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)
71 South Wacker Drive, Chicago, Illinois 60606-6303
(Address of principal executive offices) (Zip code)
Peter V. Bonanno | Copies to: | |
Goldman, Sachs & Co. | Jack W. Murphy | |
One New York Plaza | Dechert LLP | |
New York, New York 10004 | 1775 I Street, N.W. | |
Washington, DC 20006 | ||
(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, 2007
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005
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Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Growth Opportunities Fund during the six-month reporting period that ended June 30, 2007.
Market Review
The U.S. equity markets benefited from strong momentum during the reporting period. This occurred despite sell-offs in the sub-prime mortgage and the Chinese markets, which affected the global equity markets. Strong corporate earnings announcements, higher oil prices, private equity activity and market speculation were the main drivers of performance during the period. The Federal Reserve Board left short-term interest rates unchanged as it believes that inflation is less likely to moderate than had been expected. During the reporting period, computer hardware and energy-related companies led the market, while the biotechnology industry lagged.
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||
Company | Net Assets | Business | ||||
Fortune Brands, Inc. | 2.5 | % | Consumer Durables & Apparel | |||
Thermo Fisher Scientific, Inc. | 2.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
W.W. Grainger, Inc. | 2.2 | Capital Goods | ||||
Activision, Inc. | 2.2 | Software & Services | ||||
Charles River Laboratories International, Inc. | 2.1 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
CheckFree Corp. | 2.1 | Software & Services | ||||
Alliant Techsystems, Inc. | 2.1 | Capital Goods | ||||
Global Payments, Inc. | 2.0 | Software & Services | ||||
St. Jude Medical, Inc. | 2.0 | Health Care Equipment & Services | ||||
Legg Mason, Inc. | 1.9 | Diversified Financials |
* 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 by 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 ended June 30, 2007, the Fund’s Service Shares generated a cumulative total return of 15.32%. This compares to the 10.97% cumulative total return on the Fund’s benchmark, the Russell Midcap Growth Index (with dividends reinvested), over the same time period.
During the reporting period, the Fund generated strong absolute and relative returns and outperformed its benchmark. Healthcare and Energy holdings had strong performance and contributed to returns, while some Technology and Utilities holdings detracted from results versus the benchmark.
Within the Healthcare sector, MedImmune and Cytyc were top contributors to performance. During the second quarter, AstraZeneca agreed to buy MedImmune for $15.6 billion in cash, which represented a significant premium to the company’s stock price. The bidding process was fairly competitive, with at least four large pharmaceutical companies wanting to purchase the maker of FluMist. Shares of Cytyc surged after an announcement that it would be acquired by Hologic at a significant premium to its pre-deal share price. Acquisitions are one way in which the gap between the stock price and the economic value of a business can close. We believe the MedImmune and Cytyc acquisitions reinforce our approach of owning high quality businesses for the long term. We sold out of both of these holdings after the deals were announced as their share prices appreciated significantly.
On the positive side within the Technology sector, Research In Motion and NAVTEQ Corp. were top performers and contributed to returns. Research In Motion’s shares rose as the company cited strength in its consumer, enterprise and international business units as key growth drivers. Research In Motion also introduced the new “Blackberry Curve” product during the period, its third new product release in less than a year. In addition, the consumer-focused Blackberry products are broadening the brand’s appeal to a larger potential market. We sold out of Research in Motion as the company has substantially appreciated in value and has grown beyond the market cap size we deem appropriate for a mid-cap growth portfolio. NAVTEQ, a leader in digital navigation systems, rallied after the Chief Executive Officer and President delivered promising comments about the future of the company at an industry conference. The company is taking several steps that we believe should help it continue to grow. These initiatives include investing in new products and services to further differentiate their maps and making selective strategic acquisitions to broaden their offerings. In addition, the company sees maps for mobile phones as a new opportunity and NAVTEQ is among the leading players in this area. The company also announced it would provide maps for BMW’s newest navigation systems.
Almost all of the Fund’s Energy holdings, including Cameron International Corp., Dresser-Rand Group, Inc., Smith International, Inc., Weatherford International Ltd. and Grant Prideco, Inc. ended the period up and outperformed the rest of the sector and the market. The oil services companies held by the Fund have continued to benefit from strong demand and pricing power, which have helped earnings move up substantially.
Shares of W.W. Grainger, Inc., a distributor of building maintenance and repair supplies in the producer goods and services sector, rose after it reported record first quarter 2007 sales and earnings. It also raised its previous guidance. Results were driven by management’s strong execution on their strategy and investments the company has made to spur its growth
are paying off. W.W. Grainger continues to gain market share in a fragmented industry by serving existing customers well and leveraging its supply chain, branch network and sales resources to find and serve new customers.
On the downside in the Technology sector, shares of Jabil Circuit, Inc. and Electronic Arts, Inc. fell and detracted from performance. Jabil Circuit is a maker of electronics and circuit boards and also provides assembly services to manufacturers. Despite reporting strong results, its shares were down after it said sales would be choppy over the next two quarters as the company restructures and shifts its relationship with two major customers. Electronic Arts was weak as the company has been impacted by the transition to a new generation of gaming hardware, which has taken longer than expected. The industry environment has been challenging as gaming software vendors have been releasing games for new consoles, yet sales for these consoles have not yet taken off. We believe that, as the user base of new gaming hardware grows, Electronic Arts should benefit as it has invested heavily in games for new hardware. Consequently, its game sales should increase and its development costs should decline. We believe the company’s product pipeline is robust as it plans to release 10 to 13 new titles for the popular Nintendo Wii platform this year. In addition, the company should gain market share with the help of important brands such as Grand Theft Auto IV and Halo 3, which are expected to launch during the Thanksgiving/ Christmas holidays.
Elsewhere, NeuStar, Inc., which provides the communications industry with essential clearinghouse services, was weak given concerns that Wall Street consensus revenue estimates were too high. However, NeuStar maintains its full-year guidance and transaction growth has been stronger than expected. We believe the fundamentals of its business remain strong despite Wall Street’s perception of some of NeuStar’s new contracts.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Growth Equity Management Team
July 12, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Growth Opportunities Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Growth Opportunities Fund invests in U.S. equity investments with a primary focus on mid-cap companies. The Fund is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies,
particular industry sectors and/or general economic conditions. The securities of mid-capitalization companies involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. The Fund may invest in foreign securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may participate in the Initial Public Offering (“IPO”) market, and a portion of the Fund’s returns consequently may be attributable to its investment in IPOs. The market value of IPO shares may fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, and the small number of shares available for trading and limited information about the issuer. When a fund’s asset base is small, IPOs may have a magnified impact on the fund’s performance. As a fund’s assets grow, it is probable that the effect of the fund’s investment in IPOs on its total returns may not be as significant, which could reduce the fund’s performance.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include a time deposit and securities lending collateral, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Equity Index Fund during the six-month reporting period that ended June 30, 2007.
Market Review
Signs of stress in the fixed income markets brought a cautious end to the first half of 2007, with U.S. stocks and bonds both weakening. Risk aversion tended to increase in the second quarter of 2007, especially after hopes for a short-term interest rate cut by the Federal Reserve Board eroded through May. However, in contrast to their less discriminating behavior during the panicky episodes of April 2005 and May 2006, investors focused their dismay in Spring 2007 on specific sectors and instruments rather than on the broad market. The second quarter did bring a record high for the S&P 500 Index, but the underpinnings of the global liquidity that has been buoying the capital markets clearly began to creak. After peaking in early June, major equity averages weakened and closed the month with modest losses. However, all told, the S&P 500 Index returned 6.96% during the first six months of the year.
Investment Objective
The Fund seeks to achieve investment results that correspond to the aggregate price and yield performance of a benchmark index that measures the investment returns of large capitalization stocks.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||
Company | Net Assets | Business | ||||
Exxon Mobil Corp. | 3.5 | % | Energy | |||
General Electric Co. | 2.9 | Capital Goods | ||||
AT&T, Inc. | 1.9 | Telecommunication Services | ||||
Citigroup, Inc. | 1.9 | Diversified Financials | ||||
Microsoft Corp. | 1.8 | Software & Services | ||||
Bank of America Corp. | 1.6 | Diversified Financials | ||||
Procter & Gamble Co. | 1.4 | Household & Personal Products | ||||
American International Group, Inc. | 1.3 | Insurance | ||||
Chevron Corp. | 1.3 | Energy | ||||
Pfizer, Inc. | 1.3 | Pharmaceuticals, Biotechnology & Life Sciences |
* 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 by 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 upon 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 ended June 30, 2007, the Fund’s Service Shares generated a cumulative total return of 6.88%. This compares to the 6.96% cumulative total return of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested), over the same time period. As these returns indicate, the Fund’s performance was largely in line with that of its benchmark Index during the reporting period.
Nine of ten sectors in the S&P 500 Index gained ground during the first half of 2007. Energy was the top group with a 17.2% return. Firm product prices continued to boost oil stocks, and shares of oil service companies also performed well. The Materials sector was the second best performer, gaining 16.6%, led by Freeport-McMoRan Copper & Gold, Inc. and United States Steel Corp. Telecommunication Services returned 15.8%, while Industrials was up 10.9% for the reporting period. Long-dormant shares of General Electric Co. reached a five-year high on June 20.
The weakest and only area posting a negative return during the reporting period was the interest-rate sensitive Financials sector as it returned -0.80%. Towards the end of the period, broker/ dealer stocks faltered on fears that mortgage woes and tighter credit would dampen business. In addition, banks continued to lag on concerns regarding their direct loan exposures. In particular, notable declines occurred in the shares of financial guarantors like MBIA, Inc. and MGIC Investment Corp. and those of credit rating purveyors like Moody’s Corp.
The largest total contributor to returns over the period was AT&T, Inc. as it returned 16.1%. At the end of the period, AT&T was the third largest stock in the S&P 500 Index. Energy firm Exxon Mobil Corp., the largest holding in the benchmark, was the second biggest contributor during the period, returning 9.5%. Apple Computer, Inc., helped by a warm reception of the iPhone, was the third largest contributor with a gain of 43.9%. Of the three largest detractors to return, two were financial stocks. Citigroup, Inc. detracted the most with a - -7.9% return, followed by Amgen, Inc. and Bank of America Corp., which returned -19.1% and -8.4%, respectively.
The best individual performing security in the S&P 500 for the first six months was electronics retailer RadioShack Corp. with a 97.5% return. Also impressive were MedImmune and Amazon.com, Inc. with returns of 79.0% and 73.4%, respectively. Lexmark International, Inc. posted the worst return for the period, losing 32.6%. The next worst performers were homebuilders Pulte Homes, Inc. and Lennar Corp. Because of the slowdown in new home sales, these stocks lost 32.2% and 30.3%, respectively.
We thank you for your investment and look forward to serving your investment needs in the future.
July 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Equity Index Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for
information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Equity Index Fund invests in a broadly diversified portfolio of large-cap U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The Fund’s performance may vary substantially from the performance of the benchmark it tracks (S&P 500 Index) as a result of share purchases and redemptions, transaction costs, expenses and other factors. The Fund may make investments in derivative instruments, including options, futures, swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include a time deposit and securities lending collateral, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Core Fixed Income Fund during the six-month reporting period that ended June 30, 2007.
Market Review
Although the U.S. economy started the year off on a weak note, led primarily by continued softness in the housing sector, growth rebounded in the second quarter of 2007 on firmer industrial data, a healthy job market and widespread economic strength outside of the U.S. Specifically, manufacturing and business confidence showed signs of recovery in the U.S. Perhaps for the first time, we believe that the realization that the strength of the global economy had positively impacted the U.S. (rather than the U.S. negatively impacting the global economy) resulted in a significant change in market expectations. However, on a less positive note, rising delinquencies within the sub-prime sector of the mortgage market further exacerbated concerns regarding the housing market and potential spillover into the broader economy. Continued woes in the sub-prime market also sparked a rise in risk-aversion, resulting in a sell-off of riskier assets and a flight to quality globally in the latter part of the period.
Recent trends in economic data have led the market to assume that the Federal Reserve Board (the “Fed”) will not reduce short-term interest rates in 2007. Inflation figures, overall, remained within a fairly narrow range during the period and pointed to signs of moderating. The Fed maintained short-term interest rates at 5.25% over the period. Despite recognizing that “inflation risks remain,” the Fed dropped its tightening bias and stated that “future policy adjustments” will depend on the outlook for inflation and growth. Despite the sharp downturn in housing, the Fed expects growth to expand at a moderate pace for the remainder of 2007.
The yield curve steepened over the period, as yields generally rose across the curve, with the 10-year portion rising 35 basis points to close the period at 5.10%. Investment grade sector spreads came under pressure over the period, as most spread markets responded poorly to the prospect of higher rates and a rise in risk aversion. Volatility increased over the period but remains far below its long-term average.
Investment Objective
The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers Aggregate Bond Index.
Performance Review
Over the six-month period ended June 30, 2007, the Fund’s Service Shares generated a cumulative total return of 0.97%. This compares to the 0.98% cumulative total return on the Fund’s benchmark, the Lehman Brothers Aggregate Bond Index (with dividends reinvested), over the same time period.
The Fund generally performed in line with its benchmark over the reporting period. Among the key drivers of returns were our short duration strategy and curve steepening positioning as interest rates rose over the period. The Fund’s country trades detracted from returns over the period. At the cross-sector level, our underweight exposure to the corporate sector relative to the benchmark detracted from results as the sector outperformed equivalent-
duration swaps for the corporate sector. Within mortgages, our selection of 30-year pass-throughs and super-senior adjustable rate mortgages positively impacted performance.
We believe that using derivatives in the portfolio, including futures, has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures were key in implementing certain interest rate and spread views.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Fixed Income Management Team
July 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Core Fixed Income Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Core Fixed Income Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid. Foreign and emerging markets investments may be more volatile and less liquid than investment in U.S. securities and will be subject to the risks of currency fluctuations and political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes including cross hedging or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations.
SECTOR ALLOCATION1 |
Percentage of Net Assets
1 The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of net assets. Short-term investments include repurchase agreements, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Government Income Fund during the six-month reporting period that ended June 30, 2007.
Market Review
Although the U.S. economy started the year off on a weak note, led primarily by continued softness in the housing sector, growth rebounded in the second quarter of 2007 on firmer industrial data, a healthy job market and widespread economic strength outside of the U.S. Specifically, manufacturing and business confidence showed signs of recovery in the U.S. Perhaps for the first time, we believe that the realization that the strength of the global economy had positively impacted the U.S. (rather than the U.S. negatively impacting the global economy) resulted in a significant change in market expectations. However, on a less positive note, rising delinquencies within the sub-prime sector of the mortgage market further exacerbated concerns regarding the housing market and potential spillover into the broader economy. Continued woes in the sub-prime market also sparked a rise in risk-aversion, resulting in a sell-off of riskier assets and a flight to quality globally in the latter part of the period.
Recent trends in economic data have led the market to assume that the Federal Reserve Board (the “Fed”) will not reduce short-term interest rates in 2007. Inflation figures, overall, remained within a fairly narrow range during the period and pointed to signs of moderating. The Fed maintained short-term interest rates at 5.25% over the period. Despite recognizing that “inflation risks remain,” the Fed dropped its tightening bias and stated that “future policy adjustments” will depend on the outlook for inflation and growth. Despite the sharp downturn in housing, the Fed expects growth to expand at a moderate pace for the remainder of 2007.
The yield curve steepened over the period, as yields generally rose across the curve, with the 10-year portion rising 35 basis points to close the period at 5.10%. Investment grade sector spreads came under pressure over the period, as most spread markets responded poorly to the prospect of higher rates and a rise in risk aversion. Volatility increased over the period but remains far below its long-term average.
Investment Objective
The Fund seeks a high level of current income, consistent with safety of principal.
Performance Review
Over the six-month period ended June 30, 2007, the Fund’s Service Shares generated a cumulative total return of 1.11%. This return compares to the 1.07% cumulative total return of the Fund’s benchmark, the Lehman Brothers Government/ Mortgage Index (with dividends reinvested), over the same time period.
The Fund’s performance relative to its benchmark over the period was impacted by a combination of top-down and bottom-up strategies. We maintained a defensive posture during the period, positioning the Fund to have a shorter duration relative to the benchmark based on our belief that interest rates would move higher. This strategy was a key driver of
returns as interest rates rose and the yield curve steepened over the period. We continued to underweight mortgage exposure relative to the benchmark based on negative fundamentals, such as tight spreads and low volatility. This strategy contributed to returns as the mortgage sector underperformed and spreads widened over the period. Our bottom-up strategies had a mixed impact on returns. Within mortgages, security selection strategies across the pass-through, collateralized mortgage obligation (“CMO”) and adjustable-rate mortgage (“ARM”) subsectors contributed to returns. However, select commercial mortgage-backed securities (“CMBS”) underperformed. We continue to focus our security selection strategies within mortgages on bonds with less exposure to volatility and housing turnover. These include seasoned 15-year mortgage-backed securities, super-senior AAA ARM floaters, and super-senior AAA CMBS. Finally, holdings within the government sector had mixed performance. While select Treasury holdings underperformed, the Fund’s agency debentures contributed to performance.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Fixed Income Management Team
July 16, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Government Income Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Government Income Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument, risks of default by a counterparty; and the risks that transactions may not be liquid.
SECTOR ALLOCATION1 |
Percentage of Net Assets
1 The percentage shown for each investment sector reflects the value of investments in that sector as a percentage of net assets. Short-term investments include repurchase agreements, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Money Market Fund during the six-month reporting period that ended June 30, 2007.
Market Review
Economic data was mixed during the reporting period. We witnessed a slower economy in the first quarter of 2007 as the housing market continued to show signs of a slowdown and inflation remained above the Federal Reserve Board’s (the “Fed”) comfort level. January’s 15.8% decline in new home sales was the largest drop since January of 1994. This decline, as well as concerns about the sub-prime mortgage market, reflects the continuing weakness in this sector. The economy was stronger in the second quarter, specifically in the manufacturing sector and labor market. The Institute for Supply Management Manufacturing Index rose to 56.0 in June, its highest level since the beginning of 2006. Employers added 132,000 workers in June, more than expected, with upward revisions to April and May. This points to continued strength in the labor market. The unemployment rate held at 4.5% in June, close to a six-year low. Despite stronger growth throughout the quarter, the housing market remained weak.
The Federal Open Market Committee (the “FOMC”) met twice in the reporting period, leaving the Federal Funds rate unchanged at 5.25%. As expected, throughout the period, the FOMC maintained its focus on core inflation. Goldman Sachs Economists revised their Federal Funds forecast and are no longer anticipating any easing for the remainder of 2007.
Investment Objective
The Fund seeks to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments.
Standardized | Standardized | Weighted | ||||||||||||||
7-Day | 7-Day | 30-Day | Avg. | |||||||||||||
Current | Effective | Current | Maturity | |||||||||||||
As of June 30, 2007 | Yield | Yield | Yield | (days) | ||||||||||||
VIT Money Market Fund | 4.87 | % | 4.99 | % | 4.87 | % | 39 |
An investment in a money market portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although a money market portfolio seeks to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in a money market portfolio.
The yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.
Yields will fluctuate as market conditions change. The yield quotations more closely reflect the current earnings of the Fund.
Performance Review
The Fund remained neutral during the reporting period. We purchased securities primarily in the one- to three-month sector in order to maintain duration. We made allocations to the six- and one-year sector when we saw value on the longer end of the curve. Given the view of Goldman, Sachs & Co. economists that rates will remain on hold through the end of the year, and based on where we believe interest rates are headed, we continue to look for value on the longer end of the yield curve. We intend to maintain the weighted average maturities of Fund in the 35 – 45 day range.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Money Market Management Team
July 18, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Money Market Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above chart may not sum to 100% due to the exclusion of other assets and liabilities.
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 99.1% | ||||||||||
Automobiles & Components – 2.0% | ||||||||||
206,600 | Gentex Corp. | $ | 4,067,954 | |||||||
Banks – 2.0% | ||||||||||
61,710 | Commerce Bancorp, Inc.(a) | 2,282,653 | ||||||||
36,000 | MGIC Investment Corp. | 2,046,960 | ||||||||
4,329,613 | ||||||||||
Capital Goods – 9.9% | ||||||||||
46,000 | Alliant Techsystems, Inc.* | 4,560,900 | ||||||||
39,500 | American Standard Companies, Inc. | 2,329,710 | ||||||||
24,300 | Kennametal Inc. | 1,993,329 | ||||||||
51,890 | Rockwell Automation, Inc. | 3,603,241 | ||||||||
38,200 | Roper Industries, Inc. | 2,181,220 | ||||||||
56,080 | Suntech Power Holdings Co., Ltd. ADR*(a) | 2,045,238 | ||||||||
51,300 | W.W. Grainger, Inc. | 4,773,465 | ||||||||
21,487,103 | ||||||||||
Consumer Durables & Apparel – 6.4% | ||||||||||
68,000 | Coach, Inc.* | 3,222,520 | ||||||||
65,110 | Fortune Brands, Inc. | 5,363,111 | ||||||||
10,800 | Harman International Industries, Inc. | 1,261,440 | ||||||||
136,700 | Newell Rubbermaid, Inc. | 4,023,081 | ||||||||
13,870,152 | ||||||||||
Consumer Services – 2.7% | ||||||||||
39,100 | Apollo Group, Inc. Class A* | 2,284,613 | ||||||||
75,600 | Hilton Hotels Corp. | 2,530,332 | ||||||||
21,950 | Weight Watchers International, Inc. | 1,115,938 | ||||||||
5,930,883 | ||||||||||
Diversified Financials – 3.1% | ||||||||||
28,000 | HFF, Inc. Class A* | 434,280 | ||||||||
42,600 | Legg Mason, Inc. | 4,190,988 | ||||||||
70,300 | Raymond James Financial, Inc. | 2,172,270 | ||||||||
6,797,538 | ||||||||||
Energy – 11.2% | ||||||||||
57,450 | Cameron International Corp.* | 4,105,952 | ||||||||
86,600 | Dresser-Rand Group, Inc.* | 3,420,700 | ||||||||
71,200 | Grant Prideco, Inc.* | 3,832,696 | ||||||||
69,600 | Newfield Exploration Co.* | 3,170,280 | ||||||||
63,000 | Quicksilver Resources, Inc.*(a) | 2,808,540 | ||||||||
60,800 | Smith International, Inc. | 3,565,312 | ||||||||
60,010 | Weatherford International Ltd.* | 3,314,952 | ||||||||
24,218,432 | ||||||||||
Food, Beverage & Tobacco – 0.6% | ||||||||||
30,600 | Hansen Natural Corp.* | 1,315,188 | ||||||||
Health Care Equipment & Services – 10.2% | ||||||||||
88,690 | Charles River Laboratories International, Inc.* | 4,578,178 | ||||||||
36,200 | Covance, Inc.* | 2,481,872 | ||||||||
41,405 | C.R. Bard, Inc. | 3,421,295 | ||||||||
61,000 | Psychiatric Solutions, Inc.* | 2,211,860 | ||||||||
102,000 | St. Jude Medical, Inc.* | 4,231,980 | ||||||||
98,620 | Thermo Fisher Scientific, Inc.* | 5,100,626 | ||||||||
22,025,811 | ||||||||||
Household & Personal Products – 1.4% | ||||||||||
46,100 | Chattem, Inc.*(a) | 2,921,818 | ||||||||
Insurance – 3.2% | ||||||||||
54,400 | Aon Corp. | 2,317,984 | ||||||||
42,100 | Principal Financial Group, Inc. | 2,454,009 | ||||||||
49,400 | Willis Group Holdings Ltd. | 2,176,564 | ||||||||
6,948,557 | ||||||||||
Media – 4.3% | ||||||||||
358,200 | Entravision Communications Corp. Class A* | 3,736,026 | ||||||||
9,500 | Focus Media Holding Ltd. ADR* | 479,750 | ||||||||
50,100 | Getty Images, Inc.* | 2,395,281 | ||||||||
14,100 | Lamar Advertising Co. Class A | 884,916 | ||||||||
66,300 | National CineMedia, Inc.* | 1,857,063 | ||||||||
9,353,036 | ||||||||||
Pharmaceuticals & Biotechnology – 3.2% | ||||||||||
84,600 | Amylin Pharmaceuticals, Inc.*(a) | 3,482,136 | ||||||||
61,700 | Celgene Corp.* | 3,537,261 | ||||||||
7,019,397 | ||||||||||
Retailing – 7.0% | ||||||||||
62,600 | Advance Auto Parts, Inc. | 2,537,178 | ||||||||
113,180 | Chico’s FAS, Inc.* | 2,754,801 | ||||||||
43,900 | J.C. Penney Co., Inc. | 3,177,482 | ||||||||
114,070 | Urban Outfitters, Inc.* | 2,741,102 | ||||||||
123,900 | Williams-Sonoma, Inc. | 3,912,762 | ||||||||
15,123,325 | ||||||||||
Semiconductors & Semiconductor Equipment – 4.6% | ||||||||||
88,500 | Formfactor, Inc.* | 3,389,550 | ||||||||
78,800 | Linear Technology Corp.(a) | 2,850,984 | ||||||||
38,000 | Marvell Technology Group Ltd.* | 691,980 | ||||||||
76,100 | Tessera Technologies, Inc.* | 3,085,855 | ||||||||
10,018,369 | ||||||||||
Software & Services – 16.2% | ||||||||||
253,566 | Activision, Inc.* | 4,734,077 | ||||||||
13,400 | Baidu.com ADR* | 2,250,932 | ||||||||
30,300 | Bankrate, Inc.*(a) | 1,451,976 | ||||||||
113,500 | CheckFree Corp.* | 4,562,700 | ||||||||
24,810 | Cognizant Technology Solutions Corp. Class A* | 1,862,983 | ||||||||
78,800 | Electronic Arts, Inc.* | 3,728,816 | ||||||||
110,100 | Global Payments, Inc. | 4,365,465 | ||||||||
143,100 | Iron Mountain, Inc.* | 3,739,203 | ||||||||
67,000 | MoneyGram International, Inc. | 1,872,650 | ||||||||
64,900 | NAVTEQ Corp.* | 2,747,866 | ||||||||
54,100 | Salesforce.com, Inc.* | 2,318,726 | ||||||||
69,100 | The Knot, Inc.* | 1,395,129 | ||||||||
35,030,523 | ||||||||||
19
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Technology Hardware & Equipment – 4.5% | ||||||||||
103,820 | Amphenol Corp. Class A | $ | 3,701,183 | |||||||
115,511 | Cogent, Inc.*(a) | 1,696,857 | ||||||||
151,500 | Jabil Circuit, Inc. | 3,343,605 | ||||||||
34,700 | Network Appliance, Inc.* | 1,013,240 | ||||||||
9,754,885 | ||||||||||
Telecommunication Services – 6.6% | ||||||||||
63,200 | American Tower Corp. Class A* | 2,654,400 | ||||||||
73,300 | Clearwire Corp. Class A*(a) | 1,790,719 | ||||||||
102,700 | Crown Castle International Corp.* | 3,724,929 | ||||||||
16,900 | Leap Wireless International, Inc.* | 1,428,050 | ||||||||
50,800 | MetroPCS Communications, Inc.* | 1,678,432 | ||||||||
101,500 | NeuStar, Inc. Class A* | 2,940,455 | ||||||||
14,216,985 | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $190,927,048) | $ | 214,429,569 | ||||||||
Interest | ||||||||||||||
Shares | Description | Rate | Value | |||||||||||
Securities Lending Collateral – 8.1% | ||||||||||||||
17,484,125 | Boston Global Investment Trust – Enhanced Portfolio | 5.309% | $ | 17,484,125 | ||||||||||
(Cost $17,484,125) | ||||||||||||||
TOTAL INVESTMENTS – 107.2% | ||||||||||||||
(Cost $208,411,173) | $ | 231,913,694 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (7.2%) | (15,650,347 | ) | ||||||||||||
NET ASSETS – 100.0% | $ | 216,263,347 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of this security is on loan. |
Investment Abbreviation: | ||||||
ADR | — | American Depositary Receipt | ||||
20
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 98.0% | ||||||||||
Automobiles & Components – 0.6% | ||||||||||
56,381 | Ford Motor Co.(a) | $ | 531,109 | |||||||
16,700 | General Motors Corp. | 631,260 | ||||||||
7,900 | Harley-Davidson, Inc. | 470,919 | ||||||||
5,800 | Johnson Controls, Inc. | 671,466 | ||||||||
6,200 | The Goodyear Tire & Rubber Co.* | 215,512 | ||||||||
2,520,266 | ||||||||||
Banks – 5.0% | ||||||||||
16,100 | BB&T Corp. | 654,948 | ||||||||
4,750 | Comerica, Inc. | 282,483 | ||||||||
5,900 | Commerce Bancorp, Inc. | 218,241 | ||||||||
4,000 | Compass Bancshares, Inc. | 275,920 | ||||||||
17,498 | Countrywide Financial Corp. | 636,052 | ||||||||
29,100 | Fannie Mae | 1,901,103 | ||||||||
16,605 | Fifth Third Bancorp | 660,381 | ||||||||
3,900 | First Horizon National Corp. | 152,100 | ||||||||
20,000 | Freddie Mac | 1,214,000 | ||||||||
14,300 | Hudson City Bancorp, Inc. | 174,746 | ||||||||
10,949 | Huntington Bancshares, Inc. | 248,980 | ||||||||
11,600 | KeyCorp | 398,228 | ||||||||
2,300 | M&T Bank Corp. | 245,870 | ||||||||
7,800 | Marshall & Ilsley Corp. | 371,514 | ||||||||
2,600 | MGIC Investment Corp. | 147,836 | ||||||||
17,700 | National City Corp. | 589,764 | ||||||||
10,373 | PNC Financial Services Group, Inc. | 742,499 | ||||||||
20,925 | Regions Financial Corp. | 692,618 | ||||||||
11,085 | Sovereign Bancorp, Inc. | 234,337 | ||||||||
10,700 | SunTrust Banks, Inc. | 917,418 | ||||||||
9,800 | Synovus Financial Corp. | 300,860 | ||||||||
52,034 | U.S. Bancorp | 1,714,520 | ||||||||
57,391 | Wachovia Corp. | 2,941,289 | ||||||||
26,740 | Washington Mutual, Inc. | 1,140,194 | ||||||||
100,260 | Wells Fargo & Co. | 3,526,144 | ||||||||
3,300 | Zions Bancorp | 253,803 | ||||||||
20,635,848 | ||||||||||
Capital Goods – 8.9% | ||||||||||
21,600 | 3M Co. | 1,874,664 | ||||||||
5,400 | American Standard Companies, Inc. | 318,492 | ||||||||
19,400 | Caterpillar, Inc. | 1,519,020 | ||||||||
5,600 | Cooper Industries Ltd. Class A | 319,704 | ||||||||
3,200 | Cummins, Inc. | 323,872 | ||||||||
7,000 | Danaher Corp. | 528,500 | ||||||||
6,900 | Deere & Co. | 833,106 | ||||||||
6,300 | Dover Corp. | 322,245 | ||||||||
4,500 | Eaton Corp. | 418,500 | ||||||||
24,000 | Emerson Electric Co. | 1,123,200 | ||||||||
2,700 | Fluor Corp. | 300,699 | ||||||||
12,200 | General Dynamics Corp. | 954,284 | ||||||||
309,400 | General Electric Co. | 11,843,832 | ||||||||
3,700 | Goodrich Corp. | 220,372 | ||||||||
23,275 | Honeywell International, Inc. | 1,309,917 | ||||||||
12,600 | Illinois Tool Works, Inc. | 682,794 | ||||||||
8,900 | Ingersoll-Rand Co., Ltd. Class A | 487,898 | ||||||||
5,600 | ITT Corp. | 382,368 | ||||||||
3,800 | L-3 Communications Holdings, Inc. | 370,082 | ||||||||
10,682 | Lockheed Martin Corp. | 1,005,497 | ||||||||
11,900 | Masco Corp. | 338,793 | ||||||||
10,392 | Northrop Grumman Corp. | 809,225 | ||||||||
7,395 | PACCAR, Inc. | 643,661 | ||||||||
3,900 | Pall Corp. | 179,361 | ||||||||
3,575 | Parker Hannifin Corp. | 350,028 | ||||||||
4,200 | Precision Castparts Corp. | 509,712 | ||||||||
13,400 | Raytheon Co. | 722,126 | ||||||||
4,600 | Rockwell Automation, Inc. | 319,424 | ||||||||
4,900 | Rockwell Collins, Inc. | 346,136 | ||||||||
3,200 | Terex Corp.* | 260,160 | ||||||||
3,700 | Textron, Inc. | 407,407 | ||||||||
23,738 | The Boeing Co. | 2,282,646 | ||||||||
59,537 | Tyco International Ltd.* | 2,011,755 | ||||||||
30,000 | United Technologies Corp. | 2,127,900 | ||||||||
2,100 | W.W. Grainger, Inc. | 195,405 | ||||||||
36,642,785 | ||||||||||
Commercial Services & Supplies – 0.6% | ||||||||||
7,600 | Allied Waste Industries, Inc.* | 102,296 | ||||||||
2,800 | Avery Dennison Corp. | 186,144 | ||||||||
4,200 | Cintas Corp. | 165,606 | ||||||||
4,500 | Equifax, Inc. | 199,890 | ||||||||
4,000 | Monster Worldwide, Inc.* | 164,400 | ||||||||
6,700 | Pitney Bowes, Inc. | 313,694 | ||||||||
6,700 | R.R. Donnelley & Sons Co. | 291,517 | ||||||||
5,200 | Robert Half International, Inc. | 189,800 | ||||||||
15,935 | Waste Management, Inc. | 622,262 | ||||||||
2,235,609 | ||||||||||
Consumer Durables & Apparel – 1.2% | ||||||||||
1,900 | Black & Decker Corp. | 167,789 | ||||||||
2,700 | Brunswick Corp. | 88,101 | ||||||||
3,600 | Centex Corp. | 144,360 | ||||||||
11,200 | Coach, Inc.* | 530,768 | ||||||||
8,200 | D.R. Horton, Inc. | 163,426 | ||||||||
9,000 | Eastman Kodak Co. | 250,470 | ||||||||
4,600 | Fortune Brands, Inc. | 378,902 | ||||||||
2,000 | Harman International Industries, Inc. | 233,600 | ||||||||
4,750 | Hasbro, Inc. | 149,198 | ||||||||
3,200 | Jones Apparel Group, Inc. | 90,400 | ||||||||
2,400 | KB HOME | 94,488 | ||||||||
5,200 | Leggett & Platt, Inc. | 114,660 | ||||||||
4,000 | Lennar Corp. Class A | 146,240 | ||||||||
3,200 | Liz Claiborne, Inc. | 119,360 | ||||||||
11,912 | Mattel, Inc. | 301,254 | ||||||||
8,433 | Newell Rubbermaid, Inc. | 248,183 | ||||||||
11,300 | NIKE, Inc. Class B | 658,677 | ||||||||
1,800 | Polo Ralph Lauren Corp. | 176,598 | ||||||||
6,700 | Pulte Homes, Inc. | 150,415 | ||||||||
1,700 | Snap-On, Inc. | 85,867 | ||||||||
2,400 | The Stanley Works | 145,680 | ||||||||
21
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Consumer Durables & Apparel – (continued) | ||||||||||
2,700 | VF Corp. | $ | 247,266 | |||||||
2,259 | Whirlpool Corp. | 251,201 | ||||||||
4,936,903 | ||||||||||
Consumer Services – 1.6% | ||||||||||
4,200 | Apollo Group, Inc. Class A* | 245,406 | ||||||||
13,200 | Carnival Corp. | 643,764 | ||||||||
4,200 | Darden Restaurants, Inc. | 184,758 | ||||||||
10,100 | H&R Block, Inc. | 236,037 | ||||||||
5,700 | Harrah’s Entertainment, Inc. | 485,982 | ||||||||
11,400 | Hilton Hotels Corp. | 381,558 | ||||||||
10,400 | International Game Technology | 412,880 | ||||||||
10,000 | Marriott International, Inc. Class A | 432,400 | ||||||||
36,165 | McDonald’s Corp. | 1,835,735 | ||||||||
22,300 | Starbucks Corp.* | 585,152 | ||||||||
6,300 | Starwood Hotels & Resorts Worldwide, Inc. | 422,541 | ||||||||
2,500 | Wendy’s International, Inc. | 91,875 | ||||||||
5,826 | Wyndham Worldwide Corp.* | 211,251 | ||||||||
15,640 | Yum! Brands, Inc. | 511,741 | ||||||||
6,681,080 | ||||||||||
Diversified Financials – 9.6% | ||||||||||
35,900 | American Express Co. | 2,196,362 | ||||||||
7,080 | Ameriprise Financial, Inc. | 450,076 | ||||||||
133,328 | Bank of America Corp. | 6,518,406 | ||||||||
22,700 | Bank of New York Mellon Corp.* | 940,688 | ||||||||
3,652 | Bear Stearns Companies, Inc. | 511,280 | ||||||||
12,273 | Capital One Financial Corp. | 962,694 | ||||||||
1,056 | Chicago Mercantile Exchange Holdings, Inc. Class A | 564,284 | ||||||||
5,700 | CIT Group, Inc. | 312,531 | ||||||||
148,640 | Citigroup, Inc. | 7,623,746 | ||||||||
13,000 | E*Trade Financial Corp.* | 287,170 | ||||||||
2,800 | Federated Investors, Inc. Class B | 107,324 | ||||||||
4,930 | Franklin Resources, Inc. | 653,077 | ||||||||
6,000 | Janus Capital Group, Inc. | 167,040 | ||||||||
102,625 | JPMorgan Chase & Co. | 4,972,181 | ||||||||
3,900 | Legg Mason, Inc. | 383,682 | ||||||||
15,800 | Lehman Brothers Holdings, Inc. | 1,177,416 | ||||||||
12,700 | Mellon Financial Corp. | 558,800 | ||||||||
26,100 | Merrill Lynch & Co., Inc. | 2,181,438 | ||||||||
6,900 | Moody’s Corp. | 429,180 | ||||||||
31,634 | Morgan Stanley | 2,653,460 | ||||||||
5,800 | Northern Trust Corp. | 372,592 | ||||||||
12,471 | SLM Corp. | 718,080 | ||||||||
11,900 | State Street Corp. | 813,960 | ||||||||
8,100 | T. Rowe Price Group, Inc. | 420,309 | ||||||||
30,700 | The Charles Schwab Corp. | 629,964 | ||||||||
12,300 | The Goldman Sachs Group, Inc. | 2,666,025 | ||||||||
39,271,765 | ||||||||||
Energy – 10.6% | ||||||||||
13,758 | Anadarko Petroleum Corp. | 715,278 | ||||||||
9,900 | Apache Corp. | 807,741 | ||||||||
9,680 | Baker Hughes, Inc. | 814,378 | ||||||||
9,000 | BJ Services Co. | 255,960 | ||||||||
12,500 | Chesapeake Energy Corp. | 432,500 | ||||||||
64,753 | Chevron Corp. | 5,454,793 | ||||||||
49,041 | ConocoPhillips | 3,849,719 | ||||||||
5,600 | Consol Energy, Inc. | 258,216 | ||||||||
13,300 | Devon Energy Corp. | 1,041,257 | ||||||||
21,030 | El Paso Corp. | 362,347 | ||||||||
4,400 | ENSCO International, Inc. | 268,444 | ||||||||
7,400 | EOG Resources, Inc. | 540,644 | ||||||||
169,360 | Exxon Mobil Corp. | 14,205,917 | ||||||||
27,244 | Halliburton Co. | 939,918 | ||||||||
7,900 | Hess Corp. | 465,784 | ||||||||
20,712 | Marathon Oil Corp. | 1,241,892 | ||||||||
5,700 | Murphy Oil Corp. | 338,808 | ||||||||
8,600 | Nabors Industries Ltd.* | 287,068 | ||||||||
5,300 | National Oilwell Varco, Inc.* | 552,472 | ||||||||
4,000 | Noble Corp. | 390,080 | ||||||||
25,200 | Occidental Petroleum Corp. | 1,458,576 | ||||||||
8,100 | Peabody Energy Corp. | 391,878 | ||||||||
3,500 | Rowan Companies, Inc. | 143,430 | ||||||||
35,500 | Schlumberger Ltd. | 3,015,370 | ||||||||
6,000 | Smith International, Inc. | 351,840 | ||||||||
18,506 | Spectra Energy Corp. | 480,416 | ||||||||
3,700 | Sunoco, Inc. | 294,816 | ||||||||
17,900 | The Williams Companies, Inc. | 565,998 | ||||||||
8,627 | Transocean, Inc.* | 914,289 | ||||||||
16,500 | Valero Energy Corp. | 1,218,690 | ||||||||
10,200 | Weatherford International Ltd.* | 563,448 | ||||||||
11,000 | XTO Energy, Inc. | 661,100 | ||||||||
43,283,067 | ||||||||||
Food & Staples Retailing – 2.3% | ||||||||||
13,412 | Costco Wholesale Corp. | 784,870 | ||||||||
46,313 | CVS/Caremark Corp. | 1,688,109 | ||||||||
13,300 | Safeway, Inc. | 452,599 | ||||||||
6,373 | SUPERVALU, INC. | 295,197 | ||||||||
18,600 | Sysco Corp. | 613,614 | ||||||||
21,000 | The Kroger Co. | 590,730 | ||||||||
30,100 | Walgreen Co. | 1,310,554 | ||||||||
73,200 | Wal-Mart Stores, Inc. | 3,521,652 | ||||||||
4,100 | Whole Foods Market, Inc. | 157,030 | ||||||||
9,414,355 | ||||||||||
Food, Beverage & Tobacco – 4.7% | ||||||||||
63,500 | Altria Group, Inc. | 4,453,890 | ||||||||
22,900 | Anheuser-Busch Companies, Inc. | 1,194,464 | ||||||||
19,549 | Archer-Daniels-Midland Co. | 646,876 | ||||||||
2,500 | Brown-Forman Corp. Class B | 182,700 | ||||||||
6,500 | Campbell Soup Co. | 252,265 | ||||||||
8,600 | Coca-Cola Enterprises, Inc. | 206,400 | ||||||||
15,400 | ConAgra Foods, Inc. | 413,644 | ||||||||
5,600 | Constellation Brands, Inc. Class A* | 135,968 | ||||||||
3,700 | Dean Foods Co. | 117,919 | ||||||||
10,500 | General Mills, Inc. | 613,410 | ||||||||
9,500 | H.J. Heinz Co. | 450,965 | ||||||||
22
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Food, Beverage & Tobacco – (continued) | ||||||||||
7,500 | Kellogg Co. | $ | 388,425 | |||||||
48,019 | Kraft Foods, Inc. | 1,692,670 | ||||||||
3,800 | McCormick & Co., Inc. | 145,084 | ||||||||
1,500 | Molson Coors Brewing Co. Class B | 138,690 | ||||||||
3,900 | Pepsi Bottling Group, Inc. | 131,352 | ||||||||
48,910 | PepsiCo., Inc. | 3,171,813 | ||||||||
5,300 | Reynolds American, Inc. | 345,560 | ||||||||
22,000 | Sara Lee Corp. | 382,800 | ||||||||
60,700 | The Coca-Cola Co. | 3,175,217 | ||||||||
5,200 | The Hershey Co. | 263,224 | ||||||||
7,500 | Tyson Foods, Inc. Class A | 172,800 | ||||||||
4,800 | UST, Inc. | 257,808 | ||||||||
6,650 | Wm. Wrigley Jr. Co. | 367,812 | ||||||||
19,301,756 | ||||||||||
Health Care Equipment & Services – 3.9% | ||||||||||
15,492 | Aetna, Inc. | 765,305 | ||||||||
5,800 | AmerisourceBergen Corp. | 286,926 | ||||||||
1,600 | Bausch & Lomb, Inc. | 111,104 | ||||||||
19,500 | Baxter International, Inc. | 1,098,630 | ||||||||
7,400 | Becton, Dickinson and Co. | 551,300 | ||||||||
7,425 | Biomet, Inc. | 339,471 | ||||||||
36,006 | Boston Scientific Corp.* | 552,332 | ||||||||
3,100 | C.R. Bard, Inc. | 256,153 | ||||||||
11,500 | Cardinal Health, Inc. | 812,360 | ||||||||
8,600 | CIGNA Corp. | 449,092 | ||||||||
4,700 | Coventry Health Care, Inc.* | 270,955 | ||||||||
8,200 | Express Scripts, Inc.* | 410,082 | ||||||||
4,590 | Hospira, Inc.* | 179,194 | ||||||||
5,000 | Humana, Inc.* | 304,550 | ||||||||
5,900 | IMS Health, Inc. | 189,567 | ||||||||
3,700 | Laboratory Corp. of America Holdings* | 289,562 | ||||||||
2,300 | Manor Care, Inc. | 150,167 | ||||||||
8,914 | McKesson Corp. | 531,631 | ||||||||
8,500 | Medco Health Solutions, Inc.* | 662,915 | ||||||||
