UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-08361
Goldman Sachs Variable Insurance Trust
(Exact name of registrant as specified in charter)
4900 Sears Tower, Chicago, Illinois 60606-6303
(Address of principal executive offices) (Zip code)
Howard B. Surloff, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jeffrey A. Dalke, Esq. | |
One New York Plaza | Drinker Biddle & Reath LLP | |
New York, New York 10004 | One Logan Square | |
18th and Cherry Streets | ||
Philadelphia, PA 19103 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: June 30, 2004
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust – Growth and Income Fund during the six-month reporting period that ended June 30, 2004.
Market Review
The U.S. equity markets generated positive but modest gains during the first six months of the year. The S&P 500 Index returned 3.44%, while the Russell 3000 Index gained 3.59%. The Industrial and Energy sectors drove broad market returns higher, while Financials and Real Estate Investment Trusts declined because of fears of rising interest rates. On the economic front, positive data flow continued, supporting a continued economic expansion with a notable increase in new jobs in the second quarter 2004. However, fears of inflation caused investors to focus on the Federal Reserve Board’s indication that it would raise interest rates by 25 basis points. This came to pass on June 30, marking the first such increase in over four years. Commodity prices, led by crude oil, reached record highs on broad global demand and geopolitical fears. Company earnings continue to be positive, although varied.
Investment Objective
The Fund seeks long-term growth of capital and growth of income.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2004*
% of | ||||||
Holding | Line of Business | Net Assets | ||||
Bank of America Corp. | Large Banks | 4.4 | % | |||
Citigroup, Inc. | Large Banks | 4.0 | ||||
ConocoPhillips | Energy Resources | 3.8 | ||||
ChevronTexaco Corp. | Energy Resources | 3.5 | ||||
Exxon Mobil Corp. | Energy Resources | 2.8 | ||||
General Electric Co. | Parts & Equipment | 2.4 | ||||
Altria Group, Inc. | Tobacco | 2.3 | ||||
Microsoft Corp. | Computer Software | 2.3 | ||||
Tyco International Ltd. | Parts & Equipment | 2.0 | ||||
Burlington Resources, Inc. | Energy Resources | 2.0 |
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
Performance Review
Over the six-month period that ended June 30, 2004, the Fund generated a cumulative total return of 6.70%. Over the same time period, the Fund’s benchmark, the Standard & Poor’s 500 Index (with dividends reinvested) generated a cumulative total return of 3.44%.
Top contributors to performance represented a cross section of the market and included Burlington Resources, Inc., AT&T Wireless, Avon Products, Inc. and Tyco International Ltd. Our focus on solid stock selection across industries, rather than on sweeping thematic or macroeconomic positioning, was beneficial to our clients.
Within the Energy sector, Burlington and ConocoPhillips were top contributors to performance. Burlington reported a substantial increase in earnings due to record production. We took this opportunity to trim the Fund’s exposure. ConocoPhillips reported another period of strong performance due, in part, to solid oil and gas production, high oil-capacity utilization rates, and favorable commodity prices.
Avon, a leading direct seller of beauty and related products, was a large contributor to performance. We believe the company has benefited from a growing geographic mix, with especially strong sales results from Europe and Latin America. Within the Industrials sector, holdings in Tyco International Ltd. and Eaton Corp. enhanced results. Tyco reported increased revenue growth and cash flow which, coupled with its continued divestiture of non-core businesses, has allowed it to continue to repair its balance sheet by reducing debt. Eaton, a manufacturer that provides fluid power systems, automotive engine air management, and fuel economy systems, recently reported a significant increase in net income versus the prior quarter.
AT&T Wireless, a top contributor in the Services sector, was sold during the period. The stock has performed extremely well since announcing its merger with Cingular. We used the proceeds from the sale to increase the Fund’s position in Nortel Networks Corp, which we believed was trading at a compelling valuation at the time. This was due to controversy over the investigation into the Nortel’s past accounting practices under the watch of an ousted former management team. It is significant that a new CEO has purged the previous management group and, we believe, is moving to improve controls and sustain the momentum of new business. Nortel enjoys a leadership position in the industry’s fastest growing segments, including wireless and voice-over-IP.
Modest detractors from performance included Citigroup, Inc. and Viacom, Inc. Citigroup experienced a decline after announcing a large settlement in the WorldCom class action lawsuit. However, given the large capital base of the company and the strength of its global business mix, we believe the settlement should not materially affect shareholders in the long term. Viacom experienced some volatility during the period because of its exposure to the weak radio market and poor advertising sales.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Value Portfolio Management Team
July 16, 2004
Shares | Description | Value | ||||||||
Common Stocks – 99.7% | ||||||||||
Brokers – 2.4% | ||||||||||
49,132 | Merrill Lynch & Co., Inc. | $ | 2,652,145 | |||||||
34,100 | The Bear Stearns Companies, Inc. | 2,874,971 | ||||||||
5,527,116 | ||||||||||
Chemicals – 2.9% | ||||||||||
74,900 | Rohm and Haas Co. | 3,114,342 | ||||||||
87,900 | The Dow Chemical Co. | 3,577,530 | ||||||||
6,691,872 | ||||||||||
Computer Hardware – 2.1% | ||||||||||
22,900 | CDW Corp. | 1,460,104 | ||||||||
112,400 | Hewlett-Packard Co. | 2,371,640 | ||||||||
76,000 | Xerox Corp.* | 1,102,000 | ||||||||
4,933,744 | ||||||||||
Computer Software – 3.0% | ||||||||||
116,900 | Activision, Inc.* | 1,858,710 | ||||||||
185,111 | Microsoft Corp. | 5,286,770 | ||||||||
7,145,480 | ||||||||||
Consumer Durables – 1.2% | ||||||||||
93,000 | Masco Corp. | 2,899,740 | ||||||||
Defense/ Aerospace – 1.0% | ||||||||||
22,600 | General Dynamics Corp. | 2,244,180 | ||||||||
Drugs – 2.5% | ||||||||||
44,400 | Johnson & Johnson | 2,473,080 | ||||||||
98,500 | Pfizer, Inc. | 3,376,580 | ||||||||
5,849,660 | ||||||||||
Electrical Utilities – 8.3% | ||||||||||
53,500 | Ameren Corp. | 2,298,360 | ||||||||
55,600 | Dominion Resources, Inc. | 3,507,248 | ||||||||
8,193 | Energy East Corp. | 198,680 | ||||||||
67,412 | Entergy Corp. | 3,775,746 | ||||||||
84,310 | Exelon Corp. | 2,806,680 | ||||||||
66,553 | FirstEnergy Corp. | 2,489,748 | ||||||||
95,809 | PPL Corp. | 4,397,633 | ||||||||
19,474,095 | ||||||||||
Energy Resources – 12.1% | ||||||||||
128,900 | Burlington Resources, Inc. | 4,663,602 | ||||||||
87,100 | ChevronTexaco Corp. | 8,196,981 | ||||||||
116,600 | ConocoPhillips | 8,895,414 | ||||||||
150,533 | Exxon Mobil Corp. | 6,685,171 | ||||||||
28,441,168 | ||||||||||
Environmental & Other Services – 0.6% | ||||||||||
46,610 | Waste Management, Inc. | 1,428,597 | ||||||||
Food & Beverage – 1.9% | ||||||||||
53,895 | H.J. Heinz Co. | 2,112,684 | ||||||||
76,300 | Kraft Foods, Inc. | 2,417,184 | ||||||||
4,529,868 | ||||||||||
Health Insurance – 0.8% | ||||||||||
23,200 | Aetna, Inc. | 1,972,000 | ||||||||
Home Products – 3.6% | ||||||||||
51,900 | Avon Products, Inc. | 2,394,666 | ||||||||
43,700 | The Clorox Co. | 2,350,186 | ||||||||
69,710 | The Procter & Gamble Co. | 3,795,012 | ||||||||
8,539,864 | ||||||||||
Large Banks – 13.9% | ||||||||||
122,675 | Bank of America Corp. | 10,380,759 | ||||||||
69,400 | Bank One Corp. | 3,539,400 | ||||||||
201,690 | Citigroup, Inc. | 9,378,585 | ||||||||
112,130 | J.P. Morgan Chase & Co. | 4,347,280 | ||||||||
77,800 | Regions Financial Corp. | 2,843,590 | ||||||||
79,102 | U.S. Bancorp. | 2,180,051 | ||||||||
32,669,665 | ||||||||||
Media – 4.7% | ||||||||||
76,567 | Fox Entertainment Group, Inc.* | 2,044,339 | ||||||||
43,500 | Lamar Advertising Co.* | 1,885,725 | ||||||||
204,900 | Time Warner, Inc.* | 3,602,142 | ||||||||
98,700 | Viacom, Inc. Class B | 3,525,564 | ||||||||
11,057,770 | ||||||||||
Medical Products – 1.4% | ||||||||||
95,851 | Baxter International, Inc. | 3,307,818 | ||||||||
Motor Vehicle – 0.9% | ||||||||||
51,128 | Autoliv, Inc. | 2,157,602 | ||||||||
Paper & Packaging – 0.8% | ||||||||||
73,800 | Packaging Corp. of America | 1,763,820 | ||||||||
Parts & Equipment – 6.2% | ||||||||||
61,400 | Eaton Corp. | 3,975,036 | ||||||||
177,000 | General Electric Co. | 5,734,800 | ||||||||
142,512 | Tyco International Ltd. | 4,722,848 | ||||||||
14,432,684 | ||||||||||
Property Insurance – 7.2% | ||||||||||
36,300 | American International Group, Inc. | 2,587,464 | ||||||||
63,025 | PartnerRe Ltd. | 3,575,408 | ||||||||
57,676 | RenaissanceRe Holdings Ltd. | 3,111,620 | ||||||||
63,900 | The Allstate Corp. | 2,974,545 | ||||||||
64,000 | Willis Group Holdings Ltd. | 2,396,800 | ||||||||
30,626 | XL Capital Ltd. | 2,311,038 | ||||||||
16,956,875 | ||||||||||
Regionals – 1.8% | ||||||||||
138,600 | KeyCorp. | 4,142,754 | ||||||||
REITS – 4.5% | ||||||||||
26,700 | AvalonBay Communities, Inc. | 1,509,084 | ||||||||
60,700 | Duke Realty Corp. | 1,930,867 | ||||||||
104,160 | iStar Financial, Inc. | 4,166,400 | ||||||||
49,564 | Liberty Property Trust | 1,992,968 | ||||||||
32,200 | Plum Creek Timber Co., Inc. | 1,049,076 | ||||||||
10,648,395 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Retail Apparel – 1.7% | ||||||||||
61,200 | J. C. Penney Co., Inc. | $ | 2,310,912 | |||||||
60,851 | The May Department Stores Co. | 1,672,794 | ||||||||
3,983,706 | ||||||||||
Semiconductors – 0.5% | ||||||||||
41,600 | Integrated Circuit Systems, Inc.* | 1,129,856 | ||||||||
Specialty Financials – 4.9% | ||||||||||
108,700 | American Capital Strategies Ltd. | 3,045,774 | ||||||||
33,257 | Countrywide Financial Corp. | 2,336,304 | ||||||||
49,576 | Fannie Mae | 3,537,743 | ||||||||
37,408 | SLM Corp. | 1,513,154 | ||||||||
28,800 | Washington Mutual, Inc. | 1,112,832 | ||||||||
11,545,807 | ||||||||||
Telecommunications Equipment – 1.4% | ||||||||||
642,900 | Nortel Networks Corp.* | 3,208,071 | ||||||||
Telephone – 3.4% | ||||||||||
207,100 | Sprint Corp. | 3,644,960 | ||||||||
116,900 | Verizon Communications, Inc. | 4,230,611 | ||||||||
7,875,571 | ||||||||||
Thrifts – 0.5% | ||||||||||
10,000 | Golden West Financial Corp. | 1,063,500 | ||||||||
Tobacco – 2.3% | ||||||||||
109,600 | Altria Group, Inc. | 5,485,480 | ||||||||
Transports – 0.5% | ||||||||||
75,000 | Southwest Airlines Co. | 1,257,750 | ||||||||
Trust/ Processors – 0.7% | ||||||||||
55,900 | The Bank of New York Co., Inc. | 1,647,932 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $203,244,938) | $ | 234,012,440 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | ||||||||||||||
Value | ||||||||||||||||
Repurchase Agreement – 1.7% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 4,100,000 | 1.55 | % | 07/01/2004 | $ | 4,100,000 | ||||||||||
Maturity Value $4,100,176 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $4,100,000) | $ | 4,100,000 | ||||||||||||||
TOTAL INVESTMENTS – 101.4% | ||||||||||||||||
(Cost $207,344,938) | $ | 238,112,440 | ||||||||||||||
* | Non-income producing security. | |
^ | Joint repurchase agreement was entered into on June 30, 2004. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust – CORE U.S. Equity Fund during the six-month reporting period that ended June 30, 2004.
Market Review
For the six-month reporting period ended June 30, 2004, the S&P 500 Index (the “Index”) gained 3.44%. Twelve of the 13 sectors in the Index experienced gains for the period, led by the Energy (+12.7%) sector. The Consumer Non-Cyclicals (+7.6%) and Industrials (+6.3%) sectors also boosted Index returns. The Consumer Services (-1.8%) sector was the only sector to struggle during the six-month period. The Energy sector was the largest positive contributor (weight times performance) to the Index gain for the period, followed closely by the Consumer Non-Cyclicals sector.
Investment Objective
The Fund seeks long-term capital growth and dividend income. The Fund seeks this objective through a broadly diversified portfolio of large-cap and blue chip equity investments representing all major sectors of the U.S. economy.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2004*
% of | ||||||
Holding | Line of Business | Net Assets | ||||
Microsoft Corp. | Computer Software | 4.3 | % | |||
Pfizer, Inc. | Drugs | 3.9 | ||||
Johnson & Johnson | Drugs | 3.0 | ||||
Intel Corp. | Semiconductors | 2.5 | ||||
J.P. Morgan Chase & Co. | Large Banks | 2.2 | ||||
QUALCOMM, Inc. | Telecommunications Equipment | 2.2 | ||||
Bank of America Corp. | Large Banks | 2.1 | ||||
3M Co. | Chemicals | 2.0 | ||||
Schlumberger Ltd. | Oil Services | 2.0 | ||||
Motorola, Inc. | Telecommunications Equipment | 1.8 |
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
Performance Review
Over the six-month period that ended June 30, 2004, the Fund generated a cumulative total return of 6.14%. Over the same time period, the Fund’s benchmark, the Standard & Poor’s 500 Index (with dividends reinvested) generated a cumulative total return of 3.44%.
As these absolute returns indicate, the equity markets have produced modest gains during the first half of 2004. Over this period, the Fund outperformed its benchmark as a result of solid returns from the CORESM themes, a disciplined approach to security analysis, and rigorous risk management.
Of the CORE themes, Valuation and Earnings Quality were the biggest positive contributors to relative returns, as inexpensive companies with cash-based sources of earnings outperformed their industry counterparts. Momentum and Profitability also added value, while Analyst Sentiment was only slightly positive. Only Management Impact detracted slightly from relative performance for the period.
Stock selection was positive in 10 of the 13 sectors contained in the S&P 500 Index, particularly in Consumer Non-Cyclicals and Healthcare. Meanwhile, holdings in the Consumer Services sector performed the worst relative to their benchmark peers, but did little to offset gains realized in other sectors.
In managing the CORE products, we do not make size or sector bets. We hope to add value versus the Fund’s Index through individual stock selection. Our quantitative process seeks out stocks with good momentum that also appear to be good values. We prefer stocks about which fundamental research analysts are becoming more positive and companies with strong profit margins, sustainable earnings, and that use their capital to enhance shareholder value. These factors are not highly correlated to each other, which diversifies the Fund’s sources of returns.
We thank you for your investment and look forward to your continued confidence.
