared 0.76 0.80 0.79
Std Deviation 1.99 2.03 1.97
Sharpe Ratio 1.56 0.63 n/a

Purchase Information

as of 5:45 PM ET 09/15/2021
Minimum Initial $100000000
Minimum Additional $0
Minimum Initial IRA $0

Performance

Timeframe Average Annual Current Performance Monthly As Of 08/31/2021 Average Annual Current Performance Quarterly As Of 05/31/2021 Avg Annual Current Performance Monthly As Of 08/31/2021 Avg Annual Current Performance Quarterly As Of 05/31/2021
1 Year
  • +0.53%
  • +1.43%
+0.53% +1.43%
3 Year
  • +4.27%
  • +4.32%
+4.27% +4.32%
10 Year
  • +2.93%
  • +3.07%
+2.93% +3.07%
Life Of Fund
  • +3.87%
  • +3.91%
+3.87% +3.91%

Top 10 Holdings

Symbol Company Name % Of Assets
n/a

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