34,600 | Medtronic, Inc. | 1,794,356 | ||||||||
4,200 | Patterson Cos., Inc.* | 156,534 | ||||||||
4,700 | Quest Diagnostics, Inc. | 242,755 | ||||||||
10,400 | St. Jude Medical, Inc.* | 431,496 | ||||||||
8,900 | Stryker Corp. | 561,501 | ||||||||
13,250 | Tenet Healthcare Corp.* | 86,257 | ||||||||
40,200 | UnitedHealth Group, Inc. | 2,055,828 | ||||||||
3,800 | Varian Medical Systems, Inc.* | 161,538 | ||||||||
18,400 | WellPoint, Inc.* | 1,468,872 | ||||||||
7,070 | Zimmer Holdings, Inc.* | 600,172 | ||||||||
15,770,605 | ||||||||||
Household & Personal Products – 2.1% | ||||||||||
13,200 | Avon Products, Inc. | 485,100 | ||||||||
4,600 | Clorox Co. | 285,660 | ||||||||
15,400 | Colgate-Palmolive Co. | 998,690 | ||||||||
13,640 | Kimberly-Clark Corp. | 912,379 | ||||||||
94,678 | Procter & Gamble Co. | 5,793,347 | ||||||||
3,300 | The Estee Lauder Companies, Inc. Class A | 150,183 | ||||||||
8,625,359 | ||||||||||
Insurance – 4.6% | ||||||||||
9,800 | ACE Ltd. | 612,696 | ||||||||
14,600 | Aflac, Inc. | 750,440 | ||||||||
3,100 | AMBAC Financial Group, Inc. | 270,289 | ||||||||
78,079 | American International Group, Inc. | 5,467,872 | ||||||||
8,750 | Aon Corp. | 372,838 | ||||||||
3,100 | Assurant, Inc. | 182,652 | ||||||||
5,268 | Cincinnati Financial Corp. | 228,631 | ||||||||
12,400 | Genworth Financial, Inc. | 426,560 | ||||||||
9,600 | Hartford Financial Services Group, Inc. | 945,696 | ||||||||
8,360 | Lincoln National Corp. | 593,142 | ||||||||
13,400 | Loews Corp. | 683,132 | ||||||||
16,500 | Marsh & McLennan Companies, Inc. | 509,520 | ||||||||
4,150 | MBIA, Inc. | 258,213 | ||||||||
22,200 | MetLife, Inc. | 1,431,456 | ||||||||
8,000 | Principal Financial Group, Inc. | 466,320 | ||||||||
14,100 | Prudential Financial, Inc. | 1,370,943 | ||||||||
3,300 | SAFECO Corp. | 205,458 | ||||||||
18,138 | The Allstate Corp. | 1,115,668 | ||||||||
12,200 | The Chubb Corp. | 660,508 | ||||||||
22,000 | The Progressive Corp. | 526,460 | ||||||||
19,790 | The Travelers Cos Inc | 1,058,765 | ||||||||
2,800 | Torchmark Corp. | 187,600 | ||||||||
10,218 | UnumProvident Corp. | 266,792 | ||||||||
5,500 | XL Capital Ltd. Class A | 463,595 | ||||||||
19,055,246 | ||||||||||
Materials – 3.1% | ||||||||||
6,600 | Air Products & Chemicals, Inc. | 530,442 | ||||||||
26,108 | Alcoa, Inc. | 1,058,157 | ||||||||
3,151 | Allegheny Technologies, Inc. | 330,477 | ||||||||
1,800 | Ashland, Inc. | 115,110 | ||||||||
3,200 | Ball Corp. | 170,144 | ||||||||
3,300 | Bemis Co., Inc. | 109,494 | ||||||||
27,800 | E.I. du Pont de Nemours & Co. | 1,413,352 | ||||||||
2,600 | Eastman Chemical Co. | 167,258 | ||||||||
5,200 | Ecolab, Inc. | 222,040 | ||||||||
11,255 | Freeport-McMoRan Copper & Gold, Inc. | 932,139 | ||||||||
3,500 | Hercules, Inc.* | 68,775 | ||||||||
2,500 | International Flavors & Fragrances, Inc. | 130,350 | ||||||||
12,940 | International Paper Co. | 505,307 | ||||||||
5,298 | MeadWestvaco Corp. | 187,125 | ||||||||
16,254 | Monsanto Co. | 1,097,795 | ||||||||
13,711 | Newmont Mining Corp. | 535,552 | ||||||||
9,000 | Nucor Corp. | 527,850 | ||||||||
3,900 | Pactiv Corp.* | 124,371 | ||||||||
4,900 | PPG Industries, Inc. | 372,939 | ||||||||
23
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Materials – (continued) | ||||||||||
9,500 | Praxair, Inc. | $ | 683,905 | |||||||
4,375 | Rohm & Haas Co. | 239,225 | ||||||||
4,716 | Sealed Air Corp. | 146,290 | ||||||||
3,800 | Sigma-Aldrich Corp. | 162,146 | ||||||||
3,100 | Temple-Inland, Inc. | 190,743 | ||||||||
28,777 | The Dow Chemical Co. | 1,272,519 | ||||||||
3,620 | United States Steel Corp. | 393,675 | ||||||||
2,900 | Vulcan Materials Co. | 332,166 | ||||||||
6,392 | Weyerhaeuser Co. | 504,521 | ||||||||
12,523,867 | ||||||||||
Media – 3.3% | ||||||||||
22,064 | CBS Corp. Class B | 735,173 | ||||||||
532 | Citadel Broadcasting Corp. | 3,431 | ||||||||
15,100 | Clear Channel Communications, Inc. | 571,082 | ||||||||
93,617 | Comcast Corp. Class A* | 2,632,510 | ||||||||
1,900 | Dow Jones & Co., Inc. | 109,155 | ||||||||
2,500 | E.W. Scripps Co., Class A | 114,225 | ||||||||
7,200 | Gannett Co., Inc. | 395,640 | ||||||||
13,971 | Interpublic Group of Cos., Inc.* | 159,269 | ||||||||
1,100 | Meredith Corp. | 67,760 | ||||||||
4,200 | New York Times Co. Class A(a) | 106,680 | ||||||||
70,500 | News Corp., Class A | 1,495,305 | ||||||||
10,200 | Omnicom Group, Inc. | 539,784 | ||||||||
22,900 | The DIRECTV Group, Inc.* | 529,219 | ||||||||
10,200 | The McGraw-Hill Companies, Inc. | 694,416 | ||||||||
59,829 | The Walt Disney Co. | 2,042,562 | ||||||||
113,498 | Time Warner, Inc. | 2,387,998 | ||||||||
2,379 | Tribune Co. | 69,943 | ||||||||
20,764 | Viacom, Inc. Class B* | 864,405 | ||||||||
13,518,557 | ||||||||||
Pharmaceuticals & Biotechnology – 7.6% | ||||||||||
46,500 | Abbott Laboratories | 2,490,075 | ||||||||
9,400 | Allergan, Inc. | 541,816 | ||||||||
35,108 | Amgen, Inc.* | 1,941,121 | ||||||||
5,700 | Applera Corporation – Applied Biosystems Group | 174,078 | ||||||||
3,100 | Barr Pharmaceuticals, Inc.* | 155,713 | ||||||||
10,385 | Biogen Idec, Inc.* | 555,598 | ||||||||
59,000 | Bristol-Myers Squibb Co. | 1,862,040 | ||||||||
11,300 | Celgene Corp.* | 647,829 | ||||||||
29,700 | Eli Lilly & Co. | 1,659,636 | ||||||||
9,400 | Forest Laboratories, Inc.* | 429,110 | ||||||||
7,800 | Genzyme Corp.* | 502,320 | ||||||||
27,800 | Gilead Sciences, Inc.* | 1,077,806 | ||||||||
87,060 | Johnson & Johnson | 5,364,637 | ||||||||
6,966 | King Pharmaceuticals, Inc.* | 142,524 | ||||||||
65,300 | Merck & Co., Inc. | 3,251,940 | ||||||||
1,700 | Millipore Corp.* | 127,653 | ||||||||
7,500 | Mylan Laboratories, Inc. | 136,425 | ||||||||
3,900 | PerkinElmer, Inc. | 101,634 | ||||||||
210,884 | Pfizer, Inc. | 5,392,304 | ||||||||
44,700 | Schering-Plough Corp. | 1,360,668 | ||||||||
12,600 | Thermo Fisher Scientific, Inc.* | 651,672 | ||||||||
3,200 | Waters Corp.* | 189,952 | ||||||||
2,900 | Watson Pharmaceuticals, Inc.* | 94,337 | ||||||||
40,500 | Wyeth | 2,322,270 | ||||||||
31,173,158 | ||||||||||
Real Estate – 1.2% | ||||||||||
3,000 | Apartment Investment & Management Co. (REIT) | 151,260 | ||||||||
6,500 | Archstone-Smith Trust (REIT) | 384,215 | ||||||||
2,400 | Avalonbay Communities, Inc. (REIT) | 285,312 | ||||||||
3,500 | Boston Properties, Inc. (REIT) | 357,455 | ||||||||
5,800 | CB Richard Ellis Group, Inc. Class A* | 211,700 | ||||||||
3,700 | Developers Diversified Realty Corp. (REIT) | 195,027 | ||||||||
8,800 | Equity Residential (REIT) | 401,544 | ||||||||
7,300 | General Growth Properties, Inc. (REIT) | 386,535 | ||||||||
15,200 | Host Hotels & Resorts, Inc. (REIT) | 351,424 | ||||||||
7,000 | Kimco Realty Corp. (REIT) | 266,490 | ||||||||
5,200 | Plum Creek Timber Co., Inc. (REIT) | 216,632 | ||||||||
7,800 | ProLogis (REIT) | 443,820 | ||||||||
3,700 | Public Storage, Inc. (REIT) | 284,234 | ||||||||
6,600 | Simon Property Group, Inc. (REIT) | 614,064 | ||||||||
4,000 | Vornado Realty Trust (REIT) | 439,360 | ||||||||
4,989,072 | ||||||||||
Retailing – 3.3% | ||||||||||
2,700 | Abercrombie & Fitch Co. | 197,046 | ||||||||
9,300 | Amazon.com, Inc.* | 636,213 | ||||||||
4,772 | AutoNation, Inc.* | 107,084 | ||||||||
1,500 | AutoZone, Inc.* | 204,930 | ||||||||
8,600 | Bed Bath & Beyond, Inc.* | 309,514 | ||||||||
12,350 | Best Buy Co., Inc. | 576,374 | ||||||||
3,500 | Big Lots, Inc.* | 102,970 | ||||||||
4,000 | Circuit City Stores, Inc. | 60,320 | ||||||||
1,800 | Dillards, Inc. Class A | 64,674 | ||||||||
9,687 | Dollar General Corp. | 212,339 | ||||||||
4,700 | Family Dollar Stores, Inc. | 161,304 | ||||||||
5,050 | Genuine Parts Co. | 250,480 | ||||||||
6,600 | IAC/InterActiveCorp* | 228,426 | ||||||||
6,800 | J.C. Penney Co., Inc. | 492,184 | ||||||||
9,700 | Kohl’s Corp.* | 688,991 | ||||||||
10,400 | Limited Brands, Inc. | 285,480 | ||||||||
45,800 | Lowe’s Companies, Inc. | 1,405,602 | ||||||||
14,034 | Macy’s, Inc. | 558,273 | ||||||||
6,700 | Nordstrom, Inc. | 342,504 | ||||||||
8,400 | Office Depot, Inc.* | 254,520 | ||||||||
2,400 | OfficeMax, Inc. | 94,320 | ||||||||
4,300 | RadioShack Corp. | 142,502 | ||||||||
2,500 | Sears Holdings Corp.* | 423,750 | ||||||||
21,100 | Staples, Inc. | 500,703 | ||||||||
24
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Retailing – (continued) | ||||||||||
25,800 | Target Corp. | $ | 1,640,880 | |||||||
15,850 | The Gap, Inc. | 302,735 | ||||||||
59,597 | The Home Depot, Inc. | 2,345,142 | ||||||||
3,500 | The Sherwin-Williams Co. | 232,645 | ||||||||
13,700 | The TJX Companies, Inc. | 376,750 | ||||||||
4,100 | Tiffany & Co. | 217,546 | ||||||||
13,416,201 | ||||||||||
Semiconductors & Semiconductor – 2.6% | ||||||||||
17,300 | Advanced Micro Devices, Inc.* | 247,390 | ||||||||
10,900 | Altera Corp. | 241,217 | ||||||||
9,900 | Analog Devices, Inc. | 372,636 | ||||||||
41,800 | Applied Materials, Inc. | 830,566 | ||||||||
14,050 | Broadcom Corp. Class A* | 410,963 | ||||||||
175,500 | Intel Corp. | 4,169,880 | ||||||||
6,000 | KLA-Tencor Corp. | 329,700 | ||||||||
7,800 | Linear Technology Corp. | 282,204 | ||||||||
22,400 | LSI Logic Corp.* | 168,224 | ||||||||
9,600 | Maxim Integrated Products, Inc. | 320,736 | ||||||||
6,800 | MEMC Electronic Materials, Inc.* | 415,616 | ||||||||
22,600 | Micron Technology, Inc.* | 283,178 | ||||||||
8,600 | National Semiconductor Corp. | 243,122 | ||||||||
3,900 | Novellus Systems, Inc.* | 110,643 | ||||||||
10,700 | NVIDIA Corp.* | 442,017 | ||||||||
6,000 | Teradyne, Inc.* | 105,480 | ||||||||
43,400 | Texas Instruments, Inc. | 1,633,142 | ||||||||
8,700 | Xilinx, Inc. | 232,899 | ||||||||
10,839,613 | ||||||||||
Software & Services – 5.6% | ||||||||||
17,600 | Adobe Systems, Inc.* | 706,640 | ||||||||
2,900 | Affiliated Computer Services, Inc. Class A* | 164,488 | ||||||||
7,100 | Autodesk, Inc.* | 334,268 | ||||||||
16,700 | Automatic Data Processing, Inc. | 809,449 | ||||||||
6,200 | BMC Software, Inc.* | 187,860 | ||||||||
12,604 | CA, Inc. | 325,561 | ||||||||
5,600 | Citrix Systems, Inc.* | 188,552 | ||||||||
4,400 | Cognizant Technology Solutions Corp. Class A* | 330,396 | ||||||||
5,300 | Computer Sciences Corp.* | 313,495 | ||||||||
9,400 | Compuware Corp.* | 111,484 | ||||||||
4,000 | Convergys Corp.* | 96,960 | ||||||||
34,100 | eBay, Inc.* | 1,097,338 | ||||||||
9,200 | Electronic Arts, Inc.* | 435,344 | ||||||||
15,800 | Electronic Data Systems Corp. | 438,134 | ||||||||
4,700 | Fidelity National Information Services, Inc. | 255,116 | ||||||||
22,349 | First Data Corp. | 730,142 | ||||||||
5,050 | Fiserv, Inc.* | 286,840 | ||||||||
6,590 | Google, Inc. Class A* | 3,449,074 | ||||||||
10,500 | Intuit, Inc.* | 315,840 | ||||||||
253,100 | Microsoft Corp. | 7,458,857 | ||||||||
9,600 | Novell, Inc.* | 74,784 | ||||||||
118,720 | Oracle Corp.* | 2,339,971 | ||||||||
9,950 | Paychex, Inc. | 389,244 | ||||||||
26,718 | Symantec Corp.* | 539,704 | ||||||||
22,749 | The Western Union Co | 473,862 | ||||||||
10,000 | Unisys Corp.* | 91,400 | ||||||||
7,200 | VeriSign, Inc.* | 228,456 | ||||||||
36,600 | Yahoo!, Inc.* | 992,958 | ||||||||
23,166,217 | ||||||||||
Technology Hardware & Equipment – 6.8% | ||||||||||
12,024 | Agilent Technologies, Inc.* | 462,203 | ||||||||
26,100 | Apple Computer, Inc.* | 3,185,244 | ||||||||
14,031 | Avaya, Inc.* | 236,282 | ||||||||
2,785 | Ciena Corp.* | 100,622 | ||||||||
182,400 | Cisco Systems, Inc.* | 5,079,840 | ||||||||
47,100 | Corning, Inc.* | 1,203,405 | ||||||||
68,300 | Dell, Inc.* | 1,949,965 | ||||||||
63,300 | EMC Corp.* | 1,145,730 | ||||||||
79,098 | Hewlett-Packard Co. | 3,529,353 | ||||||||
41,000 | International Business Machines Corp. | 4,315,250 | ||||||||
5,900 | Jabil Circuit, Inc. | 130,213 | ||||||||
6,125 | JDS Uniphase Corp.* | 82,259 | ||||||||
17,200 | Juniper Networks, Inc.* | 432,924 | ||||||||
2,800 | Lexmark International, Inc. Class A* | 138,068 | ||||||||
4,325 | Molex, Inc. | 129,793 | ||||||||
69,235 | Motorola, Inc. | 1,225,459 | ||||||||
5,300 | NCR Corp.* | 278,462 | ||||||||
10,900 | Network Appliance, Inc.* | 318,280 | ||||||||
4,400 | QLogic Corp.* | 73,260 | ||||||||
49,900 | QUALCOMM, Inc. | 2,165,161 | ||||||||
6,900 | SanDisk Corp.* | 337,686 | ||||||||
28,300 | Solectron Corp.* | 104,144 | ||||||||
108,100 | Sun Microsystems, Inc.* | 568,606 | ||||||||
2,700 | Tektronix, Inc. | 91,098 | ||||||||
13,900 | Tellabs, Inc.* | 149,564 | ||||||||
28,300 | Xerox Corp.* | 522,984 | ||||||||
27,955,855 | ||||||||||
Telecommunication Services – 3.7% | ||||||||||
10,300 | ALLTEL Corp. | 695,765 | ||||||||
185,337 | AT&T, Inc. | 7,691,485 | ||||||||
3,300 | CenturyTel, Inc. | 161,865 | ||||||||
9,900 | Citizens Communications Co. | 151,173 | ||||||||
4,640 | Embarq Corp. | 294,037 | ||||||||
47,563 | Qwest Communications International, Inc.* | 461,361 | ||||||||
87,310 | Sprint Nextel Corp. | 1,808,190 | ||||||||
87,230 | Verizon Communications, Inc. | 3,591,259 | ||||||||
14,881 | Windstream Corp. | 219,644 | ||||||||
15,074,779 | ||||||||||
Transportation – 1.7% | ||||||||||
10,852 | Burlington Northern Santa Fe Corp. | 923,939 | ||||||||
5,300 | C.H. Robinson Worldwide, Inc. | 278,356 | ||||||||
13,000 | CSX Corp. | 586,040 | ||||||||
25
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Transportation – (continued) | ||||||||||
9,200 | FedEx Corp. | $ | 1,020,924 | |||||||
12,100 | Norfolk Southern Corp. | 636,097 | ||||||||
1,700 | Ryder System, Inc. | 91,460 | ||||||||
24,318 | Southwest Airlines Co. | 362,582 | ||||||||
8,100 | Union Pacific Corp. | 932,715 | ||||||||
31,800 | United Parcel Service, Inc. Class B | 2,321,400 | ||||||||
7,153,513 | ||||||||||
Utilities – 3.4% | ||||||||||
19,500 | AES Corp.* | 426,660 | ||||||||
5,000 | Allegheny Energy, Inc.* | 258,700 | ||||||||
6,300 | Ameren Corp. | 308,763 | ||||||||
11,840 | American Electric Power Co., Inc. | 533,274 | ||||||||
9,698 | CenterPoint Energy, Inc. | 168,745 | ||||||||
6,400 | CMS Energy Corp.* | 110,080 | ||||||||
7,900 | Consolidated Edison, Inc. | 356,448 | ||||||||
5,350 | Constellation Energy Group, Inc. | 466,359 | ||||||||
10,350 | Dominion Resources, Inc. | 893,308 | ||||||||
5,400 | DTE Energy Co. | 260,388 | ||||||||
37,913 | Duke Energy Corp. | 693,808 | ||||||||
11,397 | Dynegy, Inc. Class A* | 107,588 | ||||||||
9,600 | Edison International | 538,752 | ||||||||
5,900 | Entergy Corp. | 633,365 | ||||||||
20,100 | Exelon Corp. | 1,459,260 | ||||||||
9,000 | FirstEnergy Corp. | 582,570 | ||||||||
12,300 | FPL Group, Inc. | 697,902 | ||||||||
2,331 | Integrys Energy Group, Inc. | 118,252 | ||||||||
5,400 | KeySpan Corp. | 226,692 | ||||||||
1,400 | Nicor, Inc. | 60,088 | ||||||||
8,400 | NiSource, Inc. | 173,964 | ||||||||
10,300 | PG&E Corp. | 466,590 | ||||||||
3,000 | Pinnacle West Capital Corp. | 119,550 | ||||||||
11,500 | PPL Corp. | 538,085 | ||||||||
7,877 | Progress Energy, Inc. | 359,112 | ||||||||
7,600 | Public Service Enterprise Group, Inc. | 667,128 | ||||||||
5,200 | Questar Corp. | 274,820 | ||||||||
7,813 | Sempra Energy | 462,764 | ||||||||
22,700 | Southern Co. | 778,383 | ||||||||
6,200 | TECO Energy, Inc. | 106,516 | ||||||||
13,680 | TXU Corp. | 920,664 | ||||||||
12,710 | Xcel Energy, Inc. | 260,174 | ||||||||
14,028,752 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $280,603,901) | $ | 402,214,228 | ||||||||
Expiration | ||||||||||||||
Units | Description | Date | Value | |||||||||||
Warrant* – 0.0% | ||||||||||||||
1,845 | Raytheon Co. | 06/16/11 | $ | 34,022 | ||||||||||
(Cost $0) | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
U.S. Government Obligation – 0.3% | ||||||||||||||
United States Treasury Bill | ||||||||||||||
$ | 1,100,000 | 4.701 | % | 09/06/07 | $ | 1,090,572 | ||||||||
(Cost $1,090,491) | ||||||||||||||
Short-Term Obligation – 2.0% | ||||||||||||||
JPMorgan Chase Euro – Time Deposit | ||||||||||||||
$ | 8,067,578 | 5.282 | % | 07/02/07 | $ | 8,067,578 | ||||||||
(Cost $8,067,578) | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||
(Cost $289,761,970) | $ | 411,406,400 | ||||||||||||
Interest | ||||||||||||||
Shares | Rate | Value | ||||||||||||
Securities Lending Collateral – 0.1% | ||||||||||||||
627,900 | Boston Global Investment Trust – Enhanced Portfolio | 5.309% | $ | 627,900 | ||||||||||
(Cost $627,900) | ||||||||||||||
TOTAL INVESTMENTS – 100.4% | ||||||||||||||
(Cost $290,389,870) | $ | 412,034,300 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4%) | (1,484,986 | ) | ||||||||||||
NET ASSETS — 100.0% | $ | 410,549,314 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of this security is on loan. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
26
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2007, the following future contracts were open:
Number of | Settlement | Unrealized | ||||||||||||||
Type | Contracts Long | Month | Market Value | Gain | ||||||||||||
S & P 500 Index | 122 | September 2007 | $ | 9,243,940 | $ | 46,391 | ||||||||||
27
Schedule of Investments
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | ||||||||||||||
Value | ||||||||||||||||
Corporate Bonds – 20.4% | ||||||||||||||||
Automotive – 0.1% | ||||||||||||||||
DaimlerChrysler NA | ||||||||||||||||
$ | 275,000 | 8.500 | % | 01/18/31 | $ | 346,835 | ||||||||||
Banks – 4.4% | ||||||||||||||||
Asian Development Bank | ||||||||||||||||
5,000,000 | 1.000 | 10/01/15 | 3,489,995 | |||||||||||||
Greater Bay Bancorp Series B | ||||||||||||||||
500,000 | 5.250 | 03/31/08 | 498,705 | |||||||||||||
MUFG Capital Finance 1 Ltd.(a) | ||||||||||||||||
850,000 | 6.346 | 07/29/49 | 834,228 | |||||||||||||
Nordea Bank Sweden AB(a)(b) | ||||||||||||||||
2,100,000 | 8.950 | 11/29/49 | 2,239,637 | |||||||||||||
Popular North America, Inc. | ||||||||||||||||
1,425,000 | 5.650 | 04/15/09 | 1,421,756 | |||||||||||||
Resona Bank Ltd.(a)(b) | ||||||||||||||||
1,250,000 | 5.850 | 09/29/49 | 1,195,153 | |||||||||||||
Tokai Preferred Capital Co. LLC(a)(b) | ||||||||||||||||
1,250,000 | 9.980 | 12/29/49 | 1,300,093 | |||||||||||||
VTB Capital (Vneshtorgbank)(a)(b) | ||||||||||||||||
980,000 | 5.956 | 08/01/08 | 980,980 | |||||||||||||
11,960,547 | ||||||||||||||||
Brokerage – 0.1% | ||||||||||||||||
Lehman Brothers Holdings Capital Trust V(a) | ||||||||||||||||
250,000 | 5.857 | 11/29/49 | 244,890 | |||||||||||||
Electric – 2.3% | ||||||||||||||||
Arizona Public Service Co. | ||||||||||||||||
475,000 | 6.375 | 10/15/11 | 484,146 | |||||||||||||
350,000 | 6.250 | 08/01/16 | 351,647 | |||||||||||||
CenterPoint Energy, Inc. Series B | ||||||||||||||||
1,000,000 | 7.250 | 09/01/10 | 1,044,288 | |||||||||||||
MidAmerican Energy Holding Co. | ||||||||||||||||
1,250,000 | 7.520 | 09/15/08 | 1,277,597 | |||||||||||||
750,000 | 6.125 | 04/01/36 | 723,205 | |||||||||||||
Pacific Gas & Electric Co. | ||||||||||||||||
1,800,000 | 6.050 | 03/01/34 | 1,742,648 | |||||||||||||
Progress Energy, Inc. | ||||||||||||||||
200,000 | 5.625 | 01/15/16 | 196,601 | |||||||||||||
350,000 | 7.000 | 10/30/31 | 374,451 | |||||||||||||
6,194,583 | ||||||||||||||||
Energy – 0.5% | ||||||||||||||||
Canadian Natural Resources Ltd. | ||||||||||||||||
225,000 | 5.700 | 05/15/17 | 217,357 | |||||||||||||
50,000 | 5.850 | 02/01/35 | 45,103 | |||||||||||||
400,000 | 6.500 | 02/15/37 | 391,866 | |||||||||||||
150,000 | 6.250 | 03/15/38 | 141,847 | |||||||||||||
Kerr McGee Corp. | ||||||||||||||||
550,000 | 6.950 | 07/01/24 | 570,791 | |||||||||||||
1,366,964 | ||||||||||||||||
Entertainment – 0.7% | ||||||||||||||||
Time Warner Cable, Inc.(b) | ||||||||||||||||
1,000,000 | 5.400 | 07/02/12 | 981,624 | |||||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||||
750,000 | 8.375 | 03/15/23 | 864,607 | |||||||||||||
1,846,231 | ||||||||||||||||
Environmental – 0.3% | ||||||||||||||||
Waste Management, Inc. | ||||||||||||||||
750,000 | 7.375 | 08/01/10 | 785,374 | |||||||||||||
Financial Companies – 4.5% | ||||||||||||||||
Farmer Mac Guaranteed Notes Trust Series 2006-2(b) | ||||||||||||||||
4,400,000 | 5.500 | 07/15/11 | 4,424,944 | |||||||||||||
GATX Financial Corp. | ||||||||||||||||
1,000,000 | 8.875 | 06/01/09 | 1,057,171 | |||||||||||||
HBOS Treasury Services PLC(b) | ||||||||||||||||
4,700,000 | 5.250 | 02/21/17 | 4,597,399 | |||||||||||||
PHH Corp. | ||||||||||||||||
1,225,000 | 6.000 | 03/01/08 | 1,227,690 | |||||||||||||
Residential Capital Corp. | ||||||||||||||||
1,000,000 | 6.125 | 11/21/08 | 992,018 | |||||||||||||
100,000 | 6.500 | 04/17/13 | 96,577 | |||||||||||||
12,395,799 | ||||||||||||||||
Food & Beverage – 0.4% | ||||||||||||||||
Nabisco, Inc. | ||||||||||||||||
1,000,000 | 7.050 | 07/15/07 | 1,000,579 | |||||||||||||
Life Insurance – 0.5% | ||||||||||||||||
American International Group, Inc. | ||||||||||||||||
225,000 | 6.250 | 03/15/37 | 212,066 | |||||||||||||
Phoenix Life Insurance Co.(b) | ||||||||||||||||
450,000 | 7.150 | 12/15/34 | 462,056 | |||||||||||||
Swiss Reinsurance Capital I LP(a)(b) | ||||||||||||||||
700,000 | 6.854 | 05/29/49 | 704,133 | |||||||||||||
1,378,255 | ||||||||||||||||
Media – 0.9% | ||||||||||||||||
Comcast Corp. | ||||||||||||||||
625,000 | 6.450 | 03/15/37 | 601,988 | |||||||||||||
Cox Communications, Inc. | ||||||||||||||||
1,750,000 | 4.625 | 01/15/10 | 1,708,355 | |||||||||||||
Viacom, Inc. | ||||||||||||||||
300,000 | 5.750 | 04/30/11 | 299,578 | |||||||||||||
2,609,921 | ||||||||||||||||
Pipelines – 0.9% | ||||||||||||||||
Boardwalk Pipelines LP | ||||||||||||||||
575,000 | 5.875 | 11/15/16 | 560,601 | |||||||||||||
Energy Transfer Partners LP | ||||||||||||||||
275,000 | 5.650 | 08/01/12 | 273,444 | |||||||||||||
475,000 | 5.950 | 02/01/15 | 468,419 |
28
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | ||||||||||||||
Value | ||||||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Pipelines – (continued) | ||||||||||||||||
Enterprise Products Operating LP | ||||||||||||||||
$ | 450,000 | 5.600 | % | 10/15/14 | $ | 438,662 | ||||||||||
325,000 | 5.000 | 03/01/15 | 303,705 | |||||||||||||
ONEOK Partners LP | ||||||||||||||||
325,000 | 6.650 | 10/01/36 | 323,820 | |||||||||||||
2,368,651 | ||||||||||||||||
Property/Casualty Insurance – 1.5% | ||||||||||||||||
AON Capital Trust A | ||||||||||||||||
500,000 | 8.205 | 01/01/27 | 540,807 | |||||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
475,000 | 7.350 | 05/01/34 | 503,472 | |||||||||||||
Aspen Insurance Holdings Ltd. | ||||||||||||||||
350,000 | 6.000 | 08/15/14 | 338,717 | |||||||||||||
Chubb Corp.(a) | ||||||||||||||||
525,000 | 6.375 | 03/29/67 | 510,468 | |||||||||||||
Endurance Specialty Holdings Ltd. | ||||||||||||||||
375,000 | 6.150 | 10/15/15 | 363,216 | |||||||||||||
Marsh & McClennan Companies, Inc. | ||||||||||||||||
600,000 | 5.150 | 09/15/10 | 586,238 | |||||||||||||
White Mountains Reinsurance Group Ltd.(b) | ||||||||||||||||
600,000 | 6.375 | 03/20/17 | 576,474 | |||||||||||||
ZFS Finance USA Trust(a)(b) | ||||||||||||||||
675,000 | 5.875 | 05/09/62 | 665,044 | |||||||||||||
4,084,436 | ||||||||||||||||
REITs – 0.6% | ||||||||||||||||
Highwoods Properties, Inc.(b) | ||||||||||||||||
425,000 | 5.850 | 03/15/17 | 408,829 | |||||||||||||
iStar Financial, Inc. Series B | ||||||||||||||||
1,300,000 | 5.700 | 03/01/14 | 1,268,297 | |||||||||||||
1,677,126 | ||||||||||||||||
Retailers – 0.2% | ||||||||||||||||
CVS/Caremark Corp. | ||||||||||||||||
525,000 | 5.750 | 06/01/17 | 506,532 | |||||||||||||
Tobacco – 0.1% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
125,000 | 7.750 | 01/15/27 | 146,023 | |||||||||||||
Wireless Telecommunications – 1.3% | ||||||||||||||||
America Movil SA de CV | ||||||||||||||||
1,000,000 | 5.500 | 03/01/14 | 973,320 | |||||||||||||
New Cingular Wireless Services, Inc. | ||||||||||||||||
675,000 | 7.875 | 03/01/11 | 725,680 | |||||||||||||
500,000 | 8.750 | 03/01/31 | 624,430 | |||||||||||||
Nextel Communications, Inc. | ||||||||||||||||
900,000 | 6.875 | 10/31/13 | 894,375 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
25,000 | 6.875 | 11/15/28 | 23,811 | |||||||||||||
Telecom Italia Capital SA | ||||||||||||||||
300,000 | 4.875 | 10/01/10 | 292,784 | |||||||||||||
3,534,400 | ||||||||||||||||
Wirelines Telecommunications – 1.1% | ||||||||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
700,000 | 8.250 | 06/15/30 | 837,680 | |||||||||||||
GTE Corp. | ||||||||||||||||
750,000 | 7.510 | 04/01/09 | 773,092 | |||||||||||||
Telecom Italia Capital SA | ||||||||||||||||
225,000 | 4.000 | 01/15/10 | 216,363 | |||||||||||||
800,000 | 4.950 | 09/30/14 | 740,464 | |||||||||||||
Telefonica Europe BV | ||||||||||||||||
300,000 | 7.750 | 09/15/10 | 318,260 | |||||||||||||
2,885,859 | ||||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $56,261,619) | $ | 55,333,005 | ||||||||||||||
Mortgage-Backed Obligations – 57.2% | ||||||||||||||||
Adjustable Rate FHLMC(a) – 2.2% | ||||||||||||||||
$ | 2,321,097 | 4.847 | % | 09/01/35 | $ | 2,295,278 | ||||||||||
3,659,960 | 4.732 | 10/01/35 | 3,570,228 | |||||||||||||
5,865,506 | ||||||||||||||||
Adjustable Rate FNMA(a) – 4.0% | ||||||||||||||||
1,793,334 | 4.451 | 05/01/33 | 1,785,572 | |||||||||||||
1,485,481 | 3.845 | 10/01/33 | 1,460,826 | |||||||||||||
2,370,588 | 4.563 | 05/01/35 | 2,388,193 | |||||||||||||
2,810,405 | 5.353 | 09/01/35 | 2,811,645 | |||||||||||||
2,488,000 | 5.088 | 12/01/35 | 2,470,118 | |||||||||||||
10,916,354 | ||||||||||||||||
Adjustable Rate Non-Agency(a) – 21.6% | ||||||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2005-6, Class A4 | ||||||||||||||||
3,000,000 | 5.353 | 09/10/47 | 2,887,107 | |||||||||||||
Bear Stearns Mortgage Funding Trust Series 2006-AR1, Class 2A1 | ||||||||||||||||
2,274,375 | 5.540 | 08/25/36 | 2,273,506 | |||||||||||||
Chase Mortgage Finance Corp. Series 2007-A1, Class 2A1 | ||||||||||||||||
2,857,962 | 4.142 | 02/25/37 | 2,797,022 | |||||||||||||
Countrywide Alternative Loan Trust Series 2005-59, Class 1A2A | ||||||||||||||||
957,849 | 5.700 | 11/20/35 | 962,110 | |||||||||||||
Countrywide Alternative Loan Trust Series 2006-OA10, Class 4A1 | ||||||||||||||||
2,565,263 | 5.510 | 08/25/46 | 2,563,834 | |||||||||||||
Countrywide Alternative Loan Trust Series 2006-OA16, Class A2 | ||||||||||||||||
4,403,585 | 5.510 | 10/25/46 | 4,393,793 | |||||||||||||
Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR2, Class 2A1A | ||||||||||||||||
1,899,162 | 5.520 | 11/19/37 | 1,902,817 | |||||||||||||
GE Capital Commercial Mortgage Corp. Series 2005-C4, Class A4 | ||||||||||||||||
3,000,000 | 5.512 | 11/10/45 | 2,916,801 |
29
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | ||||||||||||||
Value | ||||||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Non-Agency(a) – (continued) | ||||||||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A | ||||||||||||||||
$ | 1,685,189 | 5.540 | % | 04/25/46 | $ | 1,686,339 | ||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A | ||||||||||||||||
1,745,724 | 5.530 | 05/25/46 | 1,748,411 | |||||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 1A1 | ||||||||||||||||
971,821 | 4.202 | 07/25/35 | 949,450 | |||||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||||
956,745 | 4.763 | 07/25/35 | 941,360 | |||||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 5A2 | ||||||||||||||||
937,878 | 4.768 | 07/25/35 | 921,587 | |||||||||||||
Luminent Mortgage Capital Trust Series 2006-2, Class A1A | ||||||||||||||||
1,703,206 | 5.520 | 02/25/46 | 1,704,177 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A | ||||||||||||||||
1,850,239 | 5.879 | 12/25/46 | 1,850,239 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2005-A9, Class 2A1C | ||||||||||||||||
3,000,000 | 5.149 | 12/25/35 | 2,948,562 | |||||||||||||
Morgan Stanley Capital I Series 2006-T21, Class A4 | ||||||||||||||||
3,500,000 | 5.162 | 10/12/52 | 3,346,513 | |||||||||||||
Morgan Stanley Capital I Series 2007-T25, Class A3 | ||||||||||||||||
2,000,000 | 5.514 | 11/12/49 | 1,946,491 | |||||||||||||
Thornburg Mortgage Securities Trust Series 2006-4, Class A2B | ||||||||||||||||
2,689,876 | 5.440 | 07/25/36 | 2,687,638 | |||||||||||||
Thornburg Mortgage Securities Trust Series 2006-5, Class A1 | ||||||||||||||||
2,472,274 | 5.440 | 08/25/36 | 2,469,643 | |||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class A4 | ||||||||||||||||
3,000,000 | 5.368 | 10/15/44 | 2,900,825 | |||||||||||||
Washington Mutual, Inc. Series 2005-AR10, Class 1A3 | ||||||||||||||||
2,000,000 | 4.835 | 09/25/35 | 1,967,458 | |||||||||||||
Washington Mutual, Inc. Series 2006-AR11, Class 1A | ||||||||||||||||
3,404,541 | 5.989 | 09/25/46 | 3,408,796 | |||||||||||||
Washington Mutual, Inc. Series 2006-AR11, Class 3A1A | ||||||||||||||||
922,235 | 5.949 | 09/25/46 | 922,955 | |||||||||||||
Washington Mutual, Inc. Series 2007-OA2, Class 1A | ||||||||||||||||
919,428 | 5.729 | 03/25/47 | 917,992 | |||||||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR9, Class 2A | ||||||||||||||||
2,820,885 | 5.869 | 11/25/46 | 2,823,089 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3 | ||||||||||||||||
1,562,687 | 5.607 | 07/25/36 | 1,555,377 | |||||||||||||
58,393,892 | ||||||||||||||||
Commercial Mortgage Backed Securities – 7.2% | ||||||||||||||||
Sequential Fixed Rate | ||||||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2006-5, Class A4 | ||||||||||||||||
1,500,000 | 5.414 | 09/10/47 | 1,453,414 | |||||||||||||
Bear Stearns Commercial Mortgage Securities Series 1999-WF2, Class A2 | ||||||||||||||||
2,687,378 | 7.080 | 07/15/31 | 2,745,793 | |||||||||||||
Bear Stearns Commercial Mortgage Securities Series 2006-T24, Class A4 | ||||||||||||||||
1,750,000 | 5.537 | 10/12/41 | 1,707,564 | |||||||||||||
Citigroup Commercial Mortgage Trust Series 2006-C5, Class A4 | ||||||||||||||||
3,000,000 | 5.431 | 10/15/49 | 2,901,992 | |||||||||||||
GE Capital Commercial Mortgage Corp. Series 2002-1A, Class A3 | ||||||||||||||||
2,700,000 | 6.269 | 12/10/35 | 2,763,797 | |||||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP2, Class A4 | ||||||||||||||||
1,500,000 | 4.738 | 07/15/42 | 1,396,936 | |||||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CB17, Class A4 | ||||||||||||||||
2,000,000 | 5.429 | 12/12/43 | 1,932,985 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4 | ||||||||||||||||
2,000,000 | 5.156 | 02/15/31 | 1,911,916 | |||||||||||||
Morgan Stanley Dean Witter Capital I Series 2003-TOP9, Class A2 | ||||||||||||||||
2,700,000 | 4.740 | 11/13/36 | 2,582,068 | |||||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | $ | 19,396,465 | ||||||||||||||
Collateralized Mortgage Obligations – 1.3% | ||||||||||||||||
Interest Only(a)(e) – 0.2% | ||||||||||||||||
FHLMC Series 2005-3038, Class XA | ||||||||||||||||
74,809 | 0.000 | 09/15/35 | 74,301 | |||||||||||||
FHLMC Series 2006-3167, Class X | ||||||||||||||||
262,567 | 0.000 | 06/15/36 | 242,877 | |||||||||||||
FHLMC Series 2006-3176, Class XI | ||||||||||||||||
1,039,149 | 0.000 | 10/15/35 | 10,638 | |||||||||||||
FHLMC Series 2007-3275, Class UF | ||||||||||||||||
97,546 | 0.000 | 02/15/37 | 118,311 | |||||||||||||
FNMA Series 2004-71, Class DI | ||||||||||||||||
651,720 | 0.000 | 04/25/34 | 48,634 | |||||||||||||
FNMA Series 2006-81, Class LF | ||||||||||||||||
93,999 | 0.000 | 09/25/36 | 99,908 | |||||||||||||
FNMA Series 2007-56, Class GY | ||||||||||||||||
99,492 | 0.000 | 06/25/37 | 115,432 | |||||||||||||
710,101 | ||||||||||||||||
Planned Amortization Class – 1.1% | ||||||||||||||||
FNMA Series 2003-92, Class PD | ||||||||||||||||
3,000,000 | 4.500 | 03/25/17 | 2,895,097 | |||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 3,605,198 | ||||||||||||||
FHLMC – 8.6% | ||||||||||||||||
98,498 | 7.000 | 08/01/10 | 100,631 | |||||||||||||
182 | 7.000 | 09/01/11 | 186 | |||||||||||||
15,970 | 7.000 | 11/01/11 | 16,396 |
30
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | ||||||||||||||
Value | ||||||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
FHLMC – (continued) | ||||||||||||||||
$ | 28,421 | 7.000 | % | 12/01/11 | $ | 29,180 | ||||||||||
112,781 | 7.500 | 06/01/15 | 116,860 | |||||||||||||
309,250 | 7.000 | 07/01/16 | 315,378 | |||||||||||||
1,660,642 | 5.500 | 02/01/18 | 1,641,993 | |||||||||||||
119,323 | 5.500 | 04/01/18 | 117,983 | |||||||||||||
205,825 | 4.500 | 05/01/18 | 196,338 | |||||||||||||
48,854 | 4.500 | 06/01/18 | 46,602 | |||||||||||||
194,879 | 4.500 | 09/01/18 | 185,895 | |||||||||||||
211,580 | 5.500 | 09/01/18 | 209,204 | |||||||||||||
143,455 | 4.500 | 10/01/18 | 136,843 | |||||||||||||
516 | 7.500 | 10/01/18 | 517 | |||||||||||||
148,022 | 4.500 | 11/01/18 | 141,199 | |||||||||||||
1,029,109 | 4.500 | 12/01/18 | 981,674 | |||||||||||||
3,547,165 | 5.000 | 12/01/18 | 3,443,983 | |||||||||||||
54,264 | 4.500 | 01/01/19 | 51,763 | |||||||||||||
107,177 | 4.500 | 03/01/19 | 102,152 | |||||||||||||
4,398,355 | 4.000 | 06/01/19 | 4,079,190 | |||||||||||||
26,169 | 9.500 | 08/01/19 | 28,090 | |||||||||||||
4,889,795 | 5.000 | 11/01/19 | 4,740,017 | |||||||||||||
215,481 | 5.000 | 02/01/20 | 208,447 | |||||||||||||
1,116 | 9.500 | 08/01/20 | 1,201 | |||||||||||||
397,929 | 6.500 | 10/01/20 | 408,180 | |||||||||||||
26,734 | 9.500 | 02/01/21 | 28,444 | |||||||||||||
47,016 | 6.500 | 01/01/24 | 47,848 | |||||||||||||
267,304 | 6.500 | 12/01/27 | 271,888 | |||||||||||||
150,243 | 6.000 | 03/01/29 | 149,818 | |||||||||||||
2,063 | 6.000 | 04/01/29 | 2,057 | |||||||||||||
79,571 | 7.500 | 12/01/29 | 83,046 | |||||||||||||
2,175 | 7.500 | 11/01/30 | 2,270 | |||||||||||||
515,596 | 6.500 | 12/01/31 | 524,408 | |||||||||||||
696,812 | 7.000 | 05/01/32 | 719,409 | |||||||||||||
3,325 | 6.000 | 08/01/32 | 3,313 | |||||||||||||
434,766 | 7.000 | 12/01/32 | 448,865 | |||||||||||||
3,678,786 | 6.500 | 10/01/34 | 3,741,656 | |||||||||||||
23,322,924 | ||||||||||||||||
FNMA – 11.3% | ||||||||||||||||
8,397 | 6.500 | 05/01/08 | 8,533 | |||||||||||||
663 | 8.000 | 04/01/09 | 667 | |||||||||||||
2,937 | 9.000 | 02/01/10 | 3,056 | |||||||||||||
82,969 | 6.000 | 08/01/13 | 83,362 | |||||||||||||
18,677 | 7.500 | 01/01/14 | 18,712 | |||||||||||||
375,858 | 7.500 | 08/01/15 | 388,690 | |||||||||||||
97,453 | 6.000 | 04/01/16 | 98,038 | |||||||||||||
208,916 | 6.500 | 05/01/16 | 212,860 | |||||||||||||
312,214 | 6.500 | 09/01/16 | 318,107 | |||||||||||||
402,061 | 6.500 | 11/01/16 | 409,650 | |||||||||||||
97,436 | 6.000 | 12/01/16 | 98,021 | |||||||||||||
780,061 | 6.000 | 02/01/17 | 784,759 | |||||||||||||
135,230 | 7.500 | 04/01/17 | 139,866 | |||||||||||||
1,170,779 | 6.000 | 10/01/17 | 1,177,831 | |||||||||||||
1,081,816 | 5.500 | 02/01/18 | 1,069,727 | |||||||||||||
331,934 | 4.500 | 04/01/18 | 316,498 | |||||||||||||
2,842,574 | 4.500 | 05/01/18 | 2,710,385 | |||||||||||||
1,168,304 | 5.000 | 05/01/18 | 1,134,203 | |||||||||||||
3,841,786 | 4.500 | 06/01/18 | 3,663,129 | |||||||||||||
205,194 | 4.500 | 07/01/18 | 195,652 | |||||||||||||
110,617 | 6.500 | 08/01/18 | 112,094 | |||||||||||||
461,823 | 7.000 | 08/01/18 | 480,575 | |||||||||||||
4,388,031 | 4.000 | 09/01/18 | 4,082,908 | |||||||||||||
5,412,752 | 4.500 | 01/01/19 | 5,161,040 | |||||||||||||
726 | 7.000 | 07/01/25 | 751 | |||||||||||||
28,975 | 7.500 | 10/01/25 | 30,165 | |||||||||||||
11,323 | 7.000 | 11/01/25 | 11,719 | |||||||||||||
75,300 | 9.000 | 11/01/25 | 81,673 | |||||||||||||
4,210 | 7.000 | 08/01/27 | 4,346 | |||||||||||||
26,262 | 7.000 | 09/01/27 | 27,112 | |||||||||||||
954 | 7.000 | 01/01/28 | 985 | |||||||||||||
4,543 | 7.500 | 03/01/28 | 4,730 | |||||||||||||
827,521 | 6.000 | 02/01/29 | 824,584 | |||||||||||||
467,466 | 6.000 | 03/01/29 | 465,663 | |||||||||||||
189,378 | 6.500 | 03/01/29 | 192,904 | |||||||||||||
408,073 | 6.000 | 05/01/29 | 406,499 | |||||||||||||
44,625 | 6.500 | 05/01/29 | 45,442 | |||||||||||||
1,171,573 | 6.000 | 06/01/29 | 1,167,054 | |||||||||||||
288,453 | 6.500 | 06/01/29 | 293,738 | |||||||||||||
135,572 | 6.500 | 07/01/29 | 138,055 | |||||||||||||
263,992 | 6.500 | 08/01/29 | 268,829 | |||||||||||||
7,786 | 7.000 | 09/01/29 | 8,068 | |||||||||||||
125,657 | 6.500 | 10/01/29 | 127,959 | |||||||||||||
100,398 | 8.000 | 10/01/29 | 106,246 | |||||||||||||
172,468 | 6.500 | 11/01/29 | 175,627 | |||||||||||||
124,695 | 6.500 | 12/01/29 | 126,979 | |||||||||||||
52,867 | 7.000 | 12/01/29 | 54,779 | |||||||||||||
20,042 | 7.500 | 12/01/29 | 20,906 | |||||||||||||
9,312 | 7.500 | 04/01/30 | 9,706 | |||||||||||||
1,646 | 8.500 | 04/01/30 | 1,766 | |||||||||||||
53,478 | 7.500 | 05/01/30 | 55,775 | |||||||||||||
13,382 | 8.000 | 05/01/30 | 13,862 | |||||||||||||
558 | 8.500 | 06/01/30 | 599 | |||||||||||||
13,260 | 7.500 | 08/01/30 | 13,821 | |||||||||||||
35,451 | 7.500 | 09/01/30 | 36,950 | |||||||||||||
254,738 | 6.500 | 04/01/31 | 259,164 | |||||||||||||
49,779 | 7.000 | 05/01/32 | 51,487 | |||||||||||||
366,550 | 7.000 | 06/01/32 | 378,774 | |||||||||||||
435,543 | 7.000 | 08/01/32 | 450,068 | |||||||||||||
130,239 | 8.000 | 08/01/32 | 137,244 | |||||||||||||
1,838,709 | 7.500 | 12/01/36 | 1,901,784 | |||||||||||||
30,564,176 | ||||||||||||||||
GNMA – 1.0% | ||||||||||||||||
609 | 6.500 | 09/15/08 | 612 | |||||||||||||
66,210 | 7.000 | 03/15/12 | 67,536 | |||||||||||||
65,344 | 7.000 | 06/15/23 | 67,673 | |||||||||||||
22,365 | 7.000 | 10/15/25 | 23,150 | |||||||||||||
29,991 | 7.000 | 11/15/25 | 31,044 | |||||||||||||
4,652 | 7.000 | 02/15/26 | 4,811 | |||||||||||||
20,599 | 7.000 | 04/15/26 | 21,304 | |||||||||||||
9,722 | 7.000 | 03/15/27 | 10,052 | |||||||||||||
1,402 | 7.000 | 06/15/27 | 1,449 |
31
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | ||||||||||||||
Value | ||||||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
GNMA – (continued) | ||||||||||||||||
$ | 25,893 | 7.000 | % | 10/15/27 | $ | 26,772 | ||||||||||
177,771 | 7.000 | 11/15/27 | 183,808 | |||||||||||||
10,385 | 7.000 | 01/15/28 | 10,741 | |||||||||||||
70,884 | 7.000 | 02/15/28 | 73,307 | |||||||||||||
23,431 | 7.000 | 03/15/28 | 24,233 | |||||||||||||
12,441 | 7.000 | 04/15/28 | 12,866 | |||||||||||||
1,433 | 7.000 | 05/15/28 | 1,482 | |||||||||||||
28,739 | 7.000 | 06/15/28 | 29,721 | |||||||||||||
47,244 | 7.000 | 07/15/28 | 48,859 | |||||||||||||
143,909 | 7.000 | 08/15/28 | 148,829 | |||||||||||||
65,321 | 7.000 | 09/15/28 | 67,554 | |||||||||||||
11,496 | 7.000 | 11/15/28 | 11,889 | |||||||||||||
6,169 | 7.500 | 11/15/30 | 6,474 | |||||||||||||
4,209 | 7.000 | 10/15/31 | 4,370 | |||||||||||||
1,492 | 7.000 | 12/15/31 | 1,549 | |||||||||||||
38,360 | 7.500 | 10/15/32 | 40,123 | |||||||||||||
1,675,154 | 6.000 | 08/20/34 | 1,668,941 | |||||||||||||
2,589,149 | ||||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $156,605,072) | $ | 154,653,664 | ||||||||||||||
Agency Debentures – 6.2% | ||||||||||||||||
FFCB | ||||||||||||||||
$ | 1,600,000 | 5.400 | % | 06/08/17 | $ | 1,591,573 | ||||||||||
FHLB | ||||||||||||||||
1,800,000 | 4.000 | 12/30/11 | 1,708,038 | |||||||||||||
6,990,000 | 4.875 | 12/14/12 | 6,839,868 | |||||||||||||
5,000,000 | 4.750 | 11/14/14 | 4,802,849 | |||||||||||||
Tennessee Valley Authority | ||||||||||||||||
2,000,000 | 5.375 | 04/01/56 | 1,898,541 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $17,256,079) | $ | 16,840,869 | ||||||||||||||
U.S. Treasury Obligations – 7.2% | ||||||||||||||||
United States Treasury Bonds | ||||||||||||||||
$ | 4,000,000 | 5.375 | % | 02/15/31 | $ | 4,112,480 | ||||||||||
3,340,000 | 4.500 | 02/15/36 | 3,027,109 | |||||||||||||
2,500,000 | 4.750 | 02/15/37 | 2,358,600 | |||||||||||||
United States Treasury Inflation-Protected Securities | ||||||||||||||||
1,096,250 | 2.375 | 01/15/25 | 1,054,000 | |||||||||||||
922,212 | 2.375 | 01/15/27 | 885,646 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
1,500,000 | 4.875 | 08/15/16 | 1,481,715 | |||||||||||||
1,600,000 | 4.625 | 02/15/17 | 1,549,936 | |||||||||||||
United States Treasury Principal-Only STRIPS(d) | ||||||||||||||||
1,400,000 | 0.000 | 11/15/21 | 659,582 | |||||||||||||
5,000,000 | 0.000 | 11/15/24 | 2,017,550 | |||||||||||||
1,300,000 | 0.000 | 08/15/25 | 505,427 | |||||||||||||
1,400,000 | 0.000 | 08/15/26 | 518,196 | |||||||||||||
3,200,000 | 0.000 | 11/15/26 | 1,171,296 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $19,654,915) | $ | 19,341,537 | ||||||||||||||
Short-Term Obligation – 8.5% | ||||||||||||||||
JPMorgan Chase Euro – Time Deposit | ||||||||||||||||
$ | 22,960,355 | 5.282 | 07/02/07 | $ | 22,960,355 | |||||||||||
(Cost $22,960,355) | ||||||||||||||||
TOTAL INVESTMENTS – 99.5% | ||||||||||||||||
(Cost $272,738,040) | $ | 269,129,430 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.5% | 1,277,702 | |||||||||||||||
NET ASSETS – 100.0% | $ | 270,407,132 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2007. | |
(b) | 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 amounts to $18,536,366, which represents approximately 6.9% of net assets as of June 30, 2007. | |
(c) | Represents security with notional principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(d) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(e) | Security is issued with zero coupon, and interest rate is contingent upon LIBOR reaching a predetermined level. |
Investment Abbreviations: | ||||||
CMBS | — | Commercial Mortgage Backed Securities | ||||
CMO | — | Collateralized Mortgage Obligations | ||||
FFCB | — | Federal Farm Credit Bank | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
PAC | — | Planned Amortization Class | ||||
REIT | — | Real Estate Investment Trust | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
32
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY CONTRACTS — At June 30, 2007, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Unrealized | ||||||||||||||||
Contracts with Unrealized Gain | Sale Contract | Date | Settlement Date | Current Value | Gain | |||||||||||||||
Australian Dollar | Purchase | 9/19/2007 | $ | 3,821,067 | $ | 3,834,992 | $ | 13,925 | ||||||||||||
British Pound | Purchase | 9/19/2007 | 881,081 | 889,924 | 8,843 | |||||||||||||||
Canadian Dollar | Purchase | 7/12/2007 | 2,561,329 | 2,745,287 | 183,958 | |||||||||||||||
Euro | Purchase | 9/19/2007 | 4,700,970 | 4,741,175 | 40,205 | |||||||||||||||
Japanese Yen | Sale | 9/19/2007 | 3,162,929 | 3,113,930 | 48,999 | |||||||||||||||
Japanese Yen | Purchase | 9/19/2007 | 1,058,000 | 1,058,731 | 731 | |||||||||||||||
New Zealand Dollar | Purchase | 9/19/2007 | 1,052,260 | 1,075,309 | 23,049 | |||||||||||||||
Norwegian Krone | Purchase | 9/19/2007 | 3,128,369 | 3,179,319 | 50,950 | |||||||||||||||
Swiss Franc | Purchase | 9/19/2007 | 1,058,000 | 1,064,431 | 6,431 | |||||||||||||||
Swiss Franc | Sale | 8/15/2007 | 10,910 | 10,798 | 112 | |||||||||||||||
Swedish Krona | Purchase | 9/11/2007 | 489,388 | 502,779 | 13,391 | |||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CONTRACTS WITH UNREALIZED GAIN | $ | 390,594 | ||||||||||||||||||
Open Forward Foreign Currency | Purchase/ | Expiration | Value on | Unrealized | ||||||||||||||||
Contracts with Unrealized Loss | Sale Contract | Date | Settlement Date | Current Value | Loss | |||||||||||||||
Australian Dollar | Sale | 9/19/2007 | $ | 211,000 | $ | 212,781 | $ | (1,781 | ) | |||||||||||
Australian Dollar | Purchase | 9/19/2007 | 211,000 | 210,928 | (72 | ) | ||||||||||||||
British Pound | Sale | 9/19/2007 | 849,000 | 865,820 | (16,820 | ) | ||||||||||||||
Canadian Dollar | Sale | 7/12/2007 | 2,555,486 | 2,745,287 | (189,801 | ) | ||||||||||||||
Canadian Dollar | Sale | 9/19/2007 | 211,000 | 212,266 | (1,266 | ) | ||||||||||||||
Canadian Dollar | Purchase | 9/19/2007 | 3,361,381 | 3,339,897 | (21,484 | ) | ||||||||||||||
Euro | Sale | 9/19/2007 | 4,675,903 | 4,701,640 | (25,737 | ) | ||||||||||||||
Japanese Yen | Purchase | 9/19/2007 | 1,267,000 | 1,260,769 | (6,231 | ) | ||||||||||||||
Japanese Yen | Sale | 9/19/2007 | 211,000 | 212,570 | (1,570 | ) | ||||||||||||||
New Zealand Dollar | Sale | 9/19/2007 | 1,270,000 | 1,287,828 | (17,828 | ) | ||||||||||||||
Norwegian Krone | Sale | 9/19/2007 | 633,653 | 648,273 | (14,620 | ) | ||||||||||||||
Swiss Franc | Sale | 9/19/2007 | 3,672,462 | 3,697,072 | (24,610 | ) | ||||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CONTRACTS WITH UNREALIZED LOSS | $ | (321,820 | ) | |||||||||||||||||
FUTURES CONTRACTS — At June 30, 2007, the following futures contracts were open:
Number of | ||||||||||||||
Contracts Long | Settlement | Unrealized | ||||||||||||
Type | (Short) | Month | Market Value | Gain (Loss) | ||||||||||
Eurodollars | 14 | September 2007 | $ | 3,313,450 | $ | (11,335 | ) | |||||||
Eurodollars | (15) | December 2007 | (3,551,813 | ) | 14,238 | |||||||||
Eurodollars | (4) | March 2008 | (947,900 | ) | 4,437 | |||||||||
Eurodollars | (4) | June 2008 | (948,250 | ) | 3,936 | |||||||||
U.S. Treasury Bonds | 101 | September 2007 | 10,882,750 | (67,634 | ) | |||||||||
2 Year U.S. Treasury Notes | 116 | September 2007 | 23,638,625 | (6,052 | ) | |||||||||
5 Year U.S. Treasury Notes | (33) | September 2007 | (3,434,578 | ) | (5,600 | ) | ||||||||
10 Year U.S. Treasury Notes | (9) | September 2007 | (951,328 | ) | 12,007 | |||||||||
TOTAL | $ | 28,000,956 | $ | (56,003 | ) | |||||||||
33
Schedule of Investments
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – 54.4% | ||||||||||||||
Adjustable Rate FHLMC(a) – 2.0% | ||||||||||||||
$ | 773,699 | 4.846 | % | 09/01/35 | $ | 765,093 | ||||||||