Goldman Sachs Quantitative Equity Management Team
July 16, 2004
Shares | Description | Value | ||||||||
Common Stocks – 98.1% | ||||||||||
Biotechnology – 2.6% | ||||||||||
15,400 | Biogen Idec, Inc.* | $ | 974,050 | |||||||
109,000 | Genentech, Inc.* | 6,125,800 | ||||||||
60,900 | Gilead Sciences, Inc.* | 4,080,300 | ||||||||
11,180,150 | ||||||||||
Brokers – 0.2% | ||||||||||
19,200 | Merrill Lynch & Co., Inc. | 1,036,416 | ||||||||
Chemicals – 3.5% | ||||||||||
96,300 | 3M Co. | 8,667,963 | ||||||||
162,900 | Monsanto Co. | 6,271,650 | ||||||||
14,939,613 | ||||||||||
Computer Hardware – 2.6% | ||||||||||
29,300 | Agilent Technologies, Inc.* | 857,904 | ||||||||
151,900 | Cisco Systems, Inc.* | 3,600,030 | ||||||||
138,100 | Dell, Inc.* | 4,946,742 | ||||||||
54,910 | Hewlett-Packard Co. | 1,158,601 | ||||||||
14,500 | NCR Corp.* | 719,055 | ||||||||
11,282,332 | ||||||||||
Computer Software – 5.8% | ||||||||||
21,300 | Autodesk, Inc. | 911,853 | ||||||||
95,600 | BMC Software, Inc.* | 1,768,600 | ||||||||
38,000 | Cadence Design Systems, Inc.* | 555,940 | ||||||||
17,700 | International Business Machines Corp. | 1,560,255 | ||||||||
656,300 | Microsoft Corp. | 18,743,928 | ||||||||
35,200 | Symantec Corp.* | 1,541,056 | ||||||||
25,081,632 | ||||||||||
Defense/ Aerospace – 0.2% | ||||||||||
27,000 | Raytheon Co. | 965,790 | ||||||||
Drugs – 9.2% | ||||||||||
67,300 | Allergan, Inc. | 6,024,696 | ||||||||
64,100 | American Pharmaceutical Partners, Inc.*@ | 1,947,358 | ||||||||
26,200 | Eli Lilly & Co. | 1,831,642 | ||||||||
235,000 | Johnson & Johnson | 13,089,500 | ||||||||
489,405 | Pfizer, Inc. | 16,776,803 | ||||||||
39,669,999 | ||||||||||
Electrical Utilities – 3.2% | ||||||||||
24,400 | Alliant Energy Corp. | 636,352 | ||||||||
251,800 | Edison International | 6,438,526 | ||||||||
66,300 | Entergy Corp. | 3,713,463 | ||||||||
54,524 | Exelon Corp. | 1,815,104 | ||||||||
44,600 | Northeast Utilities | 868,362 | ||||||||
11,200 | Texas Genco Holdings, Inc. | 505,008 | ||||||||
13,976,815 | ||||||||||
Energy Resources – 3.1% | ||||||||||
53,288 | ConocoPhillips | 4,065,342 | ||||||||
6,500 | Devon Energy Corp. | 429,000 | ||||||||
109,066 | Exxon Mobil Corp. | 4,843,621 | ||||||||
85,200 | Occidental Petroleum Corp. | 4,124,532 | ||||||||
13,462,495 | ||||||||||
Environmental & Other Services – 2.3% | ||||||||||
178,100 | Cendant Corp. | 4,359,888 | ||||||||
9,900 | ITT Educational Services, Inc.* | 376,398 | ||||||||
23,700 | Republic Services, Inc. | 685,878 | ||||||||
148,100 | Waste Management, Inc. | 4,539,265 | ||||||||
9,961,429 | ||||||||||
Food & Beverage – 4.5% | ||||||||||
218,339 | Archer-Daniels-Midland Co. | 3,663,728 | ||||||||
157,900 | Kraft Foods, Inc. | 5,002,272 | ||||||||
35,200 | SUPERVALU, INC. | 1,077,472 | ||||||||
84,500 | Sysco Corp. | 3,031,015 | ||||||||
312,900 | Tyson Foods, Inc. | 6,555,255 | ||||||||
19,329,742 | ||||||||||
Health Insurance – 0.2% | ||||||||||
37,300 | Humana, Inc.* | 630,370 | ||||||||
Home Products – 3.3% | ||||||||||
8,900 | Alberto-Culver Co. Class B | 446,246 | ||||||||
98,000 | Avon Products, Inc. | 4,521,720 | ||||||||
39,000 | The Gillette Co. | 1,653,600 | ||||||||
137,600 | The Procter & Gamble Co. | 7,490,944 | ||||||||
14,112,510 | ||||||||||
Hotel & Leisure – 1.3% | ||||||||||
27,200 | Caesars Entertainment, Inc.* | 408,000 | ||||||||
65,700 | GTECH Holdings Corp. | 3,042,567 | ||||||||
15,900 | Harman International Industries, Inc. | 1,446,900 | ||||||||
9,400 | Polaris Industries, Inc. | 451,200 | ||||||||
9,300 | Royal Caribbean Cruises Ltd. | 403,713 | ||||||||
5,752,380 | ||||||||||
Information Services – 3.4% | ||||||||||
170,300 | Accenture Ltd.* | 4,679,844 | ||||||||
139,200 | IMS Health, Inc. | 3,262,848 | ||||||||
102,500 | Moody’s Corp. | 6,627,650 | ||||||||
14,570,342 | ||||||||||
Large Banks – 8.4% | ||||||||||
105,283 | Bank of America Corp. | 8,909,048 | ||||||||
105,132 | Citigroup, Inc. | 4,888,638 | ||||||||
246,000 | J.P. Morgan Chase & Co. | 9,537,420 | ||||||||
193,800 | U.S. Bancorp. | 5,341,128 | ||||||||
170,400 | Wachovia Corp. | 7,582,800 | ||||||||
36,259,034 | ||||||||||
Life Insurance – 3.6% | ||||||||||
136,200 | MetLife, Inc. | 4,882,770 | ||||||||
5,700 | Nationwide Financial Services, Inc. | 214,377 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Life Insurance – (continued) | ||||||||||
157,300 | Principal Financial Group, Inc. | $ | 5,470,894 | |||||||
107,700 | Prudential Financial, Inc. | 5,004,819 | ||||||||
15,572,860 | ||||||||||
Media – 3.9% | ||||||||||
88,164 | Comcast Corp.* | 2,471,237 | ||||||||
6,900 | Cox Radio, Inc.* | 119,922 | ||||||||
106,900 | Fox Entertainment Group, Inc.* | 2,854,230 | ||||||||
80,930 | The Walt Disney Co. | 2,062,906 | ||||||||
411,200 | Time Warner, Inc.* | 7,228,896 | ||||||||
60,885 | Viacom, Inc. Class B | 2,174,812 | ||||||||
16,912,003 | ||||||||||
Medical Products – 1.7% | ||||||||||
83,600 | Zimmer Holdings, Inc.* | 7,373,520 | ||||||||
Medical Providers – 0.2% | ||||||||||
28,100 | Caremark Rx, Inc.* | 925,614 | ||||||||
Mining – 0.1% | ||||||||||
10,700 | Newmont Mining Corp. | 414,732 | ||||||||
Motor Vehicle – 2.6% | ||||||||||
56,700 | AutoNation, Inc.* | 969,570 | ||||||||
360,700 | Ford Motor Co. | 5,644,955 | ||||||||
102,000 | General Motors Corp.@ | 4,752,180 | ||||||||
11,366,705 | ||||||||||
Oil Refining – 3.3% | ||||||||||
41,700 | Marathon Oil Corp. | 1,577,928 | ||||||||
79,300 | Sunoco, Inc. | 5,045,066 | ||||||||
100,300 | Valero Energy Corp. | 7,398,128 | ||||||||
14,021,122 | ||||||||||
Oil Services – 2.0% | ||||||||||
135,500 | Schlumberger Ltd. | 8,605,605 | ||||||||
Paper & Packaging – 0.3% | ||||||||||
47,600 | Louisiana-Pacific Corp. | 1,125,740 | ||||||||
Parts & Equipment – 2.2% | ||||||||||
192,400 | General Electric Co. | 6,233,760 | ||||||||
100,300 | Tyco International Ltd. | 3,323,942 | ||||||||
9,557,702 | ||||||||||
Property Insurance – 3.3% | ||||||||||
36,500 | ACE Ltd. | 1,543,220 | ||||||||
34,978 | American International Group, Inc. | 2,493,232 | ||||||||
17,712 | Fidelity National Financial, Inc. | 661,366 | ||||||||
79,300 | Loews Corp. | 4,754,828 | ||||||||
36,400 | MBIA, Inc. | 2,079,168 | ||||||||
56,300 | The Allstate Corp. | 2,620,765 | ||||||||
14,152,579 | ||||||||||
Regionals – 0.4% | ||||||||||
18,800 | Bank of Hawaii Corp. | 850,136 | ||||||||
16,400 | UnionBanCal Corp. | 924,960 | ||||||||
1,775,096 | ||||||||||
REITS – 0.5% | ||||||||||
36,400 | Equity Office Properties Trust | 990,080 | ||||||||
33,200 | Friedman, Billings, Ramsey Group, Inc. | 657,028 | ||||||||
14,500 | Regency Centers Corp. | 622,050 | ||||||||
2,269,158 | ||||||||||
Retail Apparel – 4.8% | ||||||||||
12,400 | AutoZone, Inc.* | 993,240 | ||||||||
16,400 | Barnes & Noble, Inc.* | 557,272 | ||||||||
87,200 | Coach, Inc.* | 3,940,568 | ||||||||
130,100 | Federated Department Stores, Inc. | 6,387,910 | ||||||||
15,100 | RadioShack Corp. | 432,313 | ||||||||
101,800 | Saks, Inc.* | 1,527,000 | ||||||||
56,900 | Sears, Roebuck & Co. | 2,148,544 | ||||||||
42,200 | The Home Depot, Inc. | 1,485,440 | ||||||||
62,900 | Wal-Mart Stores, Inc. | 3,318,604 | ||||||||
20,790,891 | ||||||||||
Semiconductors – 2.9% | ||||||||||
80,500 | Avnet, Inc.* | 1,827,350 | ||||||||
394,500 | Intel Corp. | 10,888,200 | ||||||||
12,715,550 | ||||||||||
Specialty Financials – 2.5% | ||||||||||
41,100 | AmeriCredit Corp.* | 802,683 | ||||||||
103,000 | CIT Group, Inc. | 3,943,870 | ||||||||
37,000 | Countrywide Financial Corp. | 2,599,250 | ||||||||
140,900 | MBNA Corp. | 3,633,811 | ||||||||
10,979,614 | ||||||||||
Telecommunications Equipment – 4.2% | ||||||||||
435,900 | Motorola, Inc. | 7,955,175 | ||||||||
13,900 | Plantronics, Inc.* | 585,190 | ||||||||
129,800 | QUALCOMM, Inc. | 9,472,804 | ||||||||
18,013,169 | ||||||||||
Telephone – 2.2% | ||||||||||
68,900 | BellSouth Corp. | 1,806,558 | ||||||||
441,800 | Sprint Corp. | 7,775,680 | ||||||||
9,582,238 | ||||||||||
Thrifts – 0.5% | ||||||||||
20,600 | Golden West Financial Corp. | 2,190,810 | ||||||||
Tobacco – 1.8% | ||||||||||
112,200 | R.J. Reynolds Tobacco Holdings, Inc.@ | 7,583,598 | ||||||||
Transports – 0.8% | ||||||||||
47,900 | United Parcel Service, Inc. | 3,600,643 | ||||||||
Wireless – 0.5% | ||||||||||
105,500 | AT&T Wireless Services, Inc.* | 1,510,760 | ||||||||
15,000 | United States Cellular Corp.* | 578,250 | ||||||||
2,089,010 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $371,209,821) | $ | 423,829,008 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 1.6% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 7,000,000 | 1.55 | % | 7/1/2004 | $ | 7,000,000 | ||||||||||
Maturity Value $7,000,300 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $7,000,000) | $ | 7,000,000 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $378,209,821) | $ | 430,829,008 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 1.5% | ||||||||||
6,407,700 | Boston Global Investment Trust – Enhanced Portfolio | $ | 6,407,700 | |||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $6,407,700) | 6,407,700 | |||||||||
TOTAL INVESTMENTS – 101.2% | ||||||||||
(Cost $384,617,521) | $ | 437,236,708 | ||||||||
* | Non-income producing security. | |
@ | All or a portion of security is on loan. | |
^ | Joint repurchase agreement was entered into on June 30, 2004. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust – CORE Small Cap Equity Fund during the six-month reporting period that ended June 30, 2004.
Market Review
For the six-month reporting period ended June 30, 2004, the Russell 2000 Index (the “Index”) gained 6.76%. Twelve of the 13 sectors in the Index posted positive absolute returns for the period, with the Energy sector (+27.1) generating the best results. Basic Materials (+12.0%) and Consumer Non-Cyclicals (+11.3%) also posted solid returns. The Healthcare sector (+10.3%) was the biggest contributor (weight times performance) to Index gains, followed closely by the Consumer Cyclicals (+9.8%) and Financials (+4.6%) sectors.
Investment Objective
The Fund seeks long-term growth of capital. The Fund seeks this objective through a broadly diversified portfolio of equity investments of U.S. issuers.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2004*
% of | ||||||
Holding | Line of Business | Net Assets | ||||
Tesoro Petroleum Corp. | Oil Refining | 1.6 | % | |||
eResearch Technology, Inc. | Computer Software | 1.6 | ||||
Silicon Valley Bancshares | Regionals | 1.5 | ||||
Veritas DGC, Inc. | Oil Services | 1.5 | ||||
Hughes Supply, Inc. | Construction | 1.3 | ||||
Plantronics, Inc. | Telecommunications Equipment | 1.2 | ||||
Gen-Probe, Inc. | Biotechnology | 1.1 | ||||
Stage Stores, Inc. | Retail Apparel | 1.1 | ||||
Engineered Support Systems, Inc. | Parts & Equipment | 1.1 | ||||
Kos Pharmaceuticals, Inc. | Drugs | 1.0 |
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
Performance Review
Over the six-month period that ended June 30, 2004, the Fund generated a cumulative total return of 6.00%. Over the same time period, the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested) generated a cumulative total return of 6.76%.
As these absolute returns indicate, the small-cap equity market continued to rise during the first half of 2004. Despite good absolute performance, the Fund underperformed its
benchmark for the period. Although the CORE investment themes performed well in the broad universe, certain themes worked well among large-cap stocks but not among smaller-cap stocks. Momentum, Earnings Quality, and Analyst Sentiment, in particular, were considerably less successful for the Russell 2000 benchmark holdings than they were for large caps.
Of the CORE themes, Earnings Quality was the biggest positive contributor to relative returns, as companies with cash-based sources of earnings outperformed their industry counterparts. Profitability was a close second behind Earnings Quality. Valuation, Momentum, and Analyst Sentiment added value as well. Only Management Impact detracted from relative performance for the period.
Stock selection was negative in nine of the 13 sectors, particularly in the Consumer Cyclicals sector. Meanwhile, the Fund’s holdings in the Energy sector helped boost returns relative to the benchmark but did little to alleviate losses felt in other sectors.
In managing the CORE products, we do not make size or sector bets. We hope to add value versus the Fund’s Index through individual stock selection. Our quantitative process seeks out stocks with good momentum that also appear to be good values. We prefer stocks about which fundamental research analysts are becoming more positive, and companies with strong profit margins, sustainable earnings, and that use their capital to enhance shareholder value. These factors are not highly correlated to each other, which diversifies the Fund’s sources of returns.
We thank you for your investment and look forward to your continued confidence.
Goldman Sachs Quantitative Equity Management Team
July 16, 2004
Shares | Description | Value | ||||||||
Common Stocks – 99.6% | ||||||||||
Biotechnology – 2.6% | ||||||||||
11,400 | Albany Molecular Research, Inc.* | $ | 147,402 | |||||||
16,100 | Applera Corp. – Celera Genomics Group* | 185,311 | ||||||||
9,200 | Bio-Rad Laboratories, Inc.* | 541,512 | ||||||||
54,800 | deCODE genetics, Inc.* | 465,800 | ||||||||
44,200 | Gen-Probe, Inc.* | 2,091,544 | ||||||||
22,400 | Guilford Pharmaceuticals, Inc.*@ | 106,400 | ||||||||
15,300 | Maxygen, Inc.* | 161,721 | ||||||||
3,100 | Neurocrine Biosciences, Inc.* | 160,735 | ||||||||
67,600 | Vicuron Pharmaceuticals, Inc.* | 849,056 | ||||||||
4,709,481 | ||||||||||
Chemicals – 0.7% | ||||||||||
12,400 | Arch Chemicals, Inc. | 357,368 | ||||||||
12,700 | Myers Industries, Inc. | 179,070 | ||||||||
23,100 | NewMarket Corp.* | 495,957 | ||||||||
24,600 | PolyOne Corp.* | 183,024 | ||||||||
1,215,419 | ||||||||||
Computer Hardware – 2.6% | ||||||||||
67,900 | Adaptec, Inc.* | 574,434 | ||||||||
16,200 | Echelon Corp.*@ | 181,278 | ||||||||
24,300 | Imagistics International, Inc.* | 860,220 | ||||||||
113,700 | InFocus Corp.* | 966,450 | ||||||||
98,900 | Komag, Inc.* | 1,381,633 | ||||||||
5,800 | Tech Data Corp.* | 226,954 | ||||||||
30,900 | UNOVA, Inc.* | 625,725 | ||||||||
4,816,694 | ||||||||||
Computer Software – 5.8% | ||||||||||
3,800 | ANSYS, Inc.* | 178,600 | ||||||||
89,500 | Aspect Communications Corp.* | �� | 1,270,900 | |||||||
65,800 | Epicor Software Corp.* | 924,490 | ||||||||
105,475 | eResearch Technology, Inc.* | 2,953,300 | ||||||||
30,600 | FileNET Corp.* | 966,042 | ||||||||
26,000 | Inet Technologies, Inc.* | 324,220 | ||||||||
6,800 | Intergraph Corp.* | 175,848 | ||||||||
19,500 | MSC.Software Corp.* | 174,525 | ||||||||
12,000 | QAD, Inc.* | 127,320 | ||||||||
3,600 | Quality Systems, Inc.* | 176,724 | ||||||||
33,400 | S1 Corp.* | 331,996 | ||||||||
55,100 | SeaChange International, Inc.*@ | 930,088 | ||||||||
6,100 | SPSS, Inc.* | 109,617 | ||||||||
48,400 | SS&C Technologies, Inc. | 905,080 | ||||||||
26,500 | Tradestation Group, Inc.* | 190,535 | ||||||||
17,100 | Transaction Systems Architects, Inc.* | 368,163 | ||||||||
13,800 | Websense, Inc.* | 513,774 | ||||||||
10,621,222 | ||||||||||
Construction – 3.9% | ||||||||||
30,300 | Brookfield Homes Corp. | 793,557 | ||||||||
23,950 | Griffon Corp.* | 533,606 | ||||||||
39,400 | Hughes Supply, Inc. | 2,321,842 | ||||||||
9,800 | Lennox International, Inc. | 177,380 | ||||||||
106,400 | USG Corp.*@ | 1,870,512 | ||||||||
40,800 | Washington Group International, Inc.* | 1,464,312 | ||||||||
7,161,209 | ||||||||||
Consumer Durables – 0.4% | ||||||||||
31,000 | Applica, Inc.* | 275,900 | ||||||||
2,000 | CSS Industries, Inc. | 70,080 | ||||||||
10,600 | Interface, Inc.* | 92,538 | ||||||||
21,300 | Kimball International, Inc. Class B | 314,175 | ||||||||
752,693 | ||||||||||
Defense/ Aerospace – 1.7% | ||||||||||
46,800 | Armor Holdings, Inc.* | 1,591,200 | ||||||||
15,800 | Curtiss-Wright Corp. | 887,802 | ||||||||
19,600 | Orbital Sciences Corp.* | 270,676 | ||||||||
2,100 | Sequa Corp.* | 122,787 | ||||||||
14,100 | Teledyne Technologies, Inc.* | 282,282 | ||||||||
3,154,747 | ||||||||||
Drugs – 2.9% | ||||||||||
32,700 | Endo Pharmaceuticals Holdings, Inc.* | 766,815 | ||||||||
58,300 | Kos Pharmaceuticals, Inc.*@ | 1,922,151 | ||||||||
21,300 | Noven Pharmaceuticals, Inc.* | 469,026 | ||||||||
12,900 | Nutraceutical International Corp.* | 274,899 | ||||||||
12,400 | Omnicell, Inc.* | 181,164 | ||||||||
54,200 | USANA Health Sciences, Inc.*@ | 1,684,536 | ||||||||
5,298,591 | ||||||||||
Electrical Utilities – 2.6% | ||||||||||
52,200 | Alliant Energy Corp. | 1,361,376 | ||||||||
28,900 | Avista Corp. | 532,338 | ||||||||
5,200 | Central Vermont Public Service Corp. | 106,548 | ||||||||
12,000 | IDACORP, Inc. | 324,000 | ||||||||
19,000 | Northeast Utilities | 369,930 | ||||||||
79,900 | Sierra Pacific Resources* | 616,029 | ||||||||
67,500 | Southern Union Co.* | 1,422,900 | ||||||||
4,733,121 | ||||||||||
Electronic Manufacturing Services – 0.6% | ||||||||||
52,100 | EnPro Industries, Inc.* | 1,197,258 | ||||||||
Energy Resources – 1.3% | ||||||||||
54,450 | Patina Oil & Gas Corp. | 1,626,422 | ||||||||
15,000 | The Houston Exploration Co.* | 777,600 | ||||||||
2,404,022 | ||||||||||
Environmental & Other Services – 1.5% | ||||||||||
11,100 | Administaff, Inc.* | 184,260 | ||||||||
26,200 | Dollar Thrifty Automotive Group, Inc.* | 718,928 | ||||||||
44,500 | Integrated Electrical Services, Inc.* | 358,225 | ||||||||
9,300 | LNR Property Corp. | 504,525 | ||||||||
15,100 | MPS Group, Inc.* | 183,012 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Environmental & Other Services – (continued) | ||||||||||
56,600 | Spherion Corp.* | $ | 573,924 | |||||||
10,700 | United Rentals, Inc.* | 191,423 | ||||||||
2,714,297 | ||||||||||
Food & Beverage – 2.9% | ||||||||||
17,300 | Corn Products International, Inc. | 805,315 | ||||||||
22,201 | Flowers Foods, Inc. | 580,556 | ||||||||
34,900 | Interstate Bakeries Corp. | 378,665 | ||||||||
3,900 | J & J Snack Foods Corp.* | 159,237 | ||||||||
35,800 | Nash-Finch Co. | 896,074 | ||||||||
24,300 | Pilgrim’s Pride Corp. | 703,242 | ||||||||
23,950 | Sanderson Farms, Inc. | 1,284,199 | ||||||||
10,000 | The Boston Beer Co., Inc.* | 201,400 | ||||||||
9,900 | The Robert Mondavi Corp.* | 366,498 | ||||||||
5,375,186 | ||||||||||
Gas Utilities – 0.2% | ||||||||||
3,500 | Northwest Natural Gas Co. | 106,750 | ||||||||
10,900 | Southwest Gas Corp. | 263,017 | ||||||||
369,767 | ||||||||||
Grocery – 0.3% | ||||||||||
9,700 | Ruddick Corp. | 217,765 | ||||||||
52,600 | The Great Atlantic & Pacific Tea Co., Inc.* | 402,916 | ||||||||
620,681 | ||||||||||
Home Products – 0.7% | ||||||||||
32,100 | Nu Skin Enterprises, Inc. | 812,772 | ||||||||
21,300 | Perrigo Co. | 404,061 | ||||||||
1,216,833 | ||||||||||
Hotel & Leisure – 3.7% | ||||||||||
6,800 | Arctic Cat, Inc. | 187,204 | ||||||||
33,800 | Choice Hotels International, Inc. | 1,695,408 | ||||||||
5,090 | Dover Downs Gaming & Entertainment, Inc. | 57,263 | ||||||||
21,200 | FelCor Lodging Trust, Inc.* | 256,520 | ||||||||
30,600 | GTECH Holdings Corp. | 1,417,086 | ||||||||
26,500 | Handleman Co. | 613,740 | ||||||||
192,700 | La Quinta Corp.* | 1,618,680 | ||||||||
22,800 | Prime Hospitality Corp.* | 242,136 | ||||||||
4,000 | The Marcus Corp. | 69,000 | ||||||||
16,000 | Vail Resorts, Inc.* | 306,560 | ||||||||
21,500 | World Wrestling Entertainment, Inc. | 274,125 | ||||||||
6,737,722 | ||||||||||
Information Services – 3.3% | ||||||||||
30,600 | Arbitron, Inc.* | 1,117,512 | ||||||||
22,700 | Century Business Services, Inc.* | 98,972 | ||||||||
25,400 | Cerner Corp.* | 1,132,332 | ||||||||
7,400 | Daktronics, Inc.* | 184,630 | ||||||||
39,000 | eFunds Corp.* | 682,500 | ||||||||
27,900 | Gartner, Inc.* | 368,838 | ||||||||
24,300 | Keane, Inc.* | 332,667 | ||||||||
41,500 | Orbitz, Inc.*@ | 897,230 | ||||||||
12,900 | Pre-Paid Legal Services, Inc.*@ | 307,407 | ||||||||
10,000 | SOURCECORP, Inc.* | 275,200 | ||||||||
15,100 | Symyx Technologies, Inc.* | 364,212 | ||||||||
44,000 | TeleTech Holdings, Inc.* | 385,880 | ||||||||
6,147,380 | ||||||||||
Internet – 0.3% | ||||||||||
9,800 | eCollege.com* | 156,800 | ||||||||
7,500 | F5 Networks, Inc.* | 198,600 | ||||||||
8,700 | WebEx Communications, Inc.*@ | 189,312 | ||||||||
544,712 | ||||||||||
Life Insurance – 1.5% | ||||||||||
26,100 | AmerUs Group Co. | 1,080,540 | ||||||||
21,050 | Delphi Financial Group, Inc. | 936,725 | ||||||||
6,500 | FBL Financial Group, Inc. | 183,690 | ||||||||
1,300 | National Western Life Insurance Co.* | 199,615 | ||||||||
23,900 | The Phoenix Cos., Inc.@ | 292,775 | ||||||||
2,693,345 | ||||||||||
Media – 0.8% | ||||||||||
26,900 | Hearst-Argyle Television, Inc. | 693,482 | ||||||||
12,500 | Insight Communications Co., Inc.* | 115,750 | ||||||||
13,300 | The Liberty Corp. | 624,435 | ||||||||
1,433,667 | ||||||||||
Medical Products – 3.6% | ||||||||||
33,600 | Advanced Medical Optics, Inc.* | 1,430,352 | ||||||||
8,400 | Align Technology, Inc.* | 159,600 | ||||||||
36,300 | Dade Behring Holdings, Inc.* | 1,724,976 | ||||||||
25,300 | DJ Orthopedics, Inc.* | 581,900 | ||||||||
19,800 | Haemonetics Corp.* | 587,070 | ||||||||
8,200 | Hologic, Inc.* | 190,650 | ||||||||
11,366 | Merit Medical Systems, Inc.* | 181,060 | ||||||||
2,900 | Ocular Sciences, Inc.* | 110,200 | ||||||||
7,100 | Owens & Minor, Inc. | 183,890 | ||||||||
16,300 | Respironics, Inc.* | 957,625 | ||||||||
11,400 | Ventana Medical Systems, Inc.* | 541,842 | ||||||||
6,649,165 | ||||||||||
Medical Providers – 2.0% | ||||||||||
5,800 | Amedisys, Inc.* | 191,632 | ||||||||
71,300 | Kindred Healthcare, Inc.* | 1,878,755 | ||||||||
7,500 | PAREXEL International Corp.* | 148,500 | ||||||||
13,700 | RehabCare Group, Inc.* | 364,831 | ||||||||
39,600 | Select Medical Corp. | 531,432 | ||||||||
22,900 | Stewart Enterprises, Inc.* | 186,406 | ||||||||
7,800 | Sunrise Senior Living, Inc.* | 305,292 | ||||||||
3,606,848 | ||||||||||
Mining – 4.2% | ||||||||||
28,000 | AMCOL International Corp. | 530,600 | ||||||||
14,500 | Brush Engineered Materials, Inc.* | 274,050 | ||||||||
46,800 | Carpenter Technology Corp. | 1,593,540 | ||||||||
20,600 | Commercial Metals Co. | 668,470 | ||||||||
10,900 | Metals USA, Inc.* | 194,892 | ||||||||
25,800 | Oregon Steel Mills, Inc.* | 380,292 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Mining – (continued) | ||||||||||
27,300 | Reliance Steel & Aluminum Corp. | $ | 1,100,736 | |||||||
13,100 | Royal Gold, Inc.@ | 185,627 | ||||||||
25,700 | RTI International Metals, Inc.* | 409,915 | ||||||||
46,100 | Ryerson Tull, Inc. | 732,068 | ||||||||
24,250 | Schnitzer Steel Industries, Inc. | 823,530 | ||||||||
4,200 | Silgan Holdings, Inc. | 169,302 | ||||||||
13,700 | Steel Dynamics, Inc.* | 392,231 | ||||||||
38,100 | USEC, Inc. | 334,137 | ||||||||
7,789,390 | ||||||||||
Motor Vehicle – 0.8% | ||||||||||
24,300 | Lithia Motors, Inc. | 602,154 | ||||||||
71,300 | Visteon Corp. | 832,071 | ||||||||
1,434,225 | ||||||||||
Oil Refining – 1.6% | ||||||||||
107,100 | Tesoro Petroleum Corp.* | 2,955,960 | ||||||||
Oil Services – 2.7% | ||||||||||
2,600 | CARBO Ceramics, Inc. | 177,450 | ||||||||
3,000 | Lufkin Industries, Inc. | 95,940 | ||||||||
43,500 | Petroleum Development Corp.* | 1,192,770 | ||||||||
26,500 | Universal Compression Holdings, Inc.* | 813,020 | ||||||||
117,500 | Veritas DGC, Inc.* | 2,720,125 | ||||||||
4,999,305 | ||||||||||
Paper & Packaging – 1.6% | ||||||||||
10,000 | Chesapeake Corp. | 266,800 | ||||||||
4,400 | Greif Bros. Corp. | 185,900 | ||||||||
45,500 | Louisiana-Pacific Corp. | 1,076,075 | ||||||||
28,600 | United Stationers, Inc.* | 1,135,992 | ||||||||
9,200 | Universal Forest Products, Inc. | 296,700 | ||||||||
2,961,467 | ||||||||||
Parts & Equipment – 5.3% | ||||||||||
18,200 | Acuity Brands, Inc. | 491,400 | ||||||||
18,600 | Applied Industrial Technologies, Inc. | 560,232 | ||||||||
8,000 | CIRCOR International, Inc. | 163,120 | ||||||||
17,200 | Coherent, Inc.* | 513,420 | ||||||||
7,100 | CyberOptics Corp.* | 184,458 | ||||||||
35,300 | Engineered Support Systems, Inc. | 2,065,403 | ||||||||
18,700 | Esterline Technologies Corp.* | 552,211 | ||||||||
40,600 | Intervoice, Inc.* | 465,682 | ||||||||
4,800 | Kaman Corp. | 67,152 | ||||||||
34,200 | MTS Systems Corp. | 801,990 | ||||||||
8,800 | NACCO Industries, Inc. | 836,000 | ||||||||
26,200 | NMS Communications Corp.* | 193,356 | ||||||||
9,200 | Rofin-Sinar Technologies, Inc.* | 233,588 | ||||||||
8,200 | Rogers Corp.* | 573,180 | ||||||||
8,200 | Technitrol, Inc.* | 179,580 | ||||||||
4,400 | Tennant Co. | 182,380 | ||||||||
2,900 | The Genlyte Group, Inc.* | 182,352 | ||||||||
2,900 | The Middleby Corp. | 158,398 | ||||||||
32,100 | Watsco, Inc. | 901,047 | ||||||||
4,900 | Woodward Governor Co. | 353,339 | ||||||||
9,658,288 | ||||||||||
Property Insurance – 2.2% | ||||||||||
6,200 | Argonaut Group, Inc.* | 114,266 | ||||||||
35,300 | LandAmerica Financial Group, Inc. | 1,374,229 | ||||||||
4,800 | Selective Insurance Group, Inc. | 191,424 | ||||||||
34,300 | Stewart Information Services Corp. | 1,158,311 | ||||||||
6,600 | The Midland Co. | 195,690 | ||||||||
21,200 | Zenith National Insurance Corp. | 1,030,320 | ||||||||
4,064,240 | ||||||||||
Publishing – 2.5% | ||||||||||
20,500 | American Greetings Corp.* | 475,190 | ||||||||
27,500 | Bowne & Co., Inc. | 435,875 | ||||||||
23,500 | Consolidated Graphics, Inc.* | 1,035,175 | ||||||||
59,100 | Hollinger International, Inc. | 992,289 | ||||||||
24,400 | Journal Communications, Inc. | 459,452 | ||||||||
31,900 | Paxar Corp.* | 622,688 | ||||||||
8,800 | Pulitzer, Inc. | 430,320 | ||||||||
8,300 | The Standard Register Co. | 98,770 | ||||||||
4,549,759 | ||||||||||
Regionals – 6.6% | ||||||||||
37,200 | Bank of Hawaii Corp. | 1,682,184 | ||||||||
29,000 | BankAtlantic Bancorp, Inc. | 535,050 | ||||||||
6,600 | Berkshire Hills Bancorp, Inc. | 244,860 | ||||||||
11,600 | Brookline Bancorp, Inc. | 170,172 | ||||||||
2,750 | Capital City Bank Group, Inc. | 108,873 | ||||||||
34,000 | Commercial Capital Bancorp, Inc.* | 590,580 | ||||||||
18,600 | Corus Bankshares, Inc. | 764,646 | ||||||||
3,700 | First Citizens Bancshares, Inc. | 451,400 | ||||||||
2,500 | First Financial Bankshares, Inc. | 104,825 | ||||||||
9,000 | Greater Bay Bancorp. | 260,100 | ||||||||
13,200 | Hancock Holding Co. | 383,592 | ||||||||
2,200 | IBERIABANK Corp. | 130,196 | ||||||||
6,190 | Oriental Financial Group, Inc. | 167,563 | ||||||||
6,488 | Pacific Capital Bancorp. | 182,507 | ||||||||
30,900 | PFF Bancorp, Inc. | 1,150,716 | ||||||||
4,400 | Prosperity Bancshares, Inc. | 107,140 | ||||||||
23,800 | R&G Financial Corp. Class B | 786,828 | ||||||||
8,600 | Riggs National Corp. | 181,632 | ||||||||
71,400 | Silicon Valley Bancshares* | 2,831,010 | ||||||||
6,275 | Sterling Bancorp. | 173,316 | ||||||||
8,430 | Texas Regional Bancshares, Inc. | 387,021 | ||||||||
6,200 | U.S.B. Holding Co., Inc. | 142,104 | ||||||||
10,470 | UMB Financial Corp. | 540,461 | ||||||||
12,076,776 | ||||||||||
REITS – 4.9% | ||||||||||
8,700 | Amli Residential Properties Trust | 255,258 | ||||||||
3,000 | Bedford Property Investors, Inc. | 87,720 | ||||||||
92,800 | Capstead Mortgage Corp.@ | 1,248,160 | ||||||||
26,300 | Commercial Net Lease Realty | 452,360 | ||||||||
5,000 | Correctional Properties Trust | 146,250 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
REITS – (continued) | ||||||||||
14,000 | Cousins Properties, Inc. | $ | 461,300 | |||||||
26,300 | Entertainment Properties Trust | 939,962 | ||||||||
9,800 | Equity One, Inc. | 177,184 | ||||||||
17,000 | Friedman, Billings, Ramsey Group, Inc. | 336,430 | ||||||||
39,400 | Glenborough Realty Trust, Inc. | 722,990 | ||||||||
8,100 | Healthcare Realty Trust, Inc. | 303,588 | ||||||||
11,300 | Heritage Property Investment Trust | 305,778 | ||||||||
17,400 | Highland Hospitality Corp.* | 174,870 | ||||||||
52,300 | HRPT Properties Trust | 523,523 | ||||||||
17,300 | Kilroy Realty Corp. | 589,930 | ||||||||
23,300 | National Health Investors, Inc. | 633,527 | ||||||||
15,100 | Newcastle Investment Corp. | 452,245 | ||||||||
27,100 | Omega Healthcare Investors, Inc. | 272,084 | ||||||||
14,100 | PS Business Parks, Inc. | 567,384 | ||||||||
23,300 | Senior Housing Properties Trust | 391,207 | ||||||||
9,041,750 | ||||||||||
Restaurants – 1.6% | ||||||||||
19,650 | CEC Entertainment, Inc.* | 579,872 | ||||||||
30,800 | Dave & Buster’s, Inc.* | 578,732 | ||||||||
11,500 | Jack in the Box, Inc.* | 341,550 | ||||||||
7,900 | Lone Star Steakhouse & Saloon, Inc. | 214,801 | ||||||||
42,100 | Papa John’s International, Inc.*@ | 1,243,634 | ||||||||
2,958,589 | ||||||||||
Retail Apparel – 7.2% | ||||||||||
18,800 | Aaron Rents, Inc. | 623,032 | ||||||||
11,800 | Blockbuster, Inc.@ | 179,124 | ||||||||
47,550 | Brookstone, Inc.* | 953,377 | ||||||||
4,800 | Brown Shoe Co., Inc. | 196,464 | ||||||||
24,300 | Charming Shoppes, Inc.* | 216,999 | ||||||||
11,500 | Coldwater Creek, Inc.* | 304,405 | ||||||||
17,700 | GameStop Corp.* | 269,394 | ||||||||
23,800 | Goody’s Family Clothing, Inc. | 246,806 | ||||||||
8,700 | Haverty Furniture Cos., Inc. | 152,076 | ||||||||
39,400 | Insight Enterprises, Inc.* | 699,744 | ||||||||
24,100 | K-Swiss, Inc. | 487,061 | ||||||||
51,400 | Longs Drug Stores Corp. | 1,226,918 | ||||||||
50,300 | Movie Gallery, Inc. | 983,365 | ||||||||
27,400 | Payless ShoeSource, Inc.* | 408,534 | ||||||||
19,800 | PETCO Animal Supplies, Inc.* | 637,758 | ||||||||
44,500 | Saks, Inc. | 667,500 | ||||||||
37,700 | Shopko Stores, Inc.* | 533,078 | ||||||||
30,000 | Skechers U.S.A., Inc.* | 390,000 | ||||||||
20,700 | Sonic Automotive, Inc. | 458,505 | ||||||||
55,200 | Stage Stores, Inc.* | 2,078,832 | ||||||||
7,300 | The Children’s Place Retail Stores, Inc.* | 171,696 | ||||||||
13,700 | The Finish Line, Inc.* | 413,329 | ||||||||
21,000 | The Pep Boys – Manny, Moe & Jack | 532,350 | ||||||||
14,600 | Zale Corp.* | 397,996 | ||||||||
13,228,343 | ||||||||||
Semiconductors – 2.8% | ||||||||||
174,000 | Atmel Corp.* | 1,030,080 | ||||||||
53,050 | Avnet, Inc.* | 1,204,235 | ||||||||
45,800 | C-COR.net Corp.* | 471,282 | ||||||||
14,500 | Microsemi Corp.* | 206,045 | ||||||||
29,500 | Pixelworks, Inc.* | 451,940 | ||||||||
13,900 | Silicon Image, Inc.* | 182,507 | ||||||||
44,400 | Silicon Storage Technology, Inc.* | 457,320 | ||||||||
15,300 | Standard Microsystems Corp.* | 356,796 | ||||||||
47,300 | Vishay Intertechnology, Inc.* | 878,834 | ||||||||
5,239,039 | ||||||||||
Specialty Financials – 3.6% | ||||||||||
10,700 | Advanta Corp. Class B | 245,244 | ||||||||
40,200 | AmeriCredit Corp.* | 785,106 | ||||||||
59,600 | CompuCredit Corp.* | 1,031,080 | ||||||||
3,200 | Credit Acceptance Corp.* | 48,224 | ||||||||
26,600 | Gabelli Asset Management, Inc. | 1,130,500 | ||||||||
8,200 | NCO Group, Inc.* | 218,858 | ||||||||
39,700 | New Century Financial Corp.@ | 1,858,754 | ||||||||
9,700 | Nuveen Investments | 259,960 | ||||||||
9,600 | SWS Group, Inc. | 146,880 | ||||||||
44,300 | World Acceptance Corp.* | 812,019 | ||||||||
6,536,625 | ||||||||||
Telecommunications Equipment – 3.2% | ||||||||||
32,800 | Anixter International, Inc.* | 1,116,184 | ||||||||
82,100 | Artesyn Technologies, Inc.* | 738,900 | ||||||||
37,400 | Audiovox Corp.* | 631,312 | ||||||||
40,500 | CommScope, Inc.* | 868,725 | ||||||||
4,800 | EMS Technologies, Inc.* | 93,264 | ||||||||
45,000 | Optical Communication Products, Inc.* | 109,800 | ||||||||
50,900 | Plantronics, Inc.* | 2,142,890 | ||||||||
10,900 | ViaSat, Inc.* | 271,955 | ||||||||
5,973,030 | ||||||||||
Telephone – 0.2% | ||||||||||
87,200 | Time Warner Telecom, Inc.* | 365,368 | ||||||||
Thrifts – 0.7% | ||||||||||
53,400 | Flagstar Bancorp, Inc. | 1,061,592 | ||||||||
5,700 | Flushing Financial Corp. | 100,605 | ||||||||
10,200 | Republic Bancorp, Inc. | 141,780 | ||||||||
1,200 | WSFS Financial Corp. | 58,404 | ||||||||
1,362,381 | ||||||||||
Transports – 1.8% | ||||||||||
36,800 | Alaska Air Group, Inc.* | 878,416 | ||||||||
10,900 | Covenant Transport, Inc.* | 186,281 | ||||||||
36,600 | ExpressJet Holdings, Inc.* | 444,324 | ||||||||
18,100 | Frontier Airlines, Inc.* | 196,928 | ||||||||
4,200 | Landstar System, Inc.* | 222,054 | ||||||||
18,500 | Overseas Shipholding Group, Inc. | 816,405 | ||||||||
35,100 | SkyWest, Inc. | 611,091 | ||||||||
3,355,499 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Wireless – 0.2% | ||||||||||
15,000 | Boston Communications Group, Inc.* | $ | 153,750 | |||||||
6,500 | United States Cellular Corp.* | 250,575 | ||||||||
404,325 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $165,005,613) | 183,128,419 | |||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $165,005,613) | 183,128,419 | |||||||||
Securities Lending Collateral – 6.2% | ||||||||||
11,364,050 | Boston Global Investment Trust – Enhanced Portfolio | 11,364,050 | ||||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $11,364,050) | 11,364,050 | |||||||||
TOTAL INVESTMENTS – 105.8% | ||||||||||
(Cost $176,369,663) | 194,492,469 | |||||||||
* | Non-income producing security. | |
@ | All or a portion of security is on loan. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust – Capital Growth Fund during the six-month reporting period that ended June 30, 2004.