914,990 | 4.731 | 10/01/35 | 892,557 | |||||||||||
1,657,650 | ||||||||||||||
Adjustable Rate FNMA(a) – 4.0% | ||||||||||||||
597,778 | 4.451 | 05/01/33 | 595,191 | |||||||||||
742,740 | 3.845 | 10/01/33 | 730,413 | |||||||||||
1,185,294 | 4.563 | 05/01/35 | 1,194,096 | |||||||||||
829,000 | 5.088 | 12/01/35 | 823,042 | |||||||||||
3,342,742 | ||||||||||||||
Adjustable Rate Non-Agency(a) – 12.5% | ||||||||||||||
Bear Stearns Commercial Mortgage Securities Series 2006-PW12, Class A4 | ||||||||||||||
500,000 | 5.900 | 09/11/38 | 498,121 | |||||||||||
Citigroup Commercial Mortgage Trust Series 2006-C4, Class A3 | ||||||||||||||
500,000 | 5.914 | 03/15/49 | 498,303 | |||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2005-CD1, Class A4 | ||||||||||||||
1,000,000 | 5.400 | 07/15/44 | 967,131 | |||||||||||
Commercial Mortgage Pass Through Certificates Series 2006-C7, Class A4 | ||||||||||||||
1,000,000 | 5.962 | 06/10/46 | 999,291 | |||||||||||
Countrywide Alternative Loan Trust Series 2005-59, Class 1A2A | ||||||||||||||
638,566 | 5.700 | 11/20/35 | 641,406 | |||||||||||
Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A | ||||||||||||||
674,075 | 5.540 | 04/25/46 | 674,535 | |||||||||||
J.P. Morgan Mortgage Trust Series 2007-A1, Class 2A2 | ||||||||||||||
956,745 | 4.763 | 07/25/35 | 941,361 | |||||||||||
Lehman XS Trust Series 2007-4N, Class 3A2A | ||||||||||||||
958,838 | 5.779 | 03/25/37 | 957,639 | |||||||||||
Luminent Mortgage Trust Series 2006-2, Class A1A | ||||||||||||||
681,282 | 5.520 | 02/25/46 | 681,671 | |||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2005-A9, Class 2A1C | ||||||||||||||
1,000,000 | 5.150 | 12/25/35 | 982,854 | |||||||||||
Washington Mutual, Inc. Series 2005-AR10, Class 1A3 | ||||||||||||||
1,000,000 | 4.835 | 09/25/35 | 983,729 | |||||||||||
Washington Mutual, Inc. Series 2006-AR11, Class 3A1A | ||||||||||||||
922,235 | 5.949 | 09/25/46 | 922,955 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3 | ||||||||||||||
781,344 | 5.607 | 07/25/36 | 777,689 | |||||||||||
10,526,685 | ||||||||||||||
Commercial Mortgage Backed Securities – 3.4% | ||||||||||||||
Sequential Fixed Rate | ||||||||||||||
Banc of America Commercial Mortgage, Inc. Series 2006-4, Class A4 | ||||||||||||||
1,000,000 | 5.634 | 07/10/46 | 983,869 | |||||||||||
Banc of America Commercial Mortgage, Inc. Series 2006-5, Class A4 | ||||||||||||||
1,000,000 | 5.414 | 09/10/47 | 968,942 | |||||||||||
Commercial Mortgage-Pass Through Certificates Series 2006-C8, Class A4 | ||||||||||||||
1,000,000 | 5.306 | 12/10/46 | 957,911 | |||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 2,910,722 | |||||||||||||
Collateralized Mortgage Obligations – 11.2% | ||||||||||||||
Interest Only(a)(d) – 0.2% | ||||||||||||||
FNMA Series 2004-47, Class EI | ||||||||||||||
394,842 | 0.000 | 06/25/34 | 31,162 | |||||||||||
FNMA Series 2004-62, Class DI | ||||||||||||||
169,353 | 0.000 | 07/25/33 | 12,243 | |||||||||||
FNMA Series 2007-53, Class UF | ||||||||||||||
99,790 | 0.000 | 06/15/37 | 117,819 | |||||||||||
161,224 | ||||||||||||||
Planned Amortization Class – 11.0% | ||||||||||||||
FNMA Series 2003-32, Class PD | ||||||||||||||
1,926,867 | 4.000 | 07/25/22 | 1,918,112 | |||||||||||
FNMA Series 2003-70, Class BS | ||||||||||||||
2,858,409 | 4.000 | 04/25/22 | 2,830,601 | |||||||||||
FNMA Series 2719, Class GC | ||||||||||||||
4,580,000 | 5.000 | 06/25/26 | 4,499,282 | |||||||||||
9,247,995 | ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | 9,409,219 | |||||||||||||
FHLMC – 7.1% | ||||||||||||||
1,754,635 | 4.500 | 12/01/18 | 1,673,758 | |||||||||||
1,759,356 | 4.000 | 06/01/19 | 1,631,689 | |||||||||||
1,491,703 | 4.500 | 06/01/19 | 1,422,945 | |||||||||||
409 | 8.000 | 06/01/19 | 409 | |||||||||||
12,468 | 10.000 | 03/01/21 | 13,563 | |||||||||||
25,542 | 6.500 | 06/01/23 | 26,237 | |||||||||||
1,241,315 | 6.500 | 10/01/34 | 1,262,529 | |||||||||||
6,031,130 | ||||||||||||||
FNMA – 14.2% | ||||||||||||||
398 | 8.000 | 04/01/09 | 400 | |||||||||||
84,562 | 5.000 | 11/01/17 | 82,147 | |||||||||||
378,037 | 5.000 | 12/01/17 | 367,238 | |||||||||||
330,305 | 5.000 | 01/01/18 | 320,870 | |||||||||||
938,609 | 5.000 | 02/01/18 | 911,213 | |||||||||||
278,413 | 5.000 | 03/01/18 | 270,287 | |||||||||||
41,492 | 4.500 | 04/01/18 | 39,562 | |||||||||||
433,512 | 5.000 | 04/01/18 | 420,859 | |||||||||||
355,319 | 4.500 | 05/01/18 | 338,796 | |||||||||||
167,109 | 5.000 | 05/01/18 | 162,231 | |||||||||||
480,222 | 4.500 | 06/01/18 | 457,890 | |||||||||||
885,182 | 5.000 | 06/01/18 | 859,345 | |||||||||||
25,649 | 4.500 | 07/01/18 | 24,456 | |||||||||||
26,325 | 5.000 | 07/01/18 | 25,557 | |||||||||||
1,755,212 | 4.000 | 09/01/18 | 1,633,163 | |||||||||||
801,234 | 4.500 | 09/01/18 | 763,974 | |||||||||||
25,406 | 4.500 | 10/01/18 | 24,225 |
34
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||
FNMA – (continued) | ||||||||||||||
$ | 1,015,760 | 4.500 | % | 11/01/18 | $ | 968,523 | ||||||||
534,504 | 5.000 | 11/01/18 | 518,903 | |||||||||||
122,487 | 4.500 | 12/01/18 | 116,791 | |||||||||||
808,295 | 5.000 | 12/01/18 | 784,702 | |||||||||||
25,630 | 4.500 | 01/01/19 | 24,438 | |||||||||||
35,568 | 4.500 | 03/01/19 | 33,914 | |||||||||||
887,971 | 5.000 | 04/01/19 | 862,053 | |||||||||||
816,419 | 5.000 | 06/01/19 | 792,589 | |||||||||||
297,869 | 4.500 | 09/01/19 | 284,017 | |||||||||||
85,176 | 4.500 | 03/01/20 | 81,215 | |||||||||||
221,937 | 4.500 | 04/01/20 | 211,616 | |||||||||||
25,147 | 8.000 | 09/01/21 | 26,483 | |||||||||||
92,965 | 7.500 | 05/01/36 | 96,154 | |||||||||||
400,853 | 7.500 | 06/01/36 | 414,604 | |||||||||||
85,391 | 7.500 | 07/01/36 | 88,320 | |||||||||||
12,006,535 | ||||||||||||||
GNMA – 0.0% | ||||||||||||||
2,080 | 6.500 | 06/15/09 | 2,105 | |||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
(Cost $46,407,811) | $ | 45,886,788 | ||||||||||||
Agency Debentures – 28.7% | ||||||||||||||
FFCB | ||||||||||||||
$ | 500,000 | 5.400 | % | 06/08/17 | $ | 497,367 | ||||||||
FHLB | ||||||||||||||
7,000,000 | 3.500 | 04/06/09 | 6,801,256 | |||||||||||
4,500,000 | 4.000 | 12/19/11 | 4,244,649 | |||||||||||
9,500,000 | 4.000 | 12/30/11 | 9,014,645 | |||||||||||
FNMA | ||||||||||||||
3,000,000 | 3.860 | 02/22/08 | 2,971,698 | |||||||||||
Tennessee Valley Authority | ||||||||||||||
700,000 | 5.375 | 04/01/56 | 664,489 | |||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||
(Cost $24,595,192) | $ | 24,194,104 | ||||||||||||
U.S. Treasury Obligations – 10.0% | ||||||||||||||
United States Treasury Inflation-Protected Securities | ||||||||||||||
$ | 219,250 | 2.375 | % | 01/15/25 | $ | 210,800 | ||||||||
204,936 | 2.375 | 01/15/27 | 196,810 | |||||||||||
United States Treasury Notes | ||||||||||||||
1,900,000 | 4.875 | 08/15/09 | 1,899,202 | |||||||||||
100,000 | 4.500 | 09/30/11 | 98,383 | |||||||||||
400,000 | 5.125 | 05/15/16 | 402,240 | |||||||||||
2,100,000 | 4.875 | 08/15/16 | 2,074,401 | |||||||||||
United States Treasury Notes – (continued) | ||||||||||||||
1,100,000 | 4.625 | 02/15/17 | 1,065,581 | |||||||||||
900,000 | 4.500 | 02/15/36 | 815,688 | |||||||||||
1,100,000 | 4.750 | 02/15/37 | 1,037,784 | |||||||||||
United States Treasury Principal-Only STRIPS(c) | ||||||||||||||
200,000 | 0.000 | 08/15/25 | 77,758 | |||||||||||
300,000 | 0.000 | 08/15/26 | 111,042 | |||||||||||
1,300,000 | 0.000 | 11/15/26 | 475,839 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $8,585,475) | $ | 8,465,528 | ||||||||||||
Short-Term Obligation – 6.9% | ||||||||||||||
JPMorgan Chase Euro – Time Deposit | ||||||||||||||
$ | 5,800,330 | 5.282 | % | 07/02/07 | $ | 5,800,330 | ||||||||
(Cost $5,800,330) | ||||||||||||||
TOTAL INVESTMENTS – 100.0% | ||||||||||||||
(Cost $85,388,808) | $ | 84,346,750 | ||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.0% | 17,302 | |||||||||||||
NET ASSETS – 100.0% | $ | 84,364,052 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2007. | |
(b) | Represents security with notional principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(c) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | Security issued with a zero coupon, and interest rate is contingent upon LIBOR reaching a predetermined level. |
Investment Abbreviations: | ||||||
CMBS | — | Commercial Mortgage Backed Securities | ||||
CMO | — | Collateralized Mortgage Obligations | ||||
FFCB | — | Federal Farm Credit Bank | ||||
FHLB | — | Federal Home Loan Bank | ||||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
FNMA | — | Federal National Mortgage Association | ||||
GNMA | — | Government National Mortgage Association | ||||
PAC | — | Planned Amortization Class | ||||
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
35
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2007, the following futures contracts were open:
Number of | ||||||||||||||
Contracts Long | Settlement | Unrealized | ||||||||||||
Type | (Short) | Month | Market Value | Gain (Loss) | ||||||||||
Eurodollars | 10 | September 2007 | $ | 2,366,750 | $ | (8,096 | ) | |||||||
Eurodollars | (1 | ) | December 2007 | (236,787 | ) | 949 | ||||||||
Eurodollars | (2 | ) | March 2008 | (473,950 | ) | 2,218 | ||||||||
Eurodollars | (4 | ) | June 2008 | (948,250 | ) | 3,936 | ||||||||
U.S. Treasury Bonds | 83 | September 2007 | 8,943,250 | (131,035 | ) | |||||||||
2 Year U.S. Treasury Notes | (15 | ) | September 2007 | (3,056,719 | ) | 3,235 | ||||||||
5 Year U.S. Treasury Notes | (46 | ) | September 2007 | (4,787,594 | ) | (4,616 | ) | |||||||
10 Year U.S. Treasury Notes | 18 | September 2007 | 1,902,656 | (11,640 | ) | |||||||||
TOTAL | $ | 3,709,356 | $ | (145,049 | ) | |||||||||
36
Schedule of Investments
Principal | Interest | Maturity | Amortized | |||||||||||||
Amount | Rate | Date | Cost | |||||||||||||
Commercial Paper and Corporate Obligations – 34.0% | ||||||||||||||||
Aspen Funding Corp. | ||||||||||||||||
$ | 5,000,000 | 5.235 | % | 07/23/07 | $ | 4,984,004 | ||||||||||
Atlantic Asset | ||||||||||||||||
4,000,000 | 5.235 | 07/06/07 | 3,997,092 | |||||||||||||
BA Credit Card Trust (Emerald) | ||||||||||||||||
4,000,000 | 5.245 | 07/19/07 | 3,989,510 | |||||||||||||
Beta Finance Corp. | ||||||||||||||||
1,000,000 | 5.240 | 07/24/07 | 996,652 | |||||||||||||
Charta LLC | ||||||||||||||||
5,000,000 | 5.300 | 08/24/07 | 4,960,250 | |||||||||||||
Citibank Credit Card Issuance Trust (Dakota Corp.) | ||||||||||||||||
3,000,000 | 5.240 | 07/20/07 | 2,991,703 | |||||||||||||
General Electric Capital Corp. | ||||||||||||||||
4,000,000 | 5.150 | 10/15/07 | 3,939,345 | |||||||||||||
Grampian Funding LLC | ||||||||||||||||
5,000,000 | 5.190 | 11/21/07 | 4,896,921 | |||||||||||||
Irish Life & Permanent PLC | ||||||||||||||||
3,000,000 | 5.180 | 10/16/07 | 2,953,812 | |||||||||||||
Lake Constance Funding Ltd. | ||||||||||||||||
4,000,000 | 5.260 | 09/13/07 | 3,956,751 | |||||||||||||
Landale Funding LLC | ||||||||||||||||
5,000,000 | 5.250 | 09/10/07 | 4,948,229 | |||||||||||||
Liberty Street Funding Corp. | ||||||||||||||||
2,453,000 | 5.290 | 08/20/07 | 2,434,977 | |||||||||||||
Macquarie Bank Ltd. | ||||||||||||||||
1,148,000 | 5.270 | 07/05/07 | 1,147,328 | |||||||||||||
Nationwide Building Society | ||||||||||||||||
5,000,000 | 5.240 | 08/10/07 | 4,970,889 | |||||||||||||
Newport Funding Corp. | ||||||||||||||||
5,000,000 | 5.235 | 07/23/07 | 4,984,004 | |||||||||||||
Tulip Funding Corp. | ||||||||||||||||
5,000,000 | 5.330 | 07/30/07 | 4,978,532 | |||||||||||||
United Parcel Service of America, Inc. | ||||||||||||||||
2,000,000 | 5.210 | 07/31/07 | 1,991,317 | |||||||||||||
Westpac Banking Corp. | ||||||||||||||||
3,000,000 | 5.200 | 12/21/07 | 2,925,033 | |||||||||||||
Windmill Funding Corp. | ||||||||||||||||
5,000,000 | 5.300 | 07/11/07 | 4,992,639 | |||||||||||||
TOTAL COMMERCIAL PAPER AND CORPORATE | ||||||||||||||||
OBLIGATIONS | $ | 71,038,988 | ||||||||||||||
Eurodollar Certificates of Deposit – 0.5% | ||||||||||||||||
Societe Generale | ||||||||||||||||
$ | 1,000,000 | 5.300 | % | 01/03/08 | $ | 1,000,000 | ||||||||||
Medium Term Notes – 2.8% | ||||||||||||||||
UBS AG Stamford | ||||||||||||||||
$ | 1,000,000 | 5.400 | % | 11/28/07 | $ | 1,000,000 | ||||||||||
Wal-Mart Stores, Inc.(a) | ||||||||||||||||
5,000,000 | 5.502 | 07/16/07 | 5,000,132 | |||||||||||||
TOTAL MEDIUM TERM NOTES | $ | 6,000,132 | ||||||||||||||
Variable Rate Obligations(b) – 29.7% | ||||||||||||||||
Barclays Bank PLC | ||||||||||||||||
$ | 4,000,000 | 5.281 | % | 07/16/07 | $ | 3,999,543 | ||||||||||
Caja Madrid | ||||||||||||||||
5,000,000 | 5.360 | 07/19/07 | 5,000,000 | |||||||||||||
Crown Point Capital Co. LLC | ||||||||||||||||
5,000,000 | 5.310 | 09/10/07 | 4,999,817 | |||||||||||||
HBOS Treasury Services PLC | ||||||||||||||||
5,000,000 | 5.290 | 07/09/07 | 5,000,000 | |||||||||||||
IBM Corp.(a) | ||||||||||||||||
10,000,000 | 5.330 | 07/08/07 | 10,000,000 | |||||||||||||
Merrill Lynch & Co., Inc. | ||||||||||||||||
2,000,000 | 5.330 | 07/16/07 | 2,000,000 | |||||||||||||
Nordea Bank AB(a) | ||||||||||||||||
4,000,000 | 5.330 | 07/11/07 | 4,000,000 | |||||||||||||
Royal Bank of Canada | ||||||||||||||||
5,000,000 | 5.265 | 07/03/07 | 4,998,882 | |||||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||||
5,000,000 | 5.265 | 07/26/07 | 4,998,910 | |||||||||||||
Societe Generale | ||||||||||||||||
2,000,000 | 5.270 | 07/26/07 | 1,999,564 | |||||||||||||
5,000,000 | 5.271 | 07/02/07 | 4,999,997 | |||||||||||||
UBS AG Stamford | ||||||||||||||||
2,000,000 | 5.290 | 07/16/07 | 2,000,000 | |||||||||||||
Unicredito Italiano NY | ||||||||||||||||
4,000,000 | 5.330 | 09/11/07 | 4,000,003 | |||||||||||||
Wells Fargo & Co. | ||||||||||||||||
4,000,000 | 5.310 | 07/03/07 | 4,000,000 | |||||||||||||
TOTAL VARIABLE RATE | ||||||||||||||||
OBLIGATIONS | $ | 61,996,716 | ||||||||||||||
Yankee Certificates of Deposit – 13.9% | ||||||||||||||||
Barclays Bank PLC | ||||||||||||||||
$ | 5,000,000 | 5.310 | % | 08/03/07 | $ | 5,000,000 | ||||||||||
1,000,000 | 5.320 | 08/23/07 | 1,000,000 | |||||||||||||
Credit Suisse First Boston, Inc. | ||||||||||||||||
2,000,000 | 5.310 | 05/22/08 | 2,000,000 | |||||||||||||
DePfa Bank PLC | ||||||||||||||||
5,000,000 | 5.310 | 08/09/07 | 5,000,000 | |||||||||||||
5,000,000 | 5.310 | 08/10/07 | 5,000,000 | |||||||||||||
Deutsche Bank AG | ||||||||||||||||
3,000,000 | 5.310 | 10/11/07 | 3,000,000 | |||||||||||||
1,000,000 | 5.400 | 11/21/07 | 1,000,000 | |||||||||||||
Norinchukin Bank NY | ||||||||||||||||
2,000,000 | 5.320 | 08/20/07 | 1,999,940 | |||||||||||||
5,000,000 | 5.340 | 09/10/07 | 4,999,864 | |||||||||||||
TOTAL YANKEE | ||||||||||||||||
CERTIFICATES OF DEPOSIT | $ | 28,999,804 | ||||||||||||||
TOTAL INVESTMENTS BEFORE REPURCHASE | ||||||||||||||||
AGREEMENT | $ | 169,035,640 | ||||||||||||||
37
Principal | Interest | Maturity | Amortized | |||||||||||||
Amount | Rate | Date | Cost | |||||||||||||
Repurchase Agreement(c) – 18.4% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 38,300,000 | 5.369 | % | 07/02/07 | $ | 38,300,000 | ||||||||||
Maturity Value: $38,317,136 | ||||||||||||||||
TOTAL INVESTMENTS – 99.3% | $ | 207,335,640 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.7% | ||||||||||||||||
1,408,725 | ||||||||||||||||
NET ASSETS – 100.0% | $ | 208,744,365 | ||||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | 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 amounts to $19,000,132, which represents approximately 9.1% of net assets as of June 29, 2007. | |
(b) | Variable or floating rate security index is based on either Federal Funds, U.S. Treasury Bill, or London Interbank Offering Rate. | |
(c) | Joint repurchase agreement was entered into on June 29, 2007. Additional information appears on page 39. |
Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities. |
38
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At June 30, 2007, the Fund had an undivided interest in the Joint Repurchase Agreement Account II, which equaled $38,300,000, in principal amount.
Repurchase Agreements
Principal | Interest | Maturity | Maturity | |||||||||||||
Counterparty | Amount | Rate | Date | Value | ||||||||||||
Banc of America Securities LLC | $ | 1,000,000,000 | 5.36 | % | 07/02/07 | $ | 1,000,446,667 | |||||||||
Barclays Capital PLC | 1,000,000,000 | 5.38 | 07/02/07 | 1,000,448,333 | ||||||||||||
Bear Stearns | 750,000,000 | 5.40 | 07/02/07 | 750,337,500 | ||||||||||||
Citigroup Global Markets, Inc. | 1,500,000,000 | 5.40 | 07/02/07 | 1,500,675,000 | ||||||||||||
Credit Suisse First Boston LLC | 250,000,000 | 5.38 | 07/02/07 | 250,112,083 | ||||||||||||
Deutsche Bank Securities, Inc. | 100,000,000 | 5.25 | 07/02/07 | 100,043,750 | ||||||||||||
Deutsche Bank Securities, Inc. | 2,000,000,000 | 5.35 | 07/02/07 | 2,000,891,667 | ||||||||||||
Greenwich Capital Markets | 500,000,000 | 5.38 | 07/02/07 | 500,224,167 | ||||||||||||
Lehman Brothers Holdings, Inc. | 250,000,000 | 5.29 | 07/02/07 | 250,110,208 | ||||||||||||
Lehman Brothers Holdings, Inc. | 250,000,000 | 5.30 | 07/02/07 | 250,110,417 | ||||||||||||
UBS Securities LLC | 100,000,000 | 5.35 | 07/02/07 | 100,044,583 | ||||||||||||
Wachovia Capital Markets | 250,000,000 | 5.40 | 07/02/07 | 250,112,500 | ||||||||||||
TOTAL | $ | 7,950,000,000 | $ | 7,953,556,875 | ||||||||||||
39
Statements of Assets and Liabilities
Growth | |||||||
Opportunities | |||||||
Fund | |||||||
Assets: | |||||||
Investment in securities, at value (identified cost $190,927,048, $289,761,970, $272,738,040 and $85,388,808, respectively and amortized cost $169,035,640 Money Market Fund only)(a) | $ | 214,429,569 | |||||
Repurchase agreement, at value (cost $38,300,000 Money Market Fund only) | — | ||||||
Securities lending collateral, at value which equals cost | 17,484,125 | ||||||
Cash(b) | — | ||||||
Foreign currencies, at value (identified cost $0, $0, $30,932, $0 and $0, respectively) | — | ||||||
Receivables: | |||||||
Investment securities sold | 3,028,454 | ||||||
Interest and dividends, at value | 55,512 | ||||||
Securities lending income | 9,750 | ||||||
Reimbursement from adviser | 53,963 | ||||||
Forward foreign currency exchange contracts, at value | — | ||||||
Variation margin | — | ||||||
Fund shares sold | — | ||||||
Other assets | 4,035 | ||||||
Total assets | 235,065,408 | ||||||
Liabilities: | |||||||
Due to Custodian | 275,149 | ||||||
Payables: | |||||||
Payable upon return of securities loaned | 17,484,125 | ||||||
Investment securities purchased | 604,499 | ||||||
Amounts owed to affiliates | 206,483 | ||||||
Fund shares repurchased | 193,315 | ||||||
Forward foreign currency exchange contracts, at value | — | ||||||
Variation margin | — | ||||||
Accrued expenses and other liabilities | 38,490 | ||||||
Total liabilities | 18,802,061 | ||||||
Net Assets: | |||||||
Paid-in capital | 176,783,916 | ||||||
Accumulated undistributed (distributions in excess of) net investment income (loss) | (652,068 | ) | |||||
Accumulated net realized gain (loss) on investment, futures and foreign currency related transactions | 16,628,978 | ||||||
Net unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 23,502,521 | ||||||
NET ASSETS | $ | 216,263,347 | |||||
Total Service shares of beneficial interest outstanding, $0.001 par value (unlimited number of shares authorized) | 30,909,321 | ||||||
Net asset value, offering and redemption price per share: | $ | 7.00 | |||||
(a) | Includes loaned securities having market values of $17,111,687 and $607,740 for the Growth Opportunities and Equity Index Funds, respectively. |
(b) | Includes $323,103 and $186,155 for the Core Fixed Income and Government Income Funds, respectively, relating to initial margin requirements for futures transactions. |
40
Equity | Core Fixed | Government | Money | |||||||||||||
Index Fund | Income Fund | Income Fund | Market Fund | |||||||||||||
$ | 411,406,400 | $ | 269,129,430 | $ | 84,346,750 | $ | 169,035,640 | |||||||||
— | — | — | 38,300,000 | |||||||||||||
627,900 | — | — | — | |||||||||||||
501,401 | 2,835,025 | 284,360 | 66,703 | |||||||||||||
— | 31,254 | — | — | |||||||||||||
146,934 | — | 173,652 | — | |||||||||||||
470,976 | 1,988,486 | 459,910 | 809,539 | |||||||||||||
282 | — | — | — | |||||||||||||
60,534 | 74,049 | 41,396 | 42,400 | |||||||||||||
— | 390,594 | — | — | |||||||||||||
— | 106,485 | 69,437 | — | |||||||||||||
— | 58,107 | 116,749 | 623,393 | |||||||||||||
— | — | — | 2,324 | |||||||||||||
413,214,427 | 274,613,430 | 85,492,254 | 208,879,999 | |||||||||||||
— | — | — | — | |||||||||||||
627,900 | — | — | — | |||||||||||||
1,654,771 | 3,390,802 | 1,031,536 | — | |||||||||||||
117,170 | 120,263 | 46,877 | 86,416 | |||||||||||||
167,475 | 289,112 | 2,253 | — | |||||||||||||
— | 321,820 | — | — | |||||||||||||
10,980 | — | — | — | |||||||||||||
86,817 | 84,301 | 47,536 | 49,218 | |||||||||||||
2,665,113 | 4,206,298 | 1,128,202 | 135,634 | |||||||||||||
361,306,376 | 283,705,265 | 89,356,889 | 208,744,259 | |||||||||||||
3,323,630 | 56,100 | (2,450 | ) | 1,974 | ||||||||||||
(75,771,512 | ) | (9,758,715 | ) | (3,803,280 | ) | (1,868 | ) | |||||||||
121,690,820 | (3,595,518 | ) | (1,187,107 | ) | — | |||||||||||
$ | 410,549,314 | $ | 270,407,132 | $ | 84,364,052 | $ | 208,744,365 | |||||||||
34,800,830 | 27,581,808 | 8,551,634 | 208,742,391 | |||||||||||||
$ | 11.80 | $ | 9.80 | $ | 9.87 | $ | 1.00 | |||||||||
41
Statements of Operations
Growth | |||||||
Opportunities | |||||||
Fund | |||||||
Investment income: | |||||||
Interest (including securities lending income of $35,743, $1,331, $0, $0, and $0, respectively)(a) | $ | 54,049 | |||||
Dividends | 521,038 | ||||||
Total investment income | 575,087 | ||||||
Expenses: | |||||||
Management fees | 1,079,217 | ||||||
Distribution and Service fees | 269,804 | ||||||
Shareholder meeting expense | 44,821 | ||||||
Transfer agent fees | 43,169 | ||||||
Professional fees | 36,939 | ||||||
Custody and accounting fees | 11,082 | ||||||
Trustee fees | 9,719 | ||||||
Printing fees | 8,593 | ||||||
Other | 3,698 | ||||||
Total expenses | 1,507,042 | ||||||
Less — expense reductions | (279,887 | ) | |||||
Net expenses | 1,227,155 | ||||||
NET INVESTMENT INCOME (LOSS) | (652,068 | ) | |||||
Realized and unrealized gain (loss) on investment, futures and foreign currency related transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | 12,308,997 | ||||||
Futures transactions | — | ||||||
Foreign currency related transactions | (66 | ) | |||||
Net change in unrealized gain (loss) on: | |||||||
Investments | 19,261,869 | ||||||
Futures | — | ||||||
Translation of assets and liabilities denominated in foreign currencies | 52 | ||||||
Net realized and unrealized gain (loss) on investment, futures and foreign currency related transactions | 31,570,852 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 30,918,784 | |||||
(a) | For the Core Fixed Income Fund, foreign taxes withheld on interest income were $1,538. |
42
Money | ||||||||||||||||
Equity | Core Fixed | Government | Market | |||||||||||||
Index Fund | Income Fund | Income Fund | Fund | |||||||||||||
$ | 180,620 | $ | 7,382,178 | $ | 2,093,476 | $ | 5,607,762 | |||||||||
3,939,970 | — | — | — | |||||||||||||
4,120,590 | 7,382,178 | 2,093,476 | 5,607,762 | |||||||||||||
631,032 | 554,236 | 232,222 | 365,700 | |||||||||||||
520,708 | 346,268 | 107,486 | 261,213 | |||||||||||||
68,868 | 44,729 | 22,965 | 28,788 | |||||||||||||
84,137 | 55,424 | 17,202 | 41,794 | |||||||||||||
65,138 | 34,189 | 38,383 | 33,424 | |||||||||||||
35,973 | 27,825 | 16,900 | 13,411 | |||||||||||||
9,719 | 9,719 | 9,719 | 9,719 | |||||||||||||
12,467 | 2,866 | 742 | 8,757 | |||||||||||||
11,148 | 8,839 | 5,984 | 3,483 | |||||||||||||
1,439,190 | 1,084,095 | 451,603 | 766,289 | |||||||||||||
(604,396 | ) | (341,325 | ) | (161,037 | ) | (256,818 | ) | |||||||||
834,794 | 742,770 | 290,566 | 509,471 | |||||||||||||
3,285,796 | 6,639,408 | 1,802,910 | 5,098,291 | |||||||||||||
22,779,598 | (33,062 | ) | 51,666 | — | ||||||||||||
318,681 | (665,879 | ) | (92,846 | ) | — | |||||||||||
— | 17,751 | — | — | |||||||||||||
1,565,678 | (3,262,840 | ) | (672,202 | ) | — | |||||||||||
37,369 | 150,680 | (90,302 | ) | — | ||||||||||||
— | (18,208 | ) | — | — | ||||||||||||
24,701,326 | (3,811,558 | ) | (803,684 | ) | — | |||||||||||
$ | 27,987,122 | $ | 2,827,850 | $ | 999,226 | $ | 5,098,291 | |||||||||
43
Statements of Changes in Net Assets
Growth Opportunities | ||||||||||
For the | ||||||||||
Six Months Ended | For the | |||||||||
June 30, 2007 | Year Ended | |||||||||
(Unaudited) | December 31, 2006 | |||||||||
From operations: | ||||||||||
Net investment income (loss) | $ | (652,068 | ) | $ | (1,404,218 | ) | ||||
Net realized gain (loss) from investment, futures and foreign currency related transactions | 12,308,931 | 91,071,705 | ||||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 19,261,921 | (76,856,373 | ) | |||||||
Net increase in net assets resulting from operations | 30,918,784 | 12,811,114 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income | — | — | ||||||||
From net realized gains | — | (89,741,828 | ) | |||||||
Total distributions to shareholders | — | (89,741,828 | ) | |||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 232,523 | 565,388 | ||||||||
Reinvestments of dividends and distributions | — | 89,741,828 | ||||||||
Cost of shares repurchased | (30,138,635 | ) | (71,951,318 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (29,906,112 | ) | 18,355,898 | |||||||
Payment from previous investment manager of merged fund | — | 2,462 | ||||||||
Net increase (decrease) in net assets resulting from capital transactions | (29,906,112 | ) | 18,358,360 | |||||||
TOTAL INCREASE (DECREASE) | 1,012,672 | (58,572,354 | ) | |||||||
Net assets: | ||||||||||
Beginning of period | 215,250,675 | 273,823,029 | ||||||||
End of period | $ | 216,263,347 | $ | 215,250,675 | ||||||
Accumulated undistributed (distribution in excess of) net investment income (loss) | $ | (652,068 | ) | $ | — | |||||
Summary of share transactions: | ||||||||||
Shares sold | 35,923 | 61,670 | ||||||||
Impact of conversion of shares due to merger | — | (105,942,206 | ) | |||||||
Shares issued on reinvestment of dividends and distributions | — | 14,544,860 | ||||||||
Shares repurchased | (4,593,467 | ) | (8,003,266 | ) | ||||||
NET INCREASE (DECREASE) | (4,557,544 | ) | (99,338,942 | ) | ||||||
44
Equity Index | Core Fixed Income | Government Income | Money Market | |||||||||||||||||||||||||||||
For the | For the | For the | For the | |||||||||||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||||||||||||
June 30, 2007 | Year Ended | June 30, 2007 | Year Ended | June 30, 2007 | Year Ended | June 30, 2007 | Year Ended | |||||||||||||||||||||||||
(Unaudited) | December 31, 2006 | (Unaudited) | December 31, 2006 | (Unaudited) | December 31, 2006 | (Unaudited) | December 31, 2006 | |||||||||||||||||||||||||
$ | 3,285,796 | $ | 6,852,464 | $ | 6,639,408 | $ | 13,456,074 | $ | 1,802,910 | $ | 3,657,080 | $ | 5,098,291 | $ | 9,943,381 | |||||||||||||||||
23,098,279 | 25,077,385 | (681,190 | ) | (4,151,657 | ) | (41,180 | ) | (1,195,978 | ) | — | — | |||||||||||||||||||||
1,603,047 | 31,725,131 | (3,130,368 | ) | 2,614,860 | (762,504 | ) | 1,067,756 | — | — | |||||||||||||||||||||||
27,987,122 | 63,654,980 | 2,827,850 | 11,919,277 | 999,226 | 3,528,858 | 5,098,291 | 9,943,381 | |||||||||||||||||||||||||
— | (6,863,196 | ) | (6,520,453 | ) | (13,428,582 | ) | (1,805,360 | ) | (3,790,127 | ) | (5,096,317 | ) | (9,943,381 | ) | ||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | (6,863,196 | ) | (6,520,453 | ) | (13,428,582 | ) | (1,805,360 | ) | (3,790,127 | ) | (5,096,317 | ) | (9,943,381 | ) | ||||||||||||||||||
7,827,968 | 6,907,077 | 5,570,206 | 6,755,685 | 6,381,932 | 5,206,721 | 74,861,346 | 122,952,588 | |||||||||||||||||||||||||
— | 6,863,196 | 6,520,453 | 13,428,582 | 1,805,360 | 3,790,127 | 5,096,317 | 9,965,929 | |||||||||||||||||||||||||
(63,736,322 | ) | (121,920,092 | ) | (23,758,695 | ) | (65,768,167 | ) | (10,079,679 | ) | (24,444,204 | ) | (70,654,175 | ) | (155,695,349 | ) | |||||||||||||||||
(55,908,354 | ) | (108,149,819 | ) | (11,668,036 | ) | (45,583,900 | ) | (1,892,387 | ) | (15,447,356 | ) | 9,303,488 | (22,776,832 | ) | ||||||||||||||||||
— | 241,488 | — | — | — | 2,488 | — | — | |||||||||||||||||||||||||
(55,908,354 | ) | (107,908,331 | ) | (11,668,036 | ) | (45,583,900 | ) | (1,892,387 | ) | (15,444,868 | ) | 9,303,488 | (22,776,832 | ) | ||||||||||||||||||
(27,921,232 | ) | (51,116,547 | ) | (15,360,639 | ) | (47,093,205 | ) | (2,698,521 | ) | (15,706,137 | ) | 9,305,462 | (22,776,832 | ) | ||||||||||||||||||
438,470,546 | 489,587,093 | 285,767,771 | 332,860,976 | 87,062,573 | 102,768,710 | 199,438,903 | 222,215,735 | |||||||||||||||||||||||||
$ | 410,549,314 | $ | 438,470,546 | $ | 270,407,132 | $ | 285,767,771 | $ | 84,364,052 | $ | 87,062,573 | $ | 208,744,365 | $ | 199,438,903 | |||||||||||||||||
$ | 3,323,630 | $ | 37,834 | $ | 56,100 | $ | (62,855 | ) | $ | (2,450 | ) | $ | — | $ | 1,974 | $ | — | |||||||||||||||
663,100 | 642,626 | 558,062 | 1,414,696 | 639,112 | 521,937 | 74,861,346 | 122,952,588 | |||||||||||||||||||||||||
— | (127,249,407 | ) | — | (281,251,666 | ) | — | (85,825,236 | ) | — | — | ||||||||||||||||||||||
— | 619,981 | 661,677 | 1,366,538 | 182,027 | 383,634 | 5,096,317 | 9,965,929 | |||||||||||||||||||||||||
(5,595,240 | ) | (12,847,336 | ) | (2,382,875 | ) | (8,050,378 | ) | (1,007,516 | ) | (3,162,454 | ) | (70,654,175 | ) | (155,695,349 | ) | |||||||||||||||||
(4,932,140 | ) | (138,834,136 | ) | (1,163,136 | ) | (286,520,810 | ) | (186,377 | ) | (88,082,119 | ) | 9,303,488 | (22,776,832 | ) | ||||||||||||||||||
45
Financial Highlights
Ratio | ||||||||||||||||||||||||||||||||||||||||||||||||||||
assuming | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from | no expense | |||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | reductions | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Distributions to | Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | shareholders | Net asset | Net assets, | Ratio of | net investment | total | |||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | from net | value, | end of | net expenses | loss | expenses | Portfolio | ||||||||||||||||||||||||||||||||||||||||||
Year — Service | beginning | investment | unrealized | investment | investment | end of | Total | period | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||
Class | of period | loss | gain (loss) | operations | income | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||
For the Six Months ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 | $ | 6.07 | $ | (0.02 | ) (a) | $ | 0.95 | $ | 0.93 | $ | — | $ | 7.00 | 15.32 | % | $ | 216,263 | 1.14 | % (i) | (0.60 | )% (d)(i) | 1.38 | % (h)(i) | 29 | % | |||||||||||||||||||||||||||
For the Years ended December 31,(c) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 | 9.69 | (0.06 | ) (a) | 0.68 | 0.62 | (4.24 | ) | 6.07 | 5.74 | 215,251 | 1.15 | (0.60 | )(d) | 1.37 | 82 | |||||||||||||||||||||||||||||||||||||
2005 | 10.90 | (0.05 | ) (e)(g) | 1.54 | 1.49 | (2.70 | ) | 9.69 | 14.68 | 273,823 | 1.15 | (0.50 | ) | 1.15 | 27 | |||||||||||||||||||||||||||||||||||||
2004(f) | 10.13 | (0.07 | ) (g) | 1.78 | 1.71 | (0.94 | ) | 10.90 | 18.62 | 299,355 | 1.14 | (0.70 | ) | 1.15 | 38 | |||||||||||||||||||||||||||||||||||||
2003(f) | 7.25 | (0.07 | ) (g) | 2.95 | 2.88 | — | 10.13 | 39.72 | 296,204 | 1.11 | (0.70 | ) | 1.13 | 46 | ||||||||||||||||||||||||||||||||||||||
2002(f) | 9.25 | (0.07 | ) (g) | (1.93 | ) | (2.00 | ) | — | 7.25 | (21.62 | ) | 287,593 | 1.05 | (0.70 | ) | 1.06 | 41 | |||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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. The Goldman Sachs Growth Opportunities Fund first began operations as the Allmerica Select Capital Appreciation Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. |
(c) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Growth Opportunities Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. |
(d) | Ratio of net investment loss assuming no expense reductions is (0.82)% for the year ended December 31, 2006 and (0.84%) for the six months ended June 30, 2007. |
(e) | Investment income per share reflects a special dividend of $0.005 for the Predecessor AIT Fund. |
(f) | Effective January 1, 2005, brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change. |
(g) | Calculated based on the SEC methodology. |
(h) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
(i) | Annualized. |
Financial Highlights
Ratio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
assuming | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from | no expense | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | From | Net asset | Net assets, | Ratio of | net investment | total | |||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | From net | net | value, | end of | net expenses | income | expenses | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||
Year — Service | beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||
Class | of period | income | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 | $ | 11.04 | $ | 0.09 | (a) | $ | 0.67 | $ | 0.76 | $ | — | $ | — | $ | — | $ | 11.80 | 6.88 | % | $ | 410,549 | 0.40 | % (k) | 1.56 | % (d)(k) | 0.67 | % (j)(k) | 6 | % | |||||||||||||||||||||||||||||||
For the Years ended December 31,(c) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 | 9.71 | 0.16 | (a) | 1.34 | 1.50 | (0.17 | ) | — | (0.17 | ) | 11.04 | 15.49 | (i) | 438,471 | 0.41 | 1.53 | (d) | 0.67 | 4 | |||||||||||||||||||||||||||||||||||||||||
2005 | 9.43 | 0.13 | (e)(h) | 0.28 | 0.41 | (0.13 | ) | — | (0.13 | ) | 9.71 | 4.38 | 489,587 | 0.52 | 1.35 | 0.52 | 7 | |||||||||||||||||||||||||||||||||||||||||||
2004(f) | 8.69 | 0.14 | (h) | 0.74 | 0.88 | (0.14 | ) | — | (0.14 | ) | 9.43 | 10.32 | 595,037 | 0.50 | 1.53 | 0.52 | 4 | |||||||||||||||||||||||||||||||||||||||||||
2003(f) | 6.88 | 0.10 | (g)(h) | 1.81 | 1.91 | (0.10 | ) | — | (0.10 | ) | 8.69 | 27.83 | 666,455 | 0.45 | 1.37 | 0.50 | 23 | |||||||||||||||||||||||||||||||||||||||||||
2002(f) | 9.62 | 0.10 | (h) | (2.19 | ) | (2.09 | ) | (0.10 | ) | (0.55 | ) | (0.65 | ) | 6.88 | (22.22 | ) | 342,683 | 0.45 | 1.16 | 0.47 | 10 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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. The Goldman Sachs Equity Index Fund first began operations as the Allmerica Equity Index Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. |
(c) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Equity Index Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. |
(d) | Ratio of net investment income assuming no expense reductions is 1.27% for the year ended December 31, 2006 and 1.29% for the six months ended June 30, 2007. |
(e) | Investment income per share reflects a special dividend of $0.028 for the Predecessor AIT Fund. |
(f) | Effective January 1, 2005, brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change. |
(g) | Net investment income per share before expense reductions was $0.099. |
(h) | Calculated based on the SEC methodology. |
(i) | Total return reflects the impact of a payment from previous investment manager of a merged fund to compensate for possible adverse effects of trading activity of certain contract holders of the merged fund prior to January 9, 2006 received this year. Excluding such payments, the total return would have been 15.39%. |
(j) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
(k) | Annualized. |
Financial Highlights
Ratio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
assuming | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from | no expense | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | From | Net asset | Net assets, | Ratio of | net investment | total | |||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | From net | net | value, | end of | net expenses | income | expenses | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||
Year — Service | beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||
Class | of period | income | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate(e) | ||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 | $ | 9.94 | $ | 0.24 | (a) | $ | (0.14 | ) | $ | 0.10 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | 9.80 | 0.97 | % | $ | 270,407 | 0.54 | % (k) | 4.79 | % (d)(k) | 0.77 | % (j)(k) | 25 | % | ||||||||||||||||||||||||||||
For the Years ended December 31,(c) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 | 9.98 | 0.44 | (a) | (0.03 | )(i) | 0.41 | (0.45 | ) | — | (0.45 | ) | 9.94 | 4.23 | (h) | 285,768 | 0.54 | 4.49 | (d) | 0.78 | 265 | ||||||||||||||||||||||||||||||||||||||||
2005 | 10.29 | 0.42 | (g) | (0.24 | ) | 0.18 | (0.49 | ) | — | (0.49 | ) | 9.98 | 1.84 | 332,861 | 0.64 | 4.05 | 0.64 | 110 | ||||||||||||||||||||||||||||||||||||||||||
2004 | 10.58 | 0.41 | (g) | — | 0.41 | (0.56 | ) | (0.14 | ) | (0.70 | ) | 10.29 | 3.98 | 402,219 | 0.64 | 3.78 | 0.64 | 113 | ||||||||||||||||||||||||||||||||||||||||||
2003 | 10.72 | 0.38 | (g) | (0.03 | )(f) | 0.35 | (0.49 | ) | — | (0.49 | ) | 10.58 | 3.31 | 530,199 | 0.63 | 3.42 | 0.63 | 192 | ||||||||||||||||||||||||||||||||||||||||||
2002 | 10.46 | 0.51 | (g) | 0.32 | 0.83 | (0.57 | ) | — | (0.57 | ) | 10.72 | 8.14 | 620,074 | 0.58 | 4.85 | 0.58 | 130 | |||||||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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. The Goldman Sachs Core Fixed Income Fund first began operations as the Allmerica Select Investment Grade Income Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. |
(c) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Core Fixed Income Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. |
(d) | Ratio of net investment income assuming no expense reductions is 4.25% for the year ended December 31, 2006 and 4.56% for the six months ended June 30, 2007. |
(e) | The portfolio turnover rate excluding the effect of mortgage dollar rolls is 25% for the period ended June 30, 2007 and 259% for the year ended December 31, 2006. Prior year ratios include the effect of mortgage dollar roll transactions. |
(f) | The amount shown for a share outstanding does not correspond with the aggregate net gain on investments for the period. This is due to the timing of sales and repurchases of Fund shares in relation to the fluctuating market values of the investments of the Fund. |
(g) | Calculated based on the SEC methodology. |
(h) | Total return reflects the impact of payments received for class action settlements received this year. Excluding such payment, the total return would have been 3.81%. |
(i) | Reflects an increase of $0.04 due to payments received for class action settlements received this year. |
(j) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
(k) | Annualized. |
Financial Highlights
Ratio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
assuming | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from | no expense | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | From | Net asset | Net assets, | Ratio of | net investment | total | |||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | From net | net | value, | end of | net expenses | income | expenses | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||
Year — Service | beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||
Class | of period | income | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | rate(e) | ||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 | $ | 9.96 | $ | 0.22 | (a) | $ | (0.10 | ) | $ | 0.12 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 9.87 | 1.11 | % | $ | 84,364 | 0.68 | % (h) | 4.19 | % (d)(h) | 1.02 | % (g)(h) | 19 | % | ||||||||||||||||||||||||||||
For the Years ended December 31,(c) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 | 9.98 | 0.39 | (a) | 0.01 | 0.40 | (0.42 | ) | — | (0.42 | ) | 9.96 | 4.05 | 87,063 | 0.68 | 3.96 | (d) | 1.02 | 523 | ||||||||||||||||||||||||||||||||||||||||||
2005 | 10.19 | 0.32 | (f) | (0.16 | ) | 0.16 | (0.37 | ) | — | (0.37 | ) | 9.98 | 1.55 | 102,769 | 0.74 | 3.18 | 0.74 | 44 | ||||||||||||||||||||||||||||||||||||||||||
2004 | 10.39 | 0.28 | (f) | (0.07 | ) | 0.21 | (0.39 | ) | (0.02 | ) | (0.41 | ) | 10.19 | 2.12 | 128,860 | 0.73 | 3.02 | 0.73 | 77 | |||||||||||||||||||||||||||||||||||||||||
2003 | 10.63 | 0.28 | (f) | (0.10 | ) | 0.18 | (0.42 | ) | — | (0.42 | ) | 10.39 | 1.67 | 20,018 | 0.71 | 2.82 | 0.71 | 55 | ||||||||||||||||||||||||||||||||||||||||||
2002 | 10.13 | 0.39 | (f) | 0.53 | 0.92 | (0.42 | ) | — | (0.42 | ) | 10.63 | 9.28 | 291,995 | 0.68 | 3.48 | 0.68 | 79 | |||||||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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. The Goldman Sachs Government Income Fund first began operations as the Allmerica Government Bond Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. |
(c) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Government Income Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization. |
(d) | Ratio of net investment income assuming no expense reductions is 3.62% for the year ended December 31, 2006 and 3.85% for the six months ended June 30, 2007. |
(e) | The portfolio turnover rate excluding the effect of mortgage dollar rolls is 19% for the period ended June 30, 2007 and 447% for the year ended December 31, 2006. Prior year ratios include the effect of mortgage dollar roll transactions. |
(f) | Calculated based on the SEC methodology. |
(g) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.03% of average net assets. |
(h) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Financial Highlights
Ratio | ||||||||||||||||||||||||||||||||||||||||
assuming no | ||||||||||||||||||||||||||||||||||||||||
expense | ||||||||||||||||||||||||||||||||||||||||
reductions | ||||||||||||||||||||||||||||||||||||||||
Ratio of | ||||||||||||||||||||||||||||||||||||||||
Net asset | Distributions | Net asset | Net assets, | Ratio of | net investment | Ratio of | ||||||||||||||||||||||||||||||||||
value, | Net | from net | value, | end of | net expenses | income | total expenses | |||||||||||||||||||||||||||||||||
Year — Service | beginning | investment | investment | end | Total | period | to average | to average | to average | |||||||||||||||||||||||||||||||
Class | of period | income | income | of period | return(b) | (in 000s) | net assets | net assets | net assets | |||||||||||||||||||||||||||||||
For the Six Months ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||
2007 | $ | 1.00 | $ | 0.02 | (a) | $ | (0.02 | ) | $ | 1.00 | 2.44 | % | $ | 208,744 | 0.49 | % (g) | 4.88 | % (d)(g) | 0.72 | % (g) | ||||||||||||||||||||
For the Years Ended December 31,(c) | ||||||||||||||||||||||||||||||||||||||||
2006 | 1.00 | 0.05 | (a) | (0.05 | ) | 1.00 | 4.65 | 199,439 | 0.49 | 4.59 | (d) | 0.71 | ||||||||||||||||||||||||||||
2005 | 1.00 | 0.03 | (e) | (0.03 | )(f) | 1.00 | 2.75 | 222,194 | 0.55 | 2.65 | 0.55 | |||||||||||||||||||||||||||||
2004 | 1.00 | 0.01 | (e) | (0.01 | ) | 1.00 | 0.91 | 264,679 | 0.52 | 0.88 | 0.52 | |||||||||||||||||||||||||||||
2003 | 1.00 | 0.01 | (e) | (0.01 | ) | 1.00 | 0.80 | 377,155 | 0.53 | 0.82 | 0.53 | |||||||||||||||||||||||||||||
2002 | 1.00 | 0.02 | (e) | (0.02 | ) | 1.00 | 1.66 | 704,805 | 0.45 | 1.63 | 0.45 | |||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes reinvestment of all distributions. Total returns for periods less than one full year are not annualized. The Goldman Sachs Money Market Fund first began operations as the Allmerica Money Market Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecesser AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006, is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided. |
(c) | The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Money Market Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund. |
(d) | Ratio of net investment income assuming no expense reductions is 4.37% for the year ended December 31, 2006 and 4.65% for the six months ended June 30, 2007.. |
(e) | Calculated based on the SEC methodology. |
(f) | Distribution from net realized gain on investments and return of capital amounted to less than $0.0005. |
(g) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official close price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies 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. The pricing services may use valuation models or matrix pricing, which considers yield or price with respect to comparable bonds, quotations from bond dealers or by reference to other securities that are considered comparable in such characteristics as rating, interest rate and maturity date, to determine the current value. Unlisted equity 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. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. 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 not to reflect market value 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 reflected 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, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
C. 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 and/or “pro-rata” basis depending upon the nature of the expense.