Market Review
The U.S. equity markets posted modest gains during the reporting period. In the first quarter 2004, investors were preoccupied with concerns over anemic job growth and the potential for a “jobless” economic recovery. However, these fears abruptly changed in the second quarter as nearly one million new jobs were created from March through May 2004. In addition, corporate profits continued to be very strong and consumer confidence reached a two-year high in June 2004. Despite these positive trends, the surge in employment and signs of inflationary pressures caused investors to become preoccupied with the prospect for higher interest rates. At the end of the period, the Federal Open Market Committee raised short-term interest rates from 1.00% to 1.25%, the first such increase in four years. Looking at the reporting period as a whole, the market was led by consumer industries such as foods, beverages, and household/ personal care. After a weak first quarter, Internet, defense, and energy companies also benefited from the growing recovery and posted positive results in the second quarter. Media-related companies, such as radio broadcasting and cable, were notably weak due to poor advertising sales.
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2004*
% of | ||||||
Holding | Line of Business | Net Asset | ||||
Microsoft Corp. | Computer Software | 5.5 | % | |||
Pfizer, Inc. | Drugs | 5.1 | ||||
PepsiCo, Inc. | Food & Beverage | 4.0 | ||||
QUALCOMM, Inc. | Telecommunications Equipment | 3.8 | ||||
Fannie Mae | Specialty Financials | 3.4 | ||||
Wal-Mart Stores, Inc. | Retail | 3.2 | ||||
Dell, Inc. | Computer Hardware | 3.0 | ||||
Intel Corp. | Semiconductors | 3.0 | ||||
Cisco Systems, Inc. | Computer Hardware | 2.7 | ||||
The McGraw-Hill Cos., Inc. | Information Services | 2.7 |
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
Performance Review
Over the six-month period that ended June 30, 2004, the Fund generated a cumulative total return of 2.92%. Over the same time period, the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested) and its former benchmark, the S&P 500 Index (with dividends reinvested), generated cumulative total returns of 2.74% and 3.44%, respectively.
Within the Media sector, the Fund’s holdings within the radio market were weak, as analysts were disappointed by near-term advertising sales. While the recent stock performances from Viacom, Inc. and Clear Channel Communications, Inc. are disappointing, we remain focused on their competitive advantages and long-term growth prospects. In the Healthcare sector, Wyeth and Guidant Corp. detracted from performance during the second half of the period. In the case of Wyeth, an appeals court overturned a prior ruling, which had limited the evidence allowed to be submitted by plaintiffs’ attorneys in fen-phen trials. It is the widely held belief that the company may ultimately attempt to take the appeal to the Supreme Court. Despite these legal proceedings, we believe the fundamentals of the business are strong. Guidant’s stock declined in response to the announcement that it experienced manufacturing or design issues during a recent clinical trial. We continued to build up the Fund’s position during this weakness in the stock price.
Within Consumer Staples, Colgate-Palmolive Co., Wm. Wrigley Jr. Co. and Avon Products, Inc. were notably strong during the reporting period. In 2003, we took advantage of attractive valuations and increased the Fund’s allocation to this area. We believe all three companies are benefiting from their global reach, as sales in European and Latin American operations continue to exceed analysts’ expectations. In the Technology sector, Microsoft Corp., eBay, Inc. and QUALCOMM, Inc. were notable contributors. In the case of Microsoft, we believe the market has begun to recognize the strong fundamentals of its business. With its recent anti-trust settlement behind it, Microsoft plans to use some of its estimated $56 billion of cash to benefit shareholders by paying a special one-time, three-dollar a share dividend, and to buy back a portion of its outstanding stock.
Travel-related businesses, including Starwood Hotels and Resorts Worldwide, Inc., Marriott International, Inc., Cendant Corp. and Sabre Holdings Corp. ended the period in positive territory and boosted returns. These companies are benefiting as the economy strengthens, corporate profits surge, and the stock market rebounds. As a result, travel is starting to pick up and occupancy is improving. Starwood has important exposure to the New York and Boston markets – sites of the Republican and Democrat conventions. Since Marriott manages rather than owns its properties, it receives incentives amounting to a certain percentage of profits if goals are met.
We thank you for your investment and look forward to your continued confidence.
Goldman Sachs Growth Equity Management Team
July 16, 2004
Shares | Description | Value | ||||||||
Common Stocks – 99.7% | ||||||||||
Biotechnology – 2.1% | ||||||||||
68,820 | Amgen, Inc.* | $ | 3,755,507 | |||||||
Brokers – 0.9% | ||||||||||
15,165 | Merrill Lynch & Co., Inc. | 818,607 | ||||||||
16,055 | Morgan Stanley | 847,222 | ||||||||
1,665,829 | ||||||||||
Chemicals – 1.6% | ||||||||||
30,855 | 3M Co. | 2,777,259 | ||||||||
Computer Hardware – 5.7% | ||||||||||
205,700 | Cisco Systems, Inc.* | 4,875,090 | ||||||||
149,765 | Dell, Inc.* | 5,364,582 | ||||||||
10,239,672 | ||||||||||
Computer Software – 7.8% | ||||||||||
36,075 | Electronic Arts, Inc.* | 1,967,891 | ||||||||
17,455 | Intuit, Inc.* | 673,414 | ||||||||
347,275 | Microsoft Corp. | 9,918,174 | ||||||||
47,500 | Sabre Holdings Corp. | 1,316,225 | ||||||||
13,875,704 | ||||||||||
Drugs – 8.4% | ||||||||||
25,240 | Eli Lilly & Co. | 1,764,528 | ||||||||
266,650 | Pfizer, Inc. | 9,140,762 | ||||||||
42,670 | Schering-Plough Corp. | 788,542 | ||||||||
94,895 | Wyeth | 3,431,403 | ||||||||
15,125,235 | ||||||||||
Energy Resources – 1.5% | ||||||||||
15,650 | Anadarko Petroleum Corp. | 917,090 | ||||||||
19,830 | Apache Corp. | 863,596 | ||||||||
20,392 | Exxon Mobil Corp. | 905,609 | ||||||||
2,686,295 | ||||||||||
Financial Technology – 3.1% | ||||||||||
27,780 | CheckFree Corp.* | 833,400 | ||||||||
106,200 | First Data Corp. | 4,728,024 | ||||||||
5,561,424 | ||||||||||
Food & Beverage – 6.4% | ||||||||||
132,360 | PepsiCo, Inc. | 7,131,557 | ||||||||
27,165 | The Coca-Cola Co. | 1,371,289 | ||||||||
46,490 | Wm. Wrigley Jr. Co. | 2,931,195 | ||||||||
11,434,041 | ||||||||||
Home Products – 7.3% | ||||||||||
91,200 | Avon Products, Inc. | 4,207,968 | ||||||||
64,545 | Colgate-Palmolive Co. | 3,772,655 | ||||||||
23,521 | Energizer Holdings, Inc.* | 1,058,445 | ||||||||
75,120 | The Procter & Gamble Co. | 4,089,533 | ||||||||
13,128,601 | ||||||||||
Hotel & Leisure – 4.0% | ||||||||||
30,900 | GTECH Holdings Corp. | 1,430,979 | ||||||||
30,320 | Harrah’s Entertainment, Inc. | 1,640,312 | ||||||||
40,280 | Marriott International, Inc. | 2,009,166 | ||||||||
47,390 | Starwood Hotels & Resorts Worldwide, Inc. | 2,125,442 | ||||||||
7,205,899 | ||||||||||
Information Services – 4.2% | ||||||||||
40,245 | Moody’s Corp. | 2,602,242 | ||||||||
63,390 | The McGraw-Hill Cos., Inc. | 4,853,772 | ||||||||
7,456,014 | ||||||||||
Internet – 1.3% | ||||||||||
25,040 | eBay, Inc.* | 2,302,428 | ||||||||
Large Banks – 1.1% | ||||||||||
17,600 | Bank One Corp. | 897,600 | ||||||||
21,816 | Citigroup, Inc. | 1,014,444 | ||||||||
1,912,044 | ||||||||||
Media – 12.3% | ||||||||||
37,798 | Cablevision Systems New York Group* | 742,731 | ||||||||
58,400 | Citadel Broadcasting Co.* | 850,888 | ||||||||
94,818 | Clear Channel Communications, Inc. | 3,503,525 | ||||||||
28,430 | EchoStar Communications Corp.* | 874,223 | ||||||||
58,715 | Lamar Advertising Co.* | 2,545,295 | ||||||||
91,700 | Liberty Media Corp. Series A* | 824,383 | ||||||||
9,600 | The E.W. Scripps Co. | 1,008,000 | ||||||||
162,710 | Time Warner, Inc.* | 2,860,442 | ||||||||
79,950 | Univision Communications, Inc.* | 2,552,803 | ||||||||
20,010 | Valassis Communications, Inc.* | 609,705 | ||||||||
121,918 | Viacom, Inc. Class B | 4,354,911 | ||||||||
46,800 | XM Satellite Radio Holdings, Inc.* | 1,277,172 | ||||||||
22,004,078 | ||||||||||
Medical Products – 2.5% | ||||||||||
26,800 | Guidant Corp. | 1,497,584 | ||||||||
40,200 | Medtronic, Inc. | 1,958,544 | ||||||||
14,300 | St. Jude Medical, Inc.* | 1,081,795 | ||||||||
4,537,923 | ||||||||||
Medical Providers – 1.1% | ||||||||||
59,195 | Caremark Rx, Inc.* | 1,949,883 | ||||||||
Parts & Equipment – 2.1% | ||||||||||
57,400 | General Electric Co. | 1,859,760 | ||||||||
56,100 | Tyco International Ltd. | 1,859,154 | ||||||||
3,718,914 | ||||||||||
Property Insurance – 1.0% | ||||||||||
12,500 | AMBAC Financial Group, Inc. | 918,000 | ||||||||
22,100 | Willis Group Holdings Ltd. | 827,645 | ||||||||
1,745,645 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Publishing – 0.7% | ||||||||||
15,100 | Gannett Co., Inc. | $ | 1,281,235 | |||||||
Real Estate and Travel Services – 2.0% | ||||||||||
145,715 | Cendant Corp. | 3,567,103 | ||||||||
Retail – 5.7% | ||||||||||
34,555 | Dollar Tree Stores, Inc.* | 947,844 | ||||||||
28,965 | Family Dollar Stores, Inc. | 881,115 | ||||||||
33,000 | Lowe’s Companies, Inc. | 1,734,150 | ||||||||
31,900 | PETCO Animal Supplies, Inc.* | 1,027,499 | ||||||||
106,930 | Wal-Mart Stores, Inc. | 5,641,627 | ||||||||
10,232,235 | ||||||||||
Semiconductors – 3.7% | ||||||||||
193,200 | Intel Corp. | 5,332,320 | ||||||||
34,600 | Linear Technology Corp. | 1,365,662 | ||||||||
6,697,982 | ||||||||||
Specialty Financials – 7.7% | ||||||||||
86,250 | Fannie Mae | 6,154,800 | ||||||||
76,065 | Freddie Mac | 4,814,914 | ||||||||
65,850 | MBNA Corp. | 1,698,272 | ||||||||
124,510 | The Charles Schwab Corp. | 1,196,541 | ||||||||
13,864,527 | ||||||||||
Telecommunications Equipment – 3.8% | ||||||||||
93,130 | QUALCOMM, Inc. | 6,796,628 | ||||||||
Thrifts – 0.5% | ||||||||||
7,915 | Golden West Financial Corp. | 841,760 | ||||||||
Wireless – 1.2% | ||||||||||
71,700 | American Tower Corp.* | 1,089,840 | ||||||||
72,290 | Crown Castle International Corp.* | 1,066,278 | ||||||||
2,156,118 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $171,011,423) | $ | 178,519,983 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 0.3% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 600,000 | 1.55 | % | 07/01/2004 | $ | 600,000 | ||||||||||
Maturity Value $600,026 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $600,000) | $ | 600,000 | ||||||||||||||
TOTAL INVESTMENTS — 100.0% | ||||||||||||||||
(Cost $171,611,423) | $ | 179,119,983 | ||||||||||||||
^ | Joint repurchase agreement was entered into on June 30, 2004. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust – Mid Cap Value Fund during the six-month reporting period that ended June 30, 2004.
Market Review
The U.S. equity markets generated positive but modest gains during the first six months of the year. The S&P 500 Index returned 3.44%, while the Russell 3000 Index gained 3.59%. The Industrial and Energy sectors drove broad market returns higher, while Financials and Real Estate Investment Trusts (“REITs”) declined because of fears of rising interest rates. On the economic front, positive data flow continued, supporting a continued economic expansion with a notable increase in new jobs in the second quarter 2004. However, fears of inflation caused investors to focus on the Federal Reserve Board’s indication that it would raise interest rates by 25 basis points. This came to pass on June 30, marking the first such increase in over four years. Commodity prices, led by crude oil, reached record highs on broad global demand and geopolitical fears. Company earnings continued to be positive, although varied.
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2004*
% of | ||||||
Holding | Line of Business | Net Assets | ||||
PPL Corp. | Electrical Utilities | 2.7 | % | |||
Abercrombie & Fitch Co. | Retail Apparel | 2.4 | ||||
Cummins, Inc. | Parts & Equipment | 2.1 | ||||
CIT Group, Inc. | Specialty Financials | 2.0 | ||||
iStar Financial, Inc. | REITs | 2.0 | ||||
PartnerRe Ltd. | Property Insurance | 2.0 | ||||
Eaton Corp. | Parts & Equipment | 2.0 | ||||
The Williams Companies, Inc. | Diversified Energy | 2.0 | ||||
Lennar Corp. | Construction | 1.9 | ||||
Lamar Advertising Co. | Media | 1.8 |
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
Performance Review
Over the six-month reporting period that ended June 30, 2004, the Fund generated a cumulative total return of 10.40%. Over the same time period, the Fund’s benchmark, the Russell Midcap Value Index (with dividends reinvested) generated a cumulative total return of 7.17%.
Retail and apparel stocks generally performed well during the period, and J.C. Penney and Abercrombie & Fitch were two of the Fund’s top performers. Both had been subject to extreme levels of investor skepticism during 2003 due to lackluster sales trends. Abercrombie & Fitch, a specialty retailer, benefited from changes in merchandising strategies that enabled it to compete with department store labels more effectively while increasing same-store sales. J.C. Penney performed well over the period, due in part to its strong operating results. In addition, J.C. Penney reached an agreement to sell its holding in the pharmacy chain Eckerd at a favorable price.
Within Insurance and Specialty Finance, Countrywide Financial performed very well. This caused the company’s total market capitalization to exceed the upper limits of our mid-cap range. Given the Fund’s mandate to invest in mid-cap stocks, Countrywide Financial was subsequently eliminated from the portfolio. During the period, we initiated a position in Health Net, Inc., an integrated managed care organization company that we felt was an attractive opportunity in the HMO industry. We also increased the Fund’s position in CIT Group, Inc., a commercial and consumer finance company. CIT has continued to execute its plan of refinancing its high cost debt after spinning off from Tyco in mid-2002.