D. Federal Taxes and Distributions to Shareholders — It is the Funds’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions, if any, are declared and paid annually for the Growth Opportunities and Equity Index Funds, declared and paid quarterly for the Core Fixed Income and Government Income Funds and declared daily and paid monthly for the Money Market Fund. Capital gains distributions, if any, are declared and paid annually for all Funds. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
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.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
F. Forward Foreign Currency Exchange Contracts — The Core Fixed Income Fund 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. The Fund 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 Fund records 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.
G. Forward Sales Contracts — The Core Fixed Income and Government Income Funds may enter into forward security sales of mortgage-backed securities in which the Funds sell securities in the current month for delivery of securities, defined by pool-stipulated characteristics, on a specified future date. The value of the contract is recorded as a liability on each Fund’s records with the difference between its market value and cash proceeds received being recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security sold.
H. Futures Contracts — The Funds, except the Money Market Fund, 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, or in the absence of a sale, the last bid 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 Funds are required to segregate cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statements of Operations.
I. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities 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 exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds 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.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
J. Segregation Transactions — As set forth in the prospectus, the Funds may enter into certain 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 with a current value equal to or greater than the market value of the corresponding transactions.
K. Treasury Inflation-Protected Securities — The Funds may invest in Treasury Inflation-Protected Securities (“TIPS”), specially structured bonds for which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index (“CPI”). The adjustments for interest income due to inflation are reflected in interest income in the Statements of Operations. The repayment of the original bond principal upon maturity and adjustments for interest income are guaranteed by the full faith and credit of the U.S. Government.
3. AGREEMENTS |
Contractual Management Fee | ||||||||||||||||
Fund | Up to $1 billion | Next $1 billion | Over $2 billion | Effective Fee | ||||||||||||
Growth Opportunities | 1.00 | % | 1.00 | % | 0.90 | % | 1.00 | % | ||||||||
Core Fixed Income | 0.40 | % | 0.36 | % | 0.34 | % | 0.40 | % | ||||||||
Government Income | 0.54 | % | 0.49 | % | 0.47 | % | 0.54 | % | ||||||||
3. AGREEMENTS (continued) |
Percentage of Average Daily Net Assets | ||||||||||||||||||||||||
First | Next | Next | Next | Next | Over | |||||||||||||||||||
Fund | $100,000,000 | $150,000,000 | $250,000,000 | $250,000,000 | $250,000,000 | $1,000,000,000 | ||||||||||||||||||
Growth Opportunities (formerly AIT Select Capital Appreciation Fund) | 1.00 | % | 0.90 | % | 0.80 | % | 0.70 | % | 0.70 | % | 0.65 | % | ||||||||||||
Government Income (formerly AIT Government Bond Fund) | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||
Money Market (formerly AIT Money Market Fund) | 0.35 | % | 0.30 | % | 0.30 | % | 0.25 | % | 0.20 | % | 0.20 | % | ||||||||||||
First | Next | Over | ||||||||||
Fund | $50,000,000 | $200,000,000 | $250,000,000 | |||||||||
Equity Index (formerly AIT Equity Index Fund) | 0.35 | % | 0.30 | % | 0.25 | % | ||||||
First | Next | Over | ||||||||||
Fund | $50,000,000 | $50,000,000 | $100,000,000 | |||||||||
Core Fixed Income (formerly AIT Select Investment Grade Income Fund) | 0.50 | % | 0.45 | % | 0.40 | % | ||||||
Fund | ||||
Growth Opportunities | 1.144 | % | ||
Equity Index | 0.404 | % | ||
Core Fixed Income | 0.544 | % | ||
Government Income | 0.684 | % | ||
Money Market | 0.494 | % | ||
3. AGREEMENTS (continued) |
Fee Waivers | Expense Credits | |||||||||||||||||||||||
Total | ||||||||||||||||||||||||
Distribution | Custody | Transfer | Other Expense | Expense | ||||||||||||||||||||
Fund | Management | and Service | Fee | Agent Fee | Reimbursement | Reductions | ||||||||||||||||||
Growth Opportunities | $ | — | $ | 162 | $ | — | $ | 7 | $ | 111 | $ | 280 | ||||||||||||
Equity Index | 210 | 311 | — | * | 14 | 69 | 604 | |||||||||||||||||
Core Fixed Income | — | 207 | — | 10 | 124 | 341 | ||||||||||||||||||
Government Income | — | 64 | 1 | 3 | 93 | 161 | ||||||||||||||||||
Money Market | — | 157 | 1 | 6 | 93 | 257 | ||||||||||||||||||
* | Amount is less than $500. |
At June 30, 2007, the amounts owed to affiliates were as follows (in thousands):
Management | Distribution and | Transfer Agent | ||||||||||||||
Fund | Fees | Service Fees | Fees | Total | ||||||||||||
Growth Opportunities | $ | 181 | $ | 18 | $ | 7 | $ | 206 | ||||||||
Equity Index | 69 | 35 | 13 | 117 | ||||||||||||
Core Fixed Income | 89 | 22 | 9 | 120 | ||||||||||||
Government Income | 37 | 7 | 3 | 47 | ||||||||||||
Money Market | 62 | 18 | 6 | 86 | ||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
Sales and | ||||||||||||||||
Purchases | Sales and | Maturities | ||||||||||||||
Purchases of U.S. | (Excluding U.S. | Maturities of U.S. | (Excluding U.S. | |||||||||||||
Government and | Government and | Government and | Government and | |||||||||||||
Fund | Agency Obligations | Agency Obligations) | Agency Obligations | Agency Obligations) | ||||||||||||
Growth Opportunities | $ | — | $ | 63,385,308 | $ | — | $ | 95,837,995 | ||||||||
Equity Index | — | 23,155,136 | — | 75,558,627 | ||||||||||||
Core Fixed Income | 31,199,532 | 34,314,634 | 29,945,169 | 58,202,449 | ||||||||||||
Government Income | 13,210,388 | 2,511,183 | 10,981,821 | 12,265,823 | ||||||||||||
5. SECURITIES LENDING |
6. LINE OF CREDIT FACILITY |
6. LINE OF CREDIT FACILITY (continued) |
7. TAX INFORMATION |
Growth | |||||||||||||||||||||
Opportunities | Equity Index | Core Fixed Income | Government Income | Money Market | |||||||||||||||||
Capital loss carryforward*: | |||||||||||||||||||||
Expiring 2007 | $ | — | $ | (92,037 | ) | $ | — | $ | — | $ | — | ||||||||||
Expiring 2008 | (285,234 | ) | (26,761,314 | ) | — | — | — | ||||||||||||||
Expiring 2009 | — | (13,380,657 | ) | — | — | — | |||||||||||||||
Expiring 2010 | — | (14,005,437 | ) | — | — | — | |||||||||||||||
Expiring 2011 | — | (16,843,955 | ) | — | — | — | |||||||||||||||
Expiring 2012 | — | (7,271,316 | ) | (1,472,715 | ) | (1,242,253 | ) | — | |||||||||||||
Expiring 2013 | — | — | (657,789 | ) | (1,135,876 | ) | — | ||||||||||||||
Expiring 2014 | — | — | (7,130,150 | ) | (1,392,726 | ) | (1,868 | ) | |||||||||||||
Total capital loss carryforward | $ | (285,234 | ) | $ | (78,354,716 | ) | $ | (9,260,654 | ) | $ | (3,770,855 | ) | $ | (1,868 | ) | ||||||
Timing differences | $ | — | $ | 10,700 | $ | — | $ | (42,177 | ) | $ | — | ||||||||||
* | Expiration occurs on December 31 of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code. |
At June 30, 2007, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Growth | ||||||||||||||||
Opportunities | Equity Index | Core Fixed Income | Government Income | |||||||||||||
Tax Cost | $ | 208,845,352 | $ | 310,868,791 | $ | 272,761,594 | $ | 85,392,623 | ||||||||
Gross unrealized gain | 29,412,945 | 108,271,325 | 577,576 | 139,863 | ||||||||||||
Gross unrealized loss | (6,344,603 | ) | (7,105,816 | ) | (4,209,740 | ) | (1,185,736 | ) | ||||||||
Net unrealized security gain (loss) | $ | 23,068,342 | $ | 101,165,509 | $ | (3,632,164 | ) | $ | (1,045,873 | ) | ||||||
8. OTHER MATTERS |
8. OTHER MATTERS (continued) |
Mergers and Reorganizations — At a meeting held on July 12, 2005, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (the “Reorganization Agreement”) providing for the tax-free acquisition of the Predecessor AIT Funds into the Goldman Sachs Funds (the “Funds”). The acquisition was completed January 9, 2006 as of the close of business on January 6, 2006.
Exchanged Shares | Predecessor Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
The Fund/Predecessor AIT Fund | Issued | Exchanged Shares | as of January 6, 2006 | |||||||||
Goldman Sachs Growth Opportunities/AIT Select Capital Appreciation | 28,131,531 | $ | 281,315,315 | 134,161,366 | ||||||||
Goldman Sachs Equity Index/AIT Equity Index | 50,110,652 | 501,106,524 | 177,469,590 | |||||||||
Goldman Sachs Core Fixed Income/AIT Select Investment Grade Income | 33,304,201 | 333,042,015 | 314,849,722 | |||||||||
Goldman Sachs Government Income/AIT Government Bond | 10,218,399 | 102,183,989 | 96,128,724 | |||||||||
Goldman Sachs Money Market/AIT Money Market | 219,573,618 | 219,573,618 | 219,573,618 | |||||||||
Predecessor | Fund’s | |||||||||||
Funds’ | AIT Fund’s | Aggregate | ||||||||||
Aggregate | Aggregate | Net Assets | ||||||||||
Net Assets | Net Assets | Immediately | ||||||||||
before | before | after | ||||||||||
The Fund/Predecessor AIT Fund | Reorganization | Reorganization | Reorganization | |||||||||
Goldman Sachs Growth Opportunities/AIT Select Capital Appreciation | $ | — | $ | 281,315,315 | $ | 281,315,315 | ||||||
Goldman Sachs Equity Index/AIT Equity Index | — | 501,106,524 | 501,106,524 | |||||||||
Goldman Sachs Core Fixed Income/AIT Select Investment Grade Income | — | 333,042,015 | 333,042,015 | |||||||||
Goldman Sachs Government Income/AIT Government Bond | — | 102,183,989 | 102,183,989 | |||||||||
Goldman Sachs Money Market/AIT Money Market | — | 219,573,618 | 219,573,618 | |||||||||
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (continued) |
10. SUBSEQUENT EVENT |
Statement Regarding Basis for Approval of Management Agreements (Unaudited)
The Growth Opportunities, Equity Index, Government Income, Core Fixed Income and Money Market Funds are investment portfolios of Goldman Sachs Variable Insurance Trust (the “Trust”) that commenced investment operations on January 9, 2006. The respective Funds are the accounting successors to investment portfolios of Allmerica Investment Trust, which were reorganized into the Funds. The Trustees oversee the management of the Trust, and review the investment performance and expenses of the Funds at regularly scheduled meetings held during the Funds’ fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreements (the “Management Agreements”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Funds and the Sub-Advisory Agreement (the “Sub-Advisory Agreement”, and together with the Management Agreements, the “Agreements”) between the Investment Adviser and SSgA Funds Management, Inc. (the “Sub-Advisor”) for the Equity Index Fund.
payable by the Funds on their Service Share Class. Information was also provided to the Trustees relating to revenue sharing payments made by the Investment Adviser, portfolio manager compensation, the alignment of the interests of the Funds and the portfolio managers, the number and types of accounts managed by the portfolio managers, and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent counsel, without representatives of the Investment Adviser present.
provided to the Investment Adviser’s institutional accounts, which generally paid lower fees. In addition, the fees paid by the Funds and the Funds’ total operating expense ratios (before and after applicable expense reimbursements) were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms. Most of the comparisons of the Funds’ fee rates and total operating expense ratios were prepared by the Outside Data Provider.
Government | Core Fixed | |||||||
Income Fund | Income Fund | |||||||
Up to $1 billion | 0.54 | % | 0.40 | % | ||||
Next $1 billion | 0.49 | 0.36 | ||||||
Over $2 billion | 0.47 | 0.34 | ||||||
Growth Opportunities Fund | ||||
First $2 billion | 1.00 | % | ||
Over $2 billion | 0.90 | |||
The Trustees also considered and approved the following breakpoints in the contractual fee rate in the Sub-Advisory Agreement:
Equity Index Fund | ||||
(Sub-Advisory Fee) | ||||
First $50 million | 0.03 | % | ||
Next $200 million | 0.02 | |||
Next $750 million | 0.01 | |||
Over $1 billion | 0.008 | |||
In approving these breakpoints, the Trustees had reviewed information regarding the Investment Adviser’s potential economies of scale, and whether the Funds and their shareholders were participating in the benefits of those economies. In this regard, the Trustees considered the amounts of assets in the Funds; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Adviser with fee rates charged by other, unaffiliated investment managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting in 2007, the Trustees continued to believe that the fee breakpoints were a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset levels.
Money Market Fund, the Trustees considered the Fund’s relatively lower asset level as compared to many other money market funds. Furthermore, with respect to each of the Funds, the Trustees considered information relating to the Investment Adviser’s past revenues and costs with respect to the Trust and its investment portfolios.
Fund Expenses (Unaudited) — Six Month Period Ended June 30, 2007
As a shareholder of the Service Shares of the Funds, you incur ongoing costs, including management fees; distribution and service (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing on going costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Growth Opportunities Fund | Equity Index Fund | |||||||||||||||||||||||
Expenses Paid | Expenses Paid | |||||||||||||||||||||||
Beginning | Ending | for the six | Beginning | Ending | for the six | |||||||||||||||||||
Account Value | Account Value | months ended | Account Value | Account Value | months ended | |||||||||||||||||||
1/1/07 | 6/30/07 | 6/30/07* | 1/1/07 | 6/30/07 | 6/30/07* | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,153.20 | $ | 6.09 | $ | 1,000.00 | $ | 1,068.80 | $ | 2.05 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.14 | † | 5.71 | 1,000.00 | 1,022.81 | † | 2.01 | ||||||||||||||||
[Additional columns below]
[Continued from above table, first column(s) repeated]
Core Fixed Income Fund | Government Income Fund | Money Market Fund | ||||||||||||||||||||||||||||||||||
Expenses Paid | Expenses Paid | Expenses Paid | ||||||||||||||||||||||||||||||||||
Beginning | Ending | for the six | Beginning | Ending | for the six | Beginning | Ending | for the six | ||||||||||||||||||||||||||||
Account Value | Account Value | months ended | Account Value | Account Value | months ended | Account Value | Account Value | months ended | ||||||||||||||||||||||||||||
1/1/07 | 6/30/07 | 6/30/07* | 1/1/07 | 6/30/07 | 6/30/07* | 1/1/07 | 6/30/07 | 6/30/07* | ||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,009.70 | $ | 2.69 | $ | 1,000.00 | $ | 1,011.10 | $ | 3.39 | $ | 1,000.00 | $ | 1,024.40 | $ | 2.47 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.12 | † | 2.71 | 1,000.00 | 1,021.42 | † | 3.41 | 1,000.00 | 1,022.36 | † | 2.46 | ||||||||||||||||||||||||
* | Expenses are calculated using each Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | ||||
Growth Opportunities | 1.14 | % | ||
Equity Index | 0.40 | |||
Core Fixed Income | 0.54 | |||
Government Income | 0.68 | |||
Money Market | 0.49 | |||
† | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Diana M. Daniels Patrick T. Harker Jessica Palmer Alan A. Shuch Richard P. Strubel Kaysie P. Uniacke | OFFICERS Kaysie P. Uniacke, President James A. McNamara, Senior Vice President John M. Perlowski, Senior Vice President and Treasurer Peter V. Bonanno, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT Investment Advisers | ||
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
The reports concerning the Funds included in this shareholder report may 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 and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. | ||
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
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 Funds. | ||
Copyright 2007 Goldman, Sachs & Co. All rights reserved. | ||
VITSVCSAR/07-1658/160 |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005
![](https://capedge.com/proxy/N-CSRS/0000950123-07-012148/e36889gldschlg.gif)
Shareholder Letter
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, 2007.
Market Review
The U.S. equity markets hit new highs in the first half of 2007. The S&P 500 Index and Dow Jones Industrials Average both reached new levels as they returned 6.96% and 8.76%, respectively, during the reporting period. While the equity markets finished the first half of the year in positive territory, concerns related to sub-prime mortgage loans undercut investor optimism and the reporting period closed on a cautious note. Consistent with recent trends, leveraged buyout and merger and acquisition (“M&A”) activity remained high as corporate and private buyers sought attractive assets. On the economic front, the Federal Reserve Board kept short-term interest rates steady and both 2- and 10-year Treasury yields spiked above 5% in June 2007.
Investment Objective
The Fund seeks long-term growth of capital and growth of income.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||
Company | Net Assets | Business | ||||
AT&T, Inc. | 5.6 | % | Telecommunication Services | |||
General Electric Co. | 4.2 | Capital Goods | ||||
Exxon Mobil Corp. | 4.0 | Energy | ||||
Citigroup, Inc. | 3.7 | Diversified Financials | ||||
Sprint Nextel Corp. | 3.5 | Telecommunication Services | ||||
Entergy Corp. | 3.4 | Utilities | ||||
Wachovia Corp. | 3.2 | Banks | ||||
Hewlett-Packard Co. | 2.4 | Technology Hardware & Equipment | ||||
Bank of America Corp. | 2.3 | Diversified Financials | ||||
Time Warner, Inc. | 2.3 | Media |
* 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 by 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 upon 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 ended June 30, 2007, the Fund’s Institutional Shares generated a cumulative total return of 6.83%. This return compares to the 6.23% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period.
The Fund outperformed its benchmark during the reporting period. While the market rewarded stocks with low dividend yields, strong stock selection in the portfolio led to its robust results. In particular, holdings in the Utilities, Health Care and Consumer Staples sectors contributed to positive returns versus the benchmark. In contrast, its Financials, Basic Materials and Services investments detracted from results.
Highlights during the period included several key long-term holdings, such as Utilities sector holding Entergy Corp., which was aided by improved operating results. One of the Fund’s largest holdings, Williams Companies, Inc., an Energy sector holding, also contributed to results as its stock was lifted by a recovery in natural gas fundamentals. The Fund also benefited from M&A activity as health care company MedImmune was acquired by AstraZeneca at a sizable premium. MedImmune had long served as an example of what we considered to be a mispriced company despite its robust pipeline of products. We subsequently eliminated the stock from the portfolio after its shares rose sharply on the news.
Several investments offset the gains in the portfolio. Real estate investment trust (REIT) holding Apartment Investment & Management Co. was hurt by industry headwinds such as rising interest rates. In the Services sector, shares of Motorola declined after the company issued a disappointing forecast. The added uncertainty in the company’s prospects prompted us to eliminate the holding from the Fund. Elsewhere in the portfolio, Wachovia Corp. detracted from performance. Despite the stock’s weakness, we continue to view it as an attractively valued investment.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Value Portfolio Management Team
July 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Growth and Income Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Growth and Income Fund invests primarily in large-capitalization U.S. equity investments and also invests in fixed income securities. The Fund’s equity investments will be subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The Fund may invest in foreign securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include a time deposit and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 97.2% | ||||||||||
Automobiles & Components – 0.7% | ||||||||||
66,799 | Autoliv, Inc. | $ | 3,798,859 | |||||||
Banks – 10.8% | ||||||||||
86,375 | Countrywide Financial Corp. | 3,139,731 | ||||||||
71,724 | First Horizon National Corp. | 2,797,236 | ||||||||
62,850 | Freddie Mac | 3,814,995 | ||||||||
195,457 | KeyCorp | 6,710,039 | ||||||||
156,973 | Regions Financial Corp. | 5,195,806 | ||||||||
325,745 | Wachovia Corp. | 16,694,431 | ||||||||
213,497 | Washington Mutual, Inc. | 9,103,512 | ||||||||
273,249 | Wells Fargo & Co. | 9,610,168 | ||||||||
57,065,918 | ||||||||||
Capital Goods – 7.5% | ||||||||||
53,843 | Caterpillar, Inc. | 4,215,907 | ||||||||
575,958 | General Electric Co. | 22,047,672 | ||||||||
51,366 | The Boeing Co. | 4,939,354 | ||||||||
123,490 | United Technologies Corp. | 8,759,146 | ||||||||
39,962,079 | ||||||||||
Commercial Services & Supplies – 1.9% | ||||||||||
254,874 | Waste Management, Inc. | 9,952,830 | ||||||||
Consumer Durables & Apparel – 1.3% | ||||||||||
226,575 | Newell Rubbermaid, Inc. | 6,668,102 | ||||||||
Consumer Services – 2.3% | ||||||||||
239,492 | McDonald’s Corp. | 12,156,614 | ||||||||
Diversified Financials – 11.0% | ||||||||||
29,003 | AllianceBernstein Holding LP | 2,525,871 | ||||||||
249,723 | Bank of America Corp. | 12,208,958 | ||||||||
382,656 | Citigroup, Inc. | 19,626,426 | ||||||||
221,865 | JPMorgan Chase & Co. | 10,749,359 | ||||||||
32,210 | Lehman Brothers Holdings, Inc. | 2,400,289 | ||||||||
67,089 | Merrill Lynch & Co., Inc. | 5,607,299 | ||||||||
64,368 | Morgan Stanley | 5,399,188 | ||||||||
58,517,390 | ||||||||||
Energy – 14.7% | ||||||||||
132,329 | Devon Energy Corp. | 10,360,037 | ||||||||
66,730 | EOG Resources, Inc. | 4,875,294 | ||||||||
97,595 | Energy Transfer Partners LP | 6,024,539 | ||||||||
224,634 | Enterprise Products Partners LP | 7,145,608 | ||||||||
255,303 | Exxon Mobil Corp. | 21,414,816 | ||||||||
111,657 | Magellan Midstream Partners LP | 5,200,983 | ||||||||
23,000 | Marathon Oil Corp. | 1,379,080 | ||||||||
44,800 | Occidental Petroleum Corp. | 2,593,024 | ||||||||
269,303 | Williams Companies, Inc. | 8,515,361 | ||||||||
119,337 | Williams Partners LP | 5,761,590 | ||||||||
76,931 | XTO Energy, Inc. | 4,623,553 | ||||||||
77,893,885 | ||||||||||
Food & Staples Retailing – 0.6% | ||||||||||
63,832 | SUPERVALU, INC. | 2,956,698 | ||||||||
Food, Beverage & Tobacco – 4.1% | ||||||||||
111,313 | Altria Group, Inc. | 7,807,494 | ||||||||
70,194 | Archer-Daniels-Midland Co. | 2,322,719 | ||||||||
43,000 | Reynolds American, Inc. | 2,803,600 | ||||||||
48,966 | The Coca-Cola Co. | 2,561,412 | ||||||||
192,490 | Unilever NV | 5,971,040 | ||||||||
21,466,265 | ||||||||||
Health Care Equipment & Services – 1.6% | ||||||||||
148,956 | Baxter International, Inc. | 8,392,181 | ||||||||
Household & Personal Products – 2.2% | ||||||||||
165,084 | Procter & Gamble Co. | 10,101,490 | ||||||||
26,688 | The Clorox Co. | 1,657,325 | ||||||||
11,758,815 | ||||||||||
Insurance – 4.7% | ||||||||||
81,088 | American International Group, Inc. | 5,678,593 | ||||||||
35,792 | Hartford Financial Services Group, Inc. | 3,525,870 | ||||||||
42,500 | MBIA, Inc. | 2,644,350 | ||||||||
68,678 | PartnerRe Ltd. | 5,322,545 | ||||||||
53,618 | The Allstate Corp. | 3,298,043 | ||||||||
55,355 | XL Capital Ltd. Class A | 4,665,873 | ||||||||
25,135,274 | ||||||||||
Materials – 3.2% | ||||||||||
95,217 | E.I. du Pont de Nemours & Co. | 4,840,832 | ||||||||
32,200 | Freeport-McMoRan Copper & Gold, Inc. | 2,666,804 | ||||||||
132,272 | International Paper Co. | 5,165,222 | ||||||||
39,257 | United States Steel Corp. | 4,269,199 | ||||||||
16,942,057 | ||||||||||
Media – 2.3% | ||||||||||
579,993 | Time Warner, Inc. | 12,203,053 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 5.2% | ||||||||||
84,200 | Johnson & Johnson | 5,188,404 | ||||||||
291,592 | Pfizer, Inc. | 7,456,008 | ||||||||
102,199 | Thermo Fisher Scientific, Inc.* | 5,285,732 | ||||||||
168,804 | Wyeth | 9,679,221 | ||||||||
27,609,365 | ||||||||||
REIT – 2.5% | ||||||||||
93,298 | Apartment Investment & Management Co. | 4,704,085 | ||||||||
162,482 | CapitalSource, Inc.(a) | 3,995,432 | ||||||||
99,500 | DCT Industrial Trust, Inc. | 1,070,620 | ||||||||
15,425 | Developers Diversified Realty Corp. | 813,052 | ||||||||
63,739 | Mack-Cali Realty Corp. | 2,772,009 | ||||||||
13,355,198 | ||||||||||
Software & Services – 0.8% | ||||||||||
235,123 | Activision, Inc.* | 4,389,746 | ||||||||
4
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Software & Services – (continued) | ||||||||||
Technology Hardware & Equipment – 2.5% | ||||||||||
284,746 | Hewlett-Packard Co. | $ | 12,705,367 | |||||||
5,200 | International Business Machines Corp. | 547,300 | ||||||||
13,252,667 | ||||||||||
Telecommunication Services – 9.0% | ||||||||||
712,541 | AT&T, Inc. | 29,570,451 | ||||||||
884,311 | Sprint Nextel Corp. | 18,314,081 | ||||||||
47,884,532 | ||||||||||
Transportation – 0.6% | ||||||||||
42,363 | United Parcel Service, Inc. Class B | 3,092,499 | ||||||||
Utilities – 7.7% | ||||||||||
49,964 | Edison International | 2,803,980 | ||||||||
168,865 | Entergy Corp. | 18,127,658 | ||||||||
50,300 | Equitable Resources, Inc. | 2,492,868 | ||||||||
71,787 | Exelon Corp. | 5,211,736 | ||||||||
46,955 | FirstEnergy Corp. | 3,039,397 | ||||||||
196,651 | PPL Corp. | 9,201,300 | ||||||||
40,876,939 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $445,626,224) | $ | 515,330,966 | ||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Short-Term Obligation – 2.0% | ||||||||||||||
JPMorgan Chase Euro – Time Deposit | ||||||||||||||
$ | 10,326,039 | 5.282 | % | 07/02/07 | $10,326,039 | |||||||||
(Cost $10,326,039) | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||
(Cost $455,952,263) | $525,657,005 | |||||||||||||
Interest | ||||||||||||||
Shares | Description | Rate | Value | |||||||||||
Securities Lending Collateral – 0.7% | ||||||||||||||
3,730,650 | Boston Global Investment Trust – | |||||||||||||
Enhanced Portfolio | 5.309% | $3,730,650 | ||||||||||||
(Cost $3,730,650) | ||||||||||||||
TOTAL INVESTMENTS – 99.9% | ||||||||||||||
(Cost $459,682,913) | $529,387,655 | |||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 566,939 | |||||||||||||
NET ASSETS – 100.0% | $529,954,594 | |||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
5
Statement of Assets and Liabilities
Assets: | |||||||
Investment in securities, at value (identified cost $455,952,263)(a) | $ | 525,657,005 | |||||
Securities lending collateral, at value which equals cost | 3,730,650 | ||||||
Cash | 1,495,478 | ||||||
Receivables: | |||||||
Investment securities sold | 3,676,986 | ||||||
Fund shares sold | 1,244,079 | ||||||
Dividends and interest | 575,850 | ||||||
Foreign tax reclaims | 12,636 | ||||||
Securities lending income | 644 | ||||||
Other assets | 3,185 | ||||||
Total assets | 536,396,513 | ||||||
Liabilities: | |||||||
Payables: | |||||||
Payable upon return of securities loaned | 3,730,650 | ||||||
Investment securities purchased | 2,041,366 | ||||||
Amounts owed to affiliates | 342,785 | ||||||
Fund shares repurchased | 231,118 | ||||||
Accrued expenses | 96,000 | ||||||
Total liabilities | 6,441,919 | ||||||
Net Assets: | |||||||
Paid-in capital | 420,502,889 | ||||||
Accumulated undistributed net investment income | 5,904,047 | ||||||
Accumulated net realized gain on investments transactions | 33,842,916 | ||||||
Net unrealized gain on investments | 69,704,742 | ||||||
NET ASSETS | $ | 529,954,594 | |||||
Total shares of beneficial interest outstanding, par value $0.001 (unlimited shares authorized) | 35,664,368 | ||||||
Net asset value, offering and redemption price per share | $ | 14.86 | |||||
(a) | Includes loaned securities having market value of $3,597,517. |
6
Statement of Operations
Investment income: | ||||||
Dividends | $ | 6,132,774 | ||||
Interest (including securities lending income of $8,913) | 337,637 | |||||
Total income | 6,470,411 | |||||
Expenses: | ||||||
Management fees | 1,786,501 | |||||
Transfer agent fees | 95,281 | |||||
Printing fee | 69,563 | |||||
Shareholder meeting expense | 59,205 | |||||
Professional fees | 33,590 | |||||
Custody and accounting fees | 16,485 | |||||
Trustee fees | 9,719 | |||||
Other | 7,010 | |||||
Total expenses | 2,077,354 | |||||
Less — expense reductions | (15,283 | ) | ||||
Net expenses | 2,062,071 | |||||
NET INVESTMENT INCOME | 4,408,340 | |||||
Realized and unrealized gain on investment transactions: | ||||||
Net realized gain from investment transactions | 25,318,116 | |||||
Net change in unrealized gain on investments | 1,911,077 | |||||
Net realized and unrealized gain on investments transactions | 27,229,193 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 31,637,533 | ||||
7
Statements of Changes in Net Assets
For the | ||||||||||
Six Months Ended | For the | |||||||||
June 30, 2007 | Year Ended | |||||||||
(Unaudited) | December 31, 2006 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 4,408,340 | $ | 7,653,950 | ||||||
Net realized gain on investment transactions | 25,318,116 | 29,381,353 | ||||||||
Net change in unrealized gain on investments | 1,911,077 | 36,557,636 | ||||||||
Net increase in net assets resulting from operations | 31,637,533 | 73,592,939 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income | — | (6,608,062 | ) | |||||||
From net realized gain | — | (15,880,947 | ) | |||||||
Total distributions to shareholders | — | (22,489,009 | ) | |||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 86,411,817 | 88,935,399 | ||||||||
Reinvestments of dividends and distributions | — | 22,488,997 | ||||||||
Cost of shares repurchased | (20,110,371 | ) | (43,664,607 | ) | ||||||
Net increase in net assets resulting from share transactions | 66,301,446 | 67,759,789 | ||||||||
TOTAL INCREASE | 97,938,979 | 118,863,719 | ||||||||
Net assets: | ||||||||||
Beginning of period | 432,015,615 | 313,151,896 | ||||||||
End of period | $ | 529,954,594 | $ | 432,015,615 | ||||||
Accumulated undistributed net investment income | $ | 5,904,047 | $ | 1,495,707 | ||||||
Summary of share transactions: | ||||||||||
Shares sold | 5,994,248 | 6,612,585 | ||||||||
Shares issued on reinvestment of dividends and distributions | — | 1,613,271 | ||||||||
Shares repurchased | (1,395,086 | ) | (3,318,130 | ) | ||||||
NET INCREASE | 4,599,162 | 4,907,726 | ||||||||
8
Financial Highlights
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | expense reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Ratio of | Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | From | From | Net asset | Net assets, | Ratio of | net investment | total | net investment | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | net | net | value, | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | gains | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 | $ | 13.91 | $ | 0.13 | $ | 0.82 | $ | 0.95 | $ | — | $ | — | $ | — | $ | 14.86 | 6.83 | % | $ | 529,955 | 0.85 | % (c) | 1.86 | % (c) | 0.86 | %(c) | 1.85 | % (c) | 29 | % | ||||||||||||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 | 11.97 | 0.28 | 2.43 | 2.71 | (0.23 | ) | (0.54 | ) | (0.77 | ) | 13.91 | 22.63 | 432,016 | 0.86 | 2.15 | 0.87 | 2.14 | 52 | ||||||||||||||||||||||||||||||||||||||||||||||
2005 | 11.71 | 0.21 | 0.25 | 0.46 | (0.20 | ) | — | (0.20 | ) | 11.97 | 3.93 | 313,152 | 0.88 | 1.77 | 0.88 | 1.77 | 46 | |||||||||||||||||||||||||||||||||||||||||||||||
2004 | 10.00 | 0.19 | 1.69 | 1.88 | (0.17 | ) | — | (0.17 | ) | 11.71 | 18.80 | 276,395 | 0.86 | 1.75 | 0.86 | 1.75 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||
2003 | 8.14 | 0.13 | 1.85 | 1.98 | (0.12 | ) | — | (0.12 | ) | 10.00 | 24.36 | 230,316 | 1.02 | 1.44 | 1.20 | 1.26 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||
2002 | 9.33 | 0.13 | (1.19 | ) | (1.06 | ) | (0.13 | ) | — | (0.13 | ) | 8.14 | (11.34 | ) | 36,911 | 1.05 | 1.51 | 1.27 | 1.29 | 98 | ||||||||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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 a full year are not annualized. |
(c) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in equity securities and investment companies 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, such 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. The pricing services may use valuation models or matrix pricing, which considers yield or price with respect to comparable bonds, quotations from bond dealers or by reference to other securities that are considered comparable in such characteristics as rating, interest rate and maturity date, to determine the current value. Unlisted equity 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. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. 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 are deemed not to reflect market value 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 reflected 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, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain, or as a tax return of capital.
E. Segregation Transactions — The Fund may enter into certain 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 Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
3. AGREEMENTS |
Contractual Management Fee | ||||||||||||||
Up to | Next | Over | Effective | |||||||||||
$1 billion | $1 billion | $2 billion | Fee | |||||||||||
0.75% | 0.68% | 0.65% | 0.75% | |||||||||||
GSAM has voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding Management fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any custody and transfer agent fee credit reductions) to the extent that such expenses exceed, on an annual basis, 0.114% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the six months ended June 30, 2007, GSAM made no reimbursements to the Fund.
4. PORTFOLIO SECURITIES TRANSACTIONS |
5. SECURITIES LENDING |
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Capital loss carryforward:(1) | ||||
Expiring 2010 | $ | (2,370,037 | ) | |
Timing differences (deferred REIT distributions) | 31,956 | |||
(1) | Expiration occurs on December 31, of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code. |
7. TAX INFORMATION (continued) |
At June 30, 2007, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 458,795,213 | ||
Gross unrealized gain | 74,815,863 | |||
Gross unrealized loss | (4,223,421 | ) | ||
Net unrealized security gain | 70,592,442 | |||
The difference between book-basis and tax basis unrealized gains (losses) is attributable primarily to differences related to the tax treatment of partnership investments, wash sales and return of capital distributions from underlying fund investments. The cumulative timing differences consist of deferred income distributions from underlying fund investments.
8. OTHER MATTERS |
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
10. SUBSEQUENT EVENTS |
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Variable Insurance Trust (the “Trust”), and review the investment performance and expenses of the investment fund covered by this Report (the “Fund”) at regularly scheduled meetings held during the Fund’s fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Fund.