With oil and natural gas at historically high prices and historically low-inventory levels, we continue to focus on Energy companies that show capital discipline and focus on returns. XTO Energy and The Williams Companies, Inc. were the Fund’s top contributors in the sector. During the period, we increased the Fund’s position in Western Gas Resources, Inc. and Patina Oil & Gas Corp.
Detractors from performance were Callaway Golf Co. and Lennar Corp. Callaway suffered from competitive pressures to cut prices on its hallmark products, which resulted in lower-than-expected sales. We continue to monitor the situation very closely. Lennar, one of the largest single-family homebuilders in the U.S., declined on speculation that the housing market would slow with the prospect of rising interest rates.
As in the past, we thank you for your continued confidence.
Goldman Sachs Value Portfolio Management Team
July 16, 2004
Shares | Description | Value | ||||||||
Common Stocks – 97.5% | ||||||||||
Biotechnology – 0.9% | ||||||||||
276,600 | MedImmune, Inc.* | $ | 6,472,440 | |||||||
Brokers – 1.0% | ||||||||||
78,961 | The Bear Stearns Companies, Inc. | 6,657,202 | ||||||||
Chemicals – 4.1% | ||||||||||
775,450 | Agrium, Inc. | 11,282,798 | ||||||||
306,100 | Monsanto Co. | 11,784,850 | ||||||||
130,900 | Rohm and Haas Co. | 5,442,822 | ||||||||
28,510,470 | ||||||||||
Computer Hardware – 3.9% | ||||||||||
104,500 | CDW Corp. | 6,662,920 | ||||||||
200,505 | Hutchinson Technology, Inc.* | 4,930,418 | ||||||||
293,200 | Storage Technology Corp.* | 8,502,800 | ||||||||
256,615 | Xerox Corp.* | 3,720,918 | ||||||||
44,033 | Zebra Technologies Corp.* | 3,830,871 | ||||||||
27,647,927 | ||||||||||
Computer Software – 2.2% | ||||||||||
499,940 | Activision, Inc.* | 7,949,046 | ||||||||
321,545 | NetIQ Corp.* | 4,244,394 | ||||||||
186,600 | PeopleSoft, Inc.* | 3,452,100 | ||||||||
15,645,540 | ||||||||||
Construction – 1.9% | ||||||||||
297,505 | Lennar Corp. | 13,304,424 | ||||||||
Consumer Durables – 1.7% | ||||||||||
181,370 | Ethan Allen Interiors, Inc. | 6,512,997 | ||||||||
123,700 | The Stanley Works | 5,638,246 | ||||||||
12,151,243 | ||||||||||
Defense/ Aerospace – 1.1% | ||||||||||
223,492 | Rockwell Collins, Inc. | 7,446,753 | ||||||||
Diversified Energy – 3.2% | ||||||||||
1,150,100 | The Williams Companies, Inc.@ | 13,686,190 | ||||||||
273,740 | Western Gas Resources, Inc. | 8,891,075 | ||||||||
22,577,265 | ||||||||||
Drugs – 2.6% | ||||||||||
81,700 | AmerisourceBergen Corp. | 4,884,026 | ||||||||
153,100 | Charles River Laboratories International, Inc.* | 7,481,997 | ||||||||
154,295 | Covance, Inc.* | 5,952,701 | ||||||||
18,318,724 | ||||||||||
Electrical Utilities – 8.0% | ||||||||||
137,456 | Energy East Corp. | 3,333,308 | ||||||||
129,421 | Entergy Corp. | 7,248,870 | ||||||||
267,639 | FirstEnergy Corp. | 10,012,375 | ||||||||
163,000 | PG&E Corp.*@ | 4,554,220 | ||||||||
96,655 | Pinnacle West Capital Corp. | 3,903,896 | ||||||||
418,188 | PPL Corp. | 19,194,829 | ||||||||
123,525 | Puget Energy, Inc. | 2,706,433 | ||||||||
147,500 | Wisconsin Energy Corp. | 4,809,975 | ||||||||
55,763,906 | ||||||||||
Energy Resources – 3.0% | ||||||||||
89,600 | EOG Resources, Inc. | 5,350,016 | ||||||||
316,370 | Patina Oil & Gas Corp.@ | 9,449,972 | ||||||||
203,870 | XTO Energy, Inc. | 6,073,287 | ||||||||
20,873,275 | ||||||||||
Environmental & Other Services – 0.7% | ||||||||||
174,976 | Republic Services, Inc. | 5,063,805 | ||||||||
Food & Beverage – 1.3% | ||||||||||
312,800 | Archer-Daniels-Midland Co. | 5,248,784 | ||||||||
118,900 | The Pepsi Bottling Group, Inc. | 3,631,206 | ||||||||
8,879,990 | ||||||||||
Health Insurance – 2.0% | ||||||||||
80,679 | Aetna, Inc. | 6,857,715 | ||||||||
279,900 | Health Net, Inc.* | 7,417,350 | ||||||||
14,275,065 | ||||||||||
Home Products – 2.0% | ||||||||||
151,100 | The Clorox Co. | 8,126,158 | ||||||||
119,640 | The Estee Lauder Companies, Inc. | 5,836,039 | ||||||||
13,962,197 | ||||||||||
Hotel & Leisure – 2.2% | ||||||||||
343,330 | Callaway Golf Co.@ | 3,893,362 | ||||||||
111,671 | Harrah’s Entertainment, Inc. | 6,041,401 | ||||||||
295,943 | Hilton Hotels Corp. | 5,522,297 | ||||||||
15,457,060 | ||||||||||
Information Services – 0.7% | ||||||||||
153,905 | Anteon International Corp.* | 5,020,381 | ||||||||
Internet – 0.6% | ||||||||||
63,400 | Getty Images, Inc.* | 3,804,000 | ||||||||
Life Insurance – 1.0% | ||||||||||
126,705 | Torchmark Corp. | 6,816,729 | ||||||||
Media – 3.0% | ||||||||||
402,665 | Emmis Communications Corp.* | 8,447,912 | ||||||||
289,055 | Lamar Advertising Co.* | 12,530,534 | ||||||||
20,978,446 | ||||||||||
Mining – 1.1% | ||||||||||
104,129 | Nucor Corp. | 7,992,942 | ||||||||
Motor Vehicle – 1.8% | ||||||||||
155,490 | American Axle & Manufacturing Holdings, Inc. | 5,653,617 | ||||||||
122,078 | Lear Corp. | 7,201,381 | ||||||||
12,854,998 | ||||||||||
Oil Refining – 1.1% | ||||||||||
115,800 | Sunoco, Inc. | 7,367,196 | ||||||||
Oil Services – 1.4% | ||||||||||
299,633 | Patterson-UTI Energy, Inc. | 10,010,739 | ||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Paper & Packaging – 1.5% | ||||||||||
275,574 | Packaging Corp. of America | $ | 6,586,219 | |||||||
79,000 | Sealed Air Corp.* | 4,208,330 | ||||||||
10,794,549 | ||||||||||
Parts & Equipment – 5.6% | ||||||||||
263,694 | American Standard Companies, Inc.* | 10,629,505 | ||||||||
240,470 | Cummins, Inc. | 15,029,375 | ||||||||
213,042 | Eaton Corp. | 13,792,339 | ||||||||
39,451,219 | ||||||||||
Property Insurance – 6.5% | ||||||||||
121,954 | AMBAC Financial Group, Inc. | 8,956,302 | ||||||||
244,262 | PartnerRe Ltd. | 13,856,983 | ||||||||
199,453 | RenaissanceRe Holdings Ltd. | 10,760,489 | ||||||||
310,730 | Willis Group Holdings Ltd. | 11,636,839 | ||||||||
45,210,613 | ||||||||||
Publishing – 0.9% | ||||||||||
236,597 | A.H. Belo Corp. | 6,352,629 | ||||||||
Regionals – 8.1% | ||||||||||
311,257 | Banknorth Group, Inc. | 10,109,627 | ||||||||
103,665 | City National Corp. | 6,810,790 | ||||||||
296,320 | FirstMerit Corp. | 7,813,958 | ||||||||
115,677 | KeyCorp. | 3,457,586 | ||||||||
137,932 | M&T Bank Corp. | 12,041,464 | ||||||||
191,100 | North Fork Bancorporation, Inc.@ | 7,271,355 | ||||||||
243,532 | SouthTrust Corp. | 9,451,477 | ||||||||
56,956,257 | ||||||||||
REITS – 6.5% | ||||||||||
124,100 | AvalonBay Communities, Inc. | 7,014,132 | ||||||||
182,300 | Developers Diversified Realty Corp. | 6,447,951 | ||||||||
349,462 | iStar Financial, Inc. | 13,978,480 | ||||||||
159,574 | Liberty Property Trust | 6,416,470 | ||||||||
212,553 | Plum Creek Timber Co., Inc. | 6,924,977 | ||||||||
153,000 | Prentiss Properties Trust | 5,128,560 | ||||||||
45,910,570 | ||||||||||
Restaurants – 0.9% | ||||||||||
168,554 | Yum! Brands, Inc.* | 6,273,580 | ||||||||
Retail Apparel – 6.1% | ||||||||||
443,200 | Abercrombie & Fitch Co. | 17,174,000 | ||||||||
222,740 | Federated Department Stores, Inc. | 10,936,534 | ||||||||
247,600 | J. C. Penney Co., Inc. | 9,349,376 | ||||||||
190,700 | Ross Stores, Inc. | 5,103,132 | ||||||||
42,563,042 | ||||||||||
Semiconductors – 1.0% | ||||||||||
170,800 | Integrated Circuit Systems, Inc.* | 4,638,928 | ||||||||
106,600 | Power Integrations, Inc.* | 2,654,340 | ||||||||
7,293,268 | ||||||||||
Specialty Financials – 3.0% | ||||||||||
252,575 | American Capital Strategies Ltd.@ | 7,077,151 | ||||||||
371,595 | CIT Group, Inc. | 14,228,373 | ||||||||
21,305,524 | ||||||||||
Telecommunications Equipment – 1.0% | ||||||||||
810,660 | Tellabs, Inc.* | 7,085,168 | ||||||||
Telephone – 1.0% | ||||||||||
226,500 | CenturyTel, Inc. | 6,804,060 | ||||||||
Tobacco – 0.7% | ||||||||||
76,200 | R.J. Reynolds Tobacco Holdings, Inc. | 5,150,358 | ||||||||
Transports – 2.2% | ||||||||||
70,229 | Landstar System, Inc.* | 3,713,007 | ||||||||
169,100 | Teekay Shipping Corp. | 6,320,958 | ||||||||
129,820 | Yellow Roadway Corp.* | 5,174,625 | ||||||||
15,208,590 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $578,803,542) | $ | 684,212,144 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 2.1% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 14,700,000 | 1.55 | % | 07/01/2004 | $ | 14,700,000 | ||||||||||
Maturity Value $14,700,631 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $14,700,000) | $ | 14,700,000 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $593,503,542) | $ | 698,912,144 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 2.9% | ||||||||||
20,371,475 | Boston Global Investment Trust – Enhanced Portfolio | $ | 20,371,475 | |||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $20,371,475) | $ | 20,371,475 | ||||||||
TOTAL INVESTMENTS -102.5% | ||||||||||
(Cost $613,875,017) | $ | 719,283,619 | ||||||||
@ | All of a portion of security is on loan. |
^ | Joint repurchase agreement was entered into on June 30, 2004. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust – International Equity Fund during the six-month reporting period that ended June 30, 2004.
Market Overview
International equities sustained 2003’s upward momentum during January and early February 2004, with higher-risk, more cyclical sectors leading the market. However, defensive sectors began to rally later in the first quarter 2004 after the Federal Reserve Board (the “Fed”) implied that interest rates might rise sooner than the market had expected. A sharp increase in market volatility occurred in March following the terrorist attacks in Madrid.
Investors continued to be unsettled in April and early May by the prospect of higher U.S. interest rates. Global equities then rallied during late May and June, helped by the Fed’s reiteration that its approach to raising interest rates would remain “measured.” Overall, corporate fundamentals remained strong, with profit growth meeting or beating expectations in the first quarter 2004 earnings-reporting season. However, international equity returns were muted during the reporting period. In addition to the prospect of higher interest rates, investors had to contend with fears of a sharp slowdown in China’s economy, geopolitical tensions, and rising oil prices.
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2004*
% of | ||||||||
Holding | Country | Line of Business | Net Assets | |||||
Vodafone Group PLC | United Kingdom | Telecommunication Services | 4.6 | % | ||||
ING Groep NV | Netherlands | Diversified Financials | 3.6 | |||||
Novartis AG | Switzerland | Pharmaceuticals & Biotechnology | 3.6 | |||||
Banca Intesa SpA | Italy | Banks | 3.5 | |||||
GlaxoSmithKline PLC | United Kingdom | Pharmaceuticals & Biotechnology | 3.3 | |||||
Zurich Financial Services AG | Switzerland | Insurance | 3.2 | |||||
LVMH Moet Hennessy Louis Vuitton SA | France | Consumer Durables & Apparel | 3.1 | |||||
WPP Group PLC | United Kingdom | Media | 3.1 | |||||
Mitsui Fudosan Co. Ltd. | Japan | Real Estate | 2.8 | |||||
PSA Peugeot Citroen | France | Automobiles & Components | 2.6 |
* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.
Performance Review
Over the six-month period that ended June 30, 2004, the Fund generated a cumulative total return of 0.00%. Over the same time period, the Fund’s benchmark, the MSCI EAFE Index (unhedged with dividends reinvested) generated a cumulative total return of 4.86%.
The Fund’s position in Yukos ADR, the largest Russian oil company, detracted from relative performance over the period. This was due to the Russian government’s attempts to extract tax payments for previous fiscal years (currently $3.4 billion for fiscal year 2000 and a similar amount expected for 2001). In October 2003, Yukos’ CEO and principal shareholder Mikhail Khodorkovsky was arrested on allegations of fraud, tax evasion, and forgery. This, combined with the commencement of a process for the Russian authorities to extract tax payments for the last four years, sent shares in Yukos sharply lower. Although investor concerns diminished during the first quarter 2004 (a period which saw substantial recovery in Yukos’ share price), the second quarter saw the Russian authorities freeze Yukos’ assets, making it difficult for the company to raise the required money. We recently met with the company’s CFO, and we continue to assess our position in Yukos.
An overweight position in Adecco, the world’s largest provider of temporary workers, also hurt relative performance. The company’s announcement in early January 2004 that it would delay publication of its 2003 earnings was unanticipated by investors. The company’s stock subsequently fell sharply. We eliminated the position promptly owing to the lack of visibility regarding the nature and extent of the accounting problems.
Several of the Fund’s Japanese holdings exposed to its domestic economy enhanced results during the period. Investors were drawn to these stocks due to indications that domestic demand was contributing to the country’s economic recovery. In particular, the Fund’s overweight positions in ORIX Corp. and Mitsui Fudosan Co. Ltd., both of which have exposure to the real estate industry, boosted returns. Credit card company Credit Saison Co. Ltd., which benefited from expectations of an increase in consumer lending, also contributed to performance.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs International Equity Portfolio Management Team
July 16, 2004
Shares | Description | Value | ||||||||
Common Stocks – 99.7% | ||||||||||
Finland – 2.2% | ||||||||||
150,510 | Nokia Oyj (Technology Hardware & Equipment) | $ | 2,188,655 | |||||||
France – 14.1% | ||||||||||
69,387 | European Aeronautic Defence & Space Co.@ (Capital Goods) | 1,946,513 | ||||||||
26,084 | L’Oreal SA@ (Household & Personal Products) | 2,095,561 | ||||||||
43,194 | LVMH Moet Hennessy Louis Vuitton SA (Consumer Durables & Apparel) | 3,143,555 | ||||||||
46,655 | PSA Peugeot Citroen (Automobiles & Components) | 2,611,297 | ||||||||
32,466 | Schneider Electric SA (Capital Goods) | 2,230,078 | ||||||||
10,986 | Total Fina Elf SA Class B*@ (Energy) | 2,109,332 | ||||||||
14,136,336 | ||||||||||
Germany – 5.0% | ||||||||||
30,866 | Bayerische Motoren Werke (BMW) AG (Automobiles & Components) | 1,375,523 | ||||||||
38,973 | Deutsche Boerse AG* (Diversified Financials) | 1,995,293 | ||||||||
10,005 | SAP AG (Software & Services) | 1,669,227 | ||||||||
5,040,043 | ||||||||||
Greece – 1.0% | ||||||||||
54,220 | OPAP SA (Hotels Restaurants & Leisure) | 1,021,271 | ||||||||
Hong Kong – 6.1% | ||||||||||
138,000 | Cheung Kong (Holdings) Ltd.* (Real Estate) | 1,022,547 | ||||||||
302,320 | Dah Sing Banking Group Ltd.* (Banks) | 496,134 | ||||||||
151,600 | Dah Sing Financial Group (Banks) | 898,313 | ||||||||
426,000 | Esprit Holdings Ltd. (Retailing) | 1,912,158 | ||||||||
294,000 | Wing Hang Bank Ltd. (Banks) | 1,752,668 | ||||||||
6,081,820 | ||||||||||
Ireland – 0.5% | ||||||||||
31,317 | Anglo Irish Bank Corp. PLC (Banks) | 492,099 | ||||||||
Italy – 3.5% | ||||||||||
895,658 | Banca Intesa SpA@ (Banks) | 3,513,935 | ||||||||
Japan – 18.2% | ||||||||||
70,300 | Credit Saison Co. Ltd. (Diversified Financials) | 2,123,159 | ||||||||
41,200 | Honda Motor Co. Ltd. (Automobiles & Components) | 1,997,221 | ||||||||
225 | KDDI Corp. (Telecommunication Services) | 1,293,537 | ||||||||
98,500 | Konica Minolta Holdings, Inc.* (Technology Hardware & Equipment) | 1,366,512 | ||||||||
232,000 | Mitsui Fudosan Co. Ltd.* (Real Estate) | 2,794,046 | ||||||||
19,300 | ORIX Corp. (Diversified Financials) | 2,217,501 | ||||||||
69,000 | RICOH Co. Ltd.@ (Technology Hardware & Equipment) | 1,474,550 | ||||||||
44,900 | Seiko Epson Corp. (Technology Hardware & Equipment) | 1,640,341 | ||||||||
48,100 | Shin-Etsu Chemical Co. Ltd.* (Materials) | 1,729,696 | ||||||||
18,550 | USS Co. Ltd. (Retailing) | 1,598,126 | ||||||||
18,234,689 | ||||||||||
Netherlands – 7.0% | ||||||||||
78,822 | ASML Holding NV* (Semiconductors & Semiconductor Equipment) | 1,349,311 | ||||||||
151,811 | ING Groep NV (Diversified Financials) | 3,605,797 | ||||||||
69,757 | VNU NV (Media) | 2,034,524 | ||||||||
6,989,632 | ||||||||||
Norway – 1.4% | ||||||||||
208,628 | Telenor ASA*@ (Telecommunication Services) | 1,455,450 | ||||||||
Russia – 3.0% | ||||||||||
12,400 | Mobile Telesystems ADR (Telecommunication Services) | 1,512,800 | ||||||||
48,070 | YUKOS ADR@ (Energy) | 1,528,626 | ||||||||
3,041,426 | ||||||||||
South Korea – 3.6% | ||||||||||
125,063 | Hyundai Motor Co. Ltd. GDR†@ (Automobiles & Components) | 2,486,253 | ||||||||
5,600,000 | Samsung Electronics Co. Ltd. GDR† (Semiconductors & Semiconductor Equipment) | 1,154,213 | ||||||||
3,640,466 | ||||||||||
Spain – 1.6% | ||||||||||
119,170 | Banco Bilbao Vizcaya Argentaria SA* (Banks) | 1,604,520 | ||||||||
Sweden – 4.4% | ||||||||||
583,716 | Skandia Forsakrings AB* (Insurance) | 2,437,469 | ||||||||
650,329 | Telefonaktiebolaget LM Ericsson* (Technology Hardware & Equipment) | 1,946,320 | ||||||||
4,383,789 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Switzerland – 8.8% | ||||||||||
55,170 | Credit Suisse Group (Diversified Financials) | $ | 1,971,398 | |||||||
80,611 | Novartis AG (Pharmaceuticals & Biotechnology) | 3,580,545 | ||||||||
20,512 | Zurich Financial Services AG (Insurance) | 3,251,343 | ||||||||
8,803,286 | ||||||||||
Taiwan – 1.2% | ||||||||||
159,100 | Hon Hai Precision Industry Co. Ltd.@ (Technology Hardware & Equipment) | 1,193,250 | ||||||||
United Kingdom – 18.1% | ||||||||||
107,098 | British Sky Broadcasting Group PLC (Media) | 1,210,823 | ||||||||
44,773 | Carnival PLC (Hotels Restaurants & Leisure) | 2,181,317 | ||||||||
162,147 | GlaxoSmithKline PLC (Pharmaceuticals & Biotechnology) | 3,303,318 | ||||||||
146,823 | HBOS PLC (Banks) | 1,826,536 | ||||||||
209,348 | Prudential PLC (Insurance) | 1,806,793 | ||||||||
2,117,444 | Vodafone Group PLC (Telecommunication Services) | 4,654,203 | ||||||||
308,132 | WPP Group PLC (Media) | 3,142,328 | ||||||||
18,125,318 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $93,220,266) | $ | 99,945,985 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | ||||||||||||||
Value | ||||||||||||||||
Short-Term Obligation – 0.2% | ||||||||||||||||
State Street Bank & Trust Euro Time Deposit | ||||||||||||||||
$ | 155,000 | 1.13 | % | 07/01/2004 | $ | 155,000 | ||||||||||
TOTAL SHORT-TERM OBLIGATION | ||||||||||||||||
(Cost $155,000) | $ | 155,000 | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $93,375,266) | $ | 100,100,985 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 11.7% | ||||||||||
11,718,967 | Boston Global Investment Trust – Enhanced Portfolio | $ | 11,718,967 | |||||||
TOTAL SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $11,718,967) | 11,718,967 | |||||||||
TOTAL INVESTMENTS -111.6% | ||||||||||
(Cost $105,094,233) | $ | 111,819,952 | ||||||||
* | Non-income producing security. | |
@ | All or a portion of security is on loan. | |
† | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $3,640,466, which represents approximately 3.6% of net assets as of June 30, 2004. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
GDR | — | Global Depository Receipt | ||||
As a % of | ||||||
net assets | ||||||
Common Stock Industry Classifications‡ | ||||||
Automobiles & Components | 8.4 | % | ||||
Banks | 10.5 | |||||
Capital Goods | 4.2 | |||||
Consumer Durables & Apparel | 3.1 | |||||
Diversified Financials | 11.9 | |||||
Energy | 3.6 | |||||
Hotels Restaurants & Leisure | 3.2 | |||||
Household & Personal Products | 2.1 | |||||
Insurance | 7.5 | |||||
Materials | 1.7 | |||||
Media | 6.4 | |||||
Pharmaceuticals & Biotechnology | 6.9 | |||||
Real Estate | 3.8 | |||||
Retailing | 3.5 | |||||
Semiconductors & Semiconductor Equipment | 2.5 | |||||
Software & Services | 1.7 | |||||
Technology Hardware & Equipment | 9.8 | |||||
Telecommunication Services | 8.9 | |||||
TOTAL COMMON STOCK | 99.7 | % | ||||
‡ | Industry concentrations greater than one tenth of one percent are disclosed. |
Growth and | CORE U.S. | ||||||||||
Income Fund | Equity Fund | ||||||||||
Assets: | |||||||||||
Investment in securities, at value (identified cost $207,344,938, $378,209,821, $165,005,613, $171,611,423, $593,503,542 and $93,375,266, respectively) | $ | 238,112,440 | $ | 430,829,008 | |||||||
Securities lending collateral, at value | — | 6,407,700 | |||||||||
Cash(a) | 1,765,100 | 423,007 | |||||||||
Foreign currencies, at value (identified cost $156,626) | — | — | |||||||||
Receivables: | |||||||||||
Investment securities sold | 4,157,441 | — | |||||||||
Dividends and interest, at value | 280,417 | 495,969 | |||||||||
Fund shares sold | 120,190 | 989,869 | |||||||||
Forward foreign currency exchange contracts | — | — | |||||||||
Variation margin | — | 195,477 | |||||||||
Securities lending income | — | 4,748 | |||||||||
Reimbursement from adviser | — | — | |||||||||
Other assets | 2,546 | 2,304 | |||||||||
Total assets | 244,438,134 | 439,348,082 | |||||||||
Liabilities: | |||||||||||
Due to custodian | — | — | |||||||||
Payables: | |||||||||||
Payable upon return of securities loaned | — | 6,407,700 | |||||||||
Investment securities purchased | 9,217,560 | — | |||||||||
Amounts owed to affiliates | 149,560 | 239,152 | |||||||||
Fund shares repurchased | 185,977 | 375,670 | |||||||||
Forward foreign currency exchange contracts | — | — | |||||||||
Accrued expenses and other liabilities | 63,960 | 64,453 | |||||||||
Total liabilities | 9,617,057 | 7,086,975 | |||||||||
Net Assets: | |||||||||||
Paid-in capital | 238,355,339 | 457,343,379 | |||||||||
Accumulated undistributed net investment income | 1,741,309 | 1,680,362 | |||||||||
Accumulated net realized gain (loss) on investment, futures and foreign currency related transactions | (36,043,073 | ) | (79,442,583 | ) | |||||||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 30,767,502 | 52,679,949 | |||||||||
NET ASSETS | $ | 234,821,077 | $ | 432,261,107 | |||||||
Total shares of beneficial interest outstanding, no par value (unlimited shares authorized) | 22,007,079 | 37,284,850 | |||||||||
Net asset value, offering and redemption price per share | $ | 10.67 | $ | 11.59 | |||||||
(a) | Includes restricted cash of $331,150 and $200,000 for CORE U.S. Equity Fund and CORE Small Cap Equity Fund, respectively, relating to initial margin requirements on futures transactions. |
CORE Small Cap | Capital | Mid Cap | International | |||||||||||||
Equity Fund | Growth Fund | Value Fund | Equity Fund | |||||||||||||
$ | 183,128,419 | $ | 179,119,983 | $ | 698,912,144 | $ | 100,100,985 | |||||||||
11,364,050 | — | 20,371,475 | 11,718,967 | |||||||||||||
200,000 | 46,023 | — | 300 | |||||||||||||
— | — | — | 155,684 | |||||||||||||
1,749,018 | — | 9,166,018 | — | |||||||||||||
219,169 | 68,245 | 991,935 | 202,275 | |||||||||||||
40,469 | 185,796 | 749,802 | 34,017 | |||||||||||||
— | — | — | 447,409 | |||||||||||||
19,706 | — | — | 24,595 | |||||||||||||
9,994 | — | 6,459 | 22,429 | |||||||||||||
— | — | — | 21,098 | |||||||||||||
3,315 | 2,476 | 5,665 | 1,379 | |||||||||||||
196,734,140 | 179,422,523 | 730,203,498 | 112,729,138 | |||||||||||||
901,982 | — | 987,271 | — | |||||||||||||
11,364,050 | — | 20,371,475 | 11,718,967 | |||||||||||||
356,242 | — | 6,146,806 | 2,839 | |||||||||||||
114,364 | 115,669 | 464,963 | 84,427 | |||||||||||||
56,633 | 170,132 | 148,086 | 46,686 | |||||||||||||
— | — | — | 576,977 | |||||||||||||
56,157 | 82,888 | 112,473 | 89,597 | |||||||||||||
12,849,428 | 368,689 | 28,231,074 | 12,519,493 | |||||||||||||
159,423,559 | 203,081,963 | 540,566,981 | 147,467,665 | |||||||||||||
507,504 | 144,144 | 2,934,145 | 291,070 | |||||||||||||
5,822,668 | (31,680,833 | ) | 53,062,696 | (54,148,615 | ) | |||||||||||
18,130,981 | 7,508,560 | 105,408,602 | 6,599,525 | |||||||||||||
$ | 183,884,712 | $ | 179,053,834 | $ | 701,972,424 | $ | 100,209,645 | |||||||||
13,358,359 | 18,133,343 | 47,572,463 | 10,586,584 | |||||||||||||
$ | 13.77 | $ | 9.87 | $ | 14.76 | $ | 9.47 | |||||||||
Growth and | CORE U.S. | ||||||||||
Income Fund | Equity Fund | ||||||||||
Investment income: | |||||||||||
Dividends(a) | $ | 2,587,055 | $ | 3,152,847 | |||||||
Interest (including securities lending income of $51, $33,914, $93,600, $0, $9,376 and $93,312, respectively) | 12,828 | 52,445 | |||||||||
Total income | 2,599,883 | 3,205,292 | |||||||||
Expenses: | |||||||||||
Management fees | 869,627 | 1,413,960 | |||||||||
Transfer agent fees | 46,380 | 80,798 | |||||||||
Custody and accounting fees | 32,003 | 44,745 | |||||||||
Printing fees | 9,879 | 9,252 | |||||||||
Professional fees | 10,916 | 11,762 | |||||||||
Trustee fees | 7,062 | 7,062 | |||||||||
Registration fees | 31 | 31 | |||||||||
Other | 675 | 246 | |||||||||
Total expenses | 976,573 | 1,567,856 | |||||||||
Less — expense reductions | (218 | ) | (17,623 | ) | |||||||
Net Expenses | 976,355 | 1,550,233 | |||||||||
NET INVESTMENT INCOME | 1,623,528 | 1,655,059 | |||||||||
Realized and unrealized gain (loss) on investment, futures and foreign currency transactions: | |||||||||||
Net realized gain (loss) from: | |||||||||||
Investment transactions | 22,969,642 | 17,646,230 | |||||||||
Futures transactions | — | 62,322 | |||||||||
Foreign currency related transactions | — | — | |||||||||
Net change in unrealized gain (loss) on: | |||||||||||
Investments | (9,531,379 | ) | 4,796,342 | ||||||||
Futures | — | 29,372 | |||||||||
Translation of assets and liabilities denominated in foreign currencies | — | — | |||||||||
Net realized and unrealized gain (loss) on investment, futures and foreign currency transactions | 13,438,263 | 22,534,266 | |||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 15,061,791 | $ | 24,189,325 | |||||||
(a) | For the CORE Small Cap Equity, Mid Cap Value, and International Equity Funds, foreign taxes withheld on dividends were $830, $6,153 and $139,514, respectively. |
CORE Small Cap | Capital | Mid Cap | International | |||||||||||||
Equity Fund | Growth Fund | Value Fund | Equity Fund | |||||||||||||
$ | 1,128,356 | $ | 866,330 | $ | 5,581,847 | $ | 1,189,333 | |||||||||
94,094 | 9,784 | 98,608 | 94,453 | |||||||||||||
1,222,450 | 876,114 | 5,680,455 | 1,283,786 | |||||||||||||
683,525 | 672,116 | 2,523,874 | 521,638 | |||||||||||||
36,455 | 35,846 | 126,194 | 20,866 | |||||||||||||
53,662 | 25,596 | 63,121 | 114,328 | |||||||||||||
14,279 | 18,218 | 9,045 | 14,574 | |||||||||||||
13,762 | 6,062 | 18,862 | 12,454 | |||||||||||||
7,062 | 7,062 | 7,062 | 7,062 | |||||||||||||
31 | 31 | 31 | 31 | |||||||||||||
440 | 628 | 143 | 347 | |||||||||||||
809,216 | 765,559 | 2,748,332 | 691,300 | |||||||||||||
(122 | ) | (217 | ) | (2,022 | ) | (65,502 | ) | |||||||||
809,094 | 765,342 | 2,746,310 | 625,798 | |||||||||||||
413,356 | 110,772 | 2,934,145 | 657,988 | |||||||||||||
5,498,071 | (463,188 | ) | 54,821,310 | 6,677,589 | ||||||||||||
(48,061 | ) | — | — | (369 | ) | |||||||||||
— | — | — | (340,218 | ) | ||||||||||||
4,668,444 | 5,681,046 | 5,499,948 | (6,991,538 | ) | ||||||||||||
16,903 | — | — | — | |||||||||||||
— | — | — | (183,684 | ) | ||||||||||||
10,135,357 | 5,217,858 | 60,321,258 | (838,220 | ) | ||||||||||||
$ | 10,548,713 | $ | 5,328,630 | $ | 63,255,403 | $ | (180,232 | ) | ||||||||
Growth and | CORE U.S. | |||||||||
Income Fund | Equity Fund | |||||||||
From operations: | ||||||||||
Net investment income | $ | 1,623,528 | $ | 1,655,059 | ||||||
Net realized gain (loss) on investment, futures and foreign currency related transactions | 22,969,642 | 17,708,552 | ||||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | (9,531,379 | ) | 4,825,714 | |||||||
Net increase (decrease) in net assets resulting from operations | 15,061,791 | 24,189,325 | ||||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 7,383,293 | 42,652,179 | ||||||||
Cost of shares repurchased | (17,939,816 | ) | (17,605,445 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (10,556,523 | ) | 25,046,734 | |||||||
TOTAL INCREASE (DECREASE) | 4,505,268 | 49,236,059 | ||||||||
Net assets: | ||||||||||
Beginning of period | 230,315,809 | 383,025,048 | ||||||||
End of period | $ | 234,821,077 | $ | 432,261,107 | ||||||
Accumulated undistributed net investment income | $ | 1,741,309 | $ | 1,680,362 | ||||||
Summary of share transactions: | ||||||||||
Shares sold | 712,435 | 3,778,560 | ||||||||
Shares repurchased | (1,740,750 | ) | (1,560,826 | ) | ||||||
TOTAL INCREASE (DECREASE) | (1,028,315 | ) | 2,217,734 | |||||||
CORE Small Cap | Capital | Mid Cap | International | |||||||||||||
Equity Fund | Growth Fund | Value Fund | Equity Fund | |||||||||||||
$ | 413,356 | $ | 110,772 | $ | 2,934,145 | $ | 657,988 | |||||||||
5,450,010 | (463,188 | ) | 54,821,310 | 6,337,002 | ||||||||||||
4,685,347 | 5,681,046 | 5,499,948 | (7,175,222 | ) | ||||||||||||
10,548,713 | 5,328,630 | 63,255,403 | (180,232 | ) | ||||||||||||
4,750,047 | 6,170,155 | 97,328,478 | 1,898,985 | |||||||||||||
(13,179,359 | ) | (12,138,991 | ) | (36,534,496 | ) | (8,301,366 | ) | |||||||||
(8,429,312 | ) | (5,968,836 | ) | 60,793,982 | (6,402,381 | ) | ||||||||||
2,119,401 | (640,206 | ) | 124,049,385 | (6,582,613 | ) | |||||||||||
181,765,311 | 179,694,040 | 577,923,039 | 106,792,258 | |||||||||||||
$ | 183,884,712 | $ | 179,053,834 | $ | 701,972,424 | $ | 100,209,645 | |||||||||
$ | 507,504 | $ | 144,144 | $ | 2,934,145 | $ | 291,070 | |||||||||
351,744 | 632,888 | 6,942,899 | 199,165 | |||||||||||||
(986,302 | ) | (1,246,801 | ) | (2,611,585 | ) | (881,057 | ) | |||||||||
(634,558 | ) | (613,913 | ) | 4,331,314 | (681,892 | ) | ||||||||||
Growth and | CORE U.S. | |||||||||
Income Fund | Equity Fund | |||||||||