The presentations made at the Contract Review Committee meetings and the Annual Contract Meeting encompassed the Fund and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for the Fund and these other mutual fund portfolios were approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to the Fund separately.
In addition, the Trustees considered the Investment Adviser’s voluntary undertaking to limit the Fund’s “other expenses” ratio (excluding certain expenses) to a specified level.
0.75% on the first $1 billion; 0.68% on the next $1 billion; and 0.65% over $2 billion. |
In approving these fee breakpoints, the Trustees had reviewed information regarding the Investment Adviser’s potential economies of scale, and whether the Fund and its shareholders were participating in the benefits of those economies. In this regard, the Trustees considered the amount of assets in the Fund; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Adviser with fee rates charged by other, unaffiliated investment managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting in 2007, the Trustees continued to believe that the fee breakpoints were a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset levels.
As a shareholder of the Fund, you incur ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. | ||
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007. | ||
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period. | ||
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. | ||
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing on going costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs. |
Expenses Paid | ||||||||||||
for the | ||||||||||||
Beginning | Ending | six months | ||||||||||
Account Value | Account Value | ended | ||||||||||
1/1/07 | 6/30/07 | 6/30/07* | ||||||||||
Actual | $ | 1,000.00 | $ | 1,068.30 | $ | 4.36 | ||||||
Hypothetical 5% return | 1,000.00 | 1,020.58 | + | 4.26 | ||||||||
* | Expenses are calculated using the Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 0.85%. | ||
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | Kaysie P. Uniacke, President | |
John P. Coblentz, Jr. | James A. McNamara, Senior Vice President | |
Diana M. Daniels | John M. Perlowski, Senior Vice President | |
Patrick T. Harker | and Treasurer | |
Jessica Palmer | Peter V. Bonanno, Secretary | |
Alan A. Shuch | ||
Richard P. Strubel | ||
Kaysie P. Uniacke | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | ||
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. | ||
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
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 Fund. | ||
Copyright 2007 Goldman, Sachs & Co. All rights reserved. | ||
VITG&ISAR/07-1654/51.3K |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005
![](https://capedge.com/proxy/N-CSRS/0000950123-07-012148/e36889gldschlg.gif)
Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Structured U.S. Equity Fund during the six-month reporting period that ended June 30, 2007.
Market Review
The S&P 500 Index returned 6.96% for the six-month period ending June 30, 2007. Nine of the ten sectors in the Index posted positive results for the period, led by the Energy (+17.0%) and Materials (+16.6%) sectors. The Energy sector also contributed most positively (weight times performance) to returns for the month, followed by the Information Technology (+9.1%) sector. The Information Technology sector had the second biggest positive impact on performance due to its large weight in the Index.
Investment Objective
The Fund seeks long-term growth of capital and dividend income. The Fund seeks this objective through a broadly diversified portfolio of large-cap and blue chip investments representing all major sectors of the U.S. economy.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||
Company | Net Assets | Business | ||||
Exxon Mobil Corp. | 5.2 | % | Energy | |||
Microsoft Corp. | 3.3 | Software & Services | ||||
Pfizer, Inc. | 3.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Cisco Systems, Inc. | 2.9 | Technology Hardware & Equipment | ||||
JPMorgan Chase & Co. | 2.8 | Diversified Financials | ||||
General Electric Co. | 2.3 | Capital Goods | ||||
Time Warner, Inc. | 2.3 | Media | ||||
Bank of America Corp. | 2.2 | Diversified Financials | ||||
Merrill Lynch & Co., Inc. | 2.1 | Diversified Financials | ||||
CBS Corp. | 1.8 | Media |
* 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 by 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 upon 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 ended June 30, 2007, the Fund’s Institutional and Service Shares generated a cumulative total return of 4.98% and 4.91%, respectively. These returns compare to the 6.96% cumulative total return of the Fund’s benchmark, the Standard & Poor’s 500 Index (with dividends reinvested), over the same time period.
Our model is based on six investment themes — Valuation, Profitability, Earnings Quality, Management Impact, Momentum and Analyst Sentiment. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Profitability assesses whether the company is earning more than its cost of capital. Earnings Quality evaluates whether the company’s earnings are coming from a steady cash flow, as opposed to accruals. Management Impact captures a company’s management strategy and effectiveness through the company’s investing and financing behavior. Momentum predicts drift in stock prices caused by under-reaction to company-specific information. Finally, the Analyst Sentiment theme looks at how Wall Street analysts’ views about a company’s earnings and prospects are changing over time.
Similar to the August-November 2006 period, we witnessed signs of another “speculative rally” in the first half of 2007. Specifically, firms with negative earnings and low Standard & Poor’s quality ratings outperformed their “higher quality” peers. On average, the opposite is true over longer periods of time. We believe this low quality rally, which ebbed and flowed over the reporting period, was a factor in our model’s underperformance, as investors sought more richly valued stocks with lesser earnings quality. In addition, the ebb and flow of the preference for low quality securities meant that our Momentum theme, which depends on stocks establishing price trends in one direction or the other, detracted from results.
Returns to our investment themes were negative overall for the six-month period. Momentum was, by far, the worst performing theme, as companies with strong momentum characteristics underperformed their industry counterparts. This was particularly evident among low volatility, Information Technology stocks. Valuation and Earnings Quality also detracted from returns, albeit to a lesser extent. Conversely, Analyst Sentiment, Profitability and Management Impact contributed positively to returns for the period, but did little to offset losses experienced elsewhere.
In addition, “Earnings Surprises” (large price movements associated with earnings announcements) also had a negative impact on the Fund’s performance. Stock selection among sectors was negative overall for the period. The Fund’s holdings in the Information Technology and Healthcare sectors detracted the most from performance during the period. On the upside, stock selection in the Industrials and Consumer Staples sectors were the most successful.
In June 2007, we made two enhancements to our U.S. model. The first enhancement, an extension of our Momentum theme, seeks to capture cross-company lead-lag effects. The opportunity to generate incremental returns is created when stock prices react with a delay to news about related companies. The second enhancement is based on the observation that returns to the investment themes vary with information uncertainty. We think prices adjust more slowly when there is more uncertainty and, thus, by increasing our exposure to stocks with more “vagueness” in their information, we improve the potential return to our investment themes. Our tests of the enhanced version of the model shows that historical excess returns increase consistently across capitalization ranges and time periods. Although our underlying philosophy remains unchanged, our models are constantly evolving in an effort to enhance future results. We believe both of these enhancements improve our model’s efficacy and will provide a significant benefit to our portfolios.
We thank you for your investment and look forward to serving your investment needs in the future.
July 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Structured U.S. Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Structured U.S. Equity Fund invests in a broadly diversified portfolio of U.S. stocks. The Fund is subject to market risks, as the share prices of the securities in the portfolio may go up or down. This could occur in response to the prospects of the companies issuing the stock, overall sector performance and/ or general economic conditions.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 100.0% | ||||||||||
Banks – 3.6% | ||||||||||
123,300 | Countrywide Financial Corp. | $ | 4,481,955 | |||||||
303,386 | Hudson City Bancorp, Inc. | 3,707,377 | ||||||||
163,100 | Regions Financial Corp. | 5,398,610 | ||||||||
83,500 | SunTrust Banks, Inc. | 7,159,290 | ||||||||
73,600 | U.S. Bancorp | 2,425,120 | ||||||||
192,600 | Wachovia Corp. | 9,870,750 | ||||||||
6,900 | Washington Mutual, Inc. | 294,216 | ||||||||
227,800 | Wells Fargo & Co. | 8,011,726 | ||||||||
41,349,044 | ||||||||||
Capital Goods – 8.6% | ||||||||||
11,900 | 3M Co. | 1,032,801 | ||||||||
24,700 | AGCO Corp.* | 1,072,227 | ||||||||
33,000 | Cummins, Inc. | 3,339,930 | ||||||||
44,400 | Deere & Co. | 5,360,856 | ||||||||
707,688 | General Electric Co. | 27,090,297 | ||||||||
18,900 | Honeywell International, Inc. | 1,063,692 | ||||||||
40,600 | Lockheed Martin Corp. | 3,821,678 | ||||||||
256,700 | Northrop Grumman Corp. | 19,989,229 | ||||||||
123,600 | PACCAR, Inc. | 10,758,144 | ||||||||
172,500 | Raytheon Co. | 9,296,025 | ||||||||
500 | SPX Corp. | 43,905 | ||||||||
9,200 | Terex Corp.* | 747,960 | ||||||||
107,339 | The Boeing Co. | 10,321,718 | ||||||||
136,300 | Tyco International Ltd.* | 4,605,577 | ||||||||
9,900 | W.W. Grainger, Inc. | 921,195 | ||||||||
99,465,234 | ||||||||||
Commercial Services & Supplies – 0.9% | ||||||||||
500 | Dun & Bradstreet Corp. | 51,490 | ||||||||
110,700 | Manpower, Inc. | 10,210,968 | ||||||||
10,262,458 | ||||||||||
Consumer Durables & Apparel – 0.2% | ||||||||||
72,500 | Hasbro, Inc. | 2,277,225 | ||||||||
6,800 | Mattel, Inc. | 171,972 | ||||||||
2,449,197 | ||||||||||
Consumer Services – 2.1% | ||||||||||
14,500 | Carnival Corp. | 707,165 | ||||||||
22,600 | ITT Educational Services, Inc.* | 2,652,788 | ||||||||
255,419 | Marriott International, Inc. Class A | 11,044,318 | ||||||||
157,000 | McDonald’s Corp. | 7,969,320 | ||||||||
60,200 | Yum! Brands, Inc. | 1,969,744 | ||||||||
24,343,335 | ||||||||||
Diversified Financials – 10.0% | ||||||||||
166,900 | AmeriCredit Corp.* | 4,431,195 | ||||||||
24,300 | Ameriprise Financial, Inc. | 1,544,751 | ||||||||
522,222 | Bank of America Corp. | 25,531,434 | ||||||||
241,614 | Citigroup, Inc. | 12,392,382 | ||||||||
665,800 | JPMorgan Chase & Co. | 32,258,010 | ||||||||
287,400 | Merrill Lynch & Co., Inc. | 24,020,892 | ||||||||
115,500 | Moody’s Corp. | 7,184,100 | ||||||||
102,500 | Morgan Stanley | 8,597,700 | ||||||||
1,800 | SLM Corp. | 103,644 | ||||||||
116,064,108 | ||||||||||
Energy – 10.7% | ||||||||||
131,300 | Chevron Corp. | 11,060,712 | ||||||||
269,300 | Devon Energy Corp. | 21,083,497 | ||||||||
12,700 | Dresser-Rand Group, Inc.* | 501,650 | ||||||||
715,266 | Exxon Mobil Corp. | 59,996,512 | ||||||||
53,200 | GlobalSantaFe Corp. | 3,843,700 | ||||||||
25,400 | Halliburton Co. | 876,300 | ||||||||
53,200 | Holly Corp. | 3,946,908 | ||||||||
199,600 | Marathon Oil Corp. | 11,968,016 | ||||||||
900 | Overseas Shipholding Group, Inc. | 73,260 | ||||||||
500 | SEACOR Holdings, Inc.* | 46,680 | ||||||||
80,600 | Tesoro Corp. | 4,606,290 | ||||||||
8,700 | Tidewater, Inc. | 616,656 | ||||||||
77,000 | Valero Energy Corp. | 5,687,220 | ||||||||
124,307,401 | ||||||||||
Food & Staples Retailing – 1.5% | ||||||||||
48,522 | CVS/Caremark Corp. | 1,768,627 | ||||||||
316,500 | Safeway, Inc. | 10,770,495 | ||||||||
172,100 | The Kroger Co. | 4,841,173 | ||||||||
1,300 | Wal-Mart Stores, Inc. | 62,543 | ||||||||
17,442,838 | ||||||||||
Food, Beverage & Tobacco – 5.6% | ||||||||||
169,600 | Altria Group, Inc. | 11,895,744 | ||||||||
38,200 | Molson Coors Brewing Co. Class B | 3,531,972 | ||||||||
372,500 | The Coca-Cola Co. | 19,485,475 | ||||||||
542,300 | Tyson Foods, Inc. Class A | 12,494,592 | ||||||||
324,767 | UST, Inc. | 17,443,236 | ||||||||
64,851,019 | ||||||||||
Health Care Equipment & Services – 4.2% | ||||||||||
339,594 | AmerisourceBergen Corp. | 16,799,715 | ||||||||
1,600 | Apria Healthcare Group, Inc.* | 46,032 | ||||||||
188,400 | Cigna Corp. | 9,838,248 | ||||||||
117,669 | Humana, Inc.* | 7,167,219 | ||||||||
63,200 | Medco Health Solutions, Inc.* | 4,928,968 | ||||||||
30,500 | WellCare Health Plans, Inc.* | 2,760,555 | ||||||||
81,100 | Zimmer Holdings, Inc.* | 6,884,579 | ||||||||
48,425,316 | ||||||||||
Household & Personal Products – 1.2% | ||||||||||
95,100 | Energizer Holdings, Inc.* | 9,471,960 | ||||||||
6,500 | NBTY, Inc.* | 280,800 | ||||||||
63,400 | Procter & Gamble Co. | 3,879,446 | ||||||||
13,632,206 | ||||||||||
Insurance – 4.8% | ||||||||||
68,030 | AMBAC Financial Group, Inc. | 5,931,535 | ||||||||
369,600 | Genworth Financial, Inc. | 12,714,240 | ||||||||
383,300 | Loews Corp. | 19,540,634 |
5
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Insurance – (continued) | ||||||||||
268,863 | MBIA, Inc. | $ | 16,728,656 | |||||||
3,000 | Nationwide Financial Services, Inc. | 189,660 | ||||||||
55,104,725 | ||||||||||
Materials – 2.9% | ||||||||||
17,400 | Celanese Corp. Series A | 674,772 | ||||||||
361,900 | Domtar Corp.* | 4,038,804 | ||||||||
250,400 | Monsanto Co. | 16,912,016 | ||||||||
9,800 | Newmont Mining Corp. | 382,788 | ||||||||
183,100 | Nucor Corp. | 10,738,815 | ||||||||
3,700 | United States Steel Corp. | 402,375 | ||||||||
33,149,570 | ||||||||||
Media – 6.2% | ||||||||||
635,930 | CBS Corp. Class B | 21,189,188 | ||||||||
14,600 | Liberty Media Holding Corp., Capital Series Class A* | 1,718,128 | ||||||||
30,840 | The McGraw-Hill Companies, Inc. | 2,099,587 | ||||||||
97,600 | News Corp. Class B(a) | 2,238,944 | ||||||||
1,240,453 | Time Warner, Inc. | 26,099,131 | ||||||||
157,879 | The DIRECTV Group, Inc.* | 3,648,584 | ||||||||
414,886 | The Walt Disney Co. | 14,164,208 | ||||||||
71,157,770 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.3% | ||||||||||
33,890 | Amgen, Inc.* | 1,873,778 | ||||||||
129,600 | Applera Corporation-Applied Biosystems Group | 3,957,984 | ||||||||
180,800 | Forest Laboratories, Inc.* | 8,253,520 | ||||||||
433,200 | Gilead Sciences, Inc.* | 16,795,164 | ||||||||
358,808 | Merck & Co., Inc. | 17,868,638 | ||||||||
229,400 | Millennium Pharmaceuticals, Inc.* | 2,424,758 | ||||||||
1,333,115 | Pfizer, Inc. | 34,087,751 | ||||||||
304,100 | Schering-Plough Corp. | 9,256,804 | ||||||||
26,600 | Watson Pharmaceuticals, Inc.* | 865,298 | ||||||||
95,383,695 | ||||||||||
Real Estate – 1.2% | ||||||||||
63,600 | CB Richard Ellis Group, Inc. Class A* | 2,321,400 | ||||||||
11,000 | Developers Diversified Realty Corp. (REIT) | 579,810 | ||||||||
78,400 | Health Care Property Investors, Inc. (REIT) | 2,268,112 | ||||||||
28,800 | HRPT Properties Trust (REIT) | 299,520 | ||||||||
69,200 | iStar Financial, Inc. (REIT) | 3,067,636 | ||||||||
20,300 | ProLogis (REIT) | 1,155,070 | ||||||||
36,400 | Simon Property Group, Inc. (REIT) | 3,386,656 | ||||||||
6,400 | SL Green Realty Corp. (REIT) | 792,896 | ||||||||
13,871,100 | ||||||||||
Retailing – 2.6% | ||||||||||
77,400 | Amazon.com, Inc.* | 5,294,934 | ||||||||
539,794 | AutoNation, Inc.* | 12,112,977 | ||||||||
60,700 | Expedia, Inc.* | 1,777,903 | ||||||||
80,600 | IAC/InterActiveCorp* | 2,789,566 | ||||||||
253,700 | RadioShack Corp. | 8,407,618 | ||||||||
30,382,998 | ||||||||||
Semiconductors & Semiconductor Equipment – 2.4% | ||||||||||
246,500 | Intel Corp. | 5,856,840 | ||||||||
11,300 | Novellus Systems, Inc.* | 320,581 | ||||||||
558,052 | Texas Instruments, Inc. | 20,999,497 | ||||||||
27,176,918 | ||||||||||
Software & Services – 7.8% | ||||||||||
472,500 | Accenture Ltd. Class A | 20,265,525 | ||||||||
12,900 | Computer Sciences Corp.* | 763,035 | ||||||||
72,700 | Mastercard, Inc. Class A | 12,058,749 | ||||||||
1,311,040 | Microsoft Corp. | 38,636,349 | ||||||||
637,300 | Symantec Corp.* | 12,873,460 | ||||||||
209,611 | Synopsys, Inc.* | 5,540,018 | ||||||||
90,137,136 | ||||||||||
Technology Hardware & Equipment – 6.8% | ||||||||||
300 | Andrew Corp.* | 4,332 | ||||||||
97,200 | Apple Computer, Inc.* | 11,862,288 | ||||||||
70,000 | Avnet, Inc.* | 2,774,800 | ||||||||
1,197,740 | Cisco Systems, Inc.* | 33,357,059 | ||||||||
382,000 | EMC Corp.* | 6,914,200 | ||||||||
342,300 | Hewlett-Packard Co. | 15,273,426 | ||||||||
178,600 | Lexmark International, Inc. Class A* | 8,806,766 | ||||||||
78,992,871 | ||||||||||
Telecommunication Services – 4.9% | ||||||||||
29,600 | ALLTEL Corp. | 1,999,480 | ||||||||
491,442 | AT&T, Inc. | 20,394,843 | ||||||||
166,500 | CenturyTel, Inc. | 8,166,825 | ||||||||
767,895 | Sprint Nextel Corp. | 15,903,105 | ||||||||
18,380 | Telephone & Data Systems, Inc. | 1,150,037 | ||||||||
8,400 | United States Cellular Corp.* | 761,040 | ||||||||
195,200 | Verizon Communications, Inc. | 8,036,384 | ||||||||
56,411,714 | ||||||||||
Transportation – 0.8% | ||||||||||
39,900 | Avis Budget Group, Inc.* | 1,134,357 | ||||||||
53,800 | J.B. Hunt Transport Services, Inc. | 1,577,416 | ||||||||
55,500 | Union Pacific Corp. | 6,390,825 | ||||||||
9,102,598 | ||||||||||
Utilities – 2.7% | ||||||||||
1,400 | Constellation Energy Group, Inc. | 122,038 | ||||||||
6,101 | Dynergy Inc. Class A* | 57,593 | ||||||||
20,500 | Entergy Corp. | 2,200,675 | ||||||||
396,000 | PG&E Corp. | 17,938,800 |
6
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Utilities – (continued) | ||||||||||
307,800 | Reliant Energy, Inc.* | $ | 8,295,210 | |||||||
38,070 | TXU Corp. | 2,562,111 | ||||||||
31,176,427 | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $991,626,153) | $ | 1,154,639,678 | ||||||||
Interest | ||||||||||||||
Shares | Description | Rate | Value | |||||||||||
Securities Lending Collateral — 0.2% | ||||||||||||||
1,878,625 | Boston Global Investment Trust – Enhanced Portfolio | 5.309 | % | $ | 1,878,625 | |||||||||
(Cost $1,878,625) | ||||||||||||||
TOTAL INVESTMENTS – 100.2% | ||||||||||||||
(Cost $993,504,778) | $ | 1,156,518,303 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.2)% | (2,097,290) | |||||||||||||
NET ASSETS – 100.0% | $ | 1,154,421,013 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. |
Investment Abbreviation | ||||||
REIT | — | Real Estate Investment Trust | ||||
7
Statement of Assets and Liabilities
Assets: | |||||||||
Investment in securities, at value (identified cost $991,626,153)(a) | $ | 1,154,639,678 | |||||||
Securities lending collateral, at value which equals cost | 1,878,625 | ||||||||
Cash(b) | 89,737 | ||||||||
Receivables: | |||||||||
Dividends and interest | 1,409,675 | ||||||||
Fund shares sold | 124,973 | ||||||||
Securities lending income | 337 | ||||||||
Other assets | 9,319 | ||||||||
Total assets | 1,158,152,344 | ||||||||
Liabilities: | |||||||||
Due to custodian | 115,037 | ||||||||
Payables: | |||||||||
Payable upon return of securities loaned | 1,878,625 | ||||||||
Fund shares repurchased | 942,705 | ||||||||
Amounts owed to affiliates | 674,697 | ||||||||
Accrued expenses | 120,267 | ||||||||
Total liabilities | 3,731,331 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 990,449,718 | ||||||||
Accumulated undistributed net investment income | 5,714,821 | ||||||||
Accumulated net realized loss on investments and futures transactions | (4,757,051 | ) | |||||||
Net unrealized gain on investments | 163,013,525 | ||||||||
NET ASSETS | $ | 1,154,421,013 | |||||||
Net Assets: | |||||||||
Institutional | $ | 910,603,217 | |||||||
Service | 243,817,796 | ||||||||
Shares outstanding: | |||||||||
Institutional | 59,142,061 | ||||||||
Service | 15,841,055 | ||||||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 74,983,116 | ||||||||
Net asset value, offering and redemption price per share: | |||||||||
Institutional | $15.40 | ||||||||
Service | 15.39 | ||||||||
(a) | Includes loaned securities having market value of $1,814,554. |
(b) | Represents restricted cash relating to initial margin requirements and collateral on futures transactions. |
8
Statement of Operations
Investment income: | |||||||
Dividends | $ | 9,976,108 | |||||
Interest (including securities lending income of $16,745) | 65,869 | ||||||
Total investment income | 10,041,977 | ||||||
Expenses: | |||||||
Management fees | 3,722,242 | ||||||
Distribution and Service fees — Service Class | 314,118 | ||||||
Transfer agent fees(a) | 232,185 | ||||||
Shareholder meeting expense | 169,813 | ||||||
Professional fees | 42,252 | ||||||
Custody and accounting fees | 41,578 | ||||||
Printing fees | 35,022 | ||||||
Trustee fees | 9,719 | ||||||
Other | 13,771 | ||||||
Total expenses | 4,580,700 | ||||||
Less — expense reductions | (253,544 | ) | |||||
Net expenses | 4,327,156 | ||||||
NET INVESTMENT INCOME | 5,714,821 | ||||||
Realized and unrealized gain on investment and futures transactions: | |||||||
Net realized gain from: | |||||||
Investment transactions | 46,846,266 | ||||||
Futures transactions | 153,576 | ||||||
Net change in unrealized gain on: | |||||||
Investments | 3,740,350 | ||||||
Futures | 23,939 | ||||||
Net realized and unrealized gain on investment and futures transactions | 50,764,131 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 56,478,952 | |||||
(a) | Institutional and Service Class had Transfer Agent fees of $181,910 and $50,275, respectively. |
9
Statements of Changes in Net Assets
For the | |||||||||||
Six Months Ended | For the | ||||||||||
June 30, 2007 | Year Ended | ||||||||||
(Unaudited) | December 31, 2006 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 5,714,821 | $ | 11,278,478 | |||||||
Net realized gain from investment and futures transactions | 46,999,842 | 89,765,481 | |||||||||
Net change in unrealized gain on investments and futures | 3,764,289 | 26,559,337 | |||||||||
Net increase in net assets resulting from operations | 56,478,952 | 127,603,296 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Institutional | — | (9,387,354 | ) | ||||||||
Service* | — | (2,504,014 | ) | ||||||||
Total distributions to shareholders | — | (11,891,368 | ) | ||||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 12,852,891 | 92,250,219 | |||||||||
Proceeds received in connection with merger | — | 286,785,341 | |||||||||
Reinvestments of dividends and distributions | — | 11,891,368 | |||||||||
Cost of shares repurchased | (87,070,004 | ) | (154,874,176 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | (74,217,113 | ) | 236,052,752 | ||||||||
TOTAL INCREASE (DECREASE) | (17,738,161 | ) | 351,764,680 | ||||||||
Net assets: | |||||||||||
Beginning of period | 1,172,159,174 | 820,394,494 | |||||||||
End of period | $ | 1,154,421,013 | $ | 1,172,159,174 | |||||||
Accumulated undistributed net investment income | $ | 5,714,821 | $ | — | |||||||
* | Service Share Class commenced operations on January 9, 2006. |
10
Financial Highlights
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | expense reductions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Distribution to | Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | shareholders | Net assets, | Ratio of | net investment | total | net investment | |||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | from net | Net asset | end of | net expenses | income to | expenses | income to | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
Year - Share | beginning | investment | unrealized | investment | investment | value, end | Total | period | to average | average | to average | average | turnover | |||||||||||||||||||||||||||||||||||||||||||
Class | of period | income(a) | gain (loss) | operations | income | of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||
For the Six Months ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 - Institutional | $ | 14.67 | $ | 0.08 | $ | 0.65 | $ | 0.73 | $ | — | $ | 15.40 | 4.98 | % | $ | 910,603 | 0.71 | %(d) | 1.02 | %(d) | 0.72 | %(d) | 1.01 | %(d) | 49 | % | ||||||||||||||||||||||||||||||
2007 - Service | 14.67 | 0.07 | 0.65 | 0.72 | — | 15.39 | 4.91 | 243,818 | 0.79 | (d) | 0.94 | (d) | 0.97 | (d) | 0.76 | (d) | 49 | |||||||||||||||||||||||||||||||||||||||
For the Years ended December 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 - Institutional | 13.13 | 0.14 | 1.55 | 1.69 | (0.15 | ) | 14.67 | 12.89 | 910,345 | 0.72 | 1.01 | 0.72 | 1.01 | 99 | ||||||||||||||||||||||||||||||||||||||||||
2006 - Service (c) | 13.54 | 0.13 | 1.14 | 1.27 | (0.14 | ) | 14.67 | 9.38 | 261,814 | 0.80 | (d) | 0.92 | (d) | 0.97 | (d) | 0.75 | (d) | 99 | ||||||||||||||||||||||||||||||||||||||
2005 - Institutional | 12.42 | 0.13 | 0.68 | 0.81 | (0.10 | ) | 13.13 | 6.51 | 820,394 | 0.74 | 1.00 | 0.76 | 0.99 | 109 | ||||||||||||||||||||||||||||||||||||||||||
2004 - Institutional | 10.92 | 0.14 | 1.49 | 1.63 | (0.13 | ) | 12.42 | 14.94 | 521,137 | 0.75 | 1.26 | 0.78 | 1.23 | 128 | ||||||||||||||||||||||||||||||||||||||||||
2003 - Institutional | 8.49 | 0.07 | 2.43 | 2.50 | (0.07 | ) | 10.92 | 29.47 | 383,025 | 0.85 | 0.79 | 0.85 | 0.79 | 92 | ||||||||||||||||||||||||||||||||||||||||||
2002 - Institutional | 10.94 | 0.06 | (2.45 | ) | (2.39 | ) | (0.06 | ) | 8.49 | (21.89 | ) | 143,439 | 0.85 | 0.60 | 0.86 | 0.59 | 84 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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 a full year are not annualized. |
(c) | Service Share Class commenced operations on January 9, 2006. |
(d) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in equity securities and investment companies 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, such securities are valued at the last bid price. Unlisted equity 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. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. 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 are deemed not to reflect market value 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 reflected 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, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the Fund separately bears its respective class-specific Transfer Agency fees. Service Shares bear all expenses and fees relating to their Distribution and Service Plan.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
E. Futures Contracts — The Fund 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, or in the absence of a sale, the last bid 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 Fund is required to segregate cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Fund, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Fund realizes a gain or loss which is reported in the Statement of Operations.
F. Segregation Transactions — The Fund may enter into certain derivative transactions to seek to increase total return. Futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
3. AGREEMENTS |
3. AGREEMENTS (continued) |
Contractual Management Fee | ||||||||||||||
First $1 Billion | Next $1 Billion | Over $2 Billion | Effective Fee | |||||||||||
0.65% | 0.59% | 0.56% | 0.64% | |||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
5. SECURITIES LENDING |
5. SECURITIES LENDING (continued) |
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Capital loss carryforward:(1) | |||||
Expiring 2009 | $ | (24,505,886 | ) | ||
Expiring 2010 | (35,676,026 | ) | |||
Total capital loss carryforward | $ | (60,181,912 | ) | ||
(1) | Expiration occurs on December 31 of the year indicated. Utilization of these losses may be limited under the Code. |
Tax cost | $ | 997,433,010 | ||
Gross unrealized gain | 173,566,419 | |||
Gross unrealized loss | (14,481,126 | ) | ||
Net unrealized security gain | $ | 159,085,293 | ||
8. OTHER MATTERS |
Acquired Fund’s | ||||||||||||
Exchanged Shares | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | of Survivor Issued | Exchanged Shares | as of January 6, 2006 | |||||||||
Structured U.S. Equity Fund Service Class/Allmerica Fund Service Class | 21,180,601 | $ | 286,785,341 | 154,899,319 | ||||||||
Survivor Fund’s | Acquired Fund’s | Survivor Fund’s | ||||||||||||||||||
Aggregate | Aggregate | Aggregate | ||||||||||||||||||
Net Assets | Net Assets | Net Assets | Acquired Fund’s | Acquired Fund’s | ||||||||||||||||
before | before | immediately | Unrealized | Capital Loss | ||||||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | after acquisition | Appreciation | Carryforward | |||||||||||||||
Structured U.S. Equity Fund/Allmerica Fund | $ | 846,672,156 | $ | 286,785,341 | $ | 1,133,457,497 | $ | 53,289,382 | $ | (215,995,972 | ) | |||||||||
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
10. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months Ended | ||||||||||||||||
June 30, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | December 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 725,651 | $ | 10,761,228 | 5,925,895 | $ | 80,892,610 | ||||||||||
Reinvestment of dividends and distributions | — | — | 638,161 | 9,387,354 | ||||||||||||
Shares repurchased | (3,629,881 | ) | (54,919,172 | ) | (7,009,766 | ) | (94,999,905 | ) | ||||||||
(2,904,230 | ) | (44,157,944 | ) | (445,710 | ) | (4,719,941 | ) | |||||||||
Service Shares* | ||||||||||||||||
Shares sold | 140,808 | 2,091,663 | 833,578 | 11,357,609 | ||||||||||||
Shares issued in connection with merger | — | — | 21,180,601 | 286,785,341 | ||||||||||||
Reinvestment of dividend and distributions | — | — | 170,226 | 2,504,014 | ||||||||||||
Shares repurchased | (2,143,056 | ) | (32,150,832 | ) | (4,341,102 | ) | (59,874,271 | ) | ||||||||
(2,002,248 | ) | (30,059,169 | ) | 17,843,303 | 240,772,693 | |||||||||||
NET INCREASE (DECREASE) | (4,906,478 | ) | $ | (74,217,113 | ) | 17,397,593 | $ | 236,052,752 | ||||||||
* | Service Share Class commenced operations on January 9, 2006. |
11. SUBSEQUENT EVENT |
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Variable Insurance Trust (the “Trust”), and review the investment performance and expenses of the investment fund covered by this Report (the “Fund”) at regularly scheduled meetings held during the Fund’s fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Fund.
The Management Agreement was most recently approved by the Trustees, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), on June 13, 2007 (the “Annual Contract Meeting”).
To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to the reviews of the Fund’s investment performance, expenses and other matters at regularly scheduled Board meetings, the Trustees have a Contract Review Committee (the “Committee”) whose members include all of the Independent Trustees. The Committee held meetings on December 14, 2006, February 7, 2007 and May 9, 2007. At these Committee meetings, the Independent Trustees considered matters relating to the Management Agreement including: (a) the Fund’s investment performance; (b) the Fund’s management fee arrangements; (c) the Investment Adviser’s undertaking to reimburse certain expenses of the Fund that exceed a specified level; (d) potential economies of scale and the level of breakpoints in the fee schedule under the Management Agreement; (e) the relative expense level of the Fund as compared to comparable funds; (f) data relating to the Investment Adviser’s profitability with respect to the Trust and the Fund; (g) capacity issues relating to certain of the funds managed by the Investment Adviser; (h) information on the advisory fees charged to institutional accounts; (i) the quality of the non-advisory services provided by the Investment Adviser and its affiliates; (j) information on the processes followed by a third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Fund; (k) an update on soft dollars and other trading related issues; and (l) the quality of the services provided by the Fund’s unaffiliated service providers and reports on due diligence visits to outside service providers.
At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters including: (a) a summary of fee concessions by the Investment Adviser and its affiliates with respect to the Goldman Sachs mutual funds since 2003; (b) the quality of the Investment Adviser’s services; (c) the structure, staff and capabilities of the Investment Adviser and its portfolio management team; (d) the groups within the Investment Adviser that support the portfolio management team, including the legal and compliance departments, the valuation oversight group, the risk and performance analytics group, the business planning team and the technology group; (e) the Investment Adviser’s business continuity and disaster recovery planning; (f) the Investment Adviser’s financial resources and its ability to hire and retain talented personnel; (g) the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, distribution, portfolio brokerage and other services; (h) the terms of the Management Agreement; (i) the administrative services provided under the Management Agreement, including the nature and extent of the Investment Adviser’s oversight of the Fund’s other service providers, including the custodian and fund accounting agent; and (j) the Investment Adviser’s policies addressing various potential conflicts of interest. At the Annual Contract Meeting, the Trustees also considered at further length the Fund’s investment performance, fees and expenses, including the Fund’s expense trends over time and the breakpoints in the contractual fee rate under the Management Agreement approved in 2006.
In connection with the Committee meetings and the Annual Contract Meeting, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law. Also, in conjunction with these meetings, the Trustees attended other sessions at which the Trustees reviewed the commission rates paid by the Fund on brokerage transactions, the Investment Adviser’s receipt of research services in connection with those transactions, and the payment of Rule 12b-1 distribution and service fees that are payable by the Fund on its Service Share Class. Information was also provided to the Trustees relating to revenue sharing payments made by the Investment Adviser, portfolio manager compensation, the alignment of the interests of the Fund and the portfolio managers, the number and types of accounts managed by the portfolio managers, and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent counsel, without representatives of the Investment Adviser present.
The presentations made at the Contract Review Committee meetings and the Annual Contract Meeting encompassed the Fund and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for the Fund and these other mutual fund portfolios were approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to the Fund separately.
In evaluating the Management Agreement at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its services and the Fund. At those meetings the Trustees received materials relating to the Investment Adviser’s investment management and other services under the Management Agreement, including: (a) information on the investment performance of the Fund in comparison to other mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the Fund invests; (c) compliance reports; and (d) expenses borne by the Fund. In addition, the Trustees were provided with disclosure materials regarding the Goldman Sachs mutual funds and their expenses that are provided to investors who invest in the funds, as well as information on the Goldman Sachs mutual funds’ competitive universe and discussed the broad range of other investment choices that are available to those investors.
In connection with their approval of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Fund by the Investment Adviser and its affiliates. These services include services as the Fund’s transfer agent, securities lending agent and distributor. In addition, affiliates of the Investment Adviser receive compensation in connection with the execution of the Fund’s portfolio transactions. The Trustees concluded that the Investment Adviser was both able to commit substantial financial and other resources to the operations of the Fund and had continued to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, vendor oversight and risk management. The Trustees also believed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser, including education and training initiatives.
The Trustees also considered the investment performance of the Fund and the Investment Adviser. In this regard, the Trustees compared the investment performance of the Fund to the performance of other SEC-registered funds and to rankings and ratings issued by the Outside Data Provider. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. This information on the Fund’s investment performance was provided for one, three and five year periods. In addition, the Trustees considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies, as well as in light of periodic analyses of its quality and risk profile. In addition, the Trustees considered whether the Fund had operated within its investment policies, and its record of compliance with its investment limitations. The Trustees concluded that the Fund was providing investment performance within a competitive range for long-term investors.
The Board of Trustees also considered the contractual fee rate payable by the Fund under the Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund. They also considered information that indicated that these mutual fund services differed in various significant respects from the services provided to the Investment Adviser’s institutional accounts, which generally paid lower fees. In addition, the fees paid by the Fund and the Fund’s total operating expense ratios (before and after applicable expense reimbursements) were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms. Most of the comparisons of the Fund’s fee rates and total operating expense ratios were prepared by the Outside Data Provider.
More particularly, the Trustees reviewed analyses prepared by the Outside Data Provider of the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee rates to a relevant peer group and a category universe; an expense analysis which compared the Fund’s expenses to a peer group and a category universe; and a five-year history comparing the Fund’s expenses to the category average. The analyses also compared the Fund’s transfer agency fees, custody and accounting fees and other expenses to a peer group and median. The Trustees believed that the comparisons
provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees paid by the Fund. In addition, the Trustees considered the Investment Adviser’s voluntary undertaking to limit the Fund’s “other expenses” ratio (excluding certain expenses) to a specified level. This voluntary undertaking is in addition to the Investment Adviser’s separate contractual agreement to reimburse the Fund as necessary to limit the total annual operating expenses of the Service Shares of the Fund to a specified level until July 2007.
The Board of Trustees also considered the reduction in the contractual fee rate payable under the Management Agreement for the Fund that was approved by the Trustees in June 2004, and the breakpoints in the contractual fee rate under the Management Agreement for the Fund that had been implemented at the following annual percentages of the average daily net assets of the Fund:
0.65% on the first $1 billion; 0.59% on the next $1 billion; and 0.56% over $2 billion.
In approving these fee breakpoints, the Trustees had reviewed information regarding the Investment Adviser’s potential economies of scale, and whether the Fund and its shareholders were participating in the benefits of those economies. In this regard, the Trustees considered the amount of assets in the Fund; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Adviser with fee rates charged by other, unaffiliated investment managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting in 2007, the Trustees continued to believe that the fee breakpoints were a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset levels.
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from the Fund as stated above, including the fees received by them for transfer agency, securities lending, distribution and brokerage services, and the brokerage and research services received by the Investment Adviser in connection with the placement of brokerage transactions for the Fund. In this regard, the Trustees noted that the Investment Adviser had adopted a policy to cease obtaining third party non-broker research based on the Fund’s brokerage transactions. They also noted that the Fund had offered a share class, Service Shares, with a distribution and service plan under which an affiliate of the Investment Adviser would receive fees.
In addition, the Trustees reviewed the Investment Adviser’s pre-tax revenues and pre-tax margins with respect to the Trust and the Fund. In this regard the Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules, and expense allocation methodologies, as well as a report of independent accountants regarding the results of certain agreed-upon procedures to verify expense allocation calculations that were designed to assist the Trustees in their evaluation of the Investment Adviser’s schedules of revenues and expenses. The Trustees considered the Investment Adviser’s revenues and margins both in absolute terms and in comparison to the information on the reported margins earned by other asset management firms.
After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded that the management fees paid by the Fund were reasonable in light of the services provided by the Investment Adviser, its costs and the Fund’s current and reasonably foreseeable asset levels, and that the Management Agreement should be approved and continued.
As a shareholder of the Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. | ||
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007. | ||
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period. | ||
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. | ||
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing on going costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs. |
Expenses Paid | ||||||||||||
for the | ||||||||||||
Beginning | Ending | 6 months | ||||||||||
Account Value | Account Value | ended | ||||||||||
Share Class | 1/1/07 | 06/30/07 | 6/30/07* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.80 | $ | 3.71 | ||||||
Hypothetical 5% return | 1,000.00 | 1,021.17 | + | 3.66 | ||||||||
Service | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.10 | $ | 4.12 | ||||||
Hypothetical 5% return | 1,000.00 | 1,020.78 | + | 4.06 | ||||||||
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.71% and 0.79% for Institutional and Service Shares, respectively. | ||
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | Kaysie P. Uniacke, President | |
John P. Coblentz, Jr. | James A. McNamara, Senior Vice President | |
Diana M. Daniels | John M. Perlowski, Senior Vice President | |
Patrick T. Harker | and Treasurer | |
Jessica Palmer | Peter V. Bonanno, Secretary | |
Alan A. Shuch | ||
Richard P. Strubel | ||
Kaysie P. Uniacke | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT Investment Adviser | ||
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. | ||
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
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: Structured U.S. Equity Fund. | ||
Copyright 2007 Goldman, Sachs & Co. All rights reserved. | ||
VITSTRCUSSAR/07-1652/40.6K |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005
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Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Structured Small Cap Equity Fund during the six-month reporting period that ended June 30, 2007.
Market Review
The Russell 2000 Index returned 6.45% for the six-month period ended June 30, 2007. Eight of the ten sectors in the Index posted positive results for the period, led by the Materials (+22.1%) and Industrials (+15.4%) sectors. Because of its high weight in the Russell 2000 Index, the Information Technology (+11.7%) sector had the biggest impact on performance among small-cap stocks. Growth stocks outpaced their value counterparts, largely due to the strength of Information Technology stocks.
Investment Objective
The Fund seeks long-term growth of capital. The Fund seeks this objective through a broadly diversified portfolio of equity investments in U.S. issuers.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||
Company | Net Assets | Business | ||||
USEC, Inc. | 2.6 | % | Energy | |||
CF Industries Holdings, Inc. | 2.3 | Materials | ||||
American Greetings Corp. | 1.6 | Consumer Durables & Apparel | ||||
Novatel Wireless, Inc. | 1.6 | Technology Hardware & Equipment | ||||
Belden CDT, Inc. | 1.5 | Capital Goods | ||||
Anthracite Capital, Inc. | 1.5 | Real Estate | ||||
Bally Technologies, Inc. | 1.4 | Consumer Services | ||||
Papa John’s International, Inc. | 1.4 | Consumer Services | ||||
Cooper Tire & Rubber Co. | 1.3 | Automobiles & Components | ||||
Millennium Pharmaceuticals, Inc. | 1.3 | Pharmaceuticals, Biotechnology & Life Sciences |
* 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 by 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 upon 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 ended June 30, 2007, the Fund’s Institutional Shares generated a cumulative total return of 0.83%. This return compares to the 6.45% cumulative total return of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested), over the same time period.
Our model is based on six investment themes — Valuation, Profitability, Earnings Quality, Management Impact, Momentum and Analyst Sentiment. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the
company’s intrinsic value to its market value. Profitability assesses whether the company is earning more than its cost of capital. Earnings Quality evaluates whether the company’s earnings are coming from a steady cash flow, as opposed to accruals. Management Impact captures a company’s management strategy and effectiveness through the company’s investing and financing behavior. Momentum predicts drift in stock prices caused by under-reaction to company-specific information. Finally, the Analyst Sentiment theme looks at how Wall Street analysts’ views about a company’s earnings and prospects are changing over time.
Similar to the August-November 2006 period, we witnessed signs of another “speculative rally” in the first half of 2007. Specifically, firms with negative earnings and low Standard & Poor’s quality ratings outperformed their “higher quality” peers. On average, the opposite is true over longer periods of time. We believe this low quality rally, which ebbed and flowed over the reporting period, was a factor in our model’s significant underperformance, as investors sought more richly valued stocks with lesser earnings quality. In addition, the ebb and flow of the preference for low quality securities meant that our Momentum theme, which depends on stocks establishing price trends in one direction or the other, detracted from results.
Returns to our investment themes were mixed during the reporting period. Momentum was the worst performing theme, as companies with strong momentum characteristics underperformed their industry counterparts. This was particularly evident among low volatility, overweight positions in the Information Technology sector. In addition, Profitability and Earnings Quality detracted from relative returns for the period. In contrast, Analyst Sentiment, Management Impact and Valuation contributed positively to relative performance for the period.
Large stock specific events, the effects of which we usually expect to be minimized by holding a diversified portfolio, also negatively impacted the Fund’s performance. Overall, the Fund’s holdings in the Information Technology, Healthcare and Industrials sectors detracted the most from performance during the period. On the upside, stock selection in the Energy and Utilities sectors were the most successful.