From operations: | ||||||||||
Net investment income | $ | 646,377 | $ | 1,327,907 | ||||||
Net realized gain (loss) on investment, futures and foreign currency related transactions | 234,857 | 1,301,741 | ||||||||
Net change in unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 11,541,626 | 45,731,567 | ||||||||
Net increase in net assets resulting from operations | 12,422,860 | 48,361,215 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income | (561,152 | ) | (1,302,647 | ) | ||||||
From net realized gain on investments and futures transactions | — | — | ||||||||
Total distributions to shareholders | (561,152 | ) | (1,302,647 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 11,379,148 | 33,376,750 | ||||||||
Proceeds in connection with mergers | 178,951,522 | 172,009,752 | ||||||||
Reinvestment of dividends and distributions | 561,152 | 1,302,647 | ||||||||
Cost of shares repurchased | (9,348,414 | ) | (14,161,752 | ) | ||||||
Net increase in net assets resulting from share transactions | 181,543,408 | 192,527,397 | ||||||||
TOTAL INCREASE | 193,405,116 | 239,585,965 | ||||||||
Net assets: | ||||||||||
Beginning of year | 36,910,693 | 143,439,083 | ||||||||
End of year | $ | 230,315,809 | $ | 383,025,048 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 117,781 | $ | 25,303 | ||||||
Summary of share transactions: | ||||||||||
Shares sold | 1,300,174 | 3,484,303 | ||||||||
Shares issued in connection with mergers | 18,241,732 | 16,120,873 | ||||||||
Shares issued on reinvestment of dividends and distributions | 57,851 | 123,709 | ||||||||
Shares repurchased | (1,100,833 | ) | (1,564,060 | ) | ||||||
NET INCREASE | 18,498,924 | 18,164,825 | ||||||||
CORE Small Cap | Capital | Mid Cap | International | |||||||||||||
Equity Fund | Growth Fund | Value Fund | Equity Fund | |||||||||||||
$ | 227,356 | $ | 100,912 | $ | 4,414,044 | $ | 84,538 | |||||||||
6,471,097 | (788,467 | ) | 15,687,799 | 463,753 | ||||||||||||
16,297,633 | 8,924,917 | 97,691,989 | 7,435,932 | |||||||||||||
22,996,086 | 8,237,362 | 117,793,832 | 7,984,223 | |||||||||||||
(137,156 | ) | (67,672 | ) | (4,441,591 | ) | (641,177 | ) | |||||||||
(2,020,835 | ) | — | (5,830,111 | ) | — | |||||||||||
(2,157,991 | ) | (67,672 | ) | (10,271,702 | ) | (641,177 | ) | |||||||||
9,341,036 | 9,098,379 | 161,701,075 | 3,347,815 | |||||||||||||
110,388,436 | 148,549,781 | — | 85,111,633 | |||||||||||||
2,157,991 | 67,672 | 10,271,702 | 641,177 | |||||||||||||
(7,965,049 | ) | (4,243,477 | ) | (59,108,989 | ) | (2,865,383 | ) | |||||||||
113,922,414 | 153,472,355 | 112,863,788 | 86,235,242 | |||||||||||||
134,760,509 | 161,642,045 | 220,385,918 | 93,578,288 | |||||||||||||
47,004,802 | 18,051,995 | 357,537,121 | 13,213,970 | |||||||||||||
$ | 181,765,311 | $ | 179,694,040 | $ | 577,923,039 | $ | 106,792,258 | |||||||||
$ | 94,148 | $ | 33,372 | $ | — | $ | (366,918 | ) | ||||||||
819,502 | 1,076,571 | 14,040,664 | 427,150 | |||||||||||||
8,651,130 | 15,836,851 | — | 9,311,989 | |||||||||||||
171,678 | 7,307 | 788,917 | 71,006 | |||||||||||||
(762,948 | ) | (497,754 | ) | (5,300,708 | ) | (364,591 | ) | |||||||||
8,879,362 | 16,422,975 | 9,528,873 | 9,445,554 | |||||||||||||
Income (loss) from | ||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||||||||
Net | ||||||||||||||||||||||||||||||||||||||||
Net asset | realized | In excess | From | From | ||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | From net | of net | tax | net | |||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | investment | return of | realized | Total | ||||||||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | income | capital | gain | distributions | ||||||||||||||||||||||||||||||||
Growth and Income Fund | ||||||||||||||||||||||||||||||||||||||||
For the six months ended June 30, 2004 (Unaudited) | $ | 10.00 | $ | 0.07 | (c) | $ | 0.60 | $ | 0.67 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||
For the year ended December 31, 2003 | 8.14 | 0.13 | (c) | 1.85 | 1.98 | (0.12 | ) | — | — | — | (0.12 | ) | ||||||||||||||||||||||||||||
For the year ended December 31, 2002 | 9.33 | 0.13 | (c) | (1.19 | ) | (1.06 | ) | (0.13 | ) | — | — | — | (0.13 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 2001 | 10.34 | 0.05 | (c) | (1.02 | ) | (0.97 | ) | (0.04 | ) | — | — | — | (0.04 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 2000 | 10.89 | 0.04 | (c) | (0.55 | ) | (0.51 | ) | (0.04 | ) | — | — | — | (0.04 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 1999 | 10.45 | 0.12 | 0.44 | 0.56 | (0.12 | ) | — | — | — | (0.12 | ) | |||||||||||||||||||||||||||||
CORE U.S. Equity Fund | ||||||||||||||||||||||||||||||||||||||||
For the six months ended June 30, 2004 (Unaudited) | $ | 10.92 | $ | 0.05 | (c) | $ | 0.62 | $ | 0.67 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||
For the year ended December 31, 2003 | 8.49 | 0.07 | (c) | 2.43 | 2.50 | (0.07 | ) | — | — | — | (0.07 | ) | ||||||||||||||||||||||||||||
For the year ended December 31, 2002 | 10.94 | 0.06 | (c) | (2.45 | ) | (2.39 | ) | (0.06 | ) | — | — | — | (0.06 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 2001 | 12.48 | 0.05 | (c) | (1.54 | ) | (1.49 | ) | (0.05 | ) | — | — | — | (0.05 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 2000 | 13.98 | 0.11 | (c) | (1.46 | ) | (1.35 | ) | (0.08 | ) | — | — | (0.07 | ) | (0.15 | ) | |||||||||||||||||||||||||
For the year ended December 31, 1999 | 11.42 | 0.05 | 2.72 | 2.77 | (0.05 | ) | — | — | (0.16 | ) | (0.21 | ) | ||||||||||||||||||||||||||||
CORE Small Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||
For the six months ended June 30, 2004 (Unaudited) | $ | 12.99 | $ | 0.03 | (c) | $ | 0.75 | $ | 0.78 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||
For the year ended December 31, 2003 | 9.19 | 0.04 | (c) | 4.18 | 4.22 | (0.03 | ) | — | — | (0.39 | ) | (0.42 | ) | |||||||||||||||||||||||||||
For the year ended December 31, 2002 | 10.84 | 0.03 | (c) | (1.65 | ) | (1.62 | ) | (0.03 | ) | — | — | — | (0.03 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 2001 | 10.40 | 0.03 | (c) | 0.44 | 0.47 | (0.02 | ) | — | (0.01 | ) | — | (0.03 | ) | |||||||||||||||||||||||||||
For the year ended December 31, 2000 | 10.60 | 0.06 | (c) | 0.09 | 0.15 | (0.04 | ) | — | — | (0.31 | ) | (0.35 | ) | |||||||||||||||||||||||||||
For the year ended December 31, 1999 | 9.04 | 0.02 | 1.56 | 1.58 | (0.02 | ) | — | — | — | (0.02 | ) | |||||||||||||||||||||||||||||
Capital Growth Fund | ||||||||||||||||||||||||||||||||||||||||
For the six months ended June 30, 2004 (Unaudited) | $ | 9.59 | $ | 0.01 | (c) | $ | 0.27 | $ | 0.28 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||
For the year ended December 31, 2003 | 7.77 | 0.03 | (c) | 1.81 | 1.84 | (0.02 | ) | — | — | — | (0.02 | ) | ||||||||||||||||||||||||||||
For the year ended December 31, 2002 | 10.28 | 0.01 | (c) | (2.50 | ) | (2.49 | ) | (0.02 | ) | — | — | — | (0.02 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 2001 | 12.09 | 0.02 | (c) | (1.78 | ) | (1.76 | ) | (0.02 | ) | — | — | (0.03 | ) | (0.05 | ) | |||||||||||||||||||||||||
For the year ended December 31, 2000 | 14.01 | 0.01 | (c) | (1.16 | ) | (1.15 | ) | (0.01 | ) | — | — | (0.76 | ) | (0.77 | ) | |||||||||||||||||||||||||
For the year ended December 31, 1999 | 11.31 | 0.01 | 3.04 | 3.05 | (0.01 | ) | — | — | (0.34 | ) | (0.35 | ) | ||||||||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||
For the six months ended June 30, 2004 (Unaudited) | $ | 13.37 | $ | 0.06 | (c) | $ | 1.33 | $ | 1.39 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||
For the year ended December 31, 2003 | 10.61 | 0.12 | (c) | 2.89 | 3.01 | (0.11 | ) | — | — | (0.14 | ) | (0.25 | ) | |||||||||||||||||||||||||||
For the year ended December 31, 2002 | 11.29 | 0.14 | (c) | (0.67 | ) | (0.53 | ) | (0.12 | ) | — | — | (0.03 | ) | (0.15 | ) | |||||||||||||||||||||||||
For the year ended December 31, 2001 | 10.67 | 0.14 | (c) | 1.14 | 1.28 | (0.11 | ) | — | — | (0.55 | ) | (0.66 | ) | |||||||||||||||||||||||||||
For the year ended December 31, 2000 | 8.42 | 0.15 | (c) | 2.45 | 2.60 | (0.08 | ) | — | — | (0.27 | ) | (0.35 | ) | |||||||||||||||||||||||||||
For the year ended December 31, 1999 | 8.57 | 0.07 | (0.15 | ) | (0.08 | ) | (0.07 | ) | — | — | — | (0.07 | ) | |||||||||||||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||||||||||||||||||
For the six months ended June 30, 2004 (Unaudited) | $ | 9.48 | $ | 0.06 | (c) | $ | (0.07 | ) | $ | (0.01 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
For the year ended December 31, 2003 | 7.25 | 0.04 | (c) | 2.53 | 2.57 | (0.34 | ) | — | — | — | (0.34 | ) | ||||||||||||||||||||||||||||
For the year ended December 31, 2002 | 8.99 | 0.03 | (c) | (1.68 | ) | (1.65 | ) | (0.09 | ) | — | — | — | (0.09 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 2001 | 11.78 | 0.05 | (c) | (2.68 | ) | (2.63 | ) | (0.09 | ) | — | (0.04 | ) | (0.03 | ) | (0.16 | ) | ||||||||||||||||||||||||
For the year ended December 31, 2000 | 14.47 | 0.05 | (c) | (1.99 | ) | (1.94 | ) | — | — | — | (0.75 | ) | (0.75 | ) | ||||||||||||||||||||||||||
For the year ended December 31, 1999 | 11.91 | 0.07 | 3.66 | 3.73 | (0.07 | ) | (0.13 | ) | — | (0.97 | ) | (1.17 | ) | |||||||||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
(b) | Annualized. | |
(c) | Calculated based on the average shares outstanding methodology. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net | Ratio of | net | Ratio of | net | ||||||||||||||||||||||||||||||
Net asset | assets | net | investment | total | investment | |||||||||||||||||||||||||||||
value, | at end | expenses | income (loss) | expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
end of | Total | of period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 10.67 | 6.70 | % | $ | 234,821 | 0.84 | % (b) | 1.40 | % (b) | 0.84 | % (b) | 1.40 | % (b) | 43 | % | |||||||||||||||||||
10.00 | 24.36 | 230,316 | 1.02 | 1.44 | 1.20 | 1.26 | 51 | |||||||||||||||||||||||||||
8.14 | (11.34 | ) | 36,911 | 1.05 | 1.51 | 1.27 | 1.29 | 98 | ||||||||||||||||||||||||||
9.33 | (9.34 | ) | 40,593 | 1.00 | 0.49 | 1.17 | 0.32 | 48 | ||||||||||||||||||||||||||
10.34 | (4.69 | ) | 37,116 | 0.99 | 0.40 | 1.22 | 0.17 | 68 | ||||||||||||||||||||||||||
10.89 | 5.41 | 25,989 | 0.90 | 1.44 | 1.65 | 0.69 | 121 | |||||||||||||||||||||||||||
$ | 11.59 | 6.14 | % | $ | 432,261 | 0.77 | % (b) | 0.82 | % (b) | 0.78 | % (b) | 0.81 | % (b) | 48 | % | |||||||||||||||||||
10.92 | 29.47 | 383,025 | 0.85 | 0.79 | 0.85 | 0.79 | 92 | |||||||||||||||||||||||||||
8.49 | (21.89 | ) | 143,439 | 0.85 | 0.60 | 0.86 | 0.59 | 84 | ||||||||||||||||||||||||||
10.94 | (11.94 | ) | 163,904 | 0.81 | 0.48 | 0.82 | 0.47 | 72 | ||||||||||||||||||||||||||
12.48 | (9.62 | ) | 139,303 | 0.85 | 0.87 | 0.87 | 0.85 | 32 | ||||||||||||||||||||||||||
13.98 | 24.30 | 52,058 | 0.80 | 0.70 | 1.52 | (0.02 | ) | 70 | ||||||||||||||||||||||||||
$ | 13.77 | 6.00 | % | $ | 183,885 | 0.89 | % (b) | 0.45 | % (b) | 0.89 | % (b) | 0.45 | % (b) | 66 | % | |||||||||||||||||||
12.99 | 46.00 | 181,765 | 1.03 | 0.40 | 1.25 | 0.18 | 141 | |||||||||||||||||||||||||||
9.19 | (14.97 | ) | 47,005 | 1.04 | 0.25 | 1.29 | 0.00 | 128 | ||||||||||||||||||||||||||
10.84 | 4.53 | 54,365 | 1.00 | 0.32 | 1.22 | 0.10 | 105 | |||||||||||||||||||||||||||
10.40 | 1.75 | 40,561 | 0.99 | 0.59 | 1.55 | 0.03 | 91 | |||||||||||||||||||||||||||
10.60 | 17.54 | 13,488 | 0.90 | 0.35 | 4.22 | (2.97 | ) | 101 | ||||||||||||||||||||||||||
$ | 9.87 | 2.92 | % | $ | 179,054 | 0.85 | % (b) | 0.12 | % (b) | 0.85 | % (b) | 0.12 | % (b) | 29 | % | |||||||||||||||||||
9.59 | 23.74 | 179,694 | 1.02 | 0.38 | 1.43 | (0.03 | ) | 16 | ||||||||||||||||||||||||||
7.77 | (24.33 | ) | 18,052 | 1.10 | 0.16 | 1.77 | (0.51 | ) | 24 | |||||||||||||||||||||||||
10.28 | (14.46 | ) | 16,266 | 1.00 | 0.15 | 1.69 | (0.54 | ) | 39 | |||||||||||||||||||||||||
12.09 | (7.98 | ) | 16,775 | 0.99 | 0.13 | 1.84 | (0.72 | ) | 37 | |||||||||||||||||||||||||
14.01 | 27.13 | 10,450 | 0.90 | 0.04 | 3.13 | (2.19 | ) | 34 | ||||||||||||||||||||||||||
$ | 14.76 | 10.40 | % | $ | 701,972 | 0.87 | % (b) | 0.93 | % (b) | 0.87 | % (b) | 0.93 | % (b) | 40 | % | |||||||||||||||||||
13.37 | 28.39 | 577,923 | 0.91 | 1.02 | 0.91 | 1.02 | 64 | |||||||||||||||||||||||||||
10.61 | (4.69 | ) | 357,537 | 0.91 | 1.20 | 0.91 | 1.20 | 95 | ||||||||||||||||||||||||||
11.29 | 12.05 | 243,521 | 0.93 | 1.27 | 0.94 | 1.26 | 82 | |||||||||||||||||||||||||||
10.67 | 31.07 | 101,657 | 1.04 | 1.60 | 1.22 | 1.42 | 101 | |||||||||||||||||||||||||||
8.42 | (0.95 | ) | 21,882 | 0.95 | 1.30 | 2.19 | 0.06 | 103 | ||||||||||||||||||||||||||
$ | 9.47 | 0.00 | % | $ | 100,210 | 1.20 | % (b) | 1.26 | % (b) | 1.33 | % (b) | 1.13 | % (b) | 43 | % | |||||||||||||||||||
9.48 | 35.49 | 106,792 | 1.37 | 0.49 | 2.60 | (0.74 | ) | 49 | ||||||||||||||||||||||||||
7.25 | (18.34 | ) | 13,214 | 1.46 | 0.32 | 2.96 | (1.18 | ) | 86 | |||||||||||||||||||||||||
8.99 | (22.26 | ) | 17,773 | 1.35 | 0.47 | 2.05 | (0.23 | ) | 76 | |||||||||||||||||||||||||
11.78 | (13.19 | ) | 29,261 | 1.34 | 0.37 | 1.99 | (0.28 | ) | 70 | |||||||||||||||||||||||||
14.47 | 31.85 | 20,159 | 1.25 | 0.41 | 2.57 | (0.91 | ) | 87 | ||||||||||||||||||||||||||
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.
A. Investment Valuation — Investments in securities traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity and debt securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or deemed to be inaccurate by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes which are reduced by any amount reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. In addition, it is the Funds’ policy to accrue for estimated capital gains taxes on foreign securities held by the Funds, which are subject to such taxes.
C. Federal Taxes — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to
2. SIGNIFICANT ACCOUNTING POLICIES — (continued) |
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line or pro rata basis depending upon the nature of the expense.
E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
F. Segregation Transactions — As set forth in the prospectus, certain Funds may enter into derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.
G. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by each Fund may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.
3. AGREEMENTS |
Management Fee | ||||||||||||||||
Other | ||||||||||||||||
Contractual | Waiver | Net | Expense | |||||||||||||
Fund | Annual Rate | Annual Rate | Annual Rate | Limit | ||||||||||||
Growth and Income | 0.75 | % | — | % | 0.75 | % | 0.11 | % | ||||||||
CORE U.S. Equity | 0.70 | 0.05 | 0.65 | 0.16 | ||||||||||||
CORE Small Cap Equity | 0.75 | — | 0.75 | 0.11 | ||||||||||||
Capital Growth | 0.75 | — | 0.75 | 0.11 | ||||||||||||
Mid Cap Value | 0.80 | — | 0.80 | 0.25 | ||||||||||||
International Equity | 1.00 | — | 1.00 | 0.16 | ||||||||||||
Goldman Sachs also serves as the Transfer Agent of the Funds for a fee. Fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate of 0.04% of the average daily net assets of each Fund. Goldman Sachs serves as the distributor of each Fund’s shares at no cost to the Funds.
3. AGREEMENTS — (continued) |
Management | Other Expense | Custody Fee | ||||||||||||||
Fund | Fee Waiver | Reimbursement | Reduction | Total | ||||||||||||
Growth and Income | $ | — | $ | — | $ | — | * | $ | — | * | ||||||
CORE U.S. Equity | 17 | — | 1 | 18 | ||||||||||||
CORE Small Cap Equity | — | — | — | * | — | * | ||||||||||
Capital Growth | — | — | — | * | — | * | ||||||||||
Mid Cap Value | — | — | 2 | 2 | ||||||||||||
International Equity | — | 65 | 1 | 66 | ||||||||||||
* | Amount represents less than $1,000. |
As of June 30, 2004, the amounts owed to affiliates were as follows (in thousands):
Management | Transfer Agent | |||||||||||
Fund | Fees | Fees | Total | |||||||||
Growth and Income | $ | 142 | $ | 8 | $ | 150 | ||||||
CORE U.S. Equity | 225 | 14 | 239 | |||||||||
CORE Small Cap Equity | 108 | 6 | 114 | |||||||||
Capital Growth | 110 | 6 | 116 | |||||||||
Mid Cap Value | 443 | 22 | 465 | |||||||||
International Equity | 81 | 3 | 84 | |||||||||
4. PORTFOLIO SECURITY TRANSACTIONS |
Sales and | ||||||||
Fund | Purchases | Maturities | ||||||
Growth and Income | $ | 98,217,694 | $ | 103,520,059 | ||||
CORE U.S. Equity | 215,344,350 | 194,884,000 | ||||||
CORE Small Cap Equity | 120,977,214 | 128,791,494 | ||||||
Capital Growth | 51,144,314 | 54,381,668 | ||||||
Mid Cap Value | 323,201,753 | 250,661,912 | ||||||
International Equity | 44,648,845 | 48,423,429 | ||||||
Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the
4. PORTFOLIO SECURITY TRANSACTIONS — (continued) |
The use of futures contracts involve, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Changes in the value of the futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of the Funds’ strategies and potentially result in a loss.