In June 2007, we made two enhancements to our U.S. model. The first enhancement, an extension of our Momentum theme, seeks to capture cross-company lead-lag effects. The opportunity to generate incremental returns is created when stock prices react with a delay to news about related companies. The second enhancement is based on the observation that returns to the investment themes vary with information uncertainty. We think prices adjust more slowly when there is more uncertainty and, thus, by increasing our exposure to stocks with more “vagueness” in their information, we improve the potential return to our investment themes. Our tests of the enhanced version of the model show that historical excess returns increase consistently across capitalization ranges and time periods. Although our underlying philosophy remains unchanged, our models are constantly evolving in an effort to enhance future results. We believe both of these enhancements improve our model’s efficacy and will provide a significant benefit to our clients’ portfolios.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Quantitative Equity Management Team
July 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Structured Small Cap Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Structured Small Cap Equity Fund invests in a broadly diversified portfolio of small-capitalization U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/ or general economic conditions. Stocks of smaller companies are often more volatile and less liquid and present greater risks than stocks of larger companies. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 99.8% | ||||||||||
Automobiles & Components – 2.6% | ||||||||||
33,600 | American Axle & Manufacturing Holdings, Inc. | $ | 995,232 | |||||||
100 | ArvinMeritor, Inc. | 2,220 | ||||||||
93,200 | Cooper Tire & Rubber Co. | 2,574,184 | ||||||||
5,700 | Lear Corp.* | 202,977 | ||||||||
152,000 | Visteon Corp.* | 1,231,200 | ||||||||
5,005,813 | ||||||||||
Banks – 6.2% | ||||||||||
100 | 1st Source Corp. | 2,492 | ||||||||
100 | Ameris Bancorp | 2,247 | ||||||||
26,300 | Bank Mutual Corp. | 303,239 | ||||||||
100 | Bank of Granite Corp. | 1,669 | ||||||||
100 | Banner Corp. | 3,406 | ||||||||
6,040 | Cascade Bancorp | 139,765 | ||||||||
8,600 | Central Pacific Financial Corp. | 283,886 | ||||||||
29,700 | Chittenden Corp. | 1,038,015 | ||||||||
100 | Citizens First Bancorp, Inc. | 2,180 | ||||||||
110 | Community Trust Bancorp, Inc. | 3,553 | ||||||||
22,100 | Downey Financial Corp.(a) | 1,458,158 | ||||||||
26,200 | East West Bancorp, Inc. | 1,018,656 | ||||||||
6,400 | First Citizens BancShares, Inc. Class A | 1,244,160 | ||||||||
18,293 | First Regional Bancorp* | 465,374 | ||||||||
300 | First Republic Bank | 16,098 | ||||||||
306 | First South Bancorp, Inc.(a) | 8,231 | ||||||||
100 | FNB Corp. | 3,590 | ||||||||
3,300 | Frontier Financial Corp. | 74,349 | ||||||||
100 | Hancock Holding Co. | 3,755 | ||||||||
63,661 | Hanmi Financial Corp. | 1,086,057 | ||||||||
100 | Heritage Commerce Corp. | 2,368 | ||||||||
100 | Horizon Financial Corp. | 2,179 | ||||||||
100 | IndyMac Bancorp, Inc. | 2,917 | ||||||||
Intervest Bancshares Corp. | 69,020 | |||||||||
100 | Nara Bancorp, Inc. | 1,593 | ||||||||
17,348 | PFF Bancorp, Inc. | 484,530 | ||||||||
100 | Pinnacle Financial Partners, Inc.* | 2,936 | ||||||||
27,407 | Preferred Bank | 1,096,280 | ||||||||
65,200 | Provident Financial Services, Inc. | 1,027,552 | ||||||||
100 | Renasant Corp. | 2,274 | ||||||||
100 | SCBT Financial Corp. | 3,640 | ||||||||
100 | Southwest Bancorp, Inc. | 2,404 | ||||||||
100 | Sterling Financial Corp. | 2,894 | ||||||||
100 | Susquehanna Bancshares, Inc. | 2,237 | ||||||||
11,400 | The PMI Group, Inc. | 509,238 | ||||||||
100 | TriCo Bancshares | 2,236 | ||||||||
63,900 | Umpqua Holdings Corp. | 1,502,289 | ||||||||
3,645 | Vineyard National Bancorp | 83,726 | ||||||||
100 | Virginia Financial Group, Inc. | 2,220 | ||||||||
100 | Washington Trust Bancorp, Inc. | 2,521 | ||||||||
100 | Westfield Financial, Inc. | 997 | ||||||||
11,964,931 | ||||||||||
Capital Goods – 7.7% | ||||||||||
800 | Acuity Brands, Inc. | 48,224 | ||||||||
21,400 | AGCO Corp.* | 928,974 | ||||||||
100 | Ampco-Pittsburgh Corp. | 4,009 | ||||||||
5,100 | AZZ, Inc.* | 171,615 | ||||||||
23,600 | Baldor Electric Co. | 1,163,008 | ||||||||
54,000 | Belden CDT, Inc. | 2,988,900 | ||||||||
100 | CIRCOR International, Inc. | 4,043 | ||||||||
19,500 | EMCOR Group, Inc.* | 1,421,550 | ||||||||
5,000 | EnPro Industries, Inc.* | 213,950 | ||||||||
16,600 | Force Protection, Inc.*(a) | 342,624 | ||||||||
4,300 | General Cable Corp.* | 325,725 | ||||||||
100 | Infrasource Services, Inc.* | 3,710 | ||||||||
10,100 | NACCO Industries, Inc. Class A | 1,570,449 | ||||||||
20,100 | Perini Corp.* | 1,236,753 | ||||||||
100 | PGT, Inc.* | 1,093 | ||||||||
100 | Powell Industries, Inc.* | 3,176 | ||||||||
16,300 | RBC Bearings, Inc.* | 672,375 | ||||||||
23,200 | Robbins & Myers, Inc. | 1,232,616 | ||||||||
100 | Sequa Corp. Class A* | 11,200 | ||||||||
1,600 | SPX Corp. | 140,496 | ||||||||
6,100 | Stanley, Inc.* | 107,482 | ||||||||
48,300 | Superior Essex, Inc.* | 1,804,005 | ||||||||
27,900 | Tredegar Corp. | 594,270 | ||||||||
100 | Valmont Industries, Inc. | 7,276 | ||||||||
14,997,523 | ||||||||||
Commercial Services & Supplies – 5.2% | ||||||||||
68,500 | ABM Industries, Inc. | 1,767,985 | ||||||||
24,498 | Amrep Corp.(a) | 1,164,880 | ||||||||
37,500 | Bowne & Co., Inc. | 731,625 | ||||||||
100 | Cornell Cos., Inc.* | 2,456 | ||||||||
7,200 | Deluxe Corp. | 292,392 | ||||||||
15,400 | Diamond Management & Technology Consultants, Inc. | 203,280 | ||||||||
100 | Heidrick & Struggles International, Inc.* | 5,124 | ||||||||
124,586 | IKON Office Solutions, Inc. | 1,944,787 | ||||||||
100 | Interface, Inc. Class A | 1,886 | ||||||||
7,900 | PHH Corp.* | 246,559 | ||||||||
100 | Resources Connection, Inc.* | 3,318 | ||||||||
78,991 | Spherion Corp.* | 741,726 | ||||||||
49,000 | TeleTech Holdings, Inc.* | 1,591,520 | ||||||||
7,600 | United Stationers, Inc.* | 506,464 | ||||||||
100 | Viad Corp. | 4,217 | ||||||||
42,411 | Volt Information Sciences, Inc.* | 782,059 | ||||||||
1,239 | Waste Industries USA, Inc. | 42,299 | ||||||||
10,032,577 | ||||||||||
Consumer Durables & Apparel – 3.4% | ||||||||||
108,000 | American Greetings Corp. Class A | 3,059,640 | ||||||||
2,600 | Deckers Outdoor Corp.* | 262,340 | ||||||||
33,000 | Kellwood Co. | 927,960 | ||||||||
31,700 | Kimball International, Inc. Class B | 444,117 | ||||||||
45,200 | Perry Ellis International, Inc.* | 1,454,084 | ||||||||
17,800 | Tempur-Pedic International, Inc. | 461,020 | ||||||||
6,609,161 | ||||||||||
5
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Consumer Services – 4.7% | ||||||||||
100 | Bally Technologies, Inc.* | $ | 2,642 | |||||||
39,084 | CPI Corp. | 2,716,338 | ||||||||
1,800 | ITT Educational Services, Inc.* | 211,284 | ||||||||
29,700 | Jack in the Box, Inc.* | 2,106,918 | ||||||||
28,700 | Landry’s Restaurants, Inc. | 868,462 | ||||||||
161 | Marcus Corp. | 3,825 | ||||||||
16,300 | O’Charley’s, Inc. | 328,608 | ||||||||
110 | Papa John’s International, Inc.* | 3,164 | ||||||||
41,815 | Pre-Paid Legal Services, Inc.*(a) | 2,689,123 | ||||||||
6,100 | Sotheby’s | 280,722 | ||||||||
9,211,086 | ||||||||||
Diversified Financials – 1.8% | ||||||||||
2,800 | Advance America Cash Advance Centers, Inc. | 49,672 | ||||||||
150 | Advanta Corp. Class B | 4,671 | ||||||||
14,300 | AmeriCredit Corp.* | 379,665 | ||||||||
2,100 | Capital Southwest Corp. | 327,159 | ||||||||
8,200 | Cohen & Steers, Inc. | 356,290 | ||||||||
7,400 | Cowen Group, Inc.* | 132,534 | ||||||||
49,431 | EZCORP, Inc. Class A* | 654,467 | ||||||||
100 | Highland Distressed Opportunities, Inc. | 1,425 | ||||||||
1,200 | Piper Jaffray Cos.* | 66,876 | ||||||||
100 | Sanders Morris Harris Group, Inc. | 1,164 | ||||||||
100 | SWS Group, Inc. | 2,162 | ||||||||
100 | The First Marblehead Corp. | 3,864 | ||||||||
34,055 | World Acceptance Corp.* | 1,455,170 | ||||||||
3,435,119 | ||||||||||
Energy – 7.1% | ||||||||||
200 | Cabot Oil & Gas Corp. | 7,376 | ||||||||
8,300 | General Maritime Corp. | 222,274 | ||||||||
18,600 | Gulfmark Offshore, Inc.* | 952,692 | ||||||||
18,904 | Holly Corp. | 1,402,488 | ||||||||
13,100 | Matrix Service Co.* | 325,535 | ||||||||
23,200 | Newpark Resources, Inc.* | 179,800 | ||||||||
100 | NGP Capital Resources Co. | 1,672 | ||||||||
16,935 | Overseas Shipholding Group, Inc. | 1,378,509 | ||||||||
2,300 | Plains Exploration & Production Co.* | 109,963 | ||||||||
2,000 | SEACOR Holdings, Inc.* | 186,720 | ||||||||
21,700 | Ship Finance International Ltd. | 644,056 | ||||||||
27,390 | Swift Energy Co.* | 1,171,196 | ||||||||
31,300 | Trico Marine Services, Inc.*(a) | 1,279,544 | ||||||||
2,800 | Universal Compression Holdings, Inc.* | 202,916 | ||||||||
227,500 | USEC, Inc.* | 5,000,450 | ||||||||
12,800 | Western Refining, Inc. | 739,840 | ||||||||
13,805,031 | ||||||||||
Food & Staples Retailing – 1.5% | ||||||||||
18,073 | Ingles Markets, Inc. Class A | 622,615 | ||||||||
6,000 | Longs Drug Stores Corp. | 315,120 | ||||||||
47,800 | Performance Food Group Co.* | 1,553,022 | ||||||||
100 | Ruddick Corp. | 3,012 | ||||||||
12,477 | Spartan Stores, Inc. | 410,618 | ||||||||
2,904,387 | ||||||||||
Food, Beverage & Tobacco – 2.1% | ||||||||||
59,200 | Alliance One International, Inc.* | 594,960 | ||||||||
100 | Boston Beer Co., Inc. Class A* | 3,935 | ||||||||
83,600 | Chiquita Brands International, Inc.*(a) | 1,585,056 | ||||||||
4,400 | Dean Foods Co. | 140,228 | ||||||||
7,800 | Fresh Del Monte Produce, Inc. | 195,390 | ||||||||
20,400 | Imperial Sugar Co.(a) | 628,116 | ||||||||
100 | The JM Smucker Co. | 6,366 | ||||||||
13,300 | Universal Corp. | 810,236 | ||||||||
3,964,287 | ||||||||||
Health Care Equipment & Services – 6.5% | ||||||||||
66,300 | Align Technology, Inc.* | 1,601,808 | ||||||||
52,500 | Apria Healthcare Group, Inc.* | 1,510,425 | ||||||||
32,000 | Conmed Corp.* | 936,960 | ||||||||
39,721 | Corvel Corp.* | 1,038,307 | ||||||||
3,900 | Cynosure, Inc. Class A* | 142,077 | ||||||||
82 | Genesis HealthCare Corp.* | 5,611 | ||||||||
80,500 | Immucor, Inc.* | 2,251,585 | ||||||||
100 | IRIS International, Inc.* | 1,684 | ||||||||
33,900 | Kindred Healthcare, Inc.* | 1,041,408 | ||||||||
6,400 | Matria Healthcare, Inc.* | 193,792 | ||||||||
10,500 | Medcath Corporation* | 333,900 | ||||||||
46,366 | Molina Healthcare, Inc.* | 1,415,090 | ||||||||
17,200 | Sonic Innovations, Inc.* | 150,500 | ||||||||
23,400 | West Pharmaceutical Services, Inc. | 1,103,310 | ||||||||
40,778 | Zoll Medical Corp.* | 909,757 | ||||||||
12,636,214 | ||||||||||
Household & Personal Products – 1.0% | ||||||||||
100 | Alberto-Culver Co. | 2,372 | ||||||||
100 | Energizer Holdings, Inc.* | 9,960 | ||||||||
43,000 | NBTY, Inc.* | 1,857,600 | ||||||||
1,869,932 | ||||||||||
Insurance – 4.7% | ||||||||||
14,150 | American Physicians Capital, Inc.* | 573,075 | ||||||||
59,000 | Aspen Insurance Holdings Ltd. | 1,656,130 | ||||||||
26,600 | Assured Guaranty Ltd. | 786,296 | ||||||||
22,900 | IPC Holdings Ltd. | 739,441 | ||||||||
11,300 | LandAmerica Financial Group, Inc.(a) | 1,090,337 | ||||||||
29,000 | Max Capital Group Ltd. | 820,700 | ||||||||
125,900 | Meadowbrook Insurance Group, Inc.* | 1,379,864 | ||||||||
1,300 | National Western Life Insurance Co. Class A | 328,796 | ||||||||
800 | NYMAGIC, Inc. | 32,160 | ||||||||
3,600 | Odyssey RE Holdings Corp. | 154,404 | ||||||||
23,900 | Reinsurance Group of America, Inc. | 1,439,736 |
6
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Insurance – (continued) | ||||||||||
900 | SeaBright Insurance Holdings, Inc.* | $ | 15,732 | |||||||
200 | Universal American Financial Corp.* | 4,256 | ||||||||
9,020,927 | ||||||||||
Materials – 6.4% | ||||||||||
14,200 | Brush Engineered Materials, Inc.* | 596,258 | ||||||||
100 | Buckeye Technologies, Inc.* | 1,547 | ||||||||
75,018 | CF Industries Holdings, Inc. | 4,492,828 | ||||||||
100 | Chesapeake Corp. | 1,257 | ||||||||
12,500 | Cleveland-Cliffs, Inc. | 970,875 | ||||||||
8,700 | Domtar Corp.* | 97,092 | ||||||||
6,500 | Innospec, Inc. | 384,865 | ||||||||
11,900 | OM Group, Inc.* | 629,748 | ||||||||
39,600 | Rock-Tenn Co. Class A | 1,256,112 | ||||||||
47,900 | Ryerson, Inc. | 1,803,435 | ||||||||
1,300 | Schnitzer Steel Industries, Inc. | 62,322 | ||||||||
82,883 | Terra Industries, Inc.* | 2,106,886 | ||||||||
100 | Tronox, Inc. Class B | 1,405 | ||||||||
12,404,630 | ||||||||||
Media – 0.2% | ||||||||||
3,340 | Arbitron, Inc. | 172,110 | ||||||||
100 | Cox Radio, Inc. Class A* | 1,424 | ||||||||
100 | Harris Interactive, Inc.* | 535 | ||||||||
100 | Hearst-Argyle Television, Inc. | 2,410 | ||||||||
4,100 | Scholastic Corp.* | 147,354 | ||||||||
323,833 | ||||||||||
Pharmaceuticals, Biotechnology – 5.1% | ||||||||||
6,300 | Albany Molecular Research, Inc.* | 93,555 | ||||||||
39,300 | Applera Corp. – Celera Group* | 487,320 | ||||||||
1,100 | Bradley Pharmaceuticals, Inc.* | 23,881 | ||||||||
14,150 | Caraco Pharmaceutical Laboratories Ltd.* | 214,797 | ||||||||
1,000 | GTx, Inc.* | 16,190 | ||||||||
234,800 | Millennium Pharmaceuticals, Inc.* | 2,481,836 | ||||||||
6,800 | Noven Pharmaceuticals, Inc.* | 159,460 | ||||||||
6,900 | Omrix Biopharmaceuticals, Inc.* | 217,074 | ||||||||
500 | Parexel International Corp.* | 21,030 | ||||||||
10,200 | PharmaNet Development Group, Inc.* | 325,176 | ||||||||
18,000 | Pharmion Corp.* | 521,100 | ||||||||
23,100 | Pozen, Inc.* | 417,417 | ||||||||
100 | Rigel Pharmaceuticals, Inc.* | 891 | ||||||||
140,214 | Savient Pharmaceuticals, Inc.* | 1,741,458 | ||||||||
100 | SuperGen, Inc.* | 556 | ||||||||
14,500 | Tanox, Inc.*(a) | 281,445 | ||||||||
32,100 | Varian, Inc.* | 1,760,043 | ||||||||
34,900 | Watson Pharmaceuticals, Inc.* | 1,135,297 | ||||||||
9,898,526 | ||||||||||
Real Estate – 7.4% | ||||||||||
1,100 | Agree Realty Corp. (REIT) | 34,375 | ||||||||
243,159 | Anthracite Capital, Inc. (REIT) | 2,844,960 | ||||||||
6,800 | Arbor Realty Trust, Inc. (REIT) | 175,508 | ||||||||
20,800 | Crystal River Capital, Inc. (REIT) | 505,024 | ||||||||
100 | Douglas Emmett, Inc. (REIT) | 2,474 | ||||||||
34,000 | Entertainment Properties Trust (REIT) | 1,828,520 | ||||||||
16,600 | Equity One, Inc. (REIT) | 424,130 | ||||||||
13,959 | Gramercy Capital Corp. (REIT) | 384,431 | ||||||||
100 | Health Care Property Investors, Inc. (REIT) | 2,893 | ||||||||
44,700 | HRPT Properties Trust (REIT) | 464,880 | ||||||||
29,600 | iStar Financial, Inc. (REIT) | 1,312,168 | ||||||||
18,200 | Jones Lang LaSalle, Inc. | 2,065,700 | ||||||||
100 | LTC Properties, Inc. (REIT) | 2,275 | ||||||||
14,791 | Medical Properties Trust, Inc. (REIT) | 195,685 | ||||||||
4,565 | National Health Investors, Inc. (REIT) | 144,802 | ||||||||
24,800 | NorthStar Realty Finance Corp. (REIT) | 310,248 | ||||||||
19,000 | Potlatch Corp. (REIT) | 817,950 | ||||||||
100 | PS Business Parks, Inc. (REIT) | 6,337 | ||||||||
11,800 | RAIT Financial Trust (REIT) | 307,036 | ||||||||
100 | Realty Income Corp. (REIT) | 2,519 | ||||||||
14,300 | Redwood Trust, Inc. (REIT)(a) | 691,834 | ||||||||
100 | Regency Centers Corp. (REIT) | 7,050 | ||||||||
86,700 | Senior Housing Properties Trust (REIT) | 1,764,345 | ||||||||
14,295,144 | ||||||||||
Retailing – 3.9% | ||||||||||
100 | American Eagle Outfitters, Inc. | 2,566 | ||||||||
88,500 | Asbury Automotive Group, Inc. | 2,208,075 | ||||||||
31,600 | Big Lots, Inc.* | 929,672 | ||||||||
13,400 | Blue Nile, Inc.*(a) | 809,360 | ||||||||
14,750 | Brown Shoe Co., Inc. | 358,720 | ||||||||
100 | Dillards, Inc. Class A | 3,593 | ||||||||
100 | Haverty Furniture Cos., Inc. | 1,167 | ||||||||
45,800 | Jo-Ann Stores, Inc.* | 1,302,094 | ||||||||
100 | OfficeMax, Inc. | 3,930 | ||||||||
15,000 | RadioShack Corp. | 497,100 | ||||||||
41,400 | Sonic Automotive, Inc. Class A | 1,199,358 | ||||||||
100 | Syms Corp.* | 1,973 | ||||||||
8,300 | Systemax, Inc.(a) | 172,723 | ||||||||
8,300 | West Marine, Inc.* | 114,208 | ||||||||
7,604,539 | ||||||||||
Semiconductors & Semiconductor Equipment – 3.4% | ||||||||||
2,100 | Actel Corp.* | 29,211 | ||||||||
48,000 | Advanced Energy Industries, Inc.* | 1,087,680 | ||||||||
424,018 | Atmel Corp.* | 2,357,540 | ||||||||
35,300 | Exar Corp.* | 473,020 | ||||||||
100 | Micrel, Inc. | 1,272 | ||||||||
25,600 | MIPS Technologies, Inc.* | 225,024 | ||||||||
100 | Novellus Systems, Inc.* | 2,837 | ||||||||
48,500 | RF Micro Devices, Inc.* | 302,640 | ||||||||
271,200 | Skyworks Solutions, Inc.* | 1,993,320 | ||||||||
6,472,544 | ||||||||||
7
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Software & Services – 7.7% | ||||||||||
35,600 | Ansoft Corp.* | $ | 1,049,844 | |||||||
24,793 | Authorize.Net Holdings, Inc.* | 443,547 | ||||||||
166,041 | Captaris, Inc.* | 850,130 | ||||||||
39,800 | Chordiant Software, Inc.* | 623,268 | ||||||||
11,100 | Ciber, Inc.* | 90,798 | ||||||||
54,300 | CMGI, Inc.* | 105,885 | ||||||||
100 | Convergys Corp.* | 2,424 | ||||||||
2,800 | Covansys Corporation* | 95,004 | ||||||||
1,200 | Double-Take Software, Inc.* | 19,692 | ||||||||
100 | eCollege.com, Inc.* | 2,225 | ||||||||
500 | Epicor Software Corp.* | 7,435 | ||||||||
19,500 | Gartner, Inc.* | 479,505 | ||||||||
41,000 | InfoSpace, Inc. | 951,610 | ||||||||
134,038 | Interwoven, Inc.* | 1,881,893 | ||||||||
6,700 | Manhattan Associates, Inc.* | 186,997 | ||||||||
19,600 | MicroStrategy, Inc. Class A* | 1,852,004 | ||||||||
41,965 | MPS Group, Inc.* | 561,072 | ||||||||
100 | Novell, Inc.* | 779 | ||||||||
235,611 | RealNetworks, Inc.* | 1,924,942 | ||||||||
70,300 | S1 Corp.* | 561,697 | ||||||||
100 | Sohu.com, Inc.* | 3,199 | ||||||||
100 | Switch & Data Facilities Co., Inc.* | 1,919 | ||||||||
70,600 | Synopsys, Inc.* | 1,865,958 | ||||||||
100 | Total System Services, Inc. | 2,951 | ||||||||
14,500 | United Online, Inc. | 239,105 | ||||||||
53,500 | Vignette Corp.* | 1,025,060 | ||||||||
14,828,943 | ||||||||||
Technology Hardware & Equipment – 6.0% | ||||||||||
33,324 | Agilysis, Inc. | 749,790 | ||||||||
63,500 | Andrew Corp.* | 916,940 | ||||||||
1,600 | Avnet, Inc.* | 63,424 | ||||||||
700 | C-COR, Inc.* | 9,842 | ||||||||
19,381 | Carrier Access Corp.* | 90,897 | ||||||||
100 | Ditech Networks, Inc.* | 819 | ||||||||
8,200 | Electronics for Imaging, Inc.* | 231,404 | ||||||||
100 | EMS Technologies, Inc.* | 2,206 | ||||||||
20,000 | Ingram Micro, Inc.* | 434,200 | ||||||||
342 | Insight Enterprises, Inc.* | 7,719 | ||||||||
5,200 | Loral Space & Communications, Inc.* | 256,256 | ||||||||
25,000 | Methode Electronics, Inc. | 391,250 | ||||||||
100 | Newport Corp.* | 1,548 | ||||||||
117,200 | Novatel Wireless, Inc.* | 3,049,544 | ||||||||
2,100 | OSI Systems, Inc.* | 57,435 | ||||||||
72,000 | Polycom, Inc.* | 2,419,200 | ||||||||
100 | SYNNEX Corp.* | 2,061 | ||||||||
29,610 | Tech Data Corp.* | 1,138,800 | ||||||||
319,600 | UTStarcom, Inc.*(a) | 1,792,956 | ||||||||
11,616,291 | ||||||||||
Telecommunication Services – 2.0% | ||||||||||
100 | Atlantic Tele-Network, Inc. | 2,864 | ||||||||
28,000 | Cbeyond, Inc.* | 1,078,280 | ||||||||
19,200 | Centennial Communications Corp.* | 182,208 | ||||||||
100 | Consolidated Communications Holdings, Inc. | 2,260 | ||||||||
21,209 | CT Communications, Inc. | 647,086 | ||||||||
9,400 | Golden Telecom, Inc. | 517,094 | ||||||||
31,700 | IDT Corp. Class B | 327,144 | ||||||||
5,800 | NTELOS Holdings Corp. | 160,312 | ||||||||
38,300 | PAETEC Holding Corp.* | 432,407 | ||||||||
2,400 | Rural Cellular Corp. Class A* | 105,144 | ||||||||
14,900 | USA Mobility, Inc.* | 398,724 | ||||||||
3,853,523 | ||||||||||
Transportation – 1.8% | ||||||||||
700 | Allegiant Travel Co.* | 21,518 | ||||||||
103,700 | ExpressJet Holdings, Inc.* | 620,126 | ||||||||
18,700 | HUB Group, Inc. Class A* | 657,492 | ||||||||
100 | Interpool, Inc. | 2,690 | ||||||||
12,400 | PAM Transportation Services, Inc.* | 226,672 | ||||||||
10,900 | Pinnacle Airlines Corp.*(a) | 204,375 | ||||||||
50,300 | Saia, Inc.* | 1,371,178 | ||||||||
15,360 | U.S. Xpress Enterprises, Inc.* | 285,389 | ||||||||
3,389,440 | ||||||||||
Utilities – 1.4% | ||||||||||
100 | Alliant Energy Corp. | 3,885 | ||||||||
100 | Northeast Utilities | 2,836 | ||||||||
100 | OGE Energy Corp. | 3,665 | ||||||||
10,500 | Oneok, Inc. | 529,305 | ||||||||
68,300 | Reliant Energy, Inc.* | 1,840,685 | ||||||||
41,100 | SEMCO Energy, Inc* | 319,347 | ||||||||
2,699,723 | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||
(Cost $178,889,304) | $ | 192,844,124 | ||||||||
8
Interest | ||||||||||||||
Shares | Description | Rate | Value | |||||||||||
Securities Lending Collateral – 5.4% | ||||||||||||||
10,311,500 | Boston Global Investment Trust – Enhanced Portfolio | 5.309 | % | $ | 10,311,500 | |||||||||
(Cost $10,311,500) | ||||||||||||||
TOTAL INVESTMENTS – 105.2% | ||||||||||||||
(Cost $189,200,804) | $ | 203,155,624 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (5.2%) | (10,014,403) | |||||||||||||
NET ASSETS – 100.0% | $ | 193,141,221 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2007, the following futures contracts were open:
Number of | Settlement | Unrealized | ||||||||||||||
Type | Contracts Long | Month | Market Value | Loss | ||||||||||||
Russell 2000 Index | 2 | September 2007 | $ | 168,420 | $ | (2,314 | ) | |||||||||
9
Statement of Assets and Liabilities
Assets: | |||||||
Investment in securities, at value (identified cost $178,889,304)(a) | $ | 192,844,124 | |||||
Securities lending collateral, at value which equals cost | 10,311,500 | ||||||
Receivables: | |||||||
Fund shares sold | 287,949 | ||||||
Dividends and interest | 210,567 | ||||||
Investment securities sold | 197,845 | ||||||
Securities lending income | 15,255 | ||||||
Other assets | 5,898 | ||||||
Total assets | 203,873,138 | ||||||
Liabilities: | |||||||
Due to custodian | 11,483 | ||||||
Payables: | |||||||
Payable upon return of securities loaned | 10,311,500 | ||||||
Amounts owed to affiliates | 175,131 | ||||||
Fund shares repurchased | 115,022 | ||||||
Variation margin | 640 | ||||||
Accrued expenses and other liabilities | 118,141 | ||||||
Total liabilities | 10,731,917 | ||||||
Net Assets: | |||||||
Paid-in capital | 158,532,648 | ||||||
Accumulated undistributed net investment income | 630,339 | ||||||
Accumulated net realized gain on investment and futures transactions | 20,025,728 | ||||||
Net unrealized gain on investments and futures | 13,952,506 | ||||||
NET ASSETS | $ | 193,141,221 | |||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 13,262,111 | ||||||
Net asset value, offering and redemption price per share: | $ | 14.56 | |||||
(a) | Includes loaned securities having market value of $10,025,078. |
10
Statement of Operations
Investment income: | |||||||
Dividends | $ | 1,384,200 | |||||
Interest (including securities lending income of $157,255) | 162,988 | ||||||
Total investment income | 1,547,188 | ||||||
Expenses: | |||||||
Management fees | 744,553 | ||||||
Shareholder Meeting Expense | 49,976 | ||||||
Transfer Agent fees | 39,706 | ||||||
Professional fees | 38,919 | ||||||
Printing fees | 37,289 | ||||||
Custody and accounting fees | 18,363 | ||||||
Trustee fees | 9,719 | ||||||
Other | 7,044 | ||||||
Total expenses | 945,569 | ||||||
Less — expense reductions | (26,885 | ) | |||||
Net expenses | 918,684 | ||||||
NET INVESTMENT INCOME | 628,504 | ||||||
Realized and unrealized gain (loss) on investment and futures transactions: | |||||||
Net realized gain from: | |||||||
Investment transactions | 14,421,076 | ||||||
Futures transactions | 31,154 | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | (13,282,552 | ) | |||||
Futures | 1,958 | ||||||
Net realized and unrealized gain on investment and futures transactions | 1,171,636 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,800,140 | |||||
11
Statements of Changes in Net Assets
For the | ||||||||||
Six Months Ended | For the | |||||||||
June 30, 2007 | Year Ended | |||||||||
(Unaudited) | December 31, 2006 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 628,504 | $ | 1,000,165 | ||||||
Net realized gain on investment and futures transactions | 14,452,230 | 18,804,169 | ||||||||
Net change in unrealized gain (loss) on investments and futures | (13,280,594 | ) | 3,015,667 | |||||||
Net increase in net assets resulting from operations | 1,800,140 | 22,820,001 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income | — | (1,307,803 | ) | |||||||
From net realized gains | — | (14,275,219 | ) | |||||||
Total distributions to shareholders | — | (15,583,022 | ) | |||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 6,511,407 | 22,042,825 | ||||||||
Reinvestments of dividends and distributions | — | 15,583,022 | ||||||||
Cost of shares repurchased | (18,099,620 | ) | (36,975,581 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (11,588,213 | ) | 650,266 | |||||||
TOTAL INCREASE (DECREASE) | (9,788,073 | ) | 7,887,245 | |||||||
Net assets: | ||||||||||
Beginning of period | 202,929,294 | 195,042,049 | ||||||||
End of period | $ | 193,141,221 | $ | 202,929,294 | ||||||
Accumulated undistributed net investment income | $ | 630,339 | $ | 1,835 | ||||||
Summary of share transactions: | ||||||||||
Shares sold | 445,649 | 1,486,377 | ||||||||
Shares issued on reinvestment of dividends and distributions | — | 1,080,652 | ||||||||
Shares repurchased | (1,235,753 | ) | (2,513,513 | ) | ||||||
NET INCREASE (DECREASE) | (790,104 | ) | 53,516 | |||||||
12
Financial Highlights
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | expense reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Ratio of | Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | From | Net asset | Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | From net | net | value, | end | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | of period | to average | to average | to average | to average | turnover | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year | of period | income(a) | gain (loss) | operations | income | gain | distributions | period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months ended June 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 | $ | 14.44 | $ | 0.05 | (c) | $ | 0.07 | $ | 0.12 | $ | — | $ | — | $ | — | $ | 14.56 | 0.83 | % | $ | 193,141 | 0.89 | % (c)(d) | 0.69 | % (c)(d)(e) | 0.92 | % (c)(d) | 0.64 | % (c)(d)(e) | 74 | % | |||||||||||||||||||||||||||||||||
For the Years ended December 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 | 13.93 | 0.07 | 1.64 | 1.71 | (0.10 | ) | (1.10 | ) | (1.20 | ) | 14.44 | 12.27 | 202,929 | 0.87 | 0.49 | 0.99 | 0.37 | 133 | ||||||||||||||||||||||||||||||||||||||||||||||
2005 | 14.40 | 0.05 | 0.86 | 0.91 | (0.04 | ) | (1.34 | ) | (1.38 | ) | 13.93 | 6.07 | 195,042 | 0.89 | 0.37 | 0.93 | 0.33 | 119 | ||||||||||||||||||||||||||||||||||||||||||||||
2004 | 12.99 | 0.02 | 2.10 | 2.12 | (0.03 | ) | (0.68 | ) | (0.71 | ) | 14.40 | 16.33 | 191,821 | 0.90 | 0.14 | 0.97 | 0.07 | 146 | ||||||||||||||||||||||||||||||||||||||||||||||
2003 | 9.19 | 0.04 | 4.18 | 4.22 | (0.03 | ) | (0.39 | ) | (0.42 | ) | 12.99 | 46.00 | 181,765 | 1.03 | 0.40 | 1.25 | 0.18 | 141 | ||||||||||||||||||||||||||||||||||||||||||||||
2002 | 10.84 | 0.03 | (1.65 | ) | (1.62 | ) | (0.03 | ) | — | (0.03 | ) | 9.19 | (14.97 | ) | 47,005 | 1.04 | 0.25 | 1.29 | 0.00 | 128 | ||||||||||||||||||||||||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the period. |
(c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.26% of average net assets. |
(d) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
(e) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in equity securities and investment companies 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, such securities are valued at the last bid price. Unlisted equity 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. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. 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 are deemed not to reflect market value 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 reflected 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, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
E. Futures Contracts — The Fund 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, or in the absence of a sale, the last bid 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 Fund is required to segregate cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Fund, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Fund realizes a gain or loss which is reported in the Statement of Operations.
F. Segregation Transactions — The Fund may enter into certain derivative transactions to seek to increase total return. Futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
3. AGREEMENTS |
Contractual Management Fee | Effective Net | |||||||||||||
Management Fee | ||||||||||||||
Up to $2 billion | Over $2 billion | Effective Fee | (after waiver) | |||||||||||
0.75% | 0.68% | 0.75% | 0.73% | |||||||||||
GSAM has voluntarily agreed to waive a portion of its Management fee equal to 0.02% of the Fund’s average daily net assets. For the six months ended June 30, 2007, GSAM waived approximately $19,900 of the Fund’s Management fee.
3. AGREEMENTS (continued) |
4. PORTFOLIO SECURITIES TRANSACTIONS |
5. SECURITIES LENDING |
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Tax cost | $ | 189,404,873 | ||
Gross unrealized gain | 21,770,544 | |||
Gross unrealized loss | (8,019,793 | ) | ||
Net unrealized security gain | $ | 13,750,751 | ||
The difference between book-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and mark-to-market losses on Section 1256 futures contracts.
8. OTHER MATTERS |
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
10. SUBSEQUENT EVENT |
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Variable Insurance Trust (the “Trust”), and review the investment performance and expenses of the investment fund covered by this Report (the “Fund”) at regularly scheduled meetings held during the Fund’s fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Fund.
The Management Agreement was most recently approved by the Trustees, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), on June 13, 2007 (the “Annual Contract Meeting”).
To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to the reviews of the Fund’s investment performance, expenses and other matters at regularly scheduled Board meetings, the Trustees have a Contract Review Committee (the “Committee”) whose members include all of the Independent Trustees. The Committee held meetings on December 14, 2006, February 7, 2007 and May 9, 2007. At these Committee meetings, the Independent Trustees considered matters relating to the Management Agreement including: (a) the Fund’s investment performance; (b) the Fund’s management fee arrangements; (c) the Investment Adviser’s undertaking to reimburse certain expenses of the Fund that exceed a specified level; (d) potential economies of scale and the level of breakpoints in the fee schedule under the Management Agreement; (e) the relative expense level of the Fund as compared to comparable funds; (f) data relating to the Investment Adviser’s profitability with respect to the Trust and the Fund; (g) capacity issues relating to certain of the funds managed by the Investment Adviser; (h) information on the advisory fees charged to institutional accounts; (i) the quality of the non-advisory services provided by the Investment Adviser and its affiliates; (j) information on the processes followed by a third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Fund; (k) an update on soft dollars and other trading related issues; and (l) the quality of the services provided by the Fund’s unaffiliated service providers and reports on due diligence visits to outside service providers.
At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters including: (a) a summary of fee concessions by the Investment Adviser and its affiliates with respect to the Goldman Sachs mutual funds since 2003; (b) the quality of the Investment Adviser’s services; (c) the structure, staff and capabilities of the Investment Adviser and its portfolio management team; (d) the groups within the Investment Adviser that support the portfolio management team, including the legal and compliance departments, the valuation oversight group, the risk and performance analytics group, the business planning team and the technology group; (e) the Investment Adviser’s business continuity and disaster recovery planning; (f) the Investment Adviser’s financial resources and its ability to hire and retain talented personnel; (g) the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, distribution, portfolio brokerage and other services; (h) the terms of the Management Agreement; (i) the administrative services provided under the Management Agreement, including the nature and extent of the Investment Adviser’s oversight of the Fund’s other service providers, including the custodian and fund accounting agent; and (j) the Investment Adviser’s policies addressing various potential conflicts of interest. At the Annual Contract Meeting, the Trustees also considered at further length the Fund’s investment performance, fees and expenses, including the Fund’s expense trends over time and the breakpoint in the contractual fee rate under the Management Agreement approved in 2006.
In connection with the Committee meetings and the Annual Contract Meeting, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law. Also, in conjunction with these meetings, the Trustees attended other sessions at which the Trustees reviewed the commission rates paid by the Fund on brokerage transactions, the Investment Adviser’s receipt of research services in connection with those transactions, and the payment of Rule 12b-1 distribution and service fees that are payable by the Fund on its Service Share Class. Information was also provided to the Trustees relating to revenue sharing payments made by the Investment Adviser, portfolio manager compensation, the alignment of the interests of the Fund and the portfolio managers, the number and types of accounts managed by the portfolio managers, and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent counsel, without representatives of the Investment Adviser present.
The presentations made at the Contract Review Committee meetings and the Annual Contract Meeting encompassed the Fund and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for the Fund and these other mutual fund portfolios were approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to the Fund separately.
In evaluating the Management Agreement at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its services and the Fund. At those meetings the Trustees received materials relating to the Investment Adviser’s investment management and other services under the Management Agreement, including: (a) information on the investment performance of the Fund in comparison to other mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the Fund invests; (c) compliance reports; and (d) expenses borne by the Fund. In addition, the Trustees were provided with disclosure materials regarding the Goldman Sachs mutual funds and their expenses that are provided to investors who invest in the funds, as well as information on the Goldman Sachs mutual funds’ competitive universe and discussed the broad range of other investment choices that are available to those investors.
In connection with their approval of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Fund by the Investment Adviser and its affiliates. These services include services as the Fund’s transfer agent, securities lending agent and distributor. In addition, affiliates of the Investment Adviser receive compensation in connection with the execution of the Fund’s portfolio transactions. The Trustees concluded that the Investment Adviser was both able to commit substantial financial and other resources to the operations of the Fund and had continued to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, vendor oversight and risk management. The Trustees also believed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser, including education and training initiatives.
The Trustees also considered the investment performance of the Fund and the Investment Adviser. In this regard, the Trustees compared the investment performance of the Fund to the performance of other SEC-registered funds and to rankings and ratings issued by the Outside Data Provider. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. This information on the Fund’s investment performance was provided for one, three and five year periods. In addition, the Trustees considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies, as well as in light of periodic analyses of its quality and risk profile. In addition, the Trustees considered whether the Fund had operated within its investment policies, and its record of compliance with its investment limitations. The Trustees concluded that the Fund was providing investment performance within a competitive range for long-term investors.
The Board of Trustees also considered the contractual fee rate payable by the Fund under the Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund. They also considered information that indicated that these mutual fund services differed in various significant respects from the services provided to the Investment Adviser’s institutional accounts, which generally paid lower fees. In addition, the fees paid by the Fund and the Fund’s total operating expense ratios (before and after applicable expense reimbursements) were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms. Most of the comparisons of the Fund’s fee rates and total operating expense ratios were prepared by the Outside Data Provider.
More particularly, the Trustees reviewed analyses prepared by the Outside Data Provider of the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee rates to a relevant peer group and a category universe; an expense analysis which compared the Fund’s expenses to a peer group and a category universe; and a five-year history comparing the Fund’s expenses to the category average. The analyses also compared the Fund’s transfer agency fees, custody and accounting fees and other expenses to a peer group and median. The Trustees believed that the comparisons provided by
the Outside Data Provider were useful in evaluating the reasonableness of the management fees paid by the Fund. In addition, the Trustees considered the Investment Adviser’s voluntary undertaking to waive a portion of its management fees with respect to the Fund and to limit the Fund’s “other expenses” ratio (excluding certain expenses) to a specified level.
The Board of Trustees also considered the breakpoint in the contractual fee rate under the Management Agreement for the Fund that had been implemented at the following annual percentage of the average daily net assets of the Fund:
0.75% on the first $2 billion and 0.68% over $2 billion.
In approving this fee breakpoint, the Trustees had reviewed information regarding the Investment Adviser’s potential economies of scale, and whether the Fund and its shareholders were participating in the benefits of those economies. In this regard, the Trustees considered the amount of assets in the Fund; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Adviser with fee rates charged by other, unaffiliated investment managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting in 2007, the Trustees continued to believe that the fee breakpoint was a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset level.
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from the Fund as stated above, including the fees received by them for transfer agency, securities lending, distribution and brokerage services, and the brokerage and research services received by the Investment Adviser in connection with the placement of brokerage transactions for the Fund. In this regard, the Trustees noted that the Investment Adviser had adopted a policy to cease obtaining third party non-broker research based on the Fund’s brokerage transactions. They also noted that the Fund had offered a share class, Service Shares, with a distribution and service plan under which an affiliate of the Investment Adviser would receive fees.
In addition, the Trustees reviewed the Investment Adviser’s pre-tax revenues and pre-tax margins with respect to the Trust and the Fund. In this regard the Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules, and expense allocation methodologies, as well as a report of independent accountants regarding the results of certain agreed-upon procedures to verify expense allocation calculations that were designed to assist the Trustees in their evaluation of the Investment Adviser’s schedules of revenues and expenses. The Trustees considered the Investment Adviser’s revenues and margins both in absolute terms and in comparison to the information on the reported margins earned by other asset management firms.
After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded that the management fees paid by the Fund were reasonable in light of the services provided by the Investment Adviser, its costs and the Fund’s current and reasonably foreseeable asset levels, and that the Management Agreement should be approved and continued.
As a shareholder of the Fund, you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. | ||
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007. | ||
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period. | ||
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. | ||
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing on going costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs. |
Expenses Paid | ||||||||||||
for the | ||||||||||||
Beginning | Ending | six months | ||||||||||
Account Value | Account Value | ended | ||||||||||
1/1/07 | 06/30/07 | 6/30/07* | ||||||||||
Actual | $ | 1,000.00 | $ | 1,008.30 | $ | 4.63 | ||||||
Hypothetical 5% return | 1,000.00 | 1,020.18 | + | 4.66 | ||||||||
* | Expenses are calculated using the Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 0.89%. | ||
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | Kaysie P. Uniacke, President | |
John P. Coblentz, Jr. | James A. McNamara, Senior Vice President | |
Diana M. Daniels | John M. Perlowski, Senior Vice President | |
Patrick T. Harker | and Treasurer | |
Jessica Palmer | Peter V. Bonanno, Secretary | |
Alan A. Shuch | ||
Richard P. Strubel | ||
Kaysie P. Uniacke | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT Investment Adviser | ||
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. | ||
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
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: Structured Small Cap Equity Fund. | ||
Copyright 2007 Goldman, Sachs & Co. All rights reserved. | ||
VITSTRCSCSAR/07-1657/30.9K |
Sachs Variable Insurance Trust |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32nd FLOOR, NEW YORK, NEW YORK 10005
Capital Growth Fund
Semiannual Report
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Shareholder Letter
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, 2007.
Market Review
The U.S. equity markets benefited from strong momentum during the reporting period. This occurred despite sell-offs in the sub-prime mortgage and the Chinese markets, which affected the global equity markets. Strong corporate earnings announcements, higher oil prices, private equity activity and market speculation were the main drivers of performance during the period. The Federal Reserve Board left short-term interest rates unchanged as it believes that inflation is less likely to ease as had been expected. During the reporting period, computer hardware and energy-related companies led the market, while the biotechnology industry lagged.
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||
Company | Net Assets | Business | ||||
Google, Inc. | 4.2 | % | Software & Services | |||
Microsoft Corp. | 3.7 | Software & Services | ||||
Suncor Energy, Inc. | 3.4 | Energy | ||||
Freddie Mac | 3.1 | Banks | ||||
Baker Hughes, Inc. | 2.8 | Energy | ||||
American Tower Corp. | 2.8 | Telecommunication Services | ||||
Cisco Systems, Inc. | 2.7 | Technology Hardware & Equipment | ||||
The McGraw-Hill Companies, Inc. | 2.4 | Media | ||||
PepsiCo., Inc. | 2.3 | Food, Beverage & Tobacco | ||||
QUALCOMM, Inc. | 2.2 | Technology Hardware & Equipment |
* 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 by 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 upon 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, 2007, the Fund’s Institutional and Service Shares generated cumulative total returns of 8.20% and 8.12%, respectively. These returns compare to the 8.13% cumulative total return of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested), over the same time period.
The Fund generated strong absolute returns during the reporting period, and its performance was largely in line with its benchmark.
Health care company MedImmune was the top contributor to performance during the reporting period. In the second quarter, AstraZeneca agreed to buy MedImmune for $15.6 billion in cash, which represented a 21% premium to the company’s stock price prior to the deal’s announcement. The bidding process was fairly competitive, with at least four large pharmaceutical companies wanting to purchase the maker of FluMist. Shares of MedImmune were up 76% year-to-date when we sold the position in early May. We believe acquisitions are one way in which the gap between the stock price and the economic value of a business can close. We believe the MedImmune acquisition is another strong data point reinforcing that our approach of owning high quality businesses for the long term works.
Shares of pharmaceutical company Amgen, Inc. detracted from performance as concerns about anemia drugs negatively impacted this class of drugs. The Food and Drug Administration’s (“FDA’s”) focus on anemia medications has stemmed from doctors over-prescribing these types of drugs as well as prescribing them for unapproved uses. Several months ago, the FDA required a change in the labeling of anemia drugs, a result of some studies that showed that these medications had the potential to increase the growth of tumors and the risk of death in patients who were not on chemotherapy. In May, the FDA’s external panel of experts voted in favor of tighter restrictions on this class of drugs and wants to require companies to include additional warnings on labels and conduct more safety studies. We believed that the FDA’s external advisory panel would not have been as critical. If the FDA follows the recommendations of the outside panel, which it typically does, we believe this could lead to a decrease in the sale of anemia drugs, such as Amgen’s Aranesp and Epogen. Although there may be further downside for Amgen in the short term, it is trading at a significant discount to large-cap pharmaceutical stocks, which reflects the misfortunes of its anemia franchise.
During the period, Energy was the top contributing sector to overall performance, and the Fund continued to benefit from our stock selection in the sector. Performance was mainly driven by companies such as Schlumberger Ltd., Canadian Natural Resources Ltd. and Baker Hughes, Inc., all of which have continued to benefit from strong demand and pricing power, which have helped increase earnings substantially. In particular, shares of Baker Hughes were up after reporting better-than-expected fiscal first quarter earnings. In addition, Baker Hughes benefited from increased exploration and production spending. It also saw strength in its North America and international markets, despite a slowdown in drilling in Canada.
Telecommunications company Research In Motion Ltd. was a top contributor to performance during the period. At the end of June, the company reported earnings that exceeded subscriber guidance and raised guidance for its current quarter. Research In Motion continues to benefit from strength in its consumer, enterprise and international business units. We believe the BlackBerry maker’s growth prospects are favorable as businesses
advance the use of mobile e-mail and introduce it more deeply within the organizations. In addition, the consumer-focused BlackBerry products are broadening the brand’s appeal into a larger market. We have high conviction in the company’s product pipeline for this year and believe BlackBerry’s strong brand name and superior technology provide competitive advantages over substitute products.
Linear Technology Corp.’s announcement of a substantial stock repurchase program drove shares of the company up during the quarter. The company plans to repurchase $3 billion in stock, roughly 30% of Linear’s market value at the time of the announcement, and will be funded by the proceeds from a $1.7 billion convertible note offering. We believe the company is well positioned for future growth as analog chip sales remain strong due to continued demand for devices such as cell phones, MP3 players and high-definition televisions.
The sell-off in the sub-prime mortgage market negatively impacted Financials stocks and it was the worst performing sector of the market during the reporting period. We believe that the Financial companies we own have minimal exposure to the sub-prime mortgage market. Therefore, we feel that their franchises should remain unharmed by this industry segment. Shares of Freddie Mac were down during the year-to-date period. Freddie Mac’s exposure is limited to AAA rated securities backed by sub-prime loans and we don’t think this portion of Freddie Mac’s business will have a material impact on its earnings. We believe Freddie Mac underperformed primarily because management delayed timely financial reporting from the second quarter to the second half of 2007. We feel that the timely reporting of financial results is an important catalyst for the stock price of Freddie Mac to more closely reflect the value of the underlying business.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Growth Team
July 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Capital Growth Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Capital Growth Fund invests primarily in large-capitalization U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry
sectors and/or general economic conditions. The Fund may invest in foreign securities, which may be more volatile and less liquid than investment in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may participate in the Initial Public Offering (IPO) market, and a portion of the Fund’s returns consequently may be attributable to its investment in IPOs. The market value of IPO shares may fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, and the small number of shares available for trading and limited information about the issuer. When a fund’s asset base is small, IPOs may have a magnified impact on the fund’s performance. As a fund’s assets grow, it is probable that the effect of the fund’s investment in IPOs on its total returns may not be as significant, which could reduce the fund’s performance.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include a time deposit and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 99.2% | ||||||||||
Banks – 4.2% | ||||||||||
279,055 | Freddie Mac | $ | 16,938,639 | |||||||
64,300 | SunTrust Banks, Inc. | 5,513,082 | ||||||||
22,451,721 | ||||||||||
Capital Goods – 4.1% | ||||||||||
121,200 | Rockwell Automation, Inc. | 8,416,128 | ||||||||
128,730 | United Technologies Corp. | 9,130,819 | ||||||||
55,410 | W.W. Grainger, Inc. | 5,155,900 | ||||||||
22,702,847 | ||||||||||
Consumer Durables & Apparel – 3.3% | ||||||||||
135,180 | Fortune Brands, Inc. | 11,134,777 | ||||||||
236,500 | Newell Rubbermaid, Inc. | 6,960,195 | ||||||||
18,094,972 | ||||||||||
Consumer Services – 1.7% | ||||||||||
72,400 | Apollo Group, Inc. Class A* | 4,230,332 | ||||||||
199,700 | Starbucks Corp.* | 5,240,128 | ||||||||
9,470,460 | ||||||||||
Diversified Financials – 8.6% | ||||||||||
139,960 | American Express Co. | 8,562,753 | ||||||||
10,400 | Chicago Mercantile Exchange Holdings, Inc. Class A | 5,557,344 | ||||||||
49,800 | Legg Mason, Inc. | 4,899,324 | ||||||||
104,990 | Moody’s Corp. | 6,530,378 | ||||||||
70,145 | Morgan Stanley | 5,883,763 | ||||||||
487,030 | The Charles Schwab Corp. | 9,993,855 | ||||||||
91,500 | UBS AG | 5,490,915 | ||||||||
46,918,332 | ||||||||||
Energy – 14.1% | ||||||||||
182,938 | Baker Hughes, Inc. | 15,390,574 | ||||||||
120,040 | Canadian Natural Resources Ltd. | 7,964,654 | ||||||||
189,700 | Chesapeake Energy Corp. | 6,563,620 | ||||||||
107,100 | Grant Prideco, Inc.* | 5,765,193 | ||||||||
133,500 | Quicksilver Resources, Inc.*(a) | 5,951,430 | ||||||||
127,340 | Schlumberger Ltd. | 10,816,260 | ||||||||
205,120 | Suncor Energy, Inc. | 18,444,390 | ||||||||
110,000 | Weatherford International Ltd.* | 6,076,400 | ||||||||
76,972,521 | ||||||||||
Food & Staples Retailing – 3.3% | ||||||||||
179,700 | CVS/Caremark Corp. | 6,550,065 | ||||||||
243,420 | Wal-Mart Stores, Inc. | 11,710,936 | ||||||||
18,261,001 | ||||||||||
Food, Beverage & Tobacco – 3.1% | ||||||||||
58,100 | Altria Group, Inc. | 4,075,134 | ||||||||
195,000 | PepsiCo., Inc. | 12,645,750 | ||||||||
16,720,884 | ||||||||||
Health Care Equipment & Services – 3.0% | ||||||||||
96,400 | Baxter International, Inc. | 5,431,176 | ||||||||
102,578 | Medtronic, Inc. | 5,319,695 | ||||||||
141,200 | St. Jude Medical, Inc.* | 5,858,388 | ||||||||
16,609,259 | ||||||||||
Household & Personal Products – 0.9% | ||||||||||
83,900 | Procter & Gamble Co. | 5,133,841 | ||||||||
Media – 4.9% | ||||||||||
60,811 | Lamar Advertising Co. Class A | 3,816,498 | ||||||||
162,000 | National CineMedia, Inc.* | 4,537,620 | ||||||||
191,950 | The McGraw-Hill Companies, Inc. | 13,067,956 | ||||||||
126,674 | Viacom, Inc. Class B* | 5,273,439 | ||||||||
26,695,513 | ||||||||||
Pharmaceuticals, Biotechnology – 10.5% | ||||||||||
202,554 | Amgen, Inc.* | 11,199,210 | ||||||||
207,712 | Celgene Corp.* | 11,908,129 | ||||||||
79,890 | Charles River Laboratories International, Inc.* | 4,123,922 | ||||||||
128,700 | Genentech, Inc.* | 9,737,442 | ||||||||
128,200 | Merck & Co., Inc. | 6,384,360 | ||||||||
185,300 | Thermo Fisher Scientific, Inc.* | 9,583,716 | ||||||||
83,635 | Wyeth | 4,795,631 | ||||||||
57,732,410 | ||||||||||
Retailing – 5.3% | ||||||||||
106,100 | Chico’s FAS, Inc.* | 2,582,474 | ||||||||
71,300 | J.C. Penney Co., Inc. | 5,160,694 | ||||||||
340,140 | Lowe’s Companies, Inc. | 10,438,897 | ||||||||
204,800 | The Home Depot, Inc. | 8,058,880 | ||||||||
79,700 | Williams-Sonoma, Inc. | 2,516,926 | ||||||||
28,757,871 | ||||||||||
Semiconductors & Semiconductor Equipment – 2.1% | ||||||||||
325,179 | Linear Technology Corp.(a) | 11,764,976 | ||||||||
Software & Services – 15.9% | ||||||||||
293,600 | Activision, Inc.* | 5,481,512 | ||||||||
99,800 | CheckFree Corp.* | 4,011,960 | ||||||||
69,720 | Cognizant Technology Solutions Corp. Class A* | 5,235,275 | ||||||||
182,825 | Electronic Arts, Inc.* | 8,651,279 | ||||||||
44,010 | Google, Inc. Class A* | 23,033,955 | ||||||||
688,568 | Microsoft Corp. | 20,292,099 | ||||||||
446,091 | The Western Union Co. | 9,292,075 | ||||||||
402,974 | Yahoo!, Inc.* | 10,932,685 | ||||||||
86,930,840 | ||||||||||
Technology Hardware & Equipment – 6.7% | ||||||||||
60,700 | Apple Computer, Inc.* | 7,407,828 | ||||||||
528,590 | Cisco Systems, Inc.* | 14,721,232 | ||||||||
109,200 | Jabil Circuit, Inc. | 2,410,044 | ||||||||
275,791 | QUALCOMM, Inc. | 11,966,571 | ||||||||
36,505,675 | ||||||||||
5
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Telecommunication Services – 7.5% | ||||||||||
361,090 | American Tower Corp. Class A* | $ | 15,165,780 | |||||||
98,850 | Crown Castle International Corp.* | 3,585,289 | ||||||||
110,300 | MetroPCS Communications, Inc.* | 3,644,312 | ||||||||
102,000 | NeuStar, Inc., Class A* | 2,954,940 | ||||||||
43,300 | Research In Motion Ltd.* | 8,659,567 | ||||||||
347,200 | Sprint Nextel Corp. | 7,190,512 | ||||||||
41,200,400 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $480,912,509) | $ | 542,923,523 | ||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Short-Term Obligation – 0.6% | ||||||||||||||
JPMorgan Chase Euro – Time Deposit | ||||||||||||||
$ | 3,168,508 | 5.282 | % | 07/02/07 | $ 3,168,508 | |||||||||
(Cost $3,168,508) | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||
(Cost $484,081,017) | $546,092,031 | |||||||||||||
Interest | ||||||||||||||
Shares | Description | Rate | Value | |||||||||||
Securities Lending Collateral – 2.8% | ||||||||||||||
15,358,250 | Boston Global Investment Trust – Enhanced Portfolio | 5.309% | $ | 15,358,250 | ||||||||||
(Cost $15,358,250) | ||||||||||||||
TOTAL INVESTMENTS – 102.6% | ||||||||||||||
(Cost $499,439,267) | $ | 561,450,281 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.6)% | (14,201,521 | ) | ||||||||||||
NET ASSETS – 100.0% | $ | 547,248,760 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of this security is on loan. |
6
Statement of Assets and Liabilities
Assets: | |||||||
Investment in securities, at value (identified cost $484,081,017)(a) | $ | 546,092,031 | |||||
Securities lending collateral, at value which equals cost | 15,358,250 | ||||||
Cash | 161,040 | ||||||
Receivables: | |||||||
Investment securities sold | 7,293,324 | ||||||
Dividends and interest | 165,360 | ||||||
Fund shares sold | 28,597 | ||||||
Securities lending income | 1,906 | ||||||
Other assets | 6,754 | ||||||
Total assets | 569,107,262 | ||||||
Liabilities: | |||||||
Due to Custodian | 167,490 | ||||||
Payables: | |||||||
Payable upon return of securities loaned | 15,358,250 | ||||||
Investment securities purchased | 5,493,376 | ||||||
Amounts owed to affiliates | 393,601 | ||||||
Fund shares repurchased | 297,282 | ||||||
Accrued expenses | 148,503 | ||||||
Total liabilities | 21,858,502 | ||||||
Net Assets: | |||||||
Paid-in capital | 686,133,694 | ||||||
Accumulated undistributed net investment income | 3,874 | ||||||
Accumulated net realized loss on investment transactions | (200,899,822 | ) | |||||
Net unrealized gain on investments | 62,011,014 | ||||||
NET ASSETS: | $ | 547,248,760 | |||||
Net Assets: Institutional | $ | 172,136,448 | |||||
Service | 375,112,312 | ||||||
Shares outstanding: Institutional | 13,738,802 | ||||||
Service | 29,955,283 | ||||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 43,694,085 | ||||||
Net asset value, offering and redemption price per share: Institutional | $ | 12.53 | |||||
Service | 12.52 | ||||||
(a) | Includes loaned securities having market value of $14,988,816. |
7
Statement of Operations
Investment income: | ||||||
Dividends(a) | $ | 2,564,791 | ||||
Interest (including securities lending income of $3,861) | 57,257 | |||||
Total income | 2,622,048 | |||||
Expenses: | ||||||
Management fees | 2,045,638 | |||||
Distribution and Service fees — Service Class | 472,096 | |||||
Shareholder meeting expense | 128,555 | |||||
Printing fees | 109,189 | |||||
Transfer agent fees(b) | 109,102 | |||||
Professional fees | 36,576 | |||||
Custody and accounting fees | 15,733 | |||||
Trustee fees | 9,719 | |||||
Other | 5,263 | |||||
Total expenses | 2,931,871 | |||||
Less — expense reductions | (301,896 | ) | ||||
Net expenses | 2,629,975 | |||||
NET INVESTMENT LOSS | (7,927 | ) | ||||
Realized and unrealized gain on investment transactions: | ||||||
Net realized gain from investment transactions—(including commissions recaptured of $23,197) | 31,495,139 | |||||
Net change in unrealized gain on investments | 11,591,788 | |||||
Net realized and unrealized gain on investments transactions | 43,086,927 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 43,079,000 | ||||
(a) | Foreign taxes withheld on dividends were $9,788. |
(b) | Institutional and Service Class had Transfer Agent fees of $33,554 and $75,548, respectively. |
8
Statements of Changes in Net Assets
For the | ||||||||||
Six Months Ended | For the | |||||||||
June 30, 2007 | Year Ended | |||||||||
(Unaudited) | December 31, 2006 | |||||||||
From operations: | ||||||||||
Net investment income (loss) | $ | (7,927 | ) | $ | 290,206 | |||||
Net realized gain on investment transactions | 31,495,139 | 71,843,720 | ||||||||
Net change in unrealized gain (loss) on investments | 11,591,788 | (40,384,661 | ) | |||||||
Net increase in net assets resulting from operations | 43,079,000 | 31,749,265 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Institutional Shares | — | (204,339 | ) | |||||||
Service Shares* | — | (77,094 | ) | |||||||
Total distributions to shareholders | — | (281,433 | ) | |||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 7,028,773 | 13,879,656 | ||||||||
Proceeds received in connection with merger | — | 454,868,620 | ||||||||
Reinvestments of dividends and distributions | — | 281,433 | ||||||||
Cost of shares repurchased | (55,261,333 | ) | (116,148,847 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (48,232,560 | ) | 352,880,862 | |||||||
TOTAL INCREASE (DECREASE) | (5,153,560 | ) | 384,348,694 | |||||||
Net assets: | ||||||||||
Beginning of period | 552,402,320 | 168,053,626 | ||||||||
End of period | $ | 547,248,760 | $ | 552,402,320 | ||||||
Accumulated undistributed net investment income | $ | 3,874 | $ | 11,801 | ||||||
* | Service Share Class commenced operations on January 9, 2006. |
9
Financial Highlights
Income (loss) from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
realized | Distributions to | Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | and | shareholders | Net asset | Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | unrealized | Total from | from net | value, | end of | net expenses | income | expenses | income (loss) | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
Year — Share | beginning | investment | gain | investment | investment | end of | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||||||||||||||||||
Class | of period | income(b) | (loss) | operations | income | period | return(c) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 — Institutional | $ | 11.58 | $ | — | (e) | $ | 0.95 | $ | 0.95 | $ | — | $ | 12.53 | 8.20 | % | $ | 172,136 | 0.86 | % (d)(f) | 0.10 | %(d)(f) | 0.87 | % (d)(f) | 0.09 | %(d)(f) | 22 | % | |||||||||||||||||||||||||||||
2007 — Service | 11.58 | — | (e) | 0.94 | 0.94 | — | 12.52 | 8.12 | 375,112 | 0.96 | (d)(f) | 0.00 | (d)(f) | 1.12 | (d)(f) | (0.16 | ) (d)(f) | 22 | ||||||||||||||||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 — Institutional | 10.68 | 0.01 | 0.90 | 0.91 | (0.01 | ) | 11.58 | 8.56 | 165,877 | 0.84 | 0.12 | 0.85 | 0.11 | 70 | ||||||||||||||||||||||||||||||||||||||||||
2006 — Service (a) | 11.03 | — | (e) | 0.55 | 0.55 | — | (e) | 11.58 | 5.01 | 386,526 | 0.94 | (d) | 0.03 | (d) | 1.10 | (d) | (0.13 | )(d) | 70 | |||||||||||||||||||||||||||||||||||||
2005 — Institutional | 10.39 | 0.02 | 0.29 | 0.31 | (0.02 | ) | 10.68 | 2.94 | 168,054 | 0.90 | 0.15 | 0.90 | 0.15 | 35 | ||||||||||||||||||||||||||||||||||||||||||
2004 — Institutional | 9.59 | 0.07 | 0.80 | 0.87 | (0.07 | ) | 10.39 | 9.09 | 186,688 | 0.89 | 0.69 | 0.89 | 0.69 | 45 | ||||||||||||||||||||||||||||||||||||||||||
2003 — Institutional | 7.77 | 0.03 | 1.81 | 1.84 | (0.02 | ) | 9.59 | 23.74 | 179,694 | 1.02 | 0.38 | 1.43 | (0.03) | 16 | ||||||||||||||||||||||||||||||||||||||||||
2002 — Institutional | 10.28 | 0.01 | (2.50 | ) | (2.49 | ) | (0.02 | ) | 7.77 | (24.33 | ) | 18,052 | 1.10 | 0.16 | 1.77 | (0.51) | 24 | |||||||||||||||||||||||||||||||||||||||
(a) | Service Share Class commenced operations on January 9, 2006. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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 a full year are not annualized. |
(d) | Annualized. |
(e) | Less than $0.005 per share. |
(f) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in equity securities and investment companies 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, such securities are valued at the last bid price. Unlisted equity 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. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. 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 are deemed not to reflect market value 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 reflected 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, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the Fund separately bears its respective class-specific Transfer Agency fees. Service Shares bear all expenses and fees relating to their Distribution and Service Plan.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
E. Segregation Transactions — The Fund may enter into certain 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 Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
F. Commission Recapture — The Fund may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) on investments in the Statement of Operations.
3. AGREEMENTS |
Contractual Management Fee | ||||||||||||||
Up to | Next | Over | Effective | |||||||||||
$1 billion | $1 billion | $2 billion | Fee | |||||||||||
0.75% | 0.68% | 0.65% | 0.75% | |||||||||||
In connection with the reorganization of the Allmerica Fund into the Fund, GSAM has contractually agreed to reimburse the Fund as necessary to limit the total annual operating expenses of the Services Shares of the Fund to 1.00% through July 2007.
3. AGREEMENTS (continued) |
4. PORTFOLIO SECURITIES TRANSACTIONS |
5. SECURITIES LENDING |
5. SECURITIES LENDING (continued) |
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Capital loss carryforward:(1) | ||||
Expiring 2007 | $ | (11,863,148 | ) | |
Expiring 2008 | (63,433,899 | ) | ||
Expiring 2009 | (93,913,780 | ) | ||
Expiring 2010 | (59,391,140 | ) | ||
Expiring 2011 | (1,064,803 | ) | ||
Total capital loss carryforward | (229,666,770 | ) | ||
Timing differences (post-October losses) | (143,717 | ) | ||
(1) | Expiration occurs on December 31, of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code. |
Tax cost | $ | 502,023,972 | ||
Gross unrealized gain | 69,163,424 | |||
Gross unrealized loss | (9,737,115 | ) | ||
Net unrealized security gain | $ | 59,426,309 | ||
8. OTHER MATTERS |
8. OTHER MATTERS (continued) |
Acquired Fund’s | ||||||||||||
Exchanged Shares | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | of Survivor Issued | Exchanged Shares | as of January 6, 2006 | |||||||||
Capital Growth Fund Service Class/ Allmerica Fund Service Class | 41,239,222 | $ | 454,868,620 | 264,467,645 | ||||||||
Survivor Fund’s | Acquired Fund’s | Survivor Fund’s | ||||||||||||||||||
Aggregate | Aggregate | Aggregate | Acquired | |||||||||||||||||
Net Assets | Net Assets | Net Assets | Fund’s | Acquired Fund’s | ||||||||||||||||
before | before | immediately | Unrealized | Capital Loss | ||||||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | after acquisition | Appreciation | Carryforward | |||||||||||||||
Capital Growth Fund/Allmerica Fund | $ | 173,497,578 | $ | 454,868,620 | $ | 628,366,198 | $ | 74,244,861 | $ | (286,851,099 | ) | |||||||||
New Accounting Pronouncement — On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations on an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financials statements, however, additional disclosures will be required.
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
10. SUMMARY OF SHARE TRANSACTIONS |
For the Six months ended | ||||||||||||||||
June 30, 2007 | For the Year ended | |||||||||||||||
(Unaudited) | December 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 530,051 | $ | 6,335,096 | 1,136,732 | $ | 12,592,496 | ||||||||||
Reinvestment of dividends and distributions | — | — | 17,510 | 204,339 | ||||||||||||
Shares repurchased | (1,116,764 | ) | (13,382,478 | ) | (2,570,726 | ) | (28,428,053 | ) | ||||||||
(586,713 | ) | (7,047,382 | ) | (1,416,484 | ) | (15,631,218 | ) | |||||||||
Service Shares* | ||||||||||||||||
Shares sold | 59,198 | 693,677 | 118,288 | 1,287,160 | ||||||||||||
Shares issued in connection with merger | — | — | 41,239,222 | 454,868,620 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 6,606 | 77,094 | ||||||||||||
Shares repurchased | (3,486,823 | ) | (41,878,855 | ) | (7,981,208 | ) | (87,720,794 | ) | ||||||||
(3,427,625 | ) | (41,185,178 | ) | 33,382,908 | 368,512,080 | |||||||||||
NET INCREASE (DECREASE) | (4,014,338 | ) | $ | (48,232,560 | ) | 31,966,424 | $ | 352,880,862 | ||||||||
* | Service Share Class commenced operations on January 9, 2006. |
11. SUBSEQUENT EVENT |
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Variable Insurance Trust (the “Trust”), and review the investment performance and expenses of the investment fund covered by this Report (the “Fund”) at regularly scheduled meetings held during the Fund’s fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Fund.
The Management Agreement was most recently approved by the Trustees, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), on June 13, 2007 (the “Annual Contract Meeting”).
To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to the reviews of the Fund’s investment performance, expenses and other matters at regularly scheduled Board meetings, the Trustees have a Contract Review Committee (the “Committee”) whose members include all of the Independent Trustees. The Committee held meetings on December 14, 2006, February 7, 2007 and May 9, 2007. At these Committee meetings, the Independent Trustees considered matters relating to the Management Agreement including: (a) the Fund’s investment performance; (b) the Fund’s management fee arrangements; (c) the Investment Adviser’s undertaking to reimburse certain expenses of the Fund that exceed a specified level; (d) potential economies of scale and the level of breakpoints in the fee schedule under the Management Agreement; (e) the relative expense level of the Fund as compared to comparable funds; (f) data relating to the Investment Adviser’s profitability with respect to the Trust and the Fund; (g) capacity issues relating to certain of the funds managed by the Investment Adviser; (h) information on the advisory fees charged to institutional accounts; (i) the quality of the non-advisory services provided by the Investment Adviser and its affiliates; (j) information on the processes followed by a third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Fund; (k) an update on soft dollars and other trading related issues; and (l) the quality of the services provided by the Fund’s unaffiliated service providers and reports on due diligence visits to outside service providers.
At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters including: (a) a summary of fee concessions by the Investment Adviser and its affiliates with respect to the Goldman Sachs mutual funds since 2003; (b) the quality of the Investment Adviser’s services; (c) the structure, staff and capabilities of the Investment Adviser and its portfolio management team; (d) the groups within the Investment Adviser that support the portfolio management team, including the legal and compliance departments, the valuation oversight group, the risk and performance analytics group, the business planning team and the technology group; (e) the Investment Adviser’s business continuity and disaster recovery planning; (f) the Investment Adviser’s financial resources and its ability to hire and retain talented personnel; (g) the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, distribution, portfolio brokerage and other services; (h) the terms of the Management Agreement; (i) the administrative services provided under the Management Agreement, including the nature and extent of the Investment Adviser’s oversight of the Fund’s other service providers, including the custodian and fund accounting agent; and (j) the Investment Adviser’s policies addressing various potential conflicts of interest. At the Annual Contract Meeting, the Trustees also considered at further length the Fund’s investment performance, fees and expenses,
including the Fund’s expense trends over time and the breakpoints in the contractual fee rate under the Management Agreement approved in 2006.
In connection with the Committee meetings and the Annual Contract Meeting, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law. Also, in conjunction with these meetings, the Trustees attended other sessions at which the Trustees reviewed the commission rates paid by the Fund on brokerage transactions, the Investment Adviser’s receipt of research services in connection with those transactions, and the payment of Rule 12b-1 distribution and service fees that are payable by the Fund on its Service Share Class. Information was also provided to the Trustees relating to revenue sharing payments made by the Investment Adviser, portfolio manager compensation, the alignment of the interests of the Fund and the portfolio managers, the number and types of accounts managed by the portfolio managers, and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent counsel, without representatives of the Investment Adviser present.
The presentations made at the Contract Review Committee meetings and the Annual Contract Meeting encompassed the Fund and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for the Fund and these other mutual fund portfolios were approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to the Fund separately.
In evaluating the Management Agreement at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its services and the Fund. At those meetings the Trustees received materials relating to the Investment Adviser’s investment management and other services under the Management Agreement, including: (a) information on the investment performance of the Fund in comparison to other mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the Fund invests; (c) compliance reports; and (d) expenses borne by the Fund. In addition, the Trustees were provided with disclosure materials regarding the Goldman Sachs mutual funds and their expenses that are provided to investors who invest in the funds, as well as information on the Goldman Sachs mutual funds’ competitive universe and discussed the broad range of other investment choices that are available to those investors.
In connection with their approval of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Fund by the Investment Adviser and its affiliates. These services include services as the Fund’s transfer agent, securities lending agent and distributor. In addition, affiliates of the Investment Adviser receive compensation in connection with the execution of the Fund’s portfolio transactions. The Trustees concluded that the Investment Adviser was both able to commit substantial financial and other resources to the operations of the Fund and had continued to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, vendor oversight and risk management. The Trustees also believed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser, including education and training initiatives.
The Trustees also considered the investment performance of the Fund and the Investment Adviser. In this regard, the Trustees compared the investment performance of the Fund to the performance of other SEC-registered funds and to rankings and ratings issued by the Outside Data Provider. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. This information on the Fund’s investment performance was provided for one, three and five year periods. In addition, the Trustees considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies, as well as in light of periodic analyses of its quality and risk profile. In addition, the Trustees considered whether the Fund had operated within its investment policies, and its record of compliance with its investment limitations. The Trustees concluded that the Fund was providing investment performance within a competitive range for long-term investors.
The Board of Trustees also considered the contractual fee rate payable by the Fund under the Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund. They also considered information that indicated that these mutual fund services differed in various significant respects from the services provided to the Investment Adviser’s institutional accounts, which generally paid lower fees. In addition, the fees paid by the Fund and the Fund’s total operating expense ratios (before and after applicable expense reimbursements) were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms. Most of the comparisons of the Fund’s fee rates and total operating expense ratios were prepared by the Outside Data Provider.
More particularly, the Trustees reviewed analyses prepared by the Outside Data Provider of the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fees to a relevant peer group and a category universe; an expense analysis which compared the Fund’s expenses to a peer group and a category universe; and a five-year history comparing the Fund’s expenses to the category average. The analyses also compared the Fund’s transfer agency fees, custody and accounting fees and other expenses to a peer group and median. The Trustees believed that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees paid by the Fund. In addition, the Trustees considered the Investment Adviser’s voluntary undertaking to limit the Fund’s “other expenses” ratio (excluding certain expenses) to a specified level. This voluntary undertaking is in addition to the Investment Adviser’s separate contractual agreement to reimburse the Fund as necessary to limit the total annual operating expenses of the Service Shares of the Fund to a specified level until July 2007.
The Board of Trustees also considered the breakpoints in the contractual fee rate under the Management Agreement for the Fund that had been implemented at the following annual percentages of the average daily net assets of the Fund:
0.75% on the first $1 billion; 0.68% on the next $1 billion; and 0.65% over $2 billion.
In approving these fee breakpoints, the Trustees had reviewed information regarding the Investment Adviser’s potential economies of scale, and whether the Fund and its shareholders were participating in the benefits of those economies. In this regard, the Trustees considered the amount of assets in the Fund; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Adviser with fee rates charged by other, unaffiliated investment
managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting in 2007, the Trustees continued to believe that the fee breakpoints were a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset levels.
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from the Fund as stated above, including the fees received by them for transfer agency, securities lending, distribution and brokerage services, and the brokerage and research services received by the Investment Adviser in connection with the placement of brokerage transactions for the Fund. In this regard, the Trustees noted that the Investment Adviser had adopted a policy to cease obtaining third party non-broker research based on the Fund’s brokerage transactions. They also noted that the Fund had offered a share class, Service Shares, with a distribution and service plan under which an affiliate of the Investment Adviser would receive fees.
In addition, the Trustees reviewed the Investment Adviser’s pre-tax revenues and pre-tax margins with respect to the Trust and the Fund. In this regard the Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules, and expense allocation methodologies, as well as a report of independent accountants regarding the results of certain agreed-upon procedures to verify expense allocation calculations that were designed to assist the Trustees in their evaluation of the Investment Adviser’s schedules of revenues and expenses. The Trustees considered the Investment Adviser’s revenues and margins both in absolute terms and in comparison to the information on the reported margins earned by other asset management firms.
After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded that the management fees paid by the Fund were reasonable in light of the services provided by the Investment Adviser, its costs and the Fund’s current and reasonably foreseeable asset levels, and that the Management Agreement should be approved and continued.
As a shareholder of the Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. | ||
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007. | ||
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period. | ||
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. | ||
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing on going costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs. |
Expenses Paid | ||||||||||||
for the | ||||||||||||
Beginning | Ending | six months | ||||||||||
Account Value | Account Value | ended | ||||||||||
Share Class | 1/1/07 | 6/30/07 | 6/30/07* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,082.00 | $ | 4.44 | ||||||
Hypothetical 5% return | 1,000.00 | 1,020.53 | + | 4.31 | ||||||||
Service | ||||||||||||
Actual | 1,000.00 | 1,081.20 | 4.95 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.03 | + | 4.81 | ||||||||
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.86% and 0.96% for Institutional and Service Shares, respectively. | ||
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | Kaysie P. Uniacke, President | |
John P. Coblentz, Jr. | James A. McNamara, Senior Vice President | |
Diana M. Daniels | John M. Perlowski, Senior Vice President | |
Patrick T. Harker | and Treasurer | |
Jessica Palmer | Peter V. Bonanno, Secretary | |
Alan A. Shuch | ||
Richard P. Strubel | ||
Kaysie P. Uniacke | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | ||
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. | ||
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
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: Capital Growth Fund. | ||
Copyright 2007 Goldman, Sachs & Co. All rights reserved. | ||
VITCGSAR/07-1653/34.3K |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005
![](https://capedge.com/proxy/N-CSRS/0000950123-07-012148/e36889gldschlg.gif)
Shareholder Letter
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, 2007.
Market Review
The U.S. equity markets hit new highs in the first half of 2007. The S&P 500 Index and Dow Jones Industrials Average both reached new levels as they returned 6.96% and 8.76%, respectively, during the reporting period. While the equity markets finished the first half of the year in positive territory, concerns related to sub-prime mortgage loans undercut investor optimism and the reporting period closed on a cautious note. Consistent with recent trends, leveraged buyout and merger and acquisition (“M&A”) activity remained high as corporate and private buyers sought attractive assets. On the economic front, the Federal Reserve Board kept short-term interest rates steady and both 2- and 10-year Treasury yields spiked above 5% in June 2007.
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||
Company | Net Assets | Business | ||||
Range Resources Corp. | 3.1 | % | Energy | |||
The Williams Co, Inc. | 2.9 | Energy | ||||
Entergy Corp. | 2.9 | Utilities | ||||
PPL Corp. | 2.3 | Utilities | ||||
AMBAC Financial Group, Inc. | 2.1 | Insurance | ||||
Johnson Controls, Inc. | 2.1 | Automobiles & Components | ||||
SUPERVALU, Inc. | 2.0 | Food & Staples Retailing | ||||
KeyCorp | 2.0 | Banks | ||||
Amphenol Corp. | 2.0 | Technology Hardware & Equipment | ||||
Edison International | 1.8 | Utilities |
* 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 by 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 upon 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 ended June 30, 2007, the Fund’s Institutional and Service Shares generated cumulative total returns of 9.94% and 9.88%, respectively. These returns compare to the 8.69% cumulative total return of the Fund’s benchmark, the Russell Midcap Value Index (with dividends reinvested), over the same time period.
During the reporting period, the Fund’s holdings in the Energy and Health Care sectors were the largest contributors to performance, while its positions in the Technology and Financials sectors detracted from results versus the benchmark.
In the first six months of the year, a mix of successful stock picking and favorable acquisition activity drove the Fund’s results. Several of the portfolio’s high conviction Energy positions, such as EOG Resources, Inc. and Range Resources Corp. rebounded from last year’s weakness to lead performance during the reporting period. We continue to favor Energy companies with a mix of low cost structures, positive reserve trends and disciplined management teams.
The Fund also benefited from M&A activity as health care company MedImmune was acquired by AstraZeneca at a sizable premium. MedImmune had long served as an example of what we considered to be a mispriced company despite its robust pipeline of products. We subsequently eliminated the stock from the portfolio after its shares rose sharply on the news. SUPERVALU, Inc., a grocery store operator, also contributed to performance as its share price began to reflect the company’s benefits from recent restructuring efforts.
Several of the Fund’s holdings partially offset its gains during the reporting period. In the Technology sector, shares of Seagate Technology declined as the company faced aggressive competition and pricing pressures. While the Fund managed to avoid many of the sharp losses in the homebuilder industry, Lennar Corp. was still hit by housing concerns. We think this turnaround story is still attractive over the long term, but we reduced the position to reflect near-term uncertainty. In the Financials sector, KeyCorp and Webster Financial Corp. experienced weakness as both companies lowered their near-term outlooks. We continue to view both stocks as attractive opportunities.
We thank you for your investment and look forward to serving your investment needs in the future.
Goldman Sachs Value Portfolio Management Team
July 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Mid Cap Value Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for
more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Mid Cap Value Fund invests primarily in mid-capitalization U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The securities of mid-capitalization companies involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. The Fund may invest in foreign securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may invest in fixed income securities. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk.
SECTOR ALLOCATION† |
Percentage of Net Assets
† The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include a time deposit and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 99.4% | ||||||||||
Automobiles & Components – 3.8% | ||||||||||
13,032 | Autoliv, Inc. | $ | 741,130 | |||||||
1,430,900 | Ford Motor Co. | 13,479,078 | ||||||||
372,019 | Johnson Controls, Inc. | 43,068,640 | ||||||||
289,849 | Tenneco, Inc.* | 10,156,309 | ||||||||
321,674 | The Goodyear Tire & Rubber Co.* | 11,181,388 | ||||||||
78,626,545 | ||||||||||
Banks – 7.9% | ||||||||||
119,100 | Astoria Financial Corp. | 2,982,264 | ||||||||
364,700 | Commerce Bancorp, Inc. | 13,490,253 | ||||||||
268,969 | Commerce Bancshares, Inc. | 12,184,296 | ||||||||
238,931 | First Horizon National Corp.(a) | 9,318,309 | ||||||||
726,006 | Hudson City Bancorp, Inc. | 8,871,793 | ||||||||
1,189,225 | KeyCorp | 40,826,094 | ||||||||
156,753 | M&T Bank Corp. | 16,756,896 | ||||||||
156,094 | MGIC Investment Corp.(a) | 8,875,505 | ||||||||
83,669 | Radian Group, Inc. | 4,518,126 | ||||||||
191,482 | The PMI Group, Inc. | 8,553,501 | ||||||||
613,911 | Webster Financial Corp. | 26,195,582 | ||||||||
133,480 | Zions Bancorp | 10,265,947 | ||||||||
162,838,566 | ||||||||||
Capital Goods – 5.7% | ||||||||||
106,419 | Alliant Techsystems, Inc.* | 10,551,444 | ||||||||
242,517 | American Standard Co., Inc. | 14,303,653 | ||||||||
509,166 | Cooper Industries Ltd. Class A | 29,068,287 | ||||||||
168,720 | Eaton Corp. | 15,690,960 | ||||||||
211,303 | Joy Global, Inc. | 12,325,304 | ||||||||
269,150 | Lennox International, Inc. | 9,213,004 | ||||||||
385,395 | Rockwell Collins, Inc. | 27,224,303 | ||||||||
118,376,955 | ||||||||||
Commercial Services & Supplies – 3.5% | ||||||||||
2,333,626 | Allied Waste Industries, Inc.* | 31,410,606 | ||||||||
253,087 | ChoicePoint, Inc.* | 10,743,543 | ||||||||
253,300 | Monster Worldwide, Inc.* | 10,410,630 | ||||||||
89,900 | Pitney Bowes, Inc. | 4,209,118 | ||||||||
540,017 | Republic Services, Inc. | 16,546,121 | ||||||||
73,320,018 | ||||||||||
Consumer Durables & Apparel – 2.8% | ||||||||||
215,629 | Fortune Brands, Inc. | 17,761,361 | ||||||||
332,651 | Lennar Corp. Class A | 12,161,720 | ||||||||
987,772 | Newell Rubbermaid, Inc. | 29,070,130 | ||||||||
58,993,211 | ||||||||||
Consumer Services – 1.9% | ||||||||||
246,900 | Boyd Gaming Corp. | 12,145,011 | ||||||||
1,176,619 | H&R Block, Inc. | 27,497,586 | ||||||||
39,642,597 | ||||||||||
Diversified Financials – 4.6% | ||||||||||
417,436 | CIT Group, Inc. | 22,888,016 | ||||||||
250,825 | E*Trade Financial Corp.* | 5,540,724 | ||||||||
145,662 | Lazard Ltd., Class A | 6,559,160 | ||||||||
441,433 | Northern Trust Corp. | 28,357,656 | ||||||||
83,100 | Nuveen Investments, Inc. Class A | 5,164,665 | ||||||||
196,931 | The Bear Stearns Companies, Inc. | 27,570,340 | ||||||||
96,080,561 | ||||||||||
Energy – 10.9% | ||||||||||
410,026 | EOG Resources, Inc. | 29,956,499 | ||||||||
253,800 | Hess Corp. | 14,964,048 | ||||||||
1,724,590 | Range Resources Corp. | 64,516,912 | ||||||||
233,800 | Smith International, Inc. | 13,710,032 | ||||||||
1,930,360 | The Williams Co, Inc. | 61,037,983 | ||||||||
370,950 | Ultra Petroleum Corp.* | 20,491,278 | ||||||||
161,348 | W-H Energy Services, Inc.* | 9,989,055 | ||||||||
226,813 | Weatherford International Ltd.* | 12,529,150 | ||||||||
227,194,957 | ||||||||||
Food & Staples Retailing – 2.7% | ||||||||||
384,944 | Safeway, Inc. | 13,099,644 | ||||||||
909,672 | SUPERVALU, Inc. | 42,136,007 | ||||||||
55,235,651 | ||||||||||
Food, Beverage & Tobacco – 1.7% | ||||||||||
324,300 | Coca-Cola Enterprises, Inc. | 7,783,200 | ||||||||
96,200 | Loews Corp.- Carolina Group | 7,433,374 | ||||||||
159,851 | Pepsi Bottling Group, Inc. | 5,383,782 | ||||||||
163,283 | Reynolds American, Inc. | 10,646,052 | ||||||||
137,488 | Smithfield Foods, Inc.* | 4,233,255 | ||||||||
35,479,663 | ||||||||||
Health Care Equipment & Services – 2.2% | ||||||||||
129,598 | Coventry Health Care, Inc.* | 7,471,324 | ||||||||
220,701 | Health Net, Inc.* | 11,653,013 | ||||||||
836,492 | IMS Health, Inc. | 26,876,488 | ||||||||
46,000,825 | ||||||||||
Household & Personal Products – 1.4% | ||||||||||
482,307 | Clorox Co. | 29,951,265 | ||||||||
Insurance – 6.9% | ||||||||||
506,953 | AMBAC Financial Group, Inc. | 44,201,232 | ||||||||
273,766 | Assurant, Inc. | 16,130,293 | ||||||||
259,296 | Everest Re Group Ltd. | 28,169,917 | ||||||||
254,819 | PartnerRe Ltd. | 19,748,473 | ||||||||
101,244 | Philadelphia Consolidated Holding Corp.* | 4,231,999 | ||||||||
159,528 | RenaissanceRe Holdings Ltd. | 9,889,141 | ||||||||
401,730 | Unum Corp. | 10,489,170 | ||||||||
115,200 | XL Capital Ltd. Class A | 9,710,208 | ||||||||
142,570,433 | ||||||||||
Materials – 5.0% | ||||||||||
125,631 | Air Products & Chemicals, Inc. | 10,096,963 | ||||||||
361,389 | Airgas, Inc. | 17,310,533 | ||||||||
141,812 | Albemarle Corp. | 5,464,016 | ||||||||
241,239 | Celanese Corp. Series A | 9,355,248 | ||||||||
1,220,114 | Chemtura Corp. | 13,555,467 | ||||||||
456,223 | Commercial Metals Co. | 15,406,651 |
5
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Materials – (continued) | ||||||||||
940,850 | Domtar Corp.* | $ | 10,499,886 | |||||||
198,230 | United States Steel Corp. | 21,557,513 | ||||||||
103,246,277 | ||||||||||
Media – 0.8% | ||||||||||
4,034,051 | Charter Communications, Inc. Class A*(a) | 16,337,907 | ||||||||
Pharmaceuticals, Biotechnology – 0.8% | ||||||||||
637,095 | PerkinElmer, Inc. | 16,602,696 | ||||||||
REIT – 8.3% | ||||||||||
616,423 | Apartment Investment & Management Co. | 31,080,048 | ||||||||
477,834 | Brandywine Realty Trust | 13,656,496 | ||||||||
951,136 | DCT Industrial Trust, Inc. | 10,234,223 | ||||||||
179,371 | Developers Diversified Realty Corp. | 9,454,646 | ||||||||
175,464 | Equity Residential | 8,006,422 | ||||||||
551,826 | Highwoods Properties, Inc. | 20,693,475 | ||||||||
483,869 | Liberty Property Trust | 21,256,365 | ||||||||
357,168 | Mack-Cali Realty Corp. | 15,533,236 | ||||||||
476,318 | Pennsylvania Real Estate Investment Trust | 21,115,177 | ||||||||
192,700 | Vornado Realty Trust | 21,166,168 | ||||||||
172,196,256 | ||||||||||
Retailing – 1.4% | ||||||||||
191,900 | J.C. Penney Co., Inc. | 13,889,722 | ||||||||
294,804 | Ross Stores, Inc. | 9,079,963 | ||||||||
188,013 | Williams-Sonoma, Inc.(a) | 5,937,451 | ||||||||
28,907,136 | ||||||||||
Semiconductors & Semiconductor Equipment – 1.2% | ||||||||||
773,053 | LSI Corp.* | 5,805,628 | ||||||||
196,500 | National Semiconductor Corp. | 5,555,055 | ||||||||
344,362 | Tessera Technologies, Inc.* | 13,963,879 | ||||||||
25,324,562 | ||||||||||
Software & Services – 3.0% | ||||||||||
1,883,311 | Activision, Inc.* | 35,161,416 | ||||||||
1,587,970 | BearingPoint, Inc.* | 11,608,061 | ||||||||
394,336 | CheckFree Corp.*(a) | 15,852,307 | ||||||||
62,621,784 | ||||||||||
Technology Hardware & Equipment – 3.8% | ||||||||||
1,136,872 | Amphenol Corp. Class A | 40,529,486 | ||||||||
92,100 | SanDisk Corp.* | 4,507,374 | ||||||||
1,045,670 | Seagate Technology | 22,764,236 | ||||||||
550,085 | Xerox Corp.* | 10,165,571 | ||||||||
77,966,667 | ||||||||||
Telecommunication Services – 3.8% | ||||||||||
1,443,021 | Cincinnati Bell, Inc.*(a) | 8,340,661 | ||||||||
527,673 | Embarq Corp. | 33,438,638 | ||||||||
468,949 | MetroPCS Communications, Inc.* | 15,494,075 | ||||||||
2,201,600 | Qwest Communications International, Inc.* | 21,355,520 | ||||||||
78,628,894 | ||||||||||
Transportation – 2.1% | ||||||||||
185,843 | Avis Budget Group, Inc.* | 5,283,516 | ||||||||
178,720 | Landstar System, Inc. | 8,623,240 | ||||||||
236,001 | Norfolk Southern Corp. | 12,406,573 | ||||||||
100,300 | Ryder System, Inc. | 5,396,140 | ||||||||
579,900 | Southwest Airlines Co. | 8,646,309 | ||||||||
55,838 | Teekay Corp. | 3,233,579 | ||||||||
43,589,357 | ||||||||||
Utilities – 13.2% | ||||||||||
113,814 | AGL Resources, Inc. | 4,607,191 | ||||||||
284,892 | American Electric Power Co., Inc. | 12,831,536 | ||||||||
348,672 | CMS Energy Corp. | 5,997,158 | ||||||||
70,198 | Constellation Energy Group, Inc. | 6,119,160 | ||||||||
1,154,207 | DPL, Inc. | 32,710,226 | ||||||||
654,702 | Edison International | 36,741,876 | ||||||||
553,816 | Entergy Corp. | 59,452,148 | ||||||||
362,226 | FirstEnergy Corp. | 23,446,889 | ||||||||
616,444 | PG&E Corp.(a) | 27,924,913 | ||||||||
1,038,747 | PPL Corp. | 48,602,972 | ||||||||
58,600 | SCANA Corp. | 2,243,794 | ||||||||
305,712 | Wisconsin Energy Corp. | 13,521,642 | ||||||||
274,199,505 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,802,438,578) | $ | 2,063,932,288 | ||||||||
Principal | Interest | Maturity | ||||||||||||
Amount | Rate | Date | Value | |||||||||||
Short-Term Obligation – 0.4% | ||||||||||||||
JPMorgan Chase Euro — Time Deposit | ||||||||||||||
$ | 7,750,894 | 5.282 | % | 07/02/07 | $7,750,894 | |||||||||
(Cost $7,750,894) | ||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||
(Cost $1,810,189,472) | $2,071,683,182 | |||||||||||||
6
Interest | ||||||||||||||
Shares | Description | Rate | Value | |||||||||||
Securities Lending Collateral – 1.4% | ||||||||||||||
29,042,676 | Boston Global Investment Trust – | |||||||||||||
Enhanced Portfolio | 5.309% | $ | 29,042,676 | |||||||||||
(Cost $29,042,676) | ||||||||||||||
TOTAL INVESTMENTS – 101.2% | ||||||||||||||
(Cost $1,839,232,148) | $ | 2,100,725,858 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (1.2)% | (24,935,668 | ) | ||||||||||||
NET ASSETS – 100.0% | $ | 2,075,790,190 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
7
Statement of Assets and Liabilities
Assets: | |||||||
Investment in securities, at value (identified cost $1,810,189,472)(a) | $ | 2,071,683,182 | |||||
Securities lending collateral, at value which equals cost | 29,042,676 | ||||||
Cash | 1,419,307 | ||||||
Receivables: | |||||||
Investment securities sold | 69,397,097 | ||||||
Dividends and interest | 2,166,731 | ||||||
Fund shares sold | 233,961 | ||||||
Securities lending income | 4,069 | ||||||
Other assets | 14,542 | ||||||
Total assets | 2,173,961,565 | ||||||
Liabilities: | |||||||
Payables: | |||||||
Investment securities purchased | 54,163,531 | ||||||
Payable upon return of securities loaned | 29,042,676 | ||||||
Fund shares repurchased | 13,403,883 | ||||||
Amounts owed to affiliates | 1,387,647 | ||||||
Accrued expenses | 173,638 | ||||||
Total liabilities | 98,171,375 | ||||||
Net Assets: | |||||||
Paid-in capital | 1,594,138,762 | ||||||
Accumulated undistributed net investment income | 8,862,563 | ||||||
Accumulated net realized gain on investment transactions | 211,295,155 | ||||||
Net unrealized gain on investments | 261,493,710 | ||||||
NET ASSETS | $ | 2,075,790,190 | |||||
Net Assets: | |||||||
Institutional | $ | 1,810,529,991 | |||||
Service | 265,260,199 | ||||||
Shares outstanding: | |||||||
Institutional | 102,369,502 | ||||||
Service | 15,002,317 | ||||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 117,371,819 | ||||||
Net asset value, offering and redemption price per share: | |||||||
Institutional | $ | 17.69 | |||||
Service | 17.68 | ||||||
(a) | Includes loaned securities having market value of $27,758,215. |
8
Statement of Operations
Investment income: | ||||||
Dividends(a) | $ | 17,220,472 | ||||
Interest (including securities lending income of $33,214) | 573,649 | |||||
Total income | 17,794,121 | |||||
Expenses: | ||||||
Management fees | 8,120,635 | |||||
Transfer agent fees(b) | 407,302 | |||||
Distribution and Service fees — Service Class | 341,682 | |||||
Shareholder meeting expense | 328,836 | |||||
Printing fees | 96,508 | |||||
Custody and accounting fees | 80,414 | |||||
Professional fees | 37,568 | |||||
Trustee fees | 9,719 | |||||
Other | 19,798 | |||||
Total expenses | 9,442,462 | |||||
Less — expense reductions | (272,112 | ) | ||||
Net expenses | 9,170,350 | |||||
NET INVESTMENT INCOME | 8,623,771 | |||||
Realized and unrealized gain (loss) on investment transactions: | ||||||
Net realized gain from investment transactions (including commissions recaptured of $77,149) | 184,575,311 | |||||
Net change in unrealized loss on investments | (741,114 | ) | ||||
Net realized and unrealized gain on investment transactions | 183,834,197 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 192,457,968 | ||||
(a) | Foreign taxes withheld on dividends were $1,696. |
(b) | Institutional and Service Class had Transfer Agent fees of $352,623 and $54,679, respectively. |
9
Statements of Changes in Net Assets
For the | |||||||||||
Six Months Ended | For the | ||||||||||
June 30, 2007 | Year Ended | ||||||||||
(Unaudited) | December 31, 2006 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 8,623,771 | $ | 14,687,979 | |||||||
Net realized gain on investment transactions | 184,575,311 | 203,866,896 | |||||||||
Net change in unrealized gain (loss) on investments | (741,114 | ) | 46,378,460 | ||||||||
Net increase in net assets resulting from operations | 192,457,968 | 264,933,335 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Institutional Shares | — | (15,146,501 | ) | ||||||||
Service Shares* | — | (2,203,166 | ) | ||||||||
From net realized gains | |||||||||||
Institutional Shares | — | (166,862,249 | ) | ||||||||
Service Shares* | — | (27,376,549 | ) | ||||||||
Total distributions to shareholders | — | (211,588,465 | ) | ||||||||
From share transactions: | |||||||||||
Proceeds from sales of shares | 67,814,171 | 296,268,653 | |||||||||
Proceeds received in connection with merger | — | 295,311,746 | |||||||||
Reinvestments of dividends and distributions | — | 211,588,415 | |||||||||
Cost of shares repurchased | (132,281,069 | ) | (339,528,744 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | (64,466,898 | ) | 463,640,070 | ||||||||
TOTAL INCREASE | 127,991,070 | 516,984,940 | |||||||||
Net assets: | |||||||||||
Beginning of period | 1,947,799,120 | 1,430,814,180 | |||||||||
End of period | $ | 2,075,790,190 | $ | 1,947,799,120 | |||||||
Accumulated undistributed net investment income | $ | 8,862,563 | $ | 238,792 | |||||||
* | Service Share Class commenced operations on January 9, 2006. |
10
Financial Highlights
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | expense reductions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Ratio of | Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | From | Net asset | Net assets, | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | From net | net | value, | end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year — Share | beginning | investment | unrealized | investment | investment | realized | Total | end of | Total | period | to average | average | to average | average net | turnover | |||||||||||||||||||||||||||||||||||||||||||||||||
Class | of period | income(b) | gain (loss) | operations | income | gains | distributions | period | return(c) | (in 000s) | net assets | net assets | net assets | assets | rate | |||||||||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 — Institutional | $ | 16.09 | $ | 0.07 | $ | 1.53 | $ | 1.60 | $ | — | $ | — | $ | — | $ | 17.69 | 9.94 | % | $ | 1,810,530 | 0.87 | % (d)(e) | 0.88 | %(d)(e) | 0.88 | % (d)(e) | 0.87 | %(d)(e) | 40% | |||||||||||||||||||||||||||||||||||
2007 — Service | 16.09 | 0.06 | 1.53 | 1.59 | — | — | — | 17.68 | 9.88 | 265,260 | 0.97 | (d)(e) | 0.77 | (d)(e) | 1.13 | (d)(e) | 0.61 | (d)(e) | 40 | |||||||||||||||||||||||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 — Institutional | 15.53 | 0.13 | 2.39 | 2.52 | (0.16 | ) | (1.80 | ) | (1.96 | ) | 16.09 | 16.16 | 1,673,896 | 0.86 | 0.80 | 0.87 | 0.79 | 57 | ||||||||||||||||||||||||||||||||||||||||||||||
2006 — Service(a) | 15.96 | 0.12 | 1.95 | 2.07 | (0.14 | ) | (1.80 | ) | (1.94 | ) | 16.09 | 12.91 | 273,903 | 0.96 | (d) | 0.72 | (d) | 1.12 | (d) | 0.56 | (d) | 57 | ||||||||||||||||||||||||||||||||||||||||||
2005 — Institutional | 15.28 | 0.13 | 1.82 | 1.95 | (0.10 | ) | (1.60 | ) | (1.70 | ) | 15.53 | 12.83 | 1,430,814 | 0.87 | 0.83 | 0.87 | 0.83 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||
2004 — Institutional | 13.37 | 0.10 | 3.34 | 3.44 | (0.09 | ) | (1.44 | ) | (1.53 | ) | 15.28 | 25.88 | 917,151 | 0.88 | 0.67 | 0.88 | 0.67 | 72 | ||||||||||||||||||||||||||||||||||||||||||||||
2003 — Institutional | 10.61 | 0.12 | 2.89 | 3.01 | (0.11 | ) | (0.14 | ) | (0.25 | ) | 13.37 | 28.39 | 577,923 | 0.91 | 1.02 | 0.91 | 1.02 | 64 | ||||||||||||||||||||||||||||||||||||||||||||||
2002 — Institutional | 11.29 | 0.14 | (0.67 | ) | (0.53 | ) | (0.12 | ) | (0.03 | ) | (0.15 | ) | 10.61 | (4.69 | ) | 357,537 | 0.91 | 1.20 | 0.91 | 1.20 | 95 | |||||||||||||||||||||||||||||||||||||||||||
(a) | Service Share Class commenced operations on January 9, 2006. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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 a full year are not annualized. |
(d) | Annualized. |
(e) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. ORGANIZATION |
On January 9, 2006, pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) previously approved by the Trust’s Board of Trustees, substantially all of the assets, subject to liabilities, of the Select Value Opportunity Fund of the Allmerica Investment Trust (the “Allmerica Fund”), were transferred to the Mid Cap Value Fund in exchange for the Mid Cap Value Fund’s Service shares. Holders of shares of the Allmerica Fund received Service shares of the Mid Cap Value Fund in an amount equal to the aggregate net asset value of their investment in the Allmerica Fund as of the close of business on January 6, 2006. On the date of the exchange, the Mid Cap Value Fund began to offer Service shares. The exchange was a tax-free event to the Allmerica Fund shareholders.
Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in equity securities and investment companies 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, such securities are valued at the last bid price. Unlisted equity 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. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. 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 are deemed not to reflect market value 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 reflected 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, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
Net investment income (other than class-specific expenses) and unrealized and realized gain or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
Pursuant to applicable law and procedures adopted by the Trust’s Board of Trustees, securities transactions in portfolio securities (including futures transactions) may be effected from time to time through Goldman Sachs or an affiliate. In order for Goldman Sachs or an affiliate, acting as agent, to effect securities or futures transactions for a Fund, the commissions, fees or other remuneration received by Goldman Sachs or an affiliate must be reasonable and fair compared to the commissions, fees or other remuneration received by other brokers in connection with comparable transactions involving similar securities or futures contracts.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
In addition, distributions paid by the Fund’s investments in real estate investment trusts (“REIT”) often include a “return of capital” which is recorded by the Fund as a reduction of the cost basis of the securities held. The Code requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the distribution is deemed a return of capital and is generally not taxable to shareholders.
E. Segregation Transactions — The Fund may enter into certain 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 Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
F. Commission Recapture — The Fund may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) on investments in the Statement of Operations.
3. AGREEMENTS |
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Fund’s business affairs, including providing facilities, GSAM is entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the six months ended June 30, 2007, GSAM received a Management fee on a contractual basis at the following rates:
Contractual Management Fee | ||||||||||
Up to | Over | Effective | ||||||||
$2 billion | $2 billion | Fee | ||||||||
0.80% | 0.72% | 0.80% | ||||||||
3. AGREEMENTS (continued) |
GSAM has voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding Management fees, Distribution and Service fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any custody and transfer agent fee credit reductions) to the extent that such expenses exceed, on an annual basis, 0.054% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the six months ended June 30, 2007, GSAM made no reimbursements to the Fund.
In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction in the Fund’s expenses. For the six months ended June 30, 2007, custody and transfer agent fees were reduced by approximately $200 and $66,900, respectively.
Goldman Sachs also serves as the Transfer Agent of the Fund for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Institutional and Service shares.
The Trust has adopted, on behalf of the Service Shares of the Fund, a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs is entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has voluntarily agreed to waive Distribution and Service fees for Service Shares so as not to exceed 0.10% of the Fund’s average daily net assets attributable to Service Shares. This waiver may be modified or terminated at any time at the option of Goldman Sachs. For the six months ended June 30, 2007, Goldman Sachs waived approximately $205,000 in Distribution and Service fees for the Fund.
At June 30, 2007, the amounts owed to affiliates were approximately $1,297,000, $21,000 and $69,600 for Management, Distribution and Service and Transfer Agent fees, respectively.
4. PORTFOLIO SECURITIES TRANSACTIONS |
5. SECURITIES LENDING |
The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10%
5. SECURITIES LENDING (continued) |
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Tax cost | $ | 1,841,076,746 | ||
Gross unrealized gain | 290,943,146 | |||
Gross unrealized loss | (31,294,034 | ) | ||
Net unrealized security gain | $ | 259,649,112 | ||
8. OTHER MATTERS |
Pursuant to the Agreement, the assets and liabilities of the Allmerica Fund Service Class were transferred into the Mid Cap Value Fund Service Class in a tax-free exchange as follows:
Acquired Fund’s | ||||||||||||
Shares Outstanding | ||||||||||||
Exchanged Shares of | Value of Exchanged | as of January 6, | ||||||||||
Survivor/Acquired Fund | Survivor Issued | Shares | 2006 | |||||||||
Mid Cap Value Fund Service Class/Allmerica Fund Service Class | 18,503,242 | $ | 295,311,746 | 179,590,581 | ||||||||
8. OTHER MATTERS (continued) |
Survivor Fund’s | ||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate Net | ||||||||||||||
Aggregate Net | Aggregate Net | Assets | Aggregate Fund’s | |||||||||||||
Assets Before | Assets Before | immediately | Unrealized | |||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | after acquisition | Appreciation | ||||||||||||
Mid Cap Value Fund Service Class/Allmerica Fund Service Class | $ | 1,475,213,407 | $ | 295,311,746 | $ | 1,770,525,153 | $ | 43,643,427 | ||||||||
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
10. SUMMARY OF SHARE TRANSACTIONS |
For the Six months ended | ||||||||||||||||
June 30, 2007 | For the Year ended | |||||||||||||||
(Unaudited) | December 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,917,295 | $ | 954,608 | 17,306,248 | $ | 282,619,040 | ||||||||||
Reinvestment of dividends and distributions | — | — | 11,255,950 | 182,008,711 | ||||||||||||
Shares repurchased | (5,600,089 | ) | (35,695,921 | ) | (16,631,073 | ) | (271,002,028 | ) | ||||||||
(1,682,794 | ) | (34,741,313 | ) | 11,931,125 | 193,625,723 | |||||||||||
Service Shares* | ||||||||||||||||
Shares sold | 58,300 | 66,859,563 | 846,677 | 13,649,613 | ||||||||||||
Shares issued in connection with merger | — | — | 18,503,242 | 295,311,746 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 1,828,165 | 29,579,704 | ||||||||||||
Shares repurchased | (2,078,734 | ) | (96,585,148 | ) | (4,155,333 | ) | (68,526,716 | ) | ||||||||
(2,020,434 | ) | (29,725,585 | ) | 17,022,751 | 270,014,347 | |||||||||||
NET INCREASE (DECREASE) | (3,703,228 | ) | $ | (64,466,898 | ) | 28,953,876 | $ | 463,640,070 | ||||||||
* | Service Share Class commenced operations on January 9, 2006. |
11. SUBSEQUENT EVENT |
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Variable Insurance Trust (the “Trust”), and review the investment performance and expenses of the investment fund covered by this Report (the “Fund”) at regularly scheduled meetings held during the Fund’s fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) for the Fund.
The presentations made at the Contract Review Committee meetings and the Annual Contract Meeting encompassed the Fund and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for the Fund and these other mutual fund portfolios were approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to the Fund separately.
In addition, the Trustees considered the Investment Adviser’s voluntary undertaking to limit the Fund’s “other expenses” ratio (excluding certain expenses) to a specified level. This voluntary undertaking is in addition to the Investment Adviser’s separate contractual agreement to reimburse the Fund as necessary to limit the total annual operating expenses of the Service Shares of the Fund to a specified level until July 2007.
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. | ||
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007. | ||
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period. | ||
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. | ||
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing on going costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs. |
Expenses Paid | ||||||||||||
Beginning | Ending | For the | ||||||||||
Account | Account | six months | ||||||||||
Value | Value | ended | ||||||||||
Share Class | 1/1/07 | 06/30/07 | 6/30/07* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,099.40 | $ | 4.53 | ||||||
Hypothetical 5% return | 1,000.00 | 1,020.48 | + | 4.36 | ||||||||
Service | ||||||||||||
Actual | 1,000.00 | 1,098.80 | 5.05 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,019.98 | + | 4.86 | ||||||||
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.87% and 0.97% for Institutional and Service Shares, respectively. | ||
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | Kaysie P. Uniacke, President | |
John P. Coblentz, Jr. | James A. McNamara, Senior Vice President | |
Diana M. Daniels | John M. Perlowski, Senior Vice President | |
Patrick T. Harker | and Treasurer | |
Jessica Palmer | Peter V. Bonanno, Secretary | |
Alan A. Shuch | ||
Richard P. Strubel | ||
Kaysie P. Uniacke | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | ||
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. | ||
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. | ||
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
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: Mid Cap Value Fund. | ||
Copyright 2007 Goldman, Sachs & Co. All rights reserved. | ||
VITMIDCAPSAR/07-1655/30.4K |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005
![](https://capedge.com/proxy/N-CSRS/0000950123-07-012148/e36889gldschlg.gif)
Shareholder Letter
Dear Shareholders:
This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Strategic International Equity Fund during the six-month reporting period that ended June 30, 2007.
Market Overview
Overall, the international equity markets continued to rise during the reporting period, despite a sell-off in February and weakness in June. While fears about the U.S. housing market and sub-prime lending market continued, improved consumer confidence and employment prospects, coupled with robust merger and acquisition (“M&A”) activity and strong company earnings helped buoy the markets. European equities strengthened, as a broad-based domestic demand recovery and improved business and consumer optimism in the region fuelled gains. Japan, while lagging the broader markets, still generated positive results. An interest rate hike in the first quarter helped stabilize market sentiment in the country. However, leading economic indicators in the second quarter suggest a slowdown in growth. Emerging equity markets continued their ascent. The emerging Asian equity market was particularly robust on the back of strong earnings growth, positive inflation news and improved employment data from the U.S. that eased concern about a weakening export market. Latin America also generated strong returns, most notably in Brazil, where two rate cuts by its central bank, the strong appreciation of the Brazilian real and healthy macroeconomic data drove the local market.
Investment Objective
The Fund seeks long-term capital appreciation. The Fund seeks this objective by investing in the stocks of leading companies within developed and emerging countries around the world, outside the U.S.
Portfolio Composition
Top 10 Portfolio Holdings as of June 30, 2007*
% of | ||||||||
Holding | Net Assets | Line of Business | Country | |||||
Banco Bilbao Vizcaya Argentaria SA | 4.1 | % | Banks | Spain | ||||
Deutsche Telekom AG | 4.1 | Telecommunication Services | Germany | |||||
Nestle SA | 3.9 | Food, Beverage & Tobacco | Switzerland | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3.7 | Semiconductors & Semiconductor Equipment | Taiwan | |||||
Invesco PLC | 3.7 | Diversified Financials | United Kingdom | |||||
Sumitomo Mitsui Financial Group, Inc. | 3.7 | Banks | Japan | |||||
UniCredito Italiano SpA | 3.6 | Banks | Italy | |||||
Old Mutual PLC | 3.5 | Insurance | United Kingdom | |||||
InBev NV | 3.5 | Food, Beverage & Tobacco | Belgium | |||||
Millea Holdings, Inc. | 3.3 | Insurance | Japan |
* 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 by 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 upon 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 ended June 30, 2007, the Fund’s Institutional and Service Shares each generated cumulative total returns of 6.56%. These returns compare to the 11.09% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (unhedged, with dividends reinvested), over the same time period.
During the six-month period, the Fund’s underperformance was driven primarily by weak stock selection, particularly within the Energy, Industrials, Materials and Telecommunication Services sectors. This was partially offset by strong stock selection within the Financials, Healthcare and Utilities sectors. Weak stock selection within Japan also drove the Fund’s underperformance.
Sumitomo Mitsui Financial Group, Inc., a financial services group in Japan, was a leading detractor from relative performance during the period. Its share price fell, along with the financial services sector in general, as several of the large banks in the country reported disappointing earnings. In addition, the company was hurt by an ongoing review by the Financial Services Agency of Japan, and fears that this would negatively impact the Sumitomo Mitsui Financial Group’s sales. The company’s shares had reacted well to the Bank of Japan’s interest rate hike in February, which improved the outlook for banks’ earnings in general. Its shares, however, subsequently fell in March in concert with Japanese bank stocks, on concerns that Japanese banks may have difficulty raising corporate loan lending rates as was previously expected.
Alpen Co. Ltd., the largest sports specialty store in Japan, was also a leading detractor from performance. Its shares fell after the company’s profits were revised down and it experienced increased competition with their private brand products. While we believe the company has a strong distribution network and improving profit margins, we have exercised our sell discipline and begun exiting the position, in favor of more attractive investment opportunities.
LUKOIL ADR, Russia’s largest oil producer, detracted from relative performance as well. The stock fell during the period along with Russian stocks in general. This was triggered by concerns about geopolitics, specifically the presidential elections in 2008, and the profitability of oil companies in the face of rising production costs. We took advantage of the market weakness and added to the Fund’s position in the stock.
E.ON AG, an integrated utility company located in Germany, significantly contributed to performance. Following the company’s failed bid in April to acquire Endesa, Spain’s largest electricity producer, the market reacted positively to management announcing the company’s three-year investment strategy. This calls for the construction of 18 new power generators in Europe, as well as plans to acquire new power stations in Spain, Italy and France. In addition, E.ON’s shares rose after the company initiated a planned seven billion euro share buyback, with the intent to raise 3.5 billion euros by the end of this year.
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 17, 2007
Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Strategic International Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
The VIT Strategic International Equity Fund invests in equity investments in companies that are organized outside the United States or whose securities are principally traded outside the United States and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Foreign and emerging market securities may be more volatile than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.
Schedule of Investments
Shares | Description | Value | ||||||||
Common Stocks – 95.2% | ||||||||||
Australia – 2.1% | ||||||||||
1,201,253 | Alumina Ltd. (Materials) | $ | 7,955,660 | |||||||
Belgium – 3.5% | ||||||||||
165,079 | InBev NV (Food, Beverage & Tobacco) | 13,075,154 | ||||||||
Brazil – 1.4% | ||||||||||
154,983 | Tim Participacoes SA ADR(a) (Telecommunication Services) | 5,342,264 | ||||||||
France – 7.1% | ||||||||||
151,050 | Ipsen SA(a) (Pharmaceuticals, Biotechnology & Life Sciences) | 7,750,355 | ||||||||
86,090 | Sanofi-Aventis (Pharmaceuticals, Biotechnology & Life Sciences) | 6,954,955 | ||||||||
145,559 | Technip SA(a) (Energy) | 12,030,777 | ||||||||
26,736,087 | ||||||||||
Germany – 17.5% | ||||||||||
85,950 | Bilfinger & Berger AG (Capital Goods) | 7,639,701 | ||||||||
123,480 | DaimlerChrysler AG (Automobiles & Components) | 11,423,342 | ||||||||
827,750 | Deutsche Telekom AG (Telecommunication Services) | 15,300,921 | ||||||||
72,349 | E.ON AG (Utilities) | 12,147,956 | ||||||||
86,908 | Merck KGaA (Pharmaceuticals, Biotechnology & Life Sciences) | 11,978,734 | ||||||||
85,039 | Rheinmetall AG (Capital Goods) | 7,917,599 | ||||||||
66,408,253 | ||||||||||
Hong Kong – 3.3% | ||||||||||
967,500 | Esprit Holdings Ltd. (Retailing) | 12,292,534 | ||||||||
India – 2.2% | ||||||||||
331,100 | Satyam Computer Services Ltd. ADR (Software & Services) | 8,198,036 | ||||||||
Israel – 2.6% | ||||||||||
238,030 | Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 9,818,738 | ||||||||
Italy – 5.3% | ||||||||||
285,441 | Mediobanca SpA (Diversified Financials) | 6,483,737 | ||||||||
1,510,245 | UniCredito Italiano SpA (Banks) | 13,488,864 | ||||||||
19,972,601 | ||||||||||
Japan – 10.3% | ||||||||||
104,400 | Alpen Co. Ltd.(a)(b) (Retailing) | 1,777,883 | ||||||||
675,000 | Hitachi Metals Ltd. (Materials) | 7,395,817 | ||||||||
300,500 | Millea Holdings, Inc. (Insurance) | 12,354,236 | ||||||||
348,000 | Mitsubishi Gas Chemical Co., Inc. (Materials) | 3,176,826 | ||||||||
1,492 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 13,909,031 | ||||||||
9,900 | Union Tool Co. (Capital Goods) | 365,134 | ||||||||
38,978,927 | ||||||||||
Netherlands – 2.6% | ||||||||||
219,386 | TNT NV (Transportation) | 9,905,638 | ||||||||
Norway – 2.2% | ||||||||||
528,240 | Prosafe ASA(a) (Energy) | 8,446,522 | ||||||||
Russia – 4.2% | ||||||||||
88,036 | LUKOIL ADR London Shares (Energy) | 6,659,767 | ||||||||
16,213 | LUKOIL ADR U.S. Shares (Energy) | 1,228,135 | ||||||||
16,197 | Sberbank RF GDR* (Banks) | 7,896,824 | ||||||||
15,784,726 | ||||||||||
Spain – 6.3% | ||||||||||
633,244 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 15,485,867 | ||||||||
327,688 | Indra Sistemas SA (Software & Services) | 8,171,300 | ||||||||
23,657,167 | ||||||||||
Sweden – 2.1% | ||||||||||
476,171 | Tele2 AB Class B(a) (Telecommunication Services) | 7,767,135 | ||||||||
Switzerland – 6.2% | ||||||||||
118,345 | Credit Suisse Group (Diversified Financials) | 8,401,438 | ||||||||
39,094 | Nestle SA (Food, Beverage & Tobacco) | 14,854,686 | ||||||||
23,256,124 | ||||||||||
Taiwan – 3.7% | ||||||||||
1,269,090 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 14,124,973 | ||||||||
United Kingdom – 12.6% | ||||||||||
1,096,100 | Invesco PLC (Diversified Financials) | 14,123,237 | ||||||||
3,957,757 | Old Mutual PLC (Insurance) | 13,336,502 | ||||||||
783,940 | Prudential PLC (Insurance) | 11,158,765 | ||||||||
383,236 | Wolseley PLC (Capital Goods) | 9,197,493 | ||||||||
47,815,997 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $320,651,056) | $ | 359,536,536 | ||||||||
4
Principal | Interest | Maturity | ||||||||||||||
Amount | ||||||||||||||||
Rate | Date | Value | ||||||||||||||
Short-Term Obligation – 3.5% | ||||||||||||||||
JPMorgan Chase Euro – Time Deposit | ||||||||||||||||
$ | 13,159,834 | 5.282 | % | 07/02/07 | $13,159,834 | |||||||||||
(Cost $13,159,834) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $333,810,890) | $372,696,370 | |||||||||||||||
Interest | ||||||||||||||
Shares | Description | Rate | Value | |||||||||||
Securities Lending Collateral – 8.0% | ||||||||||||||
30,329,063 | Boston Global Investment Trust – Enhanced Portfolio | |||||||||||||
(Cost $30,329,063) | 5.309% | $ | 30,329,063 | |||||||||||
TOTAL INVESTMENTS – 106.7% | ||||||||||||||
(Cost $364,139,953) | $ | 403,025,433 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (6.7)% | (25,579,806 | ) | ||||||||||||
NET ASSETS — 100.0% | $ | 377,445,627 | ||||||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | 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 amounts to $1,777,883 which represents approximately 0.5% of net assets as of June 30, 2007. |
As a % of | ||||||
Net Assets | ||||||
Investments Industry Classifications† | ||||||
Automobiles & Components | 3.0 | % | ||||
Banks | 13.5 | |||||
Capital Goods | 6.7 | |||||
Diversified Financials | 7.7 | |||||
Energy | 7.5 | |||||
Food, Beverage & Tobacco | 7.4 | |||||
Insurance | 9.8 | |||||
Materials | 4.9 | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.7 | |||||
Retailing | 3.7 | |||||
Semiconductors & Semiconductor Equipment | 3.7 | |||||
Short-term Investments # | 11.5 | |||||
Software & Services | 4.3 | |||||
Telecommunication Services | 7.5 | |||||
Transportation | 2.6 | |||||
Utilities | 3.2 | |||||
TOTAL INVESTMENTS | 106.7 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. | |
# | Short-term investments include securities lending collateral. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
GDR | — | Global Depositary Receipt | ||||
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2007, the following future contracts were open:
Number of | Settlement | Unrealized | ||||||||||||||
Type | Contracts Long | Month | Market Value | Gain (Loss) | ||||||||||||
Dow Jones Euro Stoxx 50 Index | 94 | September 2007 | $ | 5,744,177 | $ | (80,215 | ) | |||||||||
Topix Index | 38 | September 2007 | 5,478,172 | 2,306 | ||||||||||||
TOTAL | $ | 11,222,349 | $ | (77,909 | ) | |||||||||||
5
Statement of Assets and Liabilities
Assets: | |||||||
Investment in securities, at value (identified cost $333,810,890)(b) | $ | 372,696,370 | |||||
Securities lending collateral, at value which equals cost | 30,329,063 | ||||||
Receivables: | |||||||
Investment securities sold, at value | 24,758,469 | ||||||
Variation margin(c) | 903,396 | ||||||
Dividends and interest, at value | 712,947 | ||||||
Foreign tax reclaims | 143,831 | ||||||
Fund shares sold | 101,353 | ||||||
Securities lending income | 33,532 | ||||||
Other assets | 4,729 | ||||||
Total assets | 429,683,690 | ||||||
Liabilities: | |||||||
Due to Custodian — U.S. Dollar | 94,142 | ||||||
Due to Custodian — foreign currency (identified cost $13,512) | 14,447 | ||||||
Payables: | |||||||
Payable upon return of securities loaned | 30,329,063 | ||||||
Investment securities purchased, at value | 20,981,238 | ||||||
Amounts owed to affiliates | 328,453 | ||||||
Fund shares repurchased | 278,210 | ||||||
Accrued expenses | 212,510 | ||||||
Total liabilities | 52,238,063 | ||||||
Net Assets: | |||||||
Paid-in capital | 332,405,266 | ||||||
Accumulated undistributed net investment income | 4,919,206 | ||||||
Accumulated net realized gain on investment and foreign currency related transactions | 1,287,268 | ||||||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currencies | 38,833,887 | ||||||
NET ASSETS | $ | 377,445,627 | |||||
Net Assets: | |||||||
Institutional | $ | 130,276,447 | |||||
Service | 247,169,180 | ||||||
Shares outstanding: | |||||||
Institutional | 8,435,101 | ||||||
Service | 16,005,442 | ||||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized) | 24,440,543 | ||||||
Net asset value, offering and redemption price per share: | |||||||
Institutional | $ | 15.44 | |||||
Service | 15.44 | ||||||
(a) | Effective April 30, 2007, the International Equity Fund changed its name to the Strategic International Equity Fund. |
(b) | Includes loaned securities having market value of $28,770,239. |
(c) | Includes restricted cash of $807,131 relating to initial margin requirements and collateral on futures transactions. |
6
Statement of Operations
Investment income: | |||||||
Dividends(b) | $ | 6,187,542 | |||||
Interest (including securities lending income of $381,713) | 446,915 | ||||||
Total income | 6,634,457 | ||||||
Expenses: | |||||||
Management fees | 1,900,000 | ||||||
Distribution and Service fees — Service Class | 314,110 | ||||||
Custody and accounting fees | 92,429 | ||||||
Printing fees | 88,030 | ||||||
Transfer agent fees(c) | 76,001 | ||||||
�� | Shareholder meeting expense | 70,037 | |||||
Professional fees | 38,237 | ||||||
Trustee fees | 9,719 | ||||||
Other | 5,871 | ||||||
Total expenses | 2,594,434 | ||||||
Less — expense reductions | (301,979 | ) | |||||
Net expenses | 2,292,455 | ||||||
NET INVESTMENT INCOME | 4,342,002 | ||||||
Realized and unrealized gain (loss) on investment, futures and foreign currency transactions: | |||||||
Net realized gain from: | |||||||
Investment transactions | 27,803,440 | ||||||
Foreign currency related transactions | 113,513 | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | (7,703,089 | ) | |||||
Futures | (77,909 | ) | |||||
Translation of assets and liabilities denominated in foreign currencies | 18,772 | ||||||
Net realized and unrealized gain on investment, futures and foreign currency transactions | 20,154,727 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 24,496,729 | |||||
(a) | Effective April 30, 2007, the International Equity Fund changed its name to the Strategic International Equity Fund. |
(b) | Foreign taxes withheld on dividends were $752,510. |
(c) | Institutional and Service Class had Transfer Agent fees of $50,268 and $25,733, respectively. |
7
Statements of Changes in Net Assets
For the | |||||||||||
Six Months Ended | For the | ||||||||||
June 30, 2007 | Year Ended | ||||||||||
(Unaudited) | December 31, 2006 | ||||||||||
From operations: | |||||||||||
Net investment income | $ | 4,342,002 | $ | 6,263,847 | |||||||
Net realized gain on investment, futures and foreign currency related transactions | 27,916,953 | 102,777,192 | |||||||||
Net change in unrealized loss on investments, futures and translation of assets and liabilities denominated in foreign currencies | (7,762,226 | ) | (49,052,597 | ) | |||||||
Net increase in net assets resulting from operations | 24,496,729 | 59,988,442 | |||||||||
Distributions to shareholders: | |||||||||||
From net investment income | |||||||||||
Institutional | — | (1,941,306 | ) | ||||||||
Service* | — | (3,906,762 | ) | ||||||||
Total distributions to shareholders | — | (5,848,068 | ) | ||||||||
From capital transactions: | |||||||||||
Proceeds from sales of shares | 3,974,147 | 9,861,496 | |||||||||
Proceeds received in connection with merger | — | 301,195,995 | |||||||||
Reinvestments of dividends and distributions | — | 5,848,063 | |||||||||
Cost of shares repurchased | (39,071,572 | ) | (93,816,913 | ) | |||||||
Net increase (decrease) in net assets resulting from share transactions | (35,097,425 | ) | 223,088,641 | ||||||||
Payment from previous investment manager of merged fund | — | 1,418,133 | |||||||||
Net increase (decrease) in net assets resulting from capital transactions | (35,097,425 | ) | 224,506,774 | ||||||||
TOTAL INCREASE (DECREASE) | (10,600,696 | ) | 278,647,148 | ||||||||
Net assets: | |||||||||||
Beginning of period | 388,046,323 | 109,399,175 | |||||||||
End of period | $ | 377,445,627 | $ | 388,046,323 | |||||||
Accumulated undistributed net investment income | $ | 4,919,206 | $ | 577,204 | |||||||
(a) | Effective April 30, 2007, the International Equity Fund changed its name to the Strategic International Equity Fund. |
* | Service Share Class commenced operations on January 9, 2006. |
8
Financial Highlights
Income (loss) from | Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
investment operations | expense reductions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Distributions | Ratio of | Ratio of | net investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | realized | to shareholders | Net asset | Net assets, | Ratio of | net investment | total | income | ||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | and | Total from | from net | value, | end of | net expenses | income | expenses | (loss) to | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
Year – Share | beginning | investment | unrealized | investment | investment | end of | Total | period | to average | to average | to average | average | turnover | |||||||||||||||||||||||||||||||||||||||||||
Class | of period | income(b) | gain (loss) | operations | income | period | return(c) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2007 - Institutional | $ | 14.49 | $ | 0.17(f | ) | $ | 0.78 | $ | 0.95 | $ | — | $ | 15.44 | 6.56 | % | $ | 130,276 | 1.17 | % (g)(h) | 2.35 | % (f)(g)(h) | 1.18 | % (g)(h) | 2.34 | % (f)(g)(h) | 50 | % | |||||||||||||||||||||||||||||
2007 - Service | 14.49 | 0.17(f | ) | 0.78 | 0.95 | — | 15.44 | 6.56 | 247,169 | 1.19 | (g)(h) | 2.29 | (f)(g)(h) | 1.43 | (g)(h) | 2.05 | (f)(g)(h) | 50 | ||||||||||||||||||||||||||||||||||||||
FOR THE YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2006 - Institutional | 12.05 | 0.22 | 2.44 | (d) | 2.66 | (0.22 | ) | 14.49 | 22.10 | (e) | 127,795 | 1.15 | 1.64 | 1.16 | 1.63 | 76 | ||||||||||||||||||||||||||||||||||||||||
2006 - Service (a) | 12.71 | 0.22 | 1.78 | (d) | 2.00 | (0.22 | ) | 14.49 | 15.74 | (e) | 260,251 | 1.17 | (h) | 1.68 | (h) | 1.41 | (h) | 1.44 | (h) | 76 | ||||||||||||||||||||||||||||||||||||
2005 - Institutional | 10.62 | 0.09 | 1.38 | 1.47 | (0.04 | ) | 12.05 | 13.70 | 109,399 | 1.20 | 0.81 | 1.36 | 0.66 | 56 | ||||||||||||||||||||||||||||||||||||||||||
2004 - Institutional | 9.48 | 0.07 | 1.18 | 1.25 | (0.11 | ) | 10.62 | 13.48 | 108,624 | 1.20 | 0.75 | 1.35 | 0.60 | 63 | ||||||||||||||||||||||||||||||||||||||||||
2003 - Institutional | 7.25 | 0.04 | 2.53 | 2.57 | (0.34 | ) | 9.48 | 35.49 | 106,792 | 1.37 | 0.49 | 2.60 | (0.74 | ) | 49 | |||||||||||||||||||||||||||||||||||||||||
2002 - Institutional | 8.99 | 0.03 | (1.68 | ) | (1.65 | ) | (0.09 | ) | 7.25 | (18.34 | ) | 13,214 | 1.46 | 0.32 | 2.96 | (1.18 | ) | 86 | ||||||||||||||||||||||||||||||||||||||
(a) | Service Share Class commenced operations on January 9, 2006. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and 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 a full year are not annualized. |
(d) | Reflects an increase of $0.05 due to payments by previous investment manager of a merged fund to compensate for possible adverse affects of the trading activity by certain contract holders of the acquired fund prior to January 9, 2006. |
(e) | Performance has not been restated to reflect the impact of payments by previous investment manager of a merged fund recorded during the period related to (d) above. If reinstated, the performance would have been 21.69% and 15.26% for Institutional and Service Shares, respectively. |
(f) | Reflects income recognized from special dividend which amounted to $0.01 per share and 0.15% of average net assets. |
(g) | Includes non-recurring expense for a special shareholder meeting which amounted to approximately 0.02% of average net assets. |
(h) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Investments in equity securities traded on a foreign securities exchange are valued daily at fair value determined by an independent service (if available) under valuation procedures approved by the Board of Trustees consistent with applicable regulatory guidance. The independent service takes into account multiple factors including, but not limited to certain depositary receipts, futures contracts and foreign currency exchange rates. While the independent service may not take into account market or security specific information, under the valuation procedures, these securities might also be fair valued by the adviser by taking into consideration market or security specific information, including, but are not limited to, corporate actions or events, market disruptions or governmental actions.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
B. Security Transactions and Investment Income — Security transactions are reflected 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, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the Fund separately bears its respective class-specific Transfer Agency fees. Service Shares bear all expenses and fees relating to their Distribution and Service Plan.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
E. Foreign Currency Translations — The books and records of the Fund 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.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
F. Forward Foreign Currency Exchange Contracts — The Fund 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. The Fund 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 Fund records 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.
G. Futures Contracts — The Fund 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, or in the absence of a sale, the last bid 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 Fund is required to segregate cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Fund, dependent on the fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Fund realizes a gain or loss which is reported in the Statements of Operations.
H. Segregation Transactions — The Fund may enter into certain 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 Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
3. AGREEMENTS |
3. AGREEMENTS (continued) |
Contractual Management Fee | ||||||||||||||
Up to | Next | Over | Effective | |||||||||||
$1 billion | $1 billion | $2 billion | Fee | |||||||||||
1.00% | 0.90% | 0.86% | 1.00% | |||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
5. SECURITIES LENDING |
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Capital loss carryforward:(1) | |||||
Expiring 2007 | $ | (2,072,911 | ) | ||
Expiring 2008 | (2,072,911 | ) | |||
Expiring 2009 | (11,410,092 | ) | |||
Expiring 2010 | (10,254,170 | ) | |||
Expiring 2011 | (609,034 | ) | |||
Total capital loss carryforward | $ | (26,419,118 | ) | ||
(1) | Expiration occurs on December 31, of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code. |
7. TAX INFORMATION (continued) |
Tax cost | $ | 364,350,521 | ||
Gross unrealized gain | 43,575,259 | |||
Gross unrealized loss | (4,900,347 | ) | ||
Net unrealized security gain | $ | 38,674,912 | ||
8. OTHER MATTERS |
Acquired Fund’s | ||||||||||||
Exchanged Shares | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | of Survivor Issued | Exchanged Shares | as of January 6, 2006 | |||||||||
Strategic International Equity Fund Service Class/Allmerica Fund Service Class | 23,697,561 | $ | 301,195,995 | 208,893,793 | ||||||||
Survivor Fund’s | Acquired Fund’s | Survivor Fund’s | ||||||||||||||||||
Aggregate | Aggregate | Aggregate | ||||||||||||||||||
Net Assets | Net Assets | Net Assets | Acquired Fund’s | Acquired Fund’s | ||||||||||||||||
before | before | immediately | Unrealized | Capital Loss | ||||||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | after acquisition | Appreciation | Carryforward | |||||||||||||||
Strategic International Equity Service Class/Allmerica Fund Service Class | $ | 115,286,200 | $ | 301,195,995 | $ | 416,482,195 | $ | 74,115,402 | $ | (86,962,722 | ) | |||||||||
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
10. SUMMARY OF SHARE TRANSACTIONS |
For the Six Months ended | ||||||||||||||||
June 30, 2007 | For the Year ended | |||||||||||||||
(Unaudited) | December 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 223,375 | $ | 3,324,019 | 638,762 | $ | 8,349,938 | ||||||||||
Reinvestment of dividends and distributions | — | — | 134,439 | 1,941,303 | ||||||||||||
Shares repurchased | (610,126 | ) | (9,159,812 | ) | (1,028,308 | ) | (13,597,512 | ) | ||||||||
(386,751 | ) | (5,835,793 | ) | (255,107 | ) | (3,306,271 | ) | |||||||||
Service Shares* | ||||||||||||||||
Shares sold | 44,584 | 650,128 | 118,203 | 1,511,558 | ||||||||||||
Shares issued in connection with merger | — | — | 23,697,561 | 301,195,995 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 270,551 | 3,906,760 | ||||||||||||
Shares repurchased | (2,004,666 | ) | (29,911,760 | ) | (6,120,791 | ) | (80,219,401 | ) | ||||||||
(1,960,082 | ) | (29,261,632 | ) | 17,965,524 | 226,394,912 | |||||||||||
NET INCREASE (DECREASE) | (2,346,833 | ) | $ | (35,097,425 | ) | 17,710,417 | $ | 223,088,641 | ||||||||
* | Service Share Class commenced operations on January 9, 2006. |
11. SUBSEQUENT EVENT |
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
The Trustees oversee the management of Goldman Sachs Variable Insurance Trust (the “Trust”), and review the investment performance and expenses of the investment fund covered by this Report (the “Fund”) at regularly scheduled meetings held during the Fund’s fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management International (the “Investment Adviser”) for the Fund.
The Management Agreement was most recently approved by the Trustees, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), on June 13, 2007 (the “Annual Contract Meeting”).
To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to the reviews of the Fund’s investment performance, expenses and other matters at regularly scheduled Board meetings, the Trustees have a Contract Review Committee (the “Committee”) whose members include all of the Independent Trustees. The Committee held meetings on December 14, 2006, February 7, 2007 and May 9, 2007. At these Committee meetings, the Independent Trustees considered matters relating to the Management Agreement including: (a) the Fund’s investment performance; (b) the Fund’s management fee arrangements; (c) the Investment Adviser’s undertaking to reimburse certain expenses of the Fund that exceed a specified level; (d) potential economies of scale and the level of breakpoints in the fee schedule under the Management Agreement; (e) the relative expense level of the Fund as compared to comparable funds; (f) data relating to the Investment Adviser’s profitability with respect to the Trust and the Fund; (g) capacity issues relating to certain of the funds managed by the Investment Adviser; (h) information on the advisory fees charged to institutional accounts; (i) the quality of the non-advisory services provided by the Investment Adviser and its affiliates; (j) information on the processes followed by a third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Fund; (k) an update on soft dollars and other trading related issues; and (l) the quality of the services provided by the Fund’s unaffiliated service providers and reports on due diligence visits to outside service providers.
At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters including: (a) a summary of fee concessions by the Investment Adviser and its affiliates with respect to the Goldman Sachs mutual funds since 2003; (b) the quality of the Investment Adviser’s services; (c) the structure, staff and capabilities of the Investment Adviser and its portfolio management team; (d) the groups within the Investment Adviser that support the portfolio management team, including the legal and compliance departments, the valuation oversight group, the risk and performance analytics group, the business planning team and the technology group; (e) the Investment Adviser’s business continuity and disaster recovery planning; (f) the Investment Adviser’s financial resources and its ability to hire and retain talented personnel; (g) the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, distribution, portfolio brokerage and other services; (h) the terms of the Management Agreement; (i) the administrative services provided under the Management Agreement, including the nature and extent of the Investment Adviser’s oversight of the Fund’s other service providers, including the custodian and fund accounting agent; and (j) the Investment Adviser’s policies addressing various potential conflicts of interest. At the Annual Contract Meeting, the Trustees also considered at further length the Fund’s investment performance, fees and expenses,
including the Fund’s expense trends over time and the breakpoints in the contractual fee rate under the Management Agreement approved in 2006.
In connection with the Committee meetings and the Annual Contract Meeting, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law. Also, in conjunction with these meetings, the Trustees attended other sessions at which the Trustees reviewed the commission rates paid by the Fund on brokerage transactions, the Investment Adviser’s receipt of research services in connection with those transactions, and the payment of Rule 12b-1 distribution and service fees that are payable by the Fund on its Service Share Class. Information was also provided to the Trustees relating to revenue sharing payments made by the Investment Adviser, portfolio manager compensation, the alignment of the interests of the Fund and the portfolio managers, the number and types of accounts managed by the portfolio managers, and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent counsel, without representatives of the Investment Adviser present.
The presentations made at the Contract Review Committee meetings and the Annual Contract Meeting encompassed the Fund and other mutual fund portfolios for which the Board of Trustees has responsibility. While the management agreements for the Fund and these other mutual fund portfolios were approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to the Fund separately.
In evaluating the Management Agreement at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its services and the Fund. At those meetings the Trustees received materials relating to the Investment Adviser’s investment management and other services under the Management Agreement, including: (a) information on the investment performance of the Fund in comparison to other mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the Fund invests; (c) compliance reports; and (d) expenses borne by the Fund. In addition, the Trustees were provided with disclosure materials regarding the Goldman Sachs mutual funds and their expenses that are provided to investors who invest in the funds, as well as information on the Goldman Sachs mutual funds’ competitive universe and discussed the broad range of other investment choices that are available to those investors.
In connection with their approval of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Fund by the Investment Adviser and its affiliates. These services include services as the Fund’s transfer agent, securities lending agent and distributor. In addition, affiliates of the Investment Adviser receive compensation in connection with the execution of the Fund’s portfolio transactions. The Trustees concluded that the Investment Adviser was both able to commit substantial financial and other resources to the operations of the Fund and had continued to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, vendor oversight and risk management. The Trustees also believed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser, including education and training initiatives.
The Trustees also considered the investment performance of the Fund and the Investment Adviser. In this regard, the Trustees compared the investment performance of the Fund to the performance of other SEC-registered funds and to rankings and ratings issued by the Outside Data Provider. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. This information on the Fund’s investment performance was provided for one, three and five year periods. In addition, the Trustees considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies, as well as in light of periodic analyses of its quality and risk profile. In addition, the Trustees considered whether the Fund had operated within its investment policies, and its record of compliance with its investment limitations. The Trustees concluded that the Fund was providing investment performance within a competitive range for long-term investors.
The Board of Trustees also considered the contractual fee rate payable by the Fund under the Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund. They also considered information that indicated that these mutual fund services differed in various significant respects from the services provided to the Investment Adviser’s institutional accounts, which generally paid lower fees. In addition, the fees paid by the Fund and the Fund’s total operating expense ratios (before and after applicable expense reimbursements) were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms. Most of the comparisons of the Fund’s fee rates and total operating expense ratios were prepared by the Outside Data Provider.
More particularly, the Trustees reviewed analyses prepared by the Outside Data Provider of the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee rates to a relevant peer group and a category universe; an expense analysis which compared the Fund’s expenses to a peer group and a category universe; and a five-year history comparing the Fund’s expenses to the category average. The analyses also compared the Fund’s transfer agency fees, custody and accounting fees and other expenses to a peer group and median. The Trustees believed that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees paid by the Fund. In addition, the Trustees considered the Investment Adviser’s voluntary undertaking to limit the Fund’s “other expenses” ratio (excluding certain expenses) to a specified level. This voluntary undertaking is in addition to the Investment Adviser’s separate contractual agreement to reimburse the Fund as necessary to limit the total annual operating expenses of the Service Shares of the Fund to a specified level until July 2007.
The Board of Trustees also considered the breakpoints in the contractual fee rate under the Management Agreement for the Fund that had been implemented at the following annual percentages of the average daily net assets of the Fund:
1.00% on the first $1 billion; 0.90% on the next $1 billion; and 0.86% over $2 billion.
In approving these fee breakpoints, the Trustees had reviewed information regarding the Investment Adviser’s potential economies of scale, and whether the Fund and its shareholders were participating in the benefits of those economies. In this regard, the Trustees considered the amount of assets in the Fund; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Adviser with fee rates charged by other, unaffiliated investment
managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting in 2007, the Trustees continued to believe that the fee breakpoints were a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset levels.
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from the Fund as stated above, including the fees received by them for transfer agency, securities lending, distribution and brokerage services, and the brokerage and research services received by the Investment Adviser in connection with the placement of brokerage transactions for the Fund. In this regard, the Trustees noted that the Investment Adviser had adopted a policy to cease obtaining third party non-broker research based on the Fund’s brokerage transactions. They also noted that the Fund had offered a share class, Service Shares, with a distribution and service plan under which an affiliate of the Investment Adviser would receive fees.
In addition, the Trustees reviewed the Investment Adviser’s pre-tax revenues and pre-tax margins with respect to the Trust and the Fund. In this regard the Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules, and expense allocation methodologies, as well as a report of independent accountants regarding the results of certain agreed-upon procedures to verify expense allocation calculations that were designed to assist the Trustees in their evaluation of the Investment Adviser’s schedules of revenues and expenses. The Trustees considered the Investment Adviser’s revenues and margins both in absolute terms and in comparison to the information on the reported margins earned by other asset management firms.
After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded that the management fees paid by the Fund were reasonable in light of the services provided by the Investment Adviser, its costs and the Fund’s current and reasonably foreseeable asset levels, and that the Management Agreement should be approved and continued.
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. | ||
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007. | ||
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid” to estimate the expenses you paid on your account during this period. | ||
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. | ||
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing on going costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs. |
Expenses Paid | ||||||||||||
for the | ||||||||||||
Beginning | Ending | six months | ||||||||||
Account Value | Account Value | ended | ||||||||||
Share Class | 1/1/07 | 06/30/07 | 6/30/07* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,065.60 | $ | 5.99 | ||||||
Hypothetical 5% return | 1,000.00 | 1,019.89 | + | 5.86 | ||||||||
Service | ||||||||||||
Actual | 1,000.00 | 1,065.60 | 6.09 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,018.89 | + | 5.96 | ||||||||
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 1.17% and 1.19% for Institutional and Service Shares, respectively. | ||
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman | Kaysie P. Uniacke, President | |
John P. Coblentz, Jr. | James A. McNamara, Senior Vice President | |
Diana M. Daniels | John M. Perlowski, Senior Vice President | |
Patrick T. Harker | and Treasurer | |
Jessica Palmer | Peter V. Bonanno, Secretary | |
Alan A. Shuch | ||
Richard P. Strubel | ||
Kaysie P. Uniacke | ||
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | ||
GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser | ||
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns. | ||
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. | ||
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550. | ||
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds. | ||
Effective April 30, 2007, the name of the Goldman Sachs Variable Insurance Trust (VIT) International Equity Fund was changed to the Goldman Sachs Variable Insurance Trust (VIT) Strategic International Equity Fund. | ||
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. | ||
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: Strategic International Equity Fund. | ||
Copyright 2007 Goldman, Sachs & Co. All rights reserved. | ||
VITSTINTLSAR/07-1656/30.4K |
ITEM 2. | CODE OF ETHICS. |
Not applicable to the Semi-Annual Report for the period ended June 30, 2007. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
Not applicable to the Semi-Annual Report for the period ended June 30, 2007. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
Not applicable to the Semi-Annual Report for the period ended June 30, 2007. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable. |
ITEM 10. | 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 11. | 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a)(1) | Not applicable to the Semi-Annual Report for the period ended June 30, 2007. | |||
(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 30, 2007 | ||
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 30, 2007 | ||
/s/ John M. Perlowski | ||
By: John M. Perlowski | ||
Chief Financial Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 30, 2007 |