At June 30, 2004, open futures contracts were as follows:
Number of | ||||||||||||||||
Contracts | Settlement | Market | Unrealized | |||||||||||||
Fund | Type | Long | Month | Value | Gain | |||||||||||
CORE U.S. Equity | S & P 500 Index | 132 | September 2004 | $ | 7,526,640 | $ | 60,762 | |||||||||
CORE Small Cap Equity | Russell 2000 Index | 12 | September 2004 | $ | 710,820 | $ | 8,175 | |||||||||
Forward Foreign Currency Exchange Contracts — Growth and Income, Capital Growth, Mid Cap Value and International Equity may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. International Equity may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Fund’s financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
At June 30, 2004, the International Equity Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies as follows:
Value on | Unrealized | |||||||||||||||||||
Open Forward Foreign Currency | Expiration | Settlement | Current | |||||||||||||||||
Purchase Contracts | Date | Date | Value | Gain | Loss | |||||||||||||||
Australian Dollar | 07/29/2004 | $ | 4,855,941 | $ | 4,773,812 | $ | — | $ | 82,129 | |||||||||||
08/06/2004 | 1,254,635 | 1,213,927 | — | 40,708 | ||||||||||||||||
Canadian Dollar | 09/15/2004 | 1,253,000 | 1,265,532 | 12,532 | — | |||||||||||||||
Danish Krone | 07/30/2004 | 1,033,008 | 1,030,665 | — | 2,343 | |||||||||||||||
Euro Currency | 08/06/2004 | 2,514,000 | 2,574,042 | 60,042 | — | |||||||||||||||
09/15/2004 | 1,831,000 | 1,843,712 | 12,712 | — | ||||||||||||||||
09/15/2004 | 626,000 | 625,143 | — | 857 | ||||||||||||||||
Japanese Yen | 07/27/2004 | 5,696,138 | 5,632,280 | — | 63,858 | |||||||||||||||
08/06/2004 | 2,012,014 | 1,992,600 | — | 19,414 | ||||||||||||||||
09/15/2004 | 630,000 | 632,011 | 2,011 | — | ||||||||||||||||
09/15/2004 | 626,000 | 617,250 | — | 8,750 | ||||||||||||||||
New Zealand Dollar | 07/29/2004 | 214,984 | 219,911 | 4,927 | — | |||||||||||||||
Norwegian Krone | 08/06/2004 | 1,315,497 | 1,308,801 | — | 6,696 | |||||||||||||||
09/15/2004 | 605,000 | 599,816 | — | 5,184 |
4. PORTFOLIO SECURITY TRANSACTIONS — (continued) |
Value on | Unrealized | |||||||||||||||||||
Open Forward Foreign Currency | Expiration | Settlement | Current | |||||||||||||||||
Purchase Contracts | Date | Date | Value | Gain | Loss | |||||||||||||||
Pound Sterling | 07/23/2004 | $ | 6,735,029 | $ | 7,003,307 | $ | 268,278 | $ | — | |||||||||||
09/15/2004 | 1,834,000 | 1,825,599 | — | 8,401 | ||||||||||||||||
Singapore Dollar | 07/20/2004 | 951,704 | 954,024 | 2,320 | — | |||||||||||||||
07/20/2004 | 171,794 | 171,619 | — | 175 | ||||||||||||||||
Swedish Krona | 08/06/2004 | 1,772,000 | 1,802,654 | 30,654 | — | |||||||||||||||
08/06/2004 | 637,000 | 636,225 | — | 775 | ||||||||||||||||
09/15/2004 | 616,000 | 622,489 | 6,489 | — | ||||||||||||||||
Swiss Franc | 08/06/2004 | 589,000 | 601,643 | 12,643 | — | |||||||||||||||
09/15/2004 | 624,000 | 621,672 | — | 2,328 | ||||||||||||||||
09/15/2004 | 605,000 | 606,463 | 1,463 | — | ||||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 39,002,744 | $ | 39,175,197 | $ | 414,071 | $ | 241,618 | ||||||||||||
Value on | Unrealized | |||||||||||||||||||
Open Forward Foreign Currency | Expiration | Settlement | Current | |||||||||||||||||
Sale Contracts | Date | Date | Value | Gain | Loss | |||||||||||||||
Australian Dollar | 09/15/2004 | $ | 1,216,000 | $ | 1,228,200 | $ | — | $ | 12,200 | |||||||||||
Canadian Dollar | 08/06/2004 | 1,919,876 | 1,950,791 | — | 30,915 | |||||||||||||||
09/15/2004 | 1,832,000 | 1,872,169 | — | 40,169 | ||||||||||||||||
Euro Currency | 07/30/2004 | 1,507,318 | 1,508,971 | — | 1,653 | |||||||||||||||
08/06/2004 | 2,600,309 | 2,657,903 | — | 57,594 | ||||||||||||||||
09/15/2004 | 1,245,000 | 1,255,144 | — | 10,144 | ||||||||||||||||
Hong Kong Dollar | 09/13/2004 | 4,110,810 | 4,108,842 | 1,968 | — | |||||||||||||||
Japanese Yen | 08/06/2004 | 589,000 | 607,706 | — | 18,706 | |||||||||||||||
09/15/2004 | 1,827,000 | 1,847,114 | — | 20,114 | ||||||||||||||||
Norwegian Krone | 07/23/2004 | 1,005,617 | 998,009 | 7,608 | — | |||||||||||||||
08/06/2004 | 1,771,000 | 1,774,133 | — | 3,133 | ||||||||||||||||
09/15/2004 | 626,000 | 617,883 | 8,117 | — | ||||||||||||||||
Pound Sterling | 07/23/2004 | 703,880 | 701,846 | 2,034 | — | |||||||||||||||
09/15/2004 | 626,000 | 620,465 | 5,535 | — | ||||||||||||||||
Singapore Dollar | 07/20/2004 | 303,741 | 295,665 | 8,076 | — | |||||||||||||||
Swedish Krona | 08/06/2004 | 617,000 | 632,867 | — | 15,867 | |||||||||||||||
09/15/2004 | 1,834,000 | 1,846,393 | — | 12,393 | ||||||||||||||||
09/17/2004 | 1,648,535 | 1,663,130 | — | 14,595 | ||||||||||||||||
Swiss Franc | 07/20/2004 | 1,365,360 | 1,394,602 | — | 29,242 | |||||||||||||||
08/06/2004 | 1,996,193 | 2,064,292 | — | 68,099 | ||||||||||||||||
09/15/2004 | 630,000 | 630,535 | — | 535 | ||||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 29,974,639 | $ | 30,276,660 | $ | 33,338 | $ | 335,359 | ||||||||||||
The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. At June 30, 2004, the International Equity Fund had segregated sufficient cash and/or securities to cover any commitments under these contracts.
4. PORTFOLIO SECURITY TRANSACTIONS — (continued) |
For the six months ended June 30, 2004, Goldman Sachs and affiliated broker/ dealers earned brokerage commissions from portfolio transactions, including futures, executed on behalf of the Funds in the following amounts:
Brokerage | ||||
Fund | Commissions | |||
Growth and Income | $ | 21,461 | ||
CORE U.S. Equity | 1,713 | |||
CORE Small Cap Equity | 570 | |||
Mid Cap Value | 18,776 | |||
International Equity | 2,698 | |||
5. SECURITIES LENDING |
Earnings of BGA | Earnings Received | Amount Payable to | ||||||||||||||||||
Market Value | Cash Collateral | Relating to Securities | From Lending to | Goldman Sachs Upon | ||||||||||||||||
of Securities | Received for Loans | Loaned for the | Goldman Sachs | Return of Securities | ||||||||||||||||
on loan as of | Outstanding as of | Six Months Ended | for Six Months Ended | Loaned as of | ||||||||||||||||
Fund | June 30, 2004 | June 30, 2004 | June 30, 2004 | June 30, 2004 | June 30, 2004 | |||||||||||||||
Growth and Income(a) | $ | — | $ | — | $ | 9 | $ | — | $ | — | ||||||||||
CORE U.S. Equity | 6,253,736 | 6,407,700 | 5,984 | 166 | 27,900 | |||||||||||||||
CORE Small Cap Equity | 11,224,041 | 11,364,050 | 16,516 | 16,722 | 4,553,600 | |||||||||||||||
Mid Cap Value | 19,984,233 | 20,371,475 | 1,654 | 233 | — | |||||||||||||||
International Equity | 11,177,382 | 11,718,967 | 16,466 | 1,965 | 288,000 | |||||||||||||||
(a) | While there was lending activity during the six months ended June 30, 2004, there were no loans outstanding as of June 30, 2004. |
6. LINE OF CREDIT FACILITY |
7. JOINT REPURCHASE AGREEMENT ACCOUNT |
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
Banc of America Securities LLC | $ | 750,000,000 | 1.55 | % | 07/01/2004 | $ | 750,032,292 | |||||||
Bear Stearns & Co. | 675,000,000 | 1.55 | 07/01/2004 | 675,029,063 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 1.53 | 07/01/2004 | 400,017,000 | ||||||||||
J.P. Morgan Chase & Co. | 700,000,000 | 1.55 | 07/01/2004 | 700,030,139 | ||||||||||
Morgan Stanley & Co. | 775,000,000 | 1.55 | 07/01/2004 | 775,033,368 | ||||||||||
UBS LLC | 400,000,000 | 1.55 | 07/01/2004 | 400,017,222 | ||||||||||
UBS LLC | 550,500,000 | 1.55 | 07/01/2004 | 550,523,702 | ||||||||||
Westdeutsche Landesbank AG | 500,000,000 | 1.52 | 07/01/2004 | 500,021,111 | ||||||||||
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT II | $ | 4,750,500,000 | $ | 4,750,703,897 | ||||||||||
8. ADDITIONAL TAX INFORMATION |
Growth and | CORE U.S. | CORE Small Cap | Capital | Mid Cap | International | |||||||||||||||||||
Income Fund | Equity Fund | Equity Fund | Growth Fund | Value Fund | Equity Fund | |||||||||||||||||||
Capital loss carryforward*: | ||||||||||||||||||||||||
Expiring 2006 | $ | (362,220 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
Expiring 2007 | (4,897,900 | ) | — | — | — | — | — | |||||||||||||||||
Expiring 2008 | (16,841,846 | ) | (13,306,085 | ) | — | (9,701,550 | ) | — | (22,661,720 | ) | ||||||||||||||
Expiring 2009 | (30,528,170 | ) | (46,670,303 | ) | — | (13,983,325 | ) | — | (27,159,909 | ) | ||||||||||||||
Expiring 2010 | (5,509,772 | ) | (32,461,710 | ) | — | (6,239,358 | ) | — | (8,409,296 | ) | ||||||||||||||
Expiring 2011 | — | (2,163,043 | ) | — | (1,064,803 | ) | — | (609,034 | ) | |||||||||||||||
Total capital loss carryforward | $ | (58,139,908 | ) | $ | (94,601,141 | ) | $ | — | $ | (30,989,036 | ) | $ | — | $ | (58,839,959 | ) | ||||||||
* | Utilization of these losses may be limited under the Internal Revenue Code. |
At June 30, 2004, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
Growth and | CORE U.S. | CORE Small Cap | Capital | Mid Cap | International | |||||||||||||||||||
Income Fund | Equity Fund | Equity Fund | Growth Fund | Value Fund | Equity Fund | |||||||||||||||||||
Tax Cost | $ | 208,104,929 | $ | 387,136,125 | $ | 176,899,066 | $ | 171,840,032 | $ | 615,633,631 | $ | 107,162,947 | ||||||||||||
Gross unrealized gain | 31,401,873 | 54,654,226 | 22,181,812 | 20,196,128 | 112,892,340 | 9,563,501 | ||||||||||||||||||
Gross unrealized loss | (1,394,362 | ) | (4,553,643 | ) | (4,588,409 | ) | (12,916,177 | ) | (9,242,352 | ) | (4,906,496 | ) | ||||||||||||
Net unrealized security gain (loss) | $ | 30,007,511 | $ | 50,100,583 | $ | 17,593,403 | $ | 7,279,951 | $ | 103,649,988 | $ | 4,657,005 | ||||||||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, investments in partnerships and passive foreign investment companies.
9. MERGERS AND REORGANIZATIONS |
Pursuant to the Protective Agreement and Ayco Agreement, the assets and liabilities of the Protective Growth & Income, Protective CORE U.S. Equity, Protective Small Cap Value, Protective Capital Growth, Protective International Equity and Ayco Growth Funds were transferred to the Growth & Income, CORE U.S. Equity, CORE Small Cap Equity, Capital Growth and International Equity Funds of the Trust in a tax-free exchange for Shares of such Funds of the Trust as follows:
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/ Acquired Fund | Issued | Exchanged Shares | as of December 19, 2003 | |||||||||
Growth & Income/ Protective Growth & Income | 18,241,732 | $ | 178,951,522 | 14,281,379 | ||||||||
CORE U.S. Equity/ Protective CORE U.S. Equity | 16,120,873 | 172,009,752 | 10,870,914 | |||||||||
CORE Small Cap Equity/ Protective Small Cap Value | 8,651,130 | 110,388,436 | 10,265,148 | |||||||||
Capital Growth/ Protective Capital Growth | 14,334,186 | 134,454,724 | 8,558,442 | |||||||||
Capital Growth/Ayco Growth | 1,502,665 | 14,095,057 | 1,671,489 | |||||||||
International Equity/ Protective International Equity | 9,311,989 | 85,111,633 | 9,431,932 | |||||||||
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Funds’ unrealized appreciation (depreciation) and capital loss carryforwards.
Survivor Fund’s | ||||||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Acquired | Aggregate | |||||||||||||||||
Aggregate | Aggregate | Fund’s | Acquired | Net Assets | ||||||||||||||||
Net Assets | Net Assets | Unrealized | Fund’s | immediately | ||||||||||||||||
before | before | Appreciation/ | Capital Loss | after | ||||||||||||||||
Survivor/ Acquired Fund | acquisition | acquisition | (Depreciation) | Carryforward* | acquisition | |||||||||||||||
Growth & Income/ Protective Growth & Income | $ | 46,773,384 | $ | 178,951,522 | $ | 29,603,787 | $ | (49,065,396 | ) | $ | 225,724,906 | |||||||||
CORE U.S. Equity/ Protective CORE U.S. Equity | 200,597,059 | 172,009,752 | 16,701,292 | (44,057,909 | ) | 372,606,811 | ||||||||||||||
CORE Small Cap Equity/ Protective Small Cap Value | 68,670,034 | 110,388,436 | — | — | 179,058,470 | |||||||||||||||
Capital Growth/ Protective Capital Growth | 26,929,808 | 134,454,724 | (2,149,375 | ) | (24,790,418 | ) | 175,479,589 | |||||||||||||
Capital Growth/Ayco Growth | 26,929,808 | 14,095,057 | 19,135 | (2,696,909 | ) | 175,479,589 | ||||||||||||||
International Equity/ Protective International Equity | 18,015,399 | 85,111,633 | 8,640,456 | (50,026,977 | ) | 103,127,032 | ||||||||||||||
* | For U.S. federal income tax purposes, certain limitations may apply to the utilization of the Acquired Fund’s capital loss carryforwards. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | Kaysie P. Uniacke, President | |
John P. Coblentz, Jr. | James A. Fitzpatrick, Vice President | |
Patrick T. Harker | James A. McNamara, Vice President | |
Mary Patterson McPherson | John M. Perlowski, Treasurer | |
Alan A. Shuch | Howard B. Surloff, Secretary | |
Wilma J. Smelcer | ||
Richard P. Strubel | ||
Kaysie P. Uniacke | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | ||
GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL 133 Peterborough Court London, England EC4A 2BB | ||
Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns. | ||
The reports concerning the Funds included in this shareholder report contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | ||
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request by calling 1-800-292-4726 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus for the Funds. Please consider a fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing or sending money. | ||
Holdings are as of June 30, 2004 and are subject to change in the future. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
The U.S. Equity Funds are subject to the risk of rising and falling stock prices. In recent years, the U.S. stock market has experienced substantial price volatility. | ||
Emerging markets securities are volatile. They are subject to substantial currency fluctuations and sudden economic and political developments. At times, the Goldman Sachs International Equity Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. | ||
Concentration of the Fund’s assets in one or a few countries (or a particular geographic area) and currencies will subject a fund to greater risks than if a fund’s assets were not geographically concentrated. | ||
Stocks of smaller companies are often more volatile and present greater risks than stocks of larger companies. At times, the Goldman Sachs CORE Small Cap Equity Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. | ||
CORESM is a service mark of Goldman, Sachs & Co. | ||
Goldman, Sachs & Co. is the distributor of the Fund. | ||
Toll Free (in U.S.): 800-292-4726 | ||
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Growth and Income, CORE U.S. Equity, CORE Small Cap Equity, Capital Growth, Mid Cap Value and International Equity Funds. | ||
© Copyright 2004 Goldman, Sachs & Co. All rights reserved. Date of first use: August 16, 2004 | ||
VITSAR |
ITEM 2. | CODE OF ETHICS. |
Not applicable to the semi-annual report for the period ending June 30, 2004. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable to the semi-annual report for the period ending June 30, 2004. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable to the semi-annual report for the period ended June 30, 2004. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the semi-annual report for the period ending June 30, 2004. |
ITEM 6. | SCHEDULE OF INVESTMENTS |
Not applicable to the semi-annual report for the period ended June 30, 2004. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable. |
ITEM 9. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
ITEM 10. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 11. | EXHIBITS. |
(a)(1) | Exhibit 99.CODE | Goldman Sachs Variable Insurance Trust’s Code of Ethics for Principal Executive and Senior Financial officers is incorporated by reference to Exhibit 11(a)(1) of the Registrant’s Form N-CSR filed on March 8, 2004 (accession number 0000950123-04-002976) | ||
(a)(2) | Exhibit 99.CERT Exhibit 99.906CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Goldman Sachs Variable Insurance Trust | ||
/s/ Kaysie Uniacke | ||
By: Kaysie Uniacke | ||
Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 26, 2004 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
/s/ Kaysie Uniacke | ||
By: Kaysie Uniacke | ||
Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 26, 2004 | ||
/s/ John M. Perlowski | ||
By: John M. Perlowski | ||
Chief Financial Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 26, 2004